Related provisions for IPRU-INV 12.2.6

BIPRU 7.9.1G01/04/2013

A firm is required under GENPRU 2.1.52 R (Calculation of the market risk capital requirement) to calculate its market risk capital requirement using the rules in BIPRU 7. However, the appropriate regulator may at the firm's request modify GENPRU 2.1.52 R to allow the firm to calculate all or part of the PRR for the positions covered by that model by using a CAD 1 model (for options risk aggregation and/or interest rate pre-processing) or a VaR model (value at risk model) instead.

BIPRU 7.9.47G01/01/2007

The cash flows are then calculated again using the firm's own yield curve shifted by the amount set out in BIPRU 7.9.49G.

BIPRU 7.9.48G01/01/2007

The difference between the present values calculated using the firm's own yield curve and those calculated using the firm's curve shifted under BIPRU 7.9.47G are known as the sensitivity figures. Alternatively, a firm may shift the yield curve by one basis point and multiply up the sensitivity figures by the appropriate amount in order to achieve the shifts set out in BIPRU 7.9.47G. These sensitivity figures are then allocated to each of the 15 maturity bands set out in BIPRU

BIPRU 13.6.34R01/01/2007

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 13.6.35R01/01/2007

A firm must ensure that the numerator and denominator of are computed in a consistent fashion with respect to the modelling methodology, parameter specifications and portfolio composition. The approach used must be based on the firm's internal capital approach, be well-documented and be subject to independent validation. In addition, a firm must review their estimates on at least a quarterly basis, and more frequently when the composition of the portfolio varies over time. A

BIPRU 13.6.54R01/04/2013

A firm must have the systems capability to estimate EE daily if necessary, unless it is able to demonstrate to the appropriate regulator that its exposures to CCR warrant less frequent calculation. The firm must compute EE along a time profile of forecasting horizons that adequately reflects the time structure of future cash flows and maturity of the contracts and in a manner that is consistent with the materiality and composition of the exposures.[Note: BCD Annex III Part 6 point

BIPRU 4.6.4G01/04/2013

(1) This paragraph sets out guidance on BIPRU 4.6.2 R so far as it relates to the boundary between retail exposures and corporate exposures.(2) In deciding what steps are reasonable for the purposes of BIPRU 4.6.2 R (1), a firm may take into account complexity and cost, as well as the materiality of the impact upon its capital calculation. A firm should be able to demonstrate to the appropriate regulator that it has complied with the obligation to take reasonable steps under BIPRU

BIPRU 4.6.47R01/01/2007

Expected loss amounts must be calculated according to the formulae in the table in BIPRU 4.6.48 R.[Note:BCD Annex VII Part 1 point 30 (part)]

BIPRU 4.6.48R01/01/2007

Table: Formulae for the calculation of expected loss amounts

This table belongs to BIPRU 4.6.47 R

Expected loss (EL)

equals PD×LGD

Expected loss amount

equals EL×exposure value

For defaulted exposures (PD = 1) where a firm uses its own estimates of LGDs, EL must be EL_BE, the firm's best estimate of expected loss for the defaulted exposure according to BIPRU 4.3.122 R.

For exposures subject to the treatment set out in BIPRU 4.4.79 R (Double default) EL must be 0.

[Note:BCD Annex VII Part 1 point 30 (part)]

IPRU-INV 5.5.2G05/11/2016

A firm'sfinancial resources requirement will be recalculated annually when its fourth quarterly financial return is prepared. The firm must maintain financial resources sufficient to meet its new financial resources requirement from the date on which the fourth quarterly financial return is prepared and no later than 80 business days after the firm’saccounting reference date. The expenditure based requirement applicable at the accounting reference date will be based on the four

BIPRU 1.4.1R01/04/2013

A contravention of the rules in BIPRU does not give rise to a right of action by a private person under section 138D of the Act (and each of those rules is specified under section 138D(3) of the Act as a provision giving rise to no such right of action).

IPRU-INV 13.1.23R01/01/2022

The amount of additional capital resources that a firm must hold as a result of an exclusion under IPRU-INV 13.1.21R1 must1 be calculated by referring to the firm's relevant income in the following table:

Relevant income £000s		Minimum additional capital resources
more than	up to	£000s
		(Notes 1 and 2)
0	100	5
100	200	12
200	300	18
300	400	21
400	500	23
500	600	25
600	700	27
700	800	28
800	900	30
900	1,000	31
1,000	1,500	37
1,500	2,000	42
2,000	2,500	46
2,500	3,000	51
3,000	3,500	55
3,500	4,000	59
4,000	4,500	63
4,500	5,000	67
5,000	6,000	73
6,000	7,000	79
7,000	8,000	85
8,000	9,000	90
9,000	10,000	95
10,000	100,000	95y
100,000	n/a	950
Note 1 - For firms with relevant income of more than £10m but up to £100m value y is calculated by relevant income/ £10m.
Note 2 - The calculation of a firm's capital resources is set out in sections IPRU-INV 13.13 to 13.158. 1 1 1

IPRU-INV 13.1.27R01/01/2022

The amount of additional capital resources that a firm must hold where the policy's excess on any claim is more than £5,000 must be calculated by referring to the firm's relevant income and excess obtained in the following table:

All amounts are shown in £000s (Notes 1 and 2)

Relevant income is		Excess obtained, up to and including
more than	up to	5	10	15	20	25	30	40	50	75	100	150	200+
0	100	0	4	7	9	12	14	18	21	28	34	45	54
100	200	0	7	11	14	17	20	25	29	38	46	59	70
200	300	0	9	14	18	21	24	30	35	45	54	69	82
300	400	0	11	16	21	24	28	34	39	50	60	77	91
400	500	0	13	18	23	27	30	37	43	55	66	83	98
500	600	0	14	20	25	29	33	40	46	59	70	89	105
600	700	0	16	22	27	31	35	42	49	63	74	94	111
700	800	0	17	23	28	33	37	45	52	66	78	99	117
800	900	0	18	24	30	35	39	47	54	69	82	103	122
900	1,000	0	19	26	31	36	41	49	56	72	85	107	126
1,000	1,500	0	23	31	37	43	48	57	66	83	99	124	146
1,500	2,000	0	26	35	42	48	54	64	73	93	109	138	161
2,000	2,500	0	29	38	46	53	59	71	81	102	121	152	179
2,500	3,000	0	32	42	51	58	65	78	89	112	132	166	195
3,000	3,500	0	35	46	55	63	71	84	96	121	142	179	210
3,500	4,000	0	38	50	59	68	76	90	102	129	152	191	223
4,000	4,500	0	41	53	63	72	80	95	108	137	161	202	236
4,500	5,000	0	43	56	67	76	85	100	114	144	169	212	248
5,000	6,000	0	48	62	73	84	93	110	125	157	185	231	271
6,000	7,000	0	52	67	79	90	101	119	135	169	199	249	291
7,000	8,000	0	56	72	85	97	107	127	144	181	212	265	310
8,000	9,000	0	59	76	90	103	114	134	152	191	224	280	328
9,000	10,000	0	63	80	95	108	120	141	160	201	236	294	344
10,000	100,000	0	63y	80y	95y	108y	120y	141y	160y	201y	236y	294y	344y
100,000	n/a	0	630	800	950	1080	1200	1410	1600	2010	2360	2940	3440
Note 1 - For firms with relevant income more of £10m but up to £100m value y is calculated by relevant income/ £10m.
Note 2 - The calculation of a firm's capital resources is set out in section IPRU-INV 13.13 to 13.158. 1 1

BIPRU 7.2.1R01/01/2007

(1) A firm must calculate its interest rate PRR under BIPRU 7.2 by:(a) identifying which positions must be included within the interest rate PRR calculation;(b) deriving the net position in each debt security in accordance with BIPRU 7.2.36R-BIPRU 7.2.41R;(c) including these net positions in the interest rate PRR calculation for general market risk and the interest rate PRR calculation for specific risk; and(d) summing all PRRs calculated for general market risk and specific risk.(2)

BIPRU 7.2.3R01/01/2007

A firm's interest rate PRR calculation must:(1) include all trading bookpositions in debt securities, preference shares and convertibles, except:(a) positions in convertibles which have been included in the firm'sequity PRR calculation;(b) positions fully deducted as a material holding under the calculations under the capital resources table, in which case the firm may exclude them; or(c) positions hedging an option which is being treated under BIPRU 7.6.26R (Table: Appropriate

