Related provisions for BIPRU 12.5.10

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IFPRU 4.3.2GRP
A significant IFPRU firm should consider developing internal credit risk assessment capacity and to increase use of the internal ratings based approach for calculating own funds requirements for credit risk where its exposures are material in absolute terms and where it has at the same time a large number of material counterparties. This provision is without prejudice to the fulfilment of criteria laid down in Part Three, Title I, Chapter 3, Section 1 of the UK CRR3 (IRB approach).[Note:
IFPRU 4.3.3GRP
The FCA will, taking into account the nature, scale and complexity of a firm's activities, monitor that it does not solely or mechanistically rely on external credit ratings for assessing the creditworthiness of an entity or financial instrument.[Note: article 77(2) of CRD]
SYSC 19C.3.6GRP
  1. (1)

    In the FCA's view:

    1. (a)

      a firm's staff includes its employees;

    2. (b)

      a person who performs a significant influence function for, or is a senior manager of, a firm would normally be expected to be part of the firm'sBIPRU Remuneration Code staff;

    3. (c)

      the table in (2) provides a non-exhaustive list of examples of key positions that should, subject to (d), be within a firm's definition of staff who are risk takers;

    4. (d)

      firms should consider how the examples in the table in (2) apply to their own organisational structure;

      1
    5. (e)

      firms may find it useful to set their own metrics to identify their risk takers based, for example, on trading limits; and

    6. (f)

      a firm should treat a person as being BIPRU Remuneration Code staff in relation to remuneration in respect of a given performance year if they were BIPRU Remuneration Code staff for any part of that year.

    [Note: The FCA has published guidance on the application of particular rules on remuneration structures in relation to individuals who are BIPRU Remuneration Code staff for only part of a given performance year. This guidance is available at www.fca.org.uk/firms/remuneration

    .]

  2. (2)

    High-level category

    Suggested business lines

    Heads of significant business lines (including regional heads) and any individuals or groups within their control who have a material impact on the firm's risk profile

    Fixed income

    Foreign exchange

    Commodities

    Securitisation

    Sales areas

    Investment banking (including mergers and acquisitions advisory)

    Commercial banking

    Equities

    Structured finance

    Lending quality

    Trading areas

    Research

    Heads of support and control functions and other individuals within their control who have a material impact on the firm's risk profile

    Credit/market/operational risk

    Legal

    Treasury controls

    Human resources

    Compliance

    Internal audit
SYSC 19C.3.23GRP
(1) This Remuneration Principle stresses the importance of risk adjustment in measuring performance, and the importance of applying judgment and common sense. A firm should ask the risk management function to validate and assess risk-adjustment techniques and to attend a meeting of the governing body or remuneration committee for this purpose. (2) A number of risk-adjustment techniques and measures are available, and a firm should choose those that are most appropriate to its
REC 2.3.11GRP
4For the purposes of REC 2.3, "eligible financial resources" should consist of liquid financial assets held on the balance sheet of a UK recognised body, including cash and liquid financial instruments where the financial instruments have minimal market and credit risk and are capable of being liquidated with minimal adverse price effect.
MIPRU 4.2.23RRP
2The capital resources requirement4for a firm carrying on any home financing which is connected to regulated mortgage contracts, or home financing and home finance administration which is connected to regulated mortgage contracts (and no other regulated activity), is the higher of:4(1) £100,000; and(2) the sum of: (a) the creditrisk capital requirement4calculated in accordance with MIPRU 4.2A; and4(b) 1% of:(i) its total assets plus total undrawn commitments and unreleased amounts
BIPRU 13.4.17RRP
In application of the CCR mark to market method:(1) in BIPRU 13.4.2 R a firm may obtain the current replacement cost for the contracts included in a netting agreement by taking account of the actual hypothetical net replacement cost which results from the agreement; in the case where netting leads to a net obligation for the firm calculating the net replacement cost, the current replacement cost is calculated as "0"; and(2) in BIPRU 13.4.3 R a firm may reduce the figure for potential
BIPRU 3.7.2RRP

This table belongs to BIPRU 3.7.1 R

[Note: BCD Annex II]

Category

Item

Percentage

Full risk

Guarantees having the character of credit substitutes

Credit derivatives

Acceptances

Endorsements on bills not bearing the name of another credit institution

Transactions with recourse

Irrevocable standby letters of credit having the character of credit substitutes

Assets purchased under outright forward purchase agreements

Forward deposits

The unpaid portion of partly-paid shares and securities

Asset sale and repurchase agreements as defined in Article 12(3) and (5) of the Bank Accounts Directive

Other items also carrying full risk

100%

Medium risk

Documentary credits issued and confirmed (see also medium/low risk).

Warranties and indemnities (including tender, performance, customs and tax bonds) and guarantees not having the character of credit substitutes.

Irrevocable standby letters of credit not having the character of credit substitutes.

Undrawn credit facilities (agreements to lend, purchase securities, provide guarantees or acceptance facilities) with an original maturity of more than one year.

Note issuance facilities (NIFs) and revolving underwriting facilities (RUFs).

50%

Medium/low risk

Documentary credits in which underlying shipment acts as collateral and other self-liquidating transactions.

Undrawn credit facilities (agreements to lend, purchase securities, provide guarantees or acceptance facilities) with an original maturity of up to and including one year which may not be cancelled unconditionally at any time without notice or that do not effectively provide for automatic cancellation due to deterioration in a borrower's creditworthiness.

20%

Low risk

Undrawn credit facilities (agreements to lend, purchase securities, provide guarantees or acceptance facilities) which may be cancelled unconditionally at any time without notice, or that do effectively provide for automatic cancellation due to deterioration in a borrower's creditworthiness. Retail credit lines may be considered as unconditionally cancellable if the terms permit the firm to cancel them to the full extent allowable under consumer protection and related legislation.

0%
IFPRU 4.11.19GRP
The FCA expects that a firm will1 be able to comply with certain other UK CRR2 requirements only where it can1demonstrate that:11(1) in relation to article 144(1)(e) of the UK CRR2, where more than one model is used, the rationale, and the associated boundary issues, is clearly articulated and justified and the criteria for assigning an asset to a rating model are objective and clear;(2) in relation to article 173(1)(c) of the UK CRR2, the firm has a process in place to ensure
BIPRU 14.3.5RRP

This table belongs to BIPRU 14.3.4 R

Number of working days after due settlement date

Column A (%)

5 - 15

8

16 - 30

50

31 - 45

75

46 or more

100

[Note: CAD Annex II Table 1]

BIPRU 14.3.5GRP
In cases of a system wide failure of a settlement or clearing system, a firm should refer to the emergency provisions in GEN 1.3. Where the requirements of GEN 1.3.2 R are met, until the situation is rectified failure of a counterparty to settle a trade will not be deemed a default for purposes of credit risk.[Note: CAD Annex II point 4]
IFPRU 4.5.5GRP
The FCA expects that a credit obligation be considered as a distressed restructuring if an independent third party, with expertise in the relevant area, would not be prepared to provide financing on substantially the same terms and conditions (see article 178(2)(d) of the UK CRR2).
GENPRU 1.3.16RRP
(1) 4When marking to market, a firm must use the more prudent side of bid/offer unless the firm is a significant market maker in a particular position type and it can close out at the mid-market price.(2) 4When calculating the current exposure value of a credit risk exposure for counterparty credit risk purposes:(a) a firm must use the more prudent side of bid/offer or the mid-market price and the firm must be consistent in the basis it chooses; and4(b) where the difference between
BIPRU 3.6.15RRP
Credit assessments for issuers within a corporate group cannot be used as credit assessment of another issuer within the same corporate group.[Note: BCD Annex VI Part 3 point 11]
IPRU-INV 11.6.4GRP
(1) When a collective portfolio management investment firm that is a BIPRU firm calculates the credit risk capital requirement and the market risk capital requirement for the purpose of calculating the variable capital requirement under GENPRU 2.1.40R it must do so only in respect of designated investment business. For this purpose, managing an AIF or managing a UK UCITS2 is excluded from designated investment business. (2) Generally, BIPRU only applies to a collective portfolio
IFPRU 4.6.29GRP
The FCA expects a firm using a rating agency grades as the primary driver in its IRB models to be able to demonstrate (and document) compliance with the following criteria:(1) the firm has its own internal rating scale;(2) the firm has a system and processes in place that allow it to continuously collect and analyse all relevant information, and the 'other relevant information' considered by the firm in accordance with article 171(2) of the UK CRR1 reflects the information collected
BIPRU 4.5.7RRP
Notwithstanding BIPRU 4.3.5 R (Use of relevant parameters for calculating risk weighted exposure amounts), the calculation of risk weighted exposure amounts for credit risk for specialised lending exposures may be calculated in accordance with BIPRU 4.5.8 R.[Note:BCD Article 87(5)]
BIPRU 8.4.14RRP
A firm must exclude material holdings in the notional calculation of the credit risk capital requirement for the purposes of BIPRU 8.4.13 R. A firm must identify whether it has any material holdings and the amount of them in accordance with GENPRU 2.2 (Capital resources) and GENPRU 2 Annex 4 (Capital resources table for a BIPRU 2firm deducting material holdings).
IFPRU 8.1.14GRP
Article 113(6) of the UK CRR2 (Intra-group credit risk exemption) permits a firm, subject to conditions, to apply a 0% risk-weighting for exposures to certain entities within its FCAconsolidation group, namely its parent undertaking, its own subsidiaries and subsidiaries of its parent undertaking. Article 400(1)(f) of the UK CRR2 then fully exempts such exposures from the large exposures limit stipulated in article 395(1) of the UK CRR2 (Limits to large exposures).
COLL 5.3.10RRP
(1) 2An authorised fund manager of a UCITS scheme may apply other calculation methods which are equivalent to the standard commitment approach.(2) An authorised fund manager may take account of netting and hedging arrangements when calculating global exposure of a UCITS scheme, where those arrangements do not disregard obvious and material risks and result in a clear reduction in risk exposure.(3) Where the use of derivatives or forward transactions does not generate incremental