Related provisions for BIPRU 13.5.23

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BIPRU 13.3.13RRP
A firm may attribute an exposure value of zero for CCR to derivative contracts and long settlement transactions, or to other exposures arising in respect of those contracts or transactions (but excluding an exposure arising from collateral held to mitigate losses in the event of the default of other participants in the central counterparty's arrangements) where they are outstanding with a central counterparty and have not been rejected by the central counterparty.[Note: BCD Annex
BIPRU 13.3.14RRP
When a firm purchases credit derivative protection against a non-trading book ,exposure or against a CCRexposure, it must compute its capital requirement for the hedged asset in accordance with:(1) BIPRU 5.7.16 R to BIPRU 5.7.25 R and BIPRU 4.10.49 R (4) to (6) (Unfunded credit protection: Valuation and calculation of risk-weighted exposure amounts and expected loss amounts); or1(2) 1where a firm calculates risk weighted exposure amounts in accordance with the IRB approach:1(a)
BIPRU 13.3.15RRP
(1) 1In the cases in BIPRU 13.3.14R, and where the option in the second sentence of BIPRU 14.2.10 R is not applied, the exposure value for CCR for these creditderivatives is set to zero.(2) 1However, a firm may choose consistently to include for the purposes of calculating capital requirements for counterparty credit risk all credit derivatives not included in the trading book and purchased as protection against a non-trading exposure or against a CCRexposure where the credit
MAR 10.5.2GRP
1The following provisions of the MiFI Regulations regulate the power of the FCA to intervene in respect of position limits: (1) Regulation 28 provides that the FCA may, if it considers necessary, limit the ability of any person to enter into a contract for a commodity derivative, restrict the size of positions a person may hold in such a contract, or require any person to reduce the size of a position held, notwithstanding that the restriction or reduction would be more restrictive
MAR 10.5.3GRP
1The following provisions of the MiFI Regulations regulate the power of the FCA to impose reporting requirements in respect of positions taken in commodity derivatives and emission allowances:(1) Paragraph 8 of Schedule 1 provides that a person must provide the FCA with information in respect of its compliance or non-compliance with position limit requirements, as the FCA may direct; and (2) Paragraph 5 of Schedule 1 provides that the FCA must maintain arrangements designed to
MAR 10.5.7GRP
1 The powers of the FCA referred to in MAR 10.5.1G to MAR 10.5.3G can be applied to a person regardless of whether the person is situated or operating in the UK or abroad, where the relevant position relates to a commodity derivative or emission allowance for which the FCA is responsible for setting a position limit2, or economically equivalent OTC contracts.
PERG 2.6.22AGRP
4As with options, there is an additional category of instruments which are futures only in limited circumstances16. These are contracts as described in PERG 2.6.21 G:(1) that would not be regarded as having been entered into for investment purposes because they fail one of the tests mentioned in PERG 2.6.22 G;(2) that:16(a) fall within paragraph 4 of Part 1 of Schedule 2 to the Regulated Activities Order18 and relate to currencies (see PERG 13, Q31A to Q31S for guidance about
PERG 2.6.22BGRP
[deleted]164
PERG 2.6.23GRP
The specified investment category of contracts for differences covers:4(1) 4rights under contracts for differences;(2) 4rights under other contracts whose purpose or pretended purpose is to secure a profit or avoid a loss by reference to fluctuations in certain factors; and(3) 4derivative contracts for the transfer of credit risk16 (not within (1) or (2)) falling within paragraph 8 or 9 of Part 1 of Schedule 2 to the Regulated Activities Order18 (see PERG 13, Q31 for guidance
PERG 2.6.24AGRP
(1) 16A binary or other fixed outcomes bet is also treated as contract for differences. This is defined as something that meets the following conditions:(a) it is a derivative contract of a binary or other fixed outcomes nature; (b) it is not covered by PERG 2.6.23G(1) or (2); (c) it is settled in cash; (d) it is a financial instrument that falls within paragraphs 4, 5, 6, 7 or 10 of Part 1 of Schedule 2 to the Regulated Activities Order18 (see PERG 13, Q31A to Q34 for guidance
REC 3.14.6RRP
The following information is specified for the purposes of REC 3.14.2 R and REC 3.14.3 R:(1) a description of the specified investment to which the proposal relates; (2) where that specified investment is a derivative, the proposed terms of that derivative; and (3) in the case of a UK RIE which is admitting that specified investment to trading, the name of any RCH which will provide clearing services in respect of that specified investment under an agreement with that UK RIE.
REC 3.14.7RRP
Where:(1) a UK RIE proposes to amend the standard terms of any derivative admitted to trading by means of its facilities; or (2) a UK RIE3 proposes to amend the standard terms relating to any derivative in respect of which it provides clearing facilitation services;3333it must give the FCA3notice of that event, and written particulars of those proposed amendments, at the same time as that proposal is first formally communicated to its members or shareholders (or any group or class
COLL 5.1.2GRP
(1) This chapter helps in achieving the statutory objective of protecting consumers by laying down minimum standards for the investments that may be held by an authorised fund. In particular:(a) the proportion of transferable securities and derivatives that may be held by an authorised fund is restricted if those transferable securities and derivatives are not listed on an eligible market; the intention of this is to restrict investment in transferable securities or derivatives
COLL 5.1.4GRP

This table belongs to COLL 5.1.2G (2).

Scheme investments and investment techniques

Limits for UCITS schemes

Limits for non-UCITS retail schemes

Permissible investment

Maximum limit

Permissible investment

Maximum limit

Approved securities

Yes

None

Yes

None

Transferable securities that are not approved securities

Yes

10%

Yes

20%

Government and public securities

Yes

None

Yes

None

Regulated schemes other than qualified investor schemes1 and long-term asset funds5

Yes

None

Yes

None

Unregulated schemes, qualified investor schemes, and long-term asset funds5

1

No

N/A

Yes

20%(C)1 (D)5

Warrants

Yes

None

Yes

None

Investment trusts

Yes

None

Yes

None

Deposits

Yes

None

Yes

None

Derivatives

Yes

None

Yes

None

Immovables (i.e real property)

No

N/A

Yes

None

Gold

No

N/A

Yes

10%

Hedging

Yes

None

Yes

None

Stock lending

Yes

None

Yes

None

Underwriting

Yes

None

Yes

None

Borrowing

Yes

10% (T)

Yes

10%

Cash and near cash

Yes

None

Yes

None

Note:

Meaning of terms used:

A percentage

an upper limit (though there may be limits of other kinds).

"(T)"

temporary only- see COLL 5.5.4R(4)

"N/A"

Not applicable1

1“(C)”

In the case of a non-UCITS retail scheme operating as a FAIF there is no maximum limit - see COLL 5.7.7 R.

5“(D)”

The second scheme would also need to meet the applicable requirements specified in the rules.
MAR 10.1.1GRP
(1) 1The purpose of this chapter is to implement articles 57 and 58 of MiFID by setting out the necessary directions, rules and guidance.(2) In particular, this chapter sets out the FCA’s requirements in respect of provisions derived from2:(a) articles 57(1) and 57(6) of MiFID, which require it2 to establish limits, on the basis of a methodology determined by ESMA, on the size of a net position which a person can hold, together with those held on the person’s behalf at an aggregate
MAR 10.1.2GRP
(1) The scope of this chapter is as follows: In respect of position limit requirements in MAR 10.2, a commodity derivative position limit established by the FCA in accordance with MAR 10.2.2D(1) applies regardless of the location of the person at the time of entering into the position and the location of execution. [Note: article 57(14)(a) of MiFID](2) In respect of position management controls requirements:(a) the requirements contained or referred to in MAR 10.3 apply to persons
MIPRU 4.2BA.6GRP
Eligible structures exclude, for example, structures such as master trusts, synthetic securitisations and asset-backed commercial paper programmes. Financial derivatives (e.g. interest-rate swaps) used to structure the securitisation should be with third-party counterparties, not the firm or connected entities.
MIPRU 4.2BA.34RRP
Securitisation positions include exposures to a securitisation arising from interest rate or currency derivative contracts.
MIPRU 4.2BA.52RRP
The conditions for the application of a conversion factor of 50% are:(1) the liquidity facility documentation must clearly identify and limit the circumstances under which the facility may be drawn;(2) it must not be possible for the facility to be drawn so as to provide credit support by covering losses already incurred at the time of drawdown, for example by providing liquidity for exposures in default at the time of drawdown or by acquiring assets at more than fair value;(3)
REC 2.7A.1UKRP

1Paragraph 7BA – Position management

(1)

A [UK RIE] operating a trading venue which trades commodity derivatives must apply position management controls on that venue, which must at least enable the [UK RIE] to -

(a)

monitor the open interest positions of persons;

(b)

access information, including all relevant documentation, from persons about-

(i)

the size and purpose of a position or exposure entered into;

(ii)

any beneficial or underlying owners;

(iii)

any concert arrangements; and

(iv)

any related assets or liabilities in the underlying market;

(c)

require a person to terminate or reduce a position on a temporary or permanent basis as the specific case may require and to unilaterally take appropriate action to ensure the termination or reduction if the person does not comply; and

(d)

where appropriate, require a person to provide liquidity back into the market at an agreed price and volume on a temporary basis with the express intent of mitigating the effects of a large or dominant position.

(2)

The position management controls must take account of the nature and composition of market participants and of the use they make of the contracts submitted to trading and must-

(a)

be transparent;

(b)

be non-discriminatory; and

(c)

specify how they apply to persons.

(3)

A [UK RIE] must inform the FCA of the details of the position management controls in relation to each trading venue it operates.

Paragraph 7BB – Position reporting

(1)

This paragraph applies to a [UK RIE] operating a trading venue which trades commodity derivatives, emission allowances, or emission allowance derivatives.

(2)

The [UK RIE] must -

(a)

where it meets the minimum threshold, as specified in article 83 (position reporting) of Commission Delegated Regulation (EU) 2017/565 of 25 April 2016 supplementing Directive 2014/65/EU of the European Parliament and of the Council as regards organisational requirements and operating conditions for investment firms and defined terms for the purposes of that Directive2, make public a weekly report with the aggregate positions held by the different categories of persons for the different commodity derivatives, emission allowances, or emission allowance derivatives traded on the trading venue specifying -

(i)

the number of long and short positions by such categories;

(ii)

changes of those positions since the previous report;

(iii)

the percentage of the total open interest represented by each category; and

(iv)

the number of persons holding a position in each category; and

(b)

provide the FCA with a complete breakdown of the positions held by all persons, including the members and participants and their clients, on the trading venue on a daily basis, or more frequently if that is required by the FCA.

(3)

For the weekly report mentioned in sub-paragraph (2)(a) the [UK RIE] must -

(a)

categorise persons in accordance with the classifications required under sub-paragraph (4); and

(b)

differentiate between positions identified as-

(i)

positions which in an objectively measurable way reduce risks directly relating to commercial activities; or

(ii)

other positions.

(4)

The [UK RIE] must classify persons holding positions in commodity derivatives, emission allowances, or emission allowance derivatives according to the nature of their main business, taking account of any applicable authorisation or registration, as -

(a)

an investment firm or qualifying2 credit institution;

(b)

an investment fund, either as an undertaking for collective investment in transferrable securities within the meaning of section 236A of the Act, an AIF or an AIFM within the meaning of regulations 3 and 4 respectively of the Alternative Investment Fund Managers Regulations 2013 (SI 2013/1773)2;

(c)

another financial institution, including an insurance undertaking within the meaning of section 417 of the Act, a reinsurance undertaking within the meaning of section 417 of the Act, and an occupational pension scheme within the meaning of section 1(1) of the Pension Schemes Act 1993;2

(d)

a commercial undertaking; or

(e)

in the case of emission allowances, or emission allowance derivatives, an operator with compliance obligations under Directive 2003/87/EC of the European Parliament and the Council of 13 October 2003 establishing a scheme for greenhouse gas emission allowance trading within the Community.

[Note: 1993 c.48. Section 1 was amended by section 239 of the Pension Schemes Act 2004 (c. 35) and S.I. 2007/3014.]2

(5)

The [UK RIE] must communicate the weekly report mentioned in sub-paragraph (2)(a) to the FCA2.
REC 2.7A.2GRP
The recognition requirements in respect of position management and position reporting set out in REC 2.7A.1UK apply to a UK RIE operating a trading venue. An investment firm operating a trading venue which trades:(1) commodity derivatives must apply position management controls on that venue in accordance with MAR 10.3.(2) commodity derivatives or emission allowances must provide position reports in accordance with MAR 10.4.
COLL 5.7.4RRP
(1) The scheme property of a non-UCITS retail scheme operating as a FAIF may, subject to the rules in this section, comprise any assets or investments to which it is dedicated.(2) For an ICVC, the scheme property may also include movable or immovable property that is necessary for the direct pursuit of the ICVC's business of investing in those assets or investments.(3) The scheme property must be invested only in accordance with the relevant provisions in this section that are
COLL 5.7.5RRP
(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) applies5.(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 approved money-market instruments issued by any single body subject to COLL 5.6.23 R (Schemes replicating
COLL 5.7.6GRP
(1) COLL 5.7.5R (8) to (11) replicate the provisions of Article 5 of the Commission Recommendation 2004/383/EC of 27 April 2004 on the use of financial derivative instruments for undertakings for collective investment in transferable securities, so as to enable non-UCITS retail schemes to benefit from the same flexibility.(2) The attention of authorised fund managers is specifically drawn to condition (d) in COLL 5.7.5R (9) under which the collateral has to be legally enforceable
COLL 6.13.6RRP
An authorised fund manager of a UCITS scheme2must ensure a high level of security during the electronic data processing referred to in COLL 6.13.5 R as well as the integrity and confidentiality of the recorded information, as appropriate.[Note: article 7(2) of the UCITS implementing Directive]
COLL 6.6.12RRP
(1) The depositary of an authorised fund is responsible for the safekeeping of all of the scheme property (other than tangible movable property) entrusted to it and must:(a) take all steps and complete all documents needed to ensure completion of transactions properly entered into for the account of the scheme;(b) ensure that scheme property in registered form is, as soon as practicable, registered in the name of the depositary, its nominee, or (in the case of a non-UCITS retail
COLL 6.6.14RRP
(1) The authorised fundmanager must avoid the scheme property being used or invested contrary to COLL 5, or any provision in the instrument constituting the fund11 or the prospectus as referred to in COLL 5.2.4 R (Investment powers:general), 16COLL 5.6.4 R (Investment powers: general) and, where the scheme is a regulated money market fund, the Money Market Funds Regulation16, except to the extent permitted by (3)(b).112(2) The authorised fund manager must, immediately upon becoming
COLL 6.6.17RRP
(1) The authorised fund manager, any other director of an ICVC and the depositary must take reasonable care to ensure that a transaction within (a) to (f) is not carried out on behalf of the scheme:(a) putting cash on deposit with an affected person unless that person is an eligible institution or an approved bank and the arm's length requirement in (2) is satisfied;(b) lending money by an affected person to, or for the account of, the scheme, unless the affected person is an
BIPRU 7.10.21GRP
The broad classes of position referred to in BIPRU 7.10.20G are as follows:(1) linear products, which comprise securities with linear pay-offs (e.g. bonds and equities) and derivative products which have linear pay-offs in the underlying risk factor (e.g. interest rate swaps, FRAs, total return swaps);(2) European, American and Bermudan put and call options (including caps, floors and swaptions) and investments with these features (see BIPRU 7.6.18R (Table: Option PRR: methods
BIPRU 7.10.55BRRP
3The incremental risk charge must cover all positions which are subject to a capital charge for interest-rate specific risk in accordance with the firm'sVaR model permission, except securitisationpositions and nth-to-default credit derivatives. Where permitted by its VaR model permission, a firm may choose consistently to include all listed equity positions and derivativespositions based on listed equities for which that inclusion is consistent with how the firm internally measures
BIPRU 7.10.55LRRP
(1) 3The incremental risk charge must reflect the nonlinear impact of options, structured credit derivatives and other positions with material nonlinear behaviour with respect to price changes.(2) The firm must also consider the amount of model risk inherent in the valuation and estimation of price risks associated with those products.
MAR 5A.9.1RRP
1A firm must: (1) not exercise any power under its rules to suspend or remove from trading any financial instrument which no longer complies with its rules, where such a step would be likely to cause significant damage to the interest of investors or the orderly functioning of the trading venue; (2) where it does suspend or remove from trading a financial instrument, also suspend or remove derivatives that relate or are referenced to that financial instrument, where necessary
MAR 5.6A.1RRP
1A firm must:(1) not exercise any power under its rules to suspend or remove from trading any financial instrument which no longer complies with its rules, where such a step would be likely to cause significant damage to the interest of investors or the orderly functioning of the trading venue;(2) where it does suspend or remove from trading a financial instrument, also suspend or remove derivatives that relate, or are referenced, to that financial instrument, where necessary
IPRU-INV 5.11.2RRP

Instrument

Requirement

A Debt

Maturity

0-2 years

2-5 years

>5 years

Central Government

2%

5%

13%

Qualifying debt securities

· fixed rate

8%

8%

15%

· floating rate

10%

10%

15%

Non-qualifying debt securities

· fixed rate

10%

20%

30%

· floating rate

30%

30%

30%

B Equities

· Traded on a recognised or designated investment exchange.

25%

· other

100%

C Stock position in physical commodities

· Physical positions associated with firm'sinvestment business

30% of realisable value

D Derivatives

· Exchange traded futures and written options

4 x initial margin requirement.

· otc futures and written options

Apply the appropriate percentage shown in Sections A, B, & C above to the market value of the underlying position.

· Purchased options

Apply the appropriate percentage shown in Sections A, B & C above to the market value of the underlying position but the result may be limited to the market value of the option.

· Contracts for differences

20% of the market value of the contract.

E Other investments

· units in regulated collective investment schemes

25% of realisable value.

· with profit life policies

20% of surrender value.

· other

100% of the value of investment or underlying instrument.
BIPRU 14.1.2GRP
(1) BIPRU 14.2 deals with the calculation of the capital requirement for CCR for trading book positions arising from financial derivative instruments, securities financing transactions and long settlement transactions. The approaches used to calculate exposure values and risk weighted exposure amounts for these positions are largely based on the approaches applicable to non-trading book positions (BIPRU 3, BIPRU 4, BIPRU 5 and BIPRU 13). However, there are some treatments that
MAR 5.4.1RRP
1A firm2 must:(1) clearly inform its users of their respective responsibilities for the settlement of transactions executed in its2MTF; and(2) have in place the arrangements necessary to facilitate the efficient settlement of the transactions concluded under its systems.[Note: articles 18(6) and 19(3)(b)2 of MiFID][Note: in relation to derivative transactions, MiFID RTS 26 contains requirements on the systems for the clearing of such transactions]2
MAR 5A.6.1RRP
1A firm must: (1) clearly inform its users of their respective responsibilities for the settlement of transactions executed in its OTF; and (2) have in place the arrangements necessary to facilitate the efficient settlement of the transactions concluded under its systems. [Note: article 18(6) of MiFID] [Note: in relation to derivative transactions, MiFID RTS 26 contains requirements on the systems for clearing of such transactions]
SYSC 4 Annex 1GRP

[Editor’s note: The text of this provision has been moved to SYSC 25 Annex 1G]4