BIPRU 9.12.2R01/01/2007

For a rated position or a position in respect of which an inferred rating may be used, the ratings based method must be used to calculate the risk weighted exposure amount.[Note:BCD Annex IX Part 4 point 38]

IPRU-INV 13.14.6G01/10/2018

A firm should not include in its annual income those amounts due to it that are used in the calculation of its capital resources requirement under MIPRU 4.2.11R (Capital resources requirement: insurance distribution activity or home finance3 mediation activity only) or MIPRU 4.2.20R3 (Capital resources requirement: insurance distribution3 activity and home financing, or home finance administration).

REC 2.3.22G01/04/2013

(1) [deleted]55(2) The FCA5 would normally expect a UK RIE to hold, in addition to the minimum amount determined under REC 2.3.9G (1)(a)(i), an operational risk buffer consistent with a risk-based approach.5(a) Where the amount of eligible financial resources calculated by a UK RIE under REC 2.3.17G (5) (the risk-based approach) is greater than the amount of eligible financial resources calculated under REC 2.3.13 G (the standard approach), and the difference is of an amount sufficient

INSPRU 3.2.16R31/12/2006

An obligation to transfer assets (other than money) or to pay monetary amounts based on the value of, or income from, assets is covered if the firm holds:(1) those assets; or(2) in the case of an index or basket of assets, a reasonable approximation to those assets.

GENPRU 3.1.30R01/01/2021

If GENPRU 3.1.29 R (application of Method 1 or 210) applies to a firm with respect to the financial conglomerate of which it is a member, then with respect to the firm and the financial conglomerate:5(1) the definitions of conglomerate capital resources and conglomerate capital resources requirement that apply for the purposes of that rule are the ones from whichever of Part 1 or Part 2 of GENPRU 3 Annex 1 the firm has indicated to the FCA8 it will apply, unless the firm is subject

INSPRU 7.1.7G01/04/2013

In assessing whether the minimum capital resources requirements are appropriate, the appropriate regulator is principally concerned with capital resources as calculated in accordance with GENPRU 2.2.17 R. However, in carrying out its own assessment of its capital needs, a firm may take into account other capital available to it (see GENPRU 1.2.30 R and GENPRU 1.2.36 R), although it should be able to explain and justify its reliance on these other forms of capital.

BIPRU 14.3.4R01/01/2007

A firm must multiply the price difference calculated under BIPRU 14.3.3 R1 by the appropriate factor in column A of the Table in BIPRU 14.3.4 R in order to calculate its capital requirement for the purposes of BIPRU 14.3.[Note: CAD Annex II point 1 (part)]

BIPRU 8.2.2R01/01/2007

Further to BIPRU 8.2.1 R, a firm that is a member of a UK consolidation group must at all times ensure that the consolidated capital resources of the UK consolidation group are equal to or exceed its consolidated capital resources requirement.

IPRU-INV 9 App 1.1G01/01/2016

Glossary of defined terms for Chapter 9

Note: If a defined term does not appear in the glossary below, the definition appearing in the Handbook Glossary applies.

approved exchange	means an investment exchange listed as such in Appendix 33 to IPRU-INV 3.
exchange	means a recognised investment exchange or designated investment exchange.
initial capital	means the initial capital of a firm calculated in accordance with section 9.3.
intangible assets	the full balance sheet value of a firm's intangible assets including goodwill, capitalised development costs, licences, trademark and similar rights etc.
intermediate broker	in relation to a margined transaction, means any person through whom the firm undertakes that transaction.
material current year losses	means losses of an amount equal to 10% or more of initial capital minus B (with B calculated in accordance with Table 9.5.2R).
material holding	means a firm's holdings of shares and any other interest in the capital of a credit institution or financial institution: (a) which exceeds 10% of the capital of the issuer, and, where this is the case, any holdings of subordinated debt of the same issuer, the full amount is a material holding; or (b) holdings not deducted under (a) if the total amount of such holdings exceeds 10% of that firm's own funds, in which case only the excess amount is a material holding.
material insurance holdings	(a) means the holdings of an exempt CAD firm of items of the type set out in (b) in any: (i) insurance undertaking; or (ii) insurance holding company that fulfils one of the following conditions: (iii) it is a subsidiary undertaking of that firm; or (iv) that firm holds a participation in it. (b) An item falls into this provision for the purpose of (a) if it is: (i) an ownership share; or (ii) subordinated debt or another item of capital that forms part of the tier two capital resources that1 falls into GENPRU 2 or, as the case may be, INSPRU 7, or is an item of “basic own funds” defined in the PRA Rulebook: Glossary.
own funds	means the own funds of a firm calculated in accordance with 9.2.9R(2) and The Interim Prudential Sourcebook for Investment Businesses Chapter 9: Financial resources requirements for an exempt CAD firm Page 2 of 2 Version: November 2007 9.2.8R(b).
own funds requirement	means the requirement set out in 9.2.9R(1) and 9.2.8R(b).
verified	means checked by an external auditor who has undertaken at least to: (a) satisfy himself that the figures forming the basis of the interim profits have been properly extracted from the underlying accounting records; (b) review the accounting policies used in calculating the interim profits so as to obtain comfort that they are consistent with those normally adopted by the firm in drawing up its annual financial statements and are in accordance with the relevant accounting principles; (c) perform analytical procedures on the result to date, including comparisons of actual performance to date with budget and with the results of prior period(s); (d) discuss with management the overall performance and financial position of the firm; (e) obtain adequate comfort that the implications of current and prospective litigation, all known claims and commitments, changes in business activities and provisioning for bad and doubtful debts have been properly taken into account in arriving at the interim profits; and (f) follow up problem areas of which he is already aware in the course of auditing the firm's financial statements.

BIPRU 9.3.7R31/12/2010

1Significant credit risk will be considered to have been transferred for originators in the following cases:(1) the risk weighted exposure amounts of the mezzanine securitisation positions held by the originator in the securitisation do not exceed 50% of the risk weighted exposure amounts of all mezzanine securitisation positions existing in this securitisation;(2) where there are no mezzanine securitisation positions in a given securitisation and the originator can demonstrate

IPRU-INV 5.9.1R13/09/2017

1Liquid Capital Requirement = Initial Capital Requirement + Capital Surcharge Calculation of Initial Capital Requirement ICR = (√AUA) x K1
Where
ICR	means Initial Capital Requirement
AUA	means Assets Under Administration calculated as the sum of the most recent annual valuations over the preceding 12 months of the personal pension schemes administered by the firm, and adjusted to include any revaluation of assets that may occur between the date of the most recent annual valuation and the date when the firm must calculate its AUA. A firm must calculate its AUA quarterly in line with the dates when it has to submit its regulatory capital reporting form in accordance with SUP 16.12 (Integrated Regulatory Reporting). Where it is not possible to value an asset (for example because there is no readily available market price), the most recent market valuation should be used. Where it would be reasonable to assume that the value of the asset has changed by more than 15% since the most recent market valuation, a firm should instead use a reasonable estimate. This is without prejudice to any requirement on a firm to provide a personal pension scheme member with accurate and timely valuations of their portfolios.
K1	is set subject to the firm’s AUA as specified in the below table:
	AUA	K1 constant to be applied
	<£100m	10
	£100-£200m	15
	>£200m	20
	When K1 changes due to an increase in AUA, in accordance with the thresholds in this table, the firm must apply the new K1 value within six months following the date on which its AUA exceeded the threshold of its previous K1 value.
	Calculation of Capital Surcharge
	CS =(√P) x K2 x ICR
Where
CS	means Capital Surcharge
P	means the fraction of personal pension schemes administered by the firm which contain one or more asset types which do not appear in the list of Standard Assets below, at the most recent quarter end. For example, if a quarter of personal pensions contained non-Standard Assets, this would be inputted in to the formula as 0.25.
K2	is set at 2.5.
ICR	means the Initial Capital Requirement calculated as above.
	Standard Assets The List of Standard Assets is as follows (subject to Note 1): Cash Cash funds Deposits Exchange traded commodities Government & local authority bonds and other fixed interest stocks Investment notes (structured products) Shares in Investment trusts Managed pension funds National Savings and Investment products Permanent interