Related provisions for BIPRU 7.8.16

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BIPRU 7.8.2RRP
A firm which underwrites or sub-underwrites an issue of securities must, for the purposes of calculating its market risk capital component1:(1) identify commitments to underwrite or sub-underwrite which give rise to an underwritingposition (see BIPRU 7.8.8R);(2) identify the time of initial commitment (see BIPRU 7.8.13R); and(3) calculate the net underwriting position (set out in BIPRU 7.8.17R), reduced net underwriting position or the net underwriting exposure.
BIPRU 7.8.3RRP
A firm must include the net underwriting position or reduced net underwriting position in whichever one or more of the following is or are relevant:(1) BIPRU 7.2.3R (1) where debt securities are being underwritten;(2) BIPRU 7.3.2R (1) where equities are being underwritten;(3) BIPRU 7.6.22R where warrants are being underwritten; and(4) BIPRU 7.5.3R where the equities, debt securities or warrants being underwritten are denominated in a foreign currency.
BIPRU 7.8.5GRP
Sub-underwriting is a commitment given by one firm to someone other than the issuer or seller of the securities to sub-underwrite all or part of an issue of securities.
BIPRU 7.8.6GRP
The net underwriting position calculated in BIPRU 7.8.17R will also be used in calculating the net underwriting exposure under BIPRU 7.8.34R.
BIPRU 7.8.7GRP
The net underwriting position or reduced net underwriting position arising from underwriting or sub-underwriting a rights or warrants issue should be calculated using the current market price of the underlying security for the purposes of the equity PRR or option PRR. However, the PRR will be limited to the value of the net underwriting position calculated using the initial issue price of the rights or warrants. Where there is no market price because the rights or warrants are
BIPRU 7.8.8RRP
(1) For the purpose of BIPRU 7.8.2R (1), a firm has a commitment to underwrite or sub-underwrite an issue of securities where:(a) it gives a commitment to an issuer of securities to underwrite an issue of securities; or(b) (where BIPRU 7.8.12R (2) applies) it gives a commitment to a seller of securities to underwrite a sale of those securities;(c) it gives a commitment to a person, other than the issuer of securities or, if BIPRU 7.8.12R (2) applies, the seller of the securities,
BIPRU 7.8.10RRP
(1) A firm that buys and sells securities before issue is dealing in the grey market for the purposes of BIPRU 7.8.(2) BIPRU 7.8 does not apply to a firm with respect to its dealings in the grey market unless the firm:(a) has an underwriting commitment to the issuer in respect of those securities; or(b) has a sub-underwriting commitment in respect of those securities and is using the grey market solely for the purpose of reducing that sub-underwriting commitment.(3) BIPRU 7.8
BIPRU 7.8.12RRP
For the purposes of BIPRU 7.8, a firm must treat securities as being new for the purposes of the definition of underwriting if they are:(1) securities that, prior to the allotment following the underwriting, were not in issue; or(2) securities that do not fall within (1) but that have not previously been offered for sale or subscription to the public and have not been admitted to trading on a market operated by a recognised investment exchange or an overseas investment exchan
BIPRU 7.8.13RRP
Subject to BIPRU 7.8.14R, the time of initial commitment is the earlier of:(1) (in the case of underwriting) the time the firm agrees with the issuer of securities to underwrite those securities; or(2) (in the case of underwriting falling under BIPRU 7.8.12R (2)) the time the firm agrees with the seller of securities to underwrite those securities; or(3) (in the case of sub-underwriting) the time the firm agrees with the person referred to BIPRU 7.8.8R (1)(c) to sub-underwrite
BIPRU 7.8.14RRP
If a firm has an irrevocable and unfettered right to withdraw from an underwriting commitment, exercisable within a certain period, the commitment commences (and thus the time of initial commitment occurs) when that right expires.
BIPRU 7.8.15GRP
Subject to the existence of a right described in BIPRU 7.8.14R an underwriting commitment commences even if it is subject to formal, legal or other conditions that would normally be expected to be satisfied.
BIPRU 7.8.17RRP
A firm must calculate a net underwriting position by adjusting the gross amount it has committed to underwrite for:(1) any sales or sub-underwriting commitments received that have been confirmed in writing at the time of initial commitment (but excluding any sales in the grey market as defined in BIPRU 7.8.10R (1));(2) any underwriting or sub-underwriting commitments obtained from others since the time of initial commitment;(3) any purchases or sales of the securities since the
BIPRU 7.8.18RRP
If the allocation of securities has not been fixed a firm must calculate the gross amount of its commitment, for the purposes of BIPRU 7.8.17R, by reference to the maximum amount it has committed to underwrite until the time the allocation is set.
BIPRU 7.8.19RRP
An underwriting commitment may only be reduced under BIPRU 7.8.17R on the basis of a formal agreement.
BIPRU 7.8.20GRP
Allocations may arise, after date of initial commitment, from the agreement to underwrite. For example obligations or rights may be allocated to or from the issuer, the underwriting group or syndicate.
BIPRU 7.8.21RRP
(1) This rule deals with the treatment of short positions that arise when a firm commits to distribute securities that it is underwriting in an amount that exceeds the allocation to the firm made by the issuer of the securities being underwritten.(2) When calculating its net underwriting position, a firm may use an over-allotment option granted to it by the issuer of the securities being underwritten to reduce the short positions in (1).(3) A firm may also use an over-allotment
BIPRU 7.8.22RRP
Except as provided in BIPRU 7.8.21R, a firm must not take into account an over-allotment option granted to it or another member of the underwriting syndicate in calculating its net underwriting position.
BIPRU 7.8.23RRP
For the purposes of BIPRU 7.8working day 0 is the business day on which a firm that is underwriting or sub-underwriting becomes unconditionally committed to accepting a known quantity of securities at a specified price.
BIPRU 7.8.26GRP
For rights issues, working day 0 is the first day after the date on which the offer becomes closed to acceptances for subscription.
BIPRU 7.8.27RRP
To calculate the reduced net underwriting position a firm must apply the reduction factors in the table in BIPRU 7.8.28R to the net underwriting position (calculated under BIPRU 7.8.17R) as follows:(1) in respect of debt securities, a firm must calculate two reduced net underwriting positions; one for inclusion in the firm'sinterest rate PRRspecific risk calculation (BIPRU 7.2.43R), the other for inclusion in its interest rate PRRgeneral market risk calculation (BIPRU 7.2.52R);
BIPRU 7.8.28RRP

Table: Net underwriting position reduction factors

This table belongs to BIPRU 7.8.27R

Underwriting timeline

Debt

Equity

General market risk

Specific risk

Time of initial commitment until working day 0

0%

100%

90%

Working day 1

0%

90%

90%

Working day 2

0%

75%

75%

Working day 3

0%

75%

75%

Working day 4

0%

50%

50%

Working day 5

0%

25%

25%

Working day 6 and onwards

0%

0%

0%
BIPRU 7.8.30GRP

Table: Example of the reduced net underwriting position calculation

This table belongs to BIPRU 7.8.29G

Time

Net underwriting position (see BIPRU 7.8.17R)

Percentage reduction (see BIPRU 7.8.28R)

Reduced net underwriting position

At initial commitment 9.00am Monday

£100m gross amount is reduced by £20m due to sales/sub-underwriting commitments confirmed in writing at the time of initial commitment (see BIPRU 7.8.17R (1)) and (4)).

=

£80m

90%

£8m

Post initial commitment 9.02am Monday

Remaining £80m is reduced by £40m due to further sales, sub-underwriting commitments obtained and allocations granted (see BIPRU 7.8.17R (2) - (5)).

=

£40m

90%

£4m

At the end of working day 1

Remaining £40m is reduced to £20m due to further sales.

=

£20m

90%

£2m

End of working day 3

Remaining £20m is reduced to £5m due to further sales.

=

£5m

75%

£1.25 m

End of working day 4

Remaining £5m is reduced to £2m due to further sales.

=

£2m

50%

£1m

End of working day 5

Remaining £2m is reduced to £1m due to further sales.

=

£1m

25%

£0.75 m

Start of working day 6

£1m remaining

=

£1m

0%

£1m
BIPRU 7.8.32RRP
A firm must include any other exposures arising out of underwriting (including any counterparty exposures to any sub-underwriters) for the purposes of calculating the total amount of its trading bookexposures to a person for concentration risk purposes.
BIPRU 7.8.33RRP
[deleted]1
BIPRU 7.8.35RRP

Table: Calculation of net underwriting exposure

This table belongs to BIPRU 7.8.34R

Time

Reduction factor to be applied to net underwriting position

Initial commitment to working day 0

100%

Working day 0

100%

Working day 1

90%

Working day 2

75%

Working day 3

75%

Working day 4

50%

Working day 5

25%

Working day 6 onwards

0%
BIPRU 7.8.38RRP
A firm must take reasonable steps to establish and maintain such systems and controls to monitor and manage its underwriting and sub-underwriting business as are appropriate to the nature, scale and complexity of its underwriting and sub-underwriting business. In particular, a firm must have systems to monitor and control its underwritingexposures between the time of the initial commitment and working day one in the light of the nature of the risks incurred in the markets in
BIPRU 7.8.39GRP
A firm should take reasonable steps to:(1) allocate responsibility for the management of its underwriting and sub-underwriting business;(2) allocate adequate resources to monitor and control its underwriting and sub-underwriting business;(3) satisfy itself that its systems to monitor exposure to counterparties will calculate, revise and update its exposure to each counterparty arising from its underwriting or sub-underwriting business;(4) satisfy itself of the suitability of each
BIPRU 7.10.38GRP
Subject to BIPRU 7.10.53R (Model standards: Materiality), a VaR model should capture and accurately reflect all material risks arising on the underlying portfolio on a continuing basis insofar as those risks are within the scope of the VaR model permission. This should encompass general market risk and, to the extent that this comes within the scope of the VaR model permission, specific risk. A firm should ensure that the VaR model has sufficient risk factor granularity to be
BIPRU 7.10.46RRP
(1) If a firm'sVaR model covers the calculation of PRR with respect to specific risk the firm must meet the VaR specific risk minimum requirements in addition to the other requirements of BIPRU 7.10.(2) The VaR model must explain the historical price variation in the portfolios concerned.(3) The VaR model must capture concentration in terms of magnitude and changes of composition of the portfolios concerned.(4) The VaR model must be robust to an adverse environment.(5) The VaR
BIPRU 7.10.47GRP
This paragraph provides guidance onBIPRU 7.10.46 R (2). Take as an example a VaR model based on a factor model or on a historical simulation model. The ability of the model to explain price variation could be demonstrated by a statistical comparison over the same period of time between actual price changes on the portfolio and the profit and loss impact of risk factors included within the model. A firm may wish to include an estimate of residual variation not explained by the
BIPRU 7.10.48RRP
(1) [deleted]33(2) A firm'sVaR model must conservatively assess the risk arising from less liquid positions and positions with limited price transparency under realistic market scenarios. In addition, the VaR model must meet minimum data standards. Proxies must be appropriately conservative and may be used only where available data is insufficient or is not reflective of the true volatility of a position or portfolio.
BIPRU 7.10.55GRP
A firm is expected ultimately to move towards full revaluation of option positions. For portfolios containing path dependent options, an instantaneous price shock applied to a static portfolio will be acceptable provided that the risks not captured by such an approach are not material. Where a risk is immaterial and does not justify further capital resources, that immaterial risk should still be documented.
BIPRU 7.10.55TRRP
3As part of its VaR model permission, the appropriate regulator may authorise a firm to use the all price risk measure to calculate an additional capital charge in relation to positions in its correlation trading portfolio if it meets the following minimum standards:(1) it adequately captures all price risks at a 99.9% confidence interval over a capital horizon of one year under the assumption of a constant level of risk, and adjusted, where appropriate, to reflect the impact
BIPRU 7.10.55URRP
3The amount of the capital charge for the correlation trading portfolio calculated in accordance with the all price risk measure must not be less than 8% of the capital charge that would result from applying BIPRU 7.2.48L R to all positions in the correlation trading portfolio subject to the all price risk measure.
BIPRU 7.10.55VRRP
3A firm may include in its all price risk measurepositions that are jointly managed with positions in the correlation trading portfolio and would otherwise be included in the incremental risk charge. In that case, the firm must exclude these positions from the calculation of its incremental risk charge.
BIPRU 7.10.55XRRP
3A firm must demonstrate through backtesting or other appropriate means that its all price risk measure can appropriately explain the historical price variation of these positions. A firm must be able to demonstrate to the appropriate regulator that it can identify the positions within its correlation trading portfolio, in relation to which it is authorised to use the all price risk measure, separately from those other positions in relation to which it is not authorised to do
BIPRU 7.10.55ZRRP
(1) 3For positions within its correlation trading portfolio in relation to which a firm may use the all price risk measure, a firm must regularly apply a set of specific, predetermined stress scenarios. These stress scenarios must examine the effects of stress to default rates, recovery rates, credit spreads, and correlations on the profit and loss of the correlation trading portfolio.(2) A firm must apply the stress scenarios in (1) at least weekly and report the results to the
BIPRU 7.10.56GRP
A firm with a complex portfolio is expected to demonstrate greater sophistication in its modelling and risk management than a firm with a simple portfolio. For example, a firm will be expected to consider, where necessary, varying degrees of liquidity for different risk factors, the complexity of risk modelling across time zones, product categories and risk factors. Some trade-off is permissible between the sophistication and accuracy of the model and the conservatism of underlying
BIPRU 7.10.72RRP
(1) A firm must frequently conduct a rigorous programme of stress testing. The results of these tests must be reviewed by senior management and reflected in the policies and limits the firm sets.(2) The programme must particularly address:(a) concentration risk;(b) illiquidity of markets in stressed market conditions;(c) one way markets;(d) event and jump to default risks;(e) non linearity of products;(f) deep out of the money positions;(g) positions subject to the gapping of
BIPRU 7.10.78RRP
A firm must have processes in place to ensure that its VaR model has been adequately validated by suitably qualified parties independent of the development process to ensure that it is conceptually sound and adequately captures all material risks. This validation must be conducted when the VaR model is initially developed and when any significant changes are made to the VaR model. The validation must also be conducted on a periodic basis but especially where there have been any
BIPRU 7.10.79GRP
(1) In addition to regulatory backtesting programs, testing for model validation should be carried out using additional tests which may include for example:(a) testing carried out using hypothetical changes in portfolio value that would occur were end of day positions to remain unchanged;(b) testing carried out for longer periods than required for the regular backtesting programme (for example, 3 years);(c) testing carried out using confidence intervals other than the 99 percent
BIPRU 7.10.87RRP
A firm must periodically and actively identify all the worst case scenarios that are relevant to its portfolio. Scenarios used must be appropriate to test the effect of adverse movements in market volatilities and correlations and the effect of any change in the assumptions underlying the VaR model. Scenarios involving low probability market events must nevertheless be plausible.
BIPRU 7.10.91GRP
Backtesting is the process of comparing value-at-risk risk measures to portfolio performance. It is intended to act as one of the mechanisms for the ongoing validation of a firm'sVaR model and to provide incentives for firms to improve their VaR measures.
BIPRU 7.10.93GRP
Backtesting conducted only at a whole portfolio level using a single measure of profit and loss has limited power to distinguish an accurate VaR model from an inaccurate one. Backtesting should therefore be regarded as an additional safeguard rather than a primary validation tool. Such testing does however form the basis of the appropriate regulator'splus factor system. The test has been chosen as the basis of the backtesting regime because of its simplicity. A firm will therefore
BIPRU 7.10.107RRP
If a firm'sVaR model permission covers specific risk, the firm must validate its VaR model through backtesting aimed at assessing whether specific risk is being accurately captured. This backtesting must be carried out in accordance with the provisions of its VaR model permission. If the VaR model permission provides for this backtesting to be performed on the basis of relevant sub-portfolios, these must be chosen in a consistent manner.
BIPRU 7.10.108GRP
Specific risk backtesting involves the backtesting of a standalone specific riskVaR measure against a profit and loss series determined by reference to exposure risk factors categorised as specific risk. Alternatively specific risk backtesting may take the form of regular backtesting of trading books and portfolios that are predominantly exposed to risk factors categorised as specific risk. The precise requirements for specific risk backtesting will be specified in the firm'sVaR
BIPRU 7.10.111RRP
A firm must perform backtesting against a hypothetical profit and loss figure3 with respect to each business day. A hypothetical profit and loss figure3 for a business day means the hypothetical profit and loss figure3 that would have occurred for that business day if the portfolio on which the VaR number for that business day is based remained unchanged.3333
BIPRU 7.10.116ARRP
3The all price risk measure for any business day means the all price risk measure required under the provisions in BIPRU 7.10 about specific risk for the correlation trading portfolio.
BIPRU 7.10.129RRP
A firm must, no later than the number of business days after the end of each quarter specified in the VaR model permission for this purpose, submit, in respect of that quarter, a report to the appropriate regulator about the operation of the VaR model, the systems and controls relating to it and any changes to the VaR model and those systems and controls. Each report must outline as a minimum the following information in respect of that quarter:(1) methodological changes and developments
BIPRU 7.10.136ARRP
3A firm must calculate the market risk capital requirement for securitisation positions and positions in the correlation trading portfolio in accordance with the standard market risk PRR rules, with the exception of those positions subject to the all price risk measure.
BIPRU 7.10.146RRP
A VaR model must be a value-at-risk model. It must provide an estimate of the worst expected loss on a portfolio resulting from market movements over a period of time with the specified confidence level.
PERG 2.9.3GRP
This group of exclusions applies, in specified circumstances, to the regulated activities of:(1) dealing in investments as principal;(2) arranging (bringing about) dealsininvestments and4making arrangements with a view to transactions in investments;44(2A) arranging a home finance transaction;4(3) managing investments;(4) assisting in the administration and performance of a contract of insurance;(5) safeguarding and administering investments;(6) sending dematerialised instructions;(7)
PERG 2.9.7GRP
This group of exclusions applies, in specified circumstances, to the regulated activities of:(1) dealing in investments as principal;(2) dealing in investments as agent;(3) arranging (bringing about) deals in investments and making arrangements with a view to transactions in investments;(4) managing investments;(5) safeguarding and administering investments; and(6) advising on investments.
PERG 2.9.9GRP
This group of exclusions applies, in specified circumstances, to the regulated activities of:(1) dealing in investments as principal;(2) dealing in investments as agent;(3) arranging (bringing about) deals in investments and making arrangements with a view to transactions in investments;(4) managing investments;(5) safeguarding and administering investments;(6) sending dematerialised instructions; and(7) advising on investments.
PERG 2.9.15GRP
This group of exclusions applies, in specified circumstances, to the regulated activities of:(1) dealing in investments as principal;(2) dealing in investments as agent;(3) arranging (bringing about) deals in investments and4making arrangements with a view to transactions in investments;4(3A) arranging a home finance transaction;4(3B) 5operating a multilateral trading facility;(3C) operating an organised trading facility;18(4) advising on investments;(5) entering into a home finance
PERG 2.9.19GRP
The exclusions in this group apply to certain regulated activities involving certain contracts of insurance. The exclusions and the regulated activities to which they apply are as follows.(1) The first exclusion of this kind relates to certain activities carried on by a provider of non-motor goods or services,19 or services related to travel in connection with general insurance contracts that satisfy a number of conditions.19777(a) The contracts must:19(i) have a premium of:19(A)
PERG 2.9.20GRP
1This group of exclusions applies, in specified circumstances, to the regulated activities of:(1) dealing in investments as agent;(2) arranging (bringing about) deals in investments and making arrangements with a view to transactions in investments;(3) managing investments;(4) safeguarding and administering investments;(4A) managing a UK UCITS21; 13(4B) managing an AIF;13(5) establishing, operating or winding up a collective investment scheme; and(6) advising on investments.
PERG 2.9.22GRP
313This exclusion applies to a person with a Part 4A permission to carry on the activity of managing an AIF or managing a UK UCITS21. The exclusion means that activities carried on by the person in connection with, or for the purposes of, managing a UK UCITS21 or (as the case may be) managing an AIF, are excluded from being regulated activities (except the activities of managing an AIF and managing a UK UCITS21 themselves). In the FCA's view this is particularly likely to affect
PERG 2.9.25GRP
12This group of exclusions applies, in specified circumstances, to the regulated activities of:(1) dealing in investments as principal;(2) dealing in investments as agent;(3) arranging (bringing about) deals in investments;(4) making arrangements with a view to transactions in investments;(5) operating a multilateral trading facility;(5A) operating an organised trading facility;18(6) managing investments;(7) assisting in the administration and performance of a contract of insurance;(8)
INSPRU 3.2.5RRP
For the purpose of PRA Rulebook: Non-Solvency II firms: Insurance Company – Capital Resources 136 (Admissible assets in insurance), and also in relation to permitted links,1 a derivative or quasi-derivative is approved if:(1) it is held for the purpose of efficient portfolio management (INSPRU 3.2.6 R to INSPRU 3.2.7 R) or reduction of investment risk (INSPRU 3.2.8 R to INSPRU 3.2.13 G);(2) it is covered (INSPRU 3.2.14 R to INSPRU 3.2.33 G); and(3) it is effected or issued:(a)
INSPRU 3.2.6RRP
A derivative or quasi-derivative is held for the purpose of efficient portfolio management if the firm reasonably believes the derivative or quasi-derivative (either alone or together with any other covered transactions) enables the firm to achieve its investment objectives by one of the following (or, in relation to permitted links, in a manner which includes but is not limited to)1:(1) generating additional capital or income in one of the ways described in INSPRU 3.2.7 R; or(2)
INSPRU 3.2.8RRP
A derivative or quasi-derivative is held for the purpose of reducing investment risk if the derivative or quasi-derivative (either alone or together with other fully covered transactions) reduces any aspect of investment risk without significantly increasing any other aspect of that risk.
INSPRU 3.2.9RRP
For the purposes of INSPRU 3.2.8 R, an increase in risk from a derivative or quasi-derivative is significant unless:(1) relative to any reduction in investment risk it is both small and reasonable; or(2) the risk is remote.
INSPRU 3.2.22GRP
The second purpose of cover is that it prevents excessive gearing in the investment portfolio by the use of options and their equivalent. A firm is required to cover all obligations under an admissible transaction including obligations that would arise only at the option of the firm, e.g. the liability to pay the exercise price under a bought option.
INSPRU 3.2.31GRP
INSPRU 3.2.30 R in effect allows borrowings to be used to bridge the gap between an obligation under a transaction that might fall due at one date and cash or its equivalent that would only become due at a later date. Borrowings may not be used to gear the investment portfolio.
BIPRU 4.3.27RRP
Assignment criteria and processes must be periodically reviewed to determine whether they remain appropriate for the current portfolio and external conditions.[Note:BCD Annex VII Part 4 point 3]
BIPRU 4.3.34GRP
(1) This paragraph sets out guidance on assessing the adequacy of a rating system's discriminative power (see BIPRU 4.3.30 R (3) on the meaning of discriminative power).(2) A firm should be able to explain the performance of its rating systems against its chosen measure (or measures) of discriminative power. In making this comparison a firm should rely primarily on actual historic default experience where this is available. In particular, a firm should be able to explain:(a) the
BIPRU 4.3.35RRP
A firm must also use other appropriate quantitative validation tools and comparisons with relevant external data sources. The analysis must be based on data that is appropriate to the portfolio, is updated regularly, and covers a relevant observation period. A firm's internal assessments of the performance of its rating systems must be based on as long a period as possible.[Note:BCD Annex VII Part 4 point 112]
BIPRU 4.3.65GRP
In the case of a retail exposure, a value adjustment resulting from significant perceived decline in credit quality falling within BIPRU 4.3.63 R (3) need not necessarily be taken as an indication of unlikeliness to pay if a firm employs formulaic portfolio provisioning based on a number of days overdue for its retail exposures. However, if such an exposure reaches the compulsory days past due indicator for the purposes of the definition of default it should automatically be deemed
BIPRU 4.3.79GRP
While the qualitative requirements in BIPRU 4 are important for all portfolios, they are of even greater importance in those cases where a firm lacks sufficient historical data to calibrate or validate its estimates of PD, LGD or conversion factors on the basis of proven statistical significance, sometimes referred to as low default portfolios.
BIPRU 4.3.92RRP
If a firm uses data that is pooled across institutions it must be able to demonstrate to the appropriate regulator that:(1) the rating systems and criteria of other firms in the pool are similar to its own;(2) the pool is representative of the portfolio for which the pooled data is used; and(3) the pooled data is used consistently over time by the firm for its permanent estimates.2[Note:BCD Annex VII Part 4 point 57]
BIPRU 4.3.106GRP
A firm may combine IRB exposure classes, jurisdictions or both for the purpose of BIPRU 4.3.104 R (2)(a) if it can demonstrate that the downturn conditions to which the portfolios are subject will be similar.
COBS 16.3.1RRP
(1) If a firm is managing investments on behalf of a client, it must provide the client with a periodic statement in a durable medium unless:3(a) 3such a statement is provided by another person; or(b) 3all of the conditions in (1A) are satisfied.(1A) 3The conditions are that:(a) 3the firm provides the client with access to an online system which qualifies as a durable medium;(b) 3the online system provides the client with easy access to:(i) 3up-to-date valuations of the client’sdesignated
COBS 16.3.2RRP
(1) In the case of a retail client, the periodic statement must be provided once every six months, except in the following cases:(a) if the retail client so requests, the periodic statement must be provided every three months;(b) if the retail client elects to receive information about executed transactions on a transaction-by-transaction basis (COBS 16.3.3 R) and there are no transactions in derivatives or other securities giving the right to acquire or sell a transferable security
COBS 16.3.3RRP
(1) If the client elects to receive information about executed transactions on a transaction-by-transaction basis, a firmmanaging investments must provide promptly to the client, on the execution of a transaction, the essential information concerning that transaction in a durable medium.(2) If the client is a retail client, the firm must send the client3 a notice confirming the transaction and containing such of the information identified in column (1) of the table in COBS 16
COBS 16.3.6RRP
(1) If a firm:(a) manages investments for a retail client; or(b) operates a retail client account that includes an uncovered open position in a contingent liability transaction,it must report to the retail client any losses exceeding any predetermined threshold, agreed between it and the retail client.(2) The firm must report:(a) no later than the end of the business day in which the threshold is exceeded; or(b) if the threshold is exceeded on a non-business day, the close of
BIPRU 4.7.5RRP
A firm may employ different approaches to different portfolios where the firm itself uses different approaches internally. A firm must, if it uses different approaches in accordance with the previous sentence, be able to demonstrate to the appropriate regulator that the choice is made consistently and is not determined by regulatory arbitrage considerations.[Note:BCD Annex VII Part 1 point 17]
BIPRU 4.7.9RRP
The risk weighted exposure amounts must be calculated according to the following formula:risk-weighted exposure amounts = RW * exposure value;where:(1) risk weight (RW) = 190% for private equity exposures in sufficiently diversified portfolios;(2) risk weight (RW) = 290% for exchange traded equity exposures; and(3) risk weight (RW) = 370% for all other equity exposures.[Note:BCD Annex VII Part 1 point 19]
BIPRU 4.7.12RRP
The expected loss amounts1 for equity exposures must be calculated according to the following formula:(1) expected loss amount = EL × exposure value; and(2) the EL values must be the following:(a) expected loss (EL) = 0.8% for private equity exposures in sufficiently diversified portfolios;(b) expected loss (EL) = 0.8% for exchange traded equity exposures; and(c) expected loss (EL) = 2.4% for all other equity exposures.[Note:BCD Annex VII Part 1 point 32]
BIPRU 4.7.20RRP
Private equity exposures in sufficiently diversified portfolios may be assigned an LGD of 65%.[Note:BCD Annex VII Part 2 point 25]
BIPRU 4.7.33RRP
A firm must make use of other quantitative validation tools and comparisons with external data sources. The analysis must be based on data that are appropriate to the portfolio, are updated regularly, and cover a relevant observation period. A firm's internal assessments of the performance of its models must be based on as long a period as possible.[Note:BCD Annex VII Part 4 point 121]
BIPRU 7.2.42ARRP
3A correlation trading portfolio may only consist of securitisation positions and nth-to-default credit derivatives that meet the following criteria:(1) the positions are neither resecuritisation positions, nor options on a securitisation position, nor any other derivatives of securitisationexposures that do not provide a pro-rata share in the proceeds of a securitisationtranche;(2) all reference instruments are either single-name instruments, including single-name credit derivatives,
BIPRU 7.2.42BRRP
3Positions which are not securitisation positions or nth-to-default credit derivatives may be included in the correlation trading portfolio only if they hedge other such positions in this portfolio and a liquid two-way market exists for the relevant position or its reference entities.
BIPRU 7.2.42CRRP
3For the purposes of BIPRU 7.2.42A R (2) and BIPRU 7.2.42B R, a two-way market may be deemed to exist only where there are independent, bona fide offers to buy and sell, so that a price reasonably related to the last sales price or current bona fide competitive bid and offer quotations can be determined within one business day and settled at that price within a relatively short time conforming to trade custom.
BIPRU 7.2.42DRRP
3A firm must calculate both the net long and the net short positions in the correlation trading portfolio by applying BIPRU 7.2.36 R and BIPRU 7.2.37 R or, where applicable, BIPRU 7.11.13 R to BIPRU 7.11.17 R.
BIPRU 7.2.48ARRP
(1) 3Subject to (3), a firm must calculate the specific risk portion of the interest rate PRR for each securitisation and resecuritisationposition by multiplying the market value of the individual net position (ignoring the sign) by the appropriate position risk adjustment from the table in BIPRU 7.2.48D R or BIPRU 7.2.48E R, or in accordance with BIPRU 7.2.48F R, as applicable.(2) In calculating the specific risk capital charge of an individual net securitisation or resecuritisation
BIPRU 7.2.48LRRP
(1) 3Where a firm holds a position in the correlation trading portfolio, it must calculate:(a) The total specific risk capital charges that would apply just to the net long positions of the correlation trading portfolio; and(b) The total specific risk capital charges that would apply just to the net short positions of the correlation trading portfolio.(2) The higher of (1)(a) and (1)(b) will be the specific risk capital charge for the correlation trading portfolio.(3) In calculating
LR 15.6.2RRP
In addition to the requirements in LR 9.8 (Annual financial report), a closed-ended investment fund must include in its annual financial report:(1) a statement (including a quantitative analysis) explaining how it has invested its assets with a view to spreading investment risk in accordance with its published investment policy; (2) a statement, set out in a prominent position, as to whether in the opinion of the directors, the continuing appointment of the investment manager
LR 15.6.3RRP
A closed-ended investment fund that, as at the end of its financial year, has invested more than 20% of its assets in property must include in its annual financial report a summary of the valuation of its portfolio, carried out in accordance with LR 15.6.4 R.
LR 15.6.4RRP
A valuation required by LR 15.6.3 R must:(1) either:(a) be made in accordance with the Appraisal and Valuation Standards (6th edition)4 issued by the Royal Institution of Chartered Surveyors; or4(b) where the valuation does not comply in all applicable respects with the Appraisal and Valuation Standards (6th edition)4 issued by the Royal Institution of Chartered Surveyors, include a statement which sets out a full explanation of such non-compliance; and4(2) be carried out by an
PERG 2.7.2-BGRP
26The following regulated activities apply to deposits that are structured deposits in addition to the regulated activity of accepting deposits:(1) dealing in investments as agent;(2) arranging (bringing about) deals in investments;(3) making arrangements with a view to transactions in investments;(4) managing investments; and(5) advising on investments.
PERG 2.7.4GRP
In addition, certain other activities carried on in relation to rights under contracts of insurance are regulated activities. These are where the activity is carried on in relation to:(1) life policies, where the regulated activities concerned are:(a) dealing in investments as principal (see PERG 2.7.5 G);(b) managing investments (see PERG 2.7.8 G);(c) safeguarding and administering investments (see PERG 2.7.9 G); and(d) agreeing to carry on any of those activities (see PERG 2.7.21
PERG 2.7.8GRP
The regulated activity of managing investments includes several elements.(1) First, a person must exercise discretion. Non-discretionary portfolio management (where the manager buys and sells, as principal or agent, on the instructions of some other person) is not caught by this activity, although it may be caught by a different regulated activity such as the activity of dealing in investments as principal or dealing in investments as agent. The discretion must be exercised in
PERG 2.7.9GRP
The activity of safeguarding and administering investments belonging to another is regulated, as is providing a service under which a person undertakes to arrange on a continuing basis for others actually to carry out the safeguarding and administering. In each case, both the elements of safeguarding and administering must be present before a person will be said to carry on the activity.(1) Safeguarding is acting as custodian of the property, for example, holding any documents
COLL 5.2.7CRRP
7A unit in a closed end fund shall be taken to be a transferable security for the purposes of investment by a UCITS scheme, provided it fulfils the criteria for transferable securities set out in COLL 5.2.7A R, and either:(1) where the closed end fund is constituted as an investment company or a unit trust:(a) it is subject to corporate governance mechanisms applied to companies; and(b) where another person carries out asset management activity on its behalf, that person is subject
COLL 5.2.19AGRP
(1) 7Collateralised debt obligations (CDOs) or asset-backed securities using derivatives, with or without an active management, will generally not be considered as embedding a derivative except if:(a) they are leveraged, i.e. the CDOs or asset-backed securities are not limited recourse vehicles and the investors' loss can be higher than their initial investment; or(b) they are not sufficiently diversified.(2) Where a transferable security or approved money-market instrument embedding
COLL 5.2.23RRP
A transaction in an OTC derivative under COLL 5.2.20 R (1) (b) or, for the purposes of (1) only, executed by or on behalf of a regulated money market fund,23 must be:(1) with an approved counterparty; a counterparty to a transaction in derivatives is approved only if the counterparty is:(a) an eligible institution or an approved bank; 26(b) a person whose permission (including any requirements or limitations), as published in the Financial Services Register, permits it to enter
COLL 5.2.31RRP
(1) Notwithstanding COLL 5.2.11 R (Spread: general), a7UCITS scheme may invest up to 20% in value of the scheme property in shares and debentures which are issued by the same body where the investment policy of that scheme as stated in the most recently published prospectus is to replicate the composition of a relevant index which satisfies the criteria specified in COLL 5.2.33 R (Relevant indices).7(1A) Replication of the composition of a relevant index shall be understood to
SUP 16.12.4RRP

Table of applicable rules containing data items4, frequency and submission periods

(1)

(2)

(3)

(4)

RAGnumber

Regulated Activities

Provisions containing:

applicabledata items

reporting frequency/ period

due date32

32
271212 37

RAG 1

• accepting deposits

• meeting of repayment claims76

• managing dormant asset funds (including the investment of such funds)93

76

RAG 1 firms should complete their prudential reporting requirements as set out in the PRA Rulebook.76

RAG 2.1

• effecting contracts of insurance

• carrying out contracts of insurance

• entering as provider into a funeral plan contract

88• carrying out a funeral plan contract as provider

71

RAG 2.1 firms should complete their prudential reporting requirements as set out in the PRA Rulebook except firms carrying out funeral plan provision activities in relation to which SUP 16.12.8AR applies.88

2

71

2

71

2

RAG 2.2

• managing the underwriting capacity of a Lloyds syndicate as a managing agent at Lloyds

• advising on syndicate participation at Lloyds

• arranging deals in contracts of insurance written at Lloyds

SUP 16.12.9 R2

SUP 16.12.9 R2

SUP 16.12.9 R2

RAG 3

• dealing in investment as principal

• dealing in investments as agent

• advising on investments (except P2P agreements) 67 (excluding retail investment activities)

• arranging (bringing about) deals in investments (excluding retail investment activities)

• advising on P2P agreements (when carried on exclusively with or for professional clients)67

SUP 16.12.10 R2

SUP 16.12.11 R7889

3737

SUP 16.12.10 R2SUP 16.12.12 R78

37

SUP 16.12.10 R2SUP 16.12.13 R

RAG 4

• managing investments

• establishing, operating or winding up a collective investment scheme

• establishing, operating or winding up a stakeholder pension scheme

• establishing, operating or winding up a personal pension scheme2

• managing an AIF38

• managing a UK UCITS82

• operating an electronic system in relation to lending (FCA-authorised persons only)48

3838385

SUP 16.12.14 R2

SUP 16.12.15 R7889

3737

SUP 16.12.14 R2SUP 16.12.16 R78

37

SUP 16.12.14 R2SUP 16.12.17 R

RAG 5

• home finance administration or home finance providing activity11

• the activity of a P2P platform operator facilitating a home finance transaction, where the lender or provider does not require permission to enter into the transaction83

11

76SUP 16.12.18BR 37 and SUP 16.12.18C R58

258

76SUP 16.12.18BR 37 and SUP 16.12.18C R58

258

76SUP 16.12.18BR 37 and SUP 16.12.18C R58

258

RAG 6

• safeguarding and administration of assets (without arranging)

• arranging safeguarding and administration of assets

• acting as trustee or depositary of an AIF38

• acting as trustee or depositary of a UK UCITS82

38403838

SUP 16.12.19A R2

SUP 16.12.20 R2

SUP 16.12.21 R2

RAG 7

• retail investment activities

• advising on P2P agreements (except when carried on exclusively with or for professional clients)67

• advising on pensions transfers & opt-outs

• arranging (bringing about deals) in retail investments

SUP 16.12.22A R89

377837

SUP 16.12.23A R78

3737

SUP 16.12.24AR78

RAG 8

• making arrangements with a view to transactions in investments

• operating a multilateral trading facility4

• operating an organised trading facility35

SUP 16.12.25AR89

80377837

SUP 16.12.26 R

SUP 16.12.27 R

RAG 9

• home finance mediation activity14

• insurance distribution activity84 (non-investment insurance contracts)88• funeral plan distribution

14

SUP 16.12.28A R14

SUP 16.12.28A R14

SUP 16.12.28A R14

RAG 10

• the activities of an RIE96

96

SUP 16.12.29 G2

SUP 16.12.29 G2

SUP 16.12.29 G232

32RAG 11

81

bidding in emissions auctions8781

SUP 16.12.29AR8781

SUP 16.12.29AR8781

SUP 16.12.29AR8781

47RAG 12 71

• credit-related regulated activity

SUP 16.12.29C R

SUP 16.12.29C R

SUP 16.12.29C R
SUP 16.12.15RRP

The applicable data items referred to in SUP 16.12.4 R are set out76 according to firm type76 in the table below:

89Description of data item

Firms’ prudential category and applicable data items (note 1)

MIFIDPRU investment firms

Firms other than MIFIDPRU investment firms

IPRU(INV)

Chapter 3

IPRU(INV)

Chapter 5

91

IPRU(INV)

Chapter 11

(collective portfolio management firms only)

IPRU(INV)

Chapter 12

IPRU(INV)

Chapter 13

Solvency statement

(note 2)

No standard format

No standard format

No standard format

Balance sheet

FSA029

(note 3)

FSA029

FSA029

91

FSA029

FSA029

Section A RMAR

Income statement

FSA030

(note 3)

FSA030

FSA030

91

FSA030

FSA030

Section B RMAR

Capital adequacy

MIF001

(note 3 and 4)

FSA033

FSA034 or FSA035 or FIN071

(note 5)

91

FIN066

FIN069

Section D1 RMAR

ICARA assessment questionnaire

MIF007

(note 4)

Supplementary capital data for collective portfolio management investment firms

FIN067

(note 9)

Threshold conditions

Section F RMAR

Volumes and types of business

FSA03895

FSA038

FSA038

91

FSA038

FSA038

Client money and client assets

FSA039

FSA039

FSA039

91

FSA039

FSA039

Section C RMAR

Liquidity

MIF002

(notes 3, 4 and 6)

Metrics monitoring

MIF003

(notes 3 and 4)

Concentration risk (non-K-CON)

MIF004

(notes 3, 4 and 7)

Concentration risk (K-CON)

MIF005

(notes 3, 4 and 7)

Group capital test

MIF006

(notes 4 and 8)

Information on P2P agreements

FIN070

Note 1

All firms, except MIFIDPRU investment firms in relation to items reported under MIFIDPRU 9, must, when submitting the completed data item required, use the format of the data item set out in SUP 16 Annex 24. Guidance notes for completion of the data items are contained in SUP 16 Annex 25.

Note 2

Only applicable to a firm that is a sole trader or partnership. Where the firm is a partnership, this report must be submitted by each partner.

Note 3

A UK parent entity of an investment firm group to which consolidation applies under MIFIDPRU 2.5 must also submit this report on the basis of the consolidated situation.

Note 4

Data items MIF001 – MIF007 must be reported in accordance with the rules in MIFIDPRU 9.

Note 5

FSA034 must be completed by a firm not subject to the exemption in IPRU(INV) 5.4.2R, unless it is a firm whose permitted business includes establishing, operating or winding up a personal pension scheme, in which case FIN071 must be completed.

FSA035 must be completed by a firm subject to the exemption in IPRU(INV) 5.4.2R.

Note 6

Does not apply to an SNI MIFIDPRU investment firm which has been granted an exemption from the liquidity requirements in MIFIDPRU [6].

Note 7

Only applicable to a non-SNI MIFIDPRU investment firm.

Note 8

Only applicable to a parent undertaking to which the group capital test applies.

Note 9

Only applicable to firms that are collective portfolio management investment firms.
SUP 16.12.30RRP
(1) 2An authorised professional firm, other than one that must comply with IPRU(INV) 3, 5 or 13 in accordance with IPRU(INV) 2.1.4R,3 or one that is a CASS debt management firm or one that carries on only credit-related regulated activity as a non-mainstream regulated activity,47 must submit an annual questionnaire, contained in SUP 16 Annex 9R, unless:11(a) its only regulated activities are one or more of:(i) insurance distribution84;(ii) mortgage mediation;(iii) retail investment;(iv)
SUP 16.12.31RRP

2Table of data items from an authorised professional firm

Report

Return (note 1)

Frequency (Note 4)24

Due date

Adequate information relating to the following activities:

RMAR (Note 3)

Half yearly (quarterly for sections A to E for larger firms, subject to Note 3 exemptions) (note 2)

For half yearly report: 30 business days after period end For quarterly report: 30 business days after quarter end

(1) insurance distribution activity84;

(2) mortgage mediation activity;

(3) retail investment activity;

(4) advising on, or arranging deals in, packaged products, or managing investments for private customers where these activities are the authorised professional firm's "main business" as determined by IPRU(INV) 2.1.2 R (3)

Adequate information relating to mortgage lending and mortgage administration.

MLAR

Quarterly

20 business days after quarter end

Note 1

When giving the report required, a firm must use the return indicated. The RMAR and MLAR are located at SUP 16 Annex 18A and SUP 16 Annex 19A respectively. Guidance on the completion of the data items are located at SUP 16 Annex 18B and SUP 16 Annex 19B respectively.

Note 2

For the purposes of RMAR reporting, a larger firm is a firm whose annual regulated business revenue in its previous financial year was greater than £5m. Annual regulated business revenue for these purposes is a firm's total revenue relating to insurance distribution activity84, mortgage mediation activity and retail investment activity.

Note 3

A firm which submits an MLAR is not required to submit sections A and B of the RMAR.

Note 4

Reporting dates are calculated from a firm'saccounting reference date.
DTR 5.4.2RRP
(1) The parent undertaking of an investment firm authorised by the FCA or the PRA under the United Kingdom provisions which implemented6MiFID shall not be required to aggregate its holdings with the holdings which such investment firm manages on a client-by-client basis within the meaning of Article 2(7) of the MiFID Org Regulation6, provided that:5(a) the investment firm is authorised to provide such portfolio management;(b) it may only exercise the voting rights attached to
DTR 5.4.9RRP
Undertakings whose registered office is in a third country6 which would have required a Part 4A permission to carry on the regulated activity specified under article 51ZA of the Regulated Activities Order6 or with regard to portfolio management authorisation6 under paragraph 4 of Part 3 of Schedule 2 to the Regulated Activities Order6 if it had its registered office or, only in the case of an investment firm, its head office within the United Kingdom6, shall be exempted from
COBS 9.1.3RRP
[deleted]4
COBS 9.1.3AGRP
3This chapter does not apply to a firm which manages investments when that firm takes a decision to trade for a client and that decision relates to a P2P agreement. This is because the regulated activity of managing investments does not extend to the management of assets where those assets are P2P agreements.
FEES 6.7.6RRP
If a firm ceases to be a participant firm or carry out activities within one or more classes54 part way through a financial year6 of the compensation scheme:44(1) it will remain liable for any unpaid levies which the FSCS has already made on the firm; and41(2) the FSCS may make one or more levies4 upon it (which may be before or after the firm5 has ceased to be a participant firm or carry out activities within one or more classes5,4 but must be before it ceases to be an authorised
SUP App 3.9.5GRP

3Table 2: MiFIDinvestment services and activities

Part II RAO Activities13

Part III RAO Investments

A MiFIDinvestment services and activities

1.

Reception and transmission of orders in relation to one or more financial instruments

Article 252

Article 76-81, 82B,12 83-85, 89

2.

Execution of orders on behalf of clients

Article 14, 21

A Article 76-81,82B,12 83-85, 89

3.

Dealing on own account

Article 14

Article 76-81, 82B,12 83-85, 89

4.

Portfolio management

Article 37 (14, 21, 25 - see Note 1) 2

Article 76-81, 82B,12 83-85, 89

5.

Investment advice

Article 53(1)10

Article 76-81, 82B,12 83-85, 89

6.

Underwriting of financial instruments and/or placing of financial instruments on a firm commitment basis

Article 14, 21

Article 76-81, 82B,12 83-85, 89

7.

Placing of financial instruments without a firm commitment basis

Article 21, 25

Article 76-81, 82B,12 83-85, 89

8.

Operation of Multilateral Trading Facilities

Article 25D5 (see Note 2)

5

Article 76-81, 82B,12 83-85, 89

12 9.

Operation of an OTF

Article 25DA (see Note 3)

Article 77, 77A, 78, 79, 80, 81, 82B, 83-85, 89

Ancillary services

Part II RAO Activities

Part III RAO Investments

1.

Safekeeping and administration of financial instruments for the account of clients, including custodianship and related services such as cash/collateral management

Article 40, 45, 64

Article 76-81, 82B,12 83-85, 89

2.

Granting credits or loans to an investor to allow him to carry out a transaction in one or more of the relevant instruments where the firm granting the credit or loan is involved

3.

Advice to undertakings on capital structure, industrial strategy and related matters and advice and services relating to mergers and the purchase of undertakings

Article 14, 21, 25, 53(1)10, 64

Article 76-80, 82B,12 83-85, 89

4.

Foreign exchange services where these are connected with the provision of investment services

Article 14, 21, 25, 53(1)10, 64

Article 83-85, 89

5.

Investment research and financial analysis or other forms of general recommendation relating to transactions in financial instruments

Article 53(1)10, 64 (see Note 4)13

Article 76-81, 82B,12 83-85, 89

6.

Services related to underwriting

Article 25, 53(1)10, 64

Article 76-81, 82B,12 83-85, 89

7.

Investment services and activities as well as ancillary services of the type included under Section A or B of Annex I related to the underlying of the derivatives included under Section C 5, 6, 7 and 10-where these are connected to the provision of investment or ancillary services.

Article 14, 21, 25, 25D,5 37, 53(1)10, 64

5

Article 83 and 84

Note 1. A firm may also carry on these other activities when it is managing investments.2

Note 2. A firm operating an MTF under article 25D5 does not need to have a permission covering other regulated activities, unless it performs other regulated activities in addition to operating an MTF.

5

Note 3. A firm operating an OTF under article 25DA does not need to have a permission covering other regulated activities, unless it performs other regulated activities in addition to operating an OTF.12

13Note 4: A firm which provides investment research and financial analysis or other forms of general recommendation relating to transactions in financial instruments does not need permission under article 53(1) of the Regulated Activities Order if it is appropriately authorised (see article 53(1) to (1D) of the Regulated Activities Order).

SUP App 3.9.5AGRP

Table 2ZA: AIFMD activities

Part II RAO Activities

Part III RAO Investments

1.

AIFM management functions.

Article 51ZC

N/A (activity relates to property of any kind)

2.

Management of portfolios of investments, including those owned by pension funds and institutions for occupational retirement in accordance with article 19(1) of Directive 2003/41/EC, in accordance with mandates given by investors on a discretionary client-by-client basis (Note 2).

Articles 14, 21, 25, 37, 40 (arranging only), 64

Articles 76 to 81, 82B,12 83 to 85, 89

3.

Investment advice (Note 2).

Articles 53(1)10, 64

Articles 76 to 81, 82B,12 83 to 85, 89

4.

Safe-keeping and administration in relation to shares or units of collective investment undertakings.

Articles 40, 45, 64

Articles 76 to 81, 82B,12 83 to 85, 89

5.

Reception and transmission or orders in relation to financial instruments.

Articles 25(1), 64

Articles 76 to 81,82B,12 83 to 85, 89

Note 1. See FUND 1.4.2 R to FUND 1.4.4 R for further information in relation to the activities that full-scope UK AIFMs are able to perform.

Note 2. See FUND 1.4.5 G for the position with respect to assets which are not financial instruments.
SUP App 3.9.6GRP

Table 2A: UCITS Directive activities

Part II RAO Activities

Part III RAO Investments

1.

The management of UCITS in the form of unit trusts / common funds or of investment companies; this includes the function mentioned in Annex II of the UCITS Directive (see Note 2).

Article 51ZA8

8

N/A (activity relates to property of any kind) (Note 3)8

88

2.

Managing portfolios of investments, including those owned by pension funds, in accordance with mandates given by investors on a discretionary, client-by-client basis, where such portfolios include one or more of the instruments listed in Section C 3of Annex I 3to MiFID3.

33

Articles 14, 21, 25, 37, 40 (arranging only),8 64

8

Articles 76-81, 82B,12 83-85, 89

3.

Investment advice concerning one or more of the instruments listed in Section C3of Annex I 3to MiFID3.

3

Articles 53(1)10, 64

Articles 76-81, 82B,12 83-85, 89

4.

Safekeeping and administration services in relation to units of collective investment undertakings.

Articles 40, 45, 64

Articles 76-81, 82B,12 83-85, 89

Note 1. A UCITS management company can only be authorised to carry on the non-core services set out in rows (3) and (4) of Table 2A if it is also authorised to carry on the activity set out in row (2) of the table (see COLL 6.9.9 R)8.

338

Note 2. The functions set out in Annex 2 to the UCITS Directive are:

1.

Investment management.

2.

Administration:

a.

legal and fund management accounting services;

b.

customer inquiries;

c.

valuation and pricing (including tax returns);

d.

regulatory compliance monitoring;

e.

maintenance of unit-holder register;

f.

distribution of income;

g.

unit issues and redemptions;

h.

contract settlements (including certificate dispatch);

i.

record keeping.

3.

Marketing.

8Note 3. The regulated activity of managing a UCITS may be carried on for property of any kind (article 4(2) of the regulated activities order). However, the scheme property of a UCITS scheme is limited to certain types of property, in line with COLL 5 (Investment and borrowing powers).

COBS 9.2.1RRP
(1) A firm must:3(a) take reasonable steps to ensure that a personal recommendation, or a decision to trade, is suitable for its client; and3(b) ensure that any life policy proposed is consistent with the client’s insurance demands and needs.3(2) When making the personal recommendation or managing his investments, the firm must obtain the necessary information regarding the client's:(a) knowledge and experience in the investment field relevant to the specific type of designated
COBS 9.2.8RRP
[deleted]2
COLL 5.6.7RRP
(1) This rule does not apply in respect of a transferable security or an approved money-market instrument to which COLL 5.6.8R (Spread: government and public securities) applies21. (2) Not more than 20% in value of the scheme property is to consist of deposits with a single body.(3) Not more than 10% in value of the scheme property is to consist of transferable securities or money-market instruments issued by any single body subject to COLL 5.6.23 R (Schemes replicating an index).(3A)
COLL 5.6.11RRP
(1) 15Units in a scheme do not fall within COLL 5.6.10 R if that scheme is managed or operated by (or, if it is an ICVC, has as its ACD) the authorised fund manager of the investing non-UCITS retail scheme or by an associate of that authorised fund manager, unless:15(a) the prospectus of the investing authorised fund clearly states that the property of that investing fund may include such units; and(b) the conditions in COLL 5.2.16 R (Investment in other group schemes) are complied
COLL 5.6.23AGRP
(1) 9Replication of the composition of an index shall be understood to be a reference to replication of the composition of the underlying assets of that index, including the use of techniques and instruments for the purpose of efficient portfolio management.(2) The composition of an index is sufficiently diversified if its components adhere to the spread requirements in this section.(3) An index is a representative benchmark if its provider uses a recognised methodology which
BIPRU 13.6.34RRP
For the purposes of BIPRU 13.6.33 R:(1) in the denominator, EPE must be used as if it were a fixed outstanding amount;(2) a firm must be able to demonstrate that its internal estimates of capture in the numerator material sources of stochastic dependency of distribution of market values of transactions or of portfolios of transactions across counterparties;(3) internal estimates of must take account of the granularity of portfolios.[Note: BCD Annex III Part 6 point 12 (part
BIPRU 13.6.36GRP
In reviewing its estimate of , a firm may not need to perform a full recalculation each quarter if it can demonstrate by other means that the estimate would not be materially different. A full recalculation should however be performed at least annually. If there is a structural change in the firm's portfolio that is likely to have the effect that the existing estimate of will be inappropriate, the firm should also recalculate it. A firm should have procedures in place to identify
BIPRU 13.6.67RRP
(1) A firm'sCCR internal model method model must meet the validation requirements in (2) to (8).(2) The qualitative validation requirements set out in BIPRU 7.10 must be met.(3) Interest rates, foreign currency rates, equity prices, commodities, and other market risk factors must be forecast over long time horizons for measuring CCRexposure. The performance of the forecasting model for market risk factors must be validated over a long time horizon.(4) The pricing models used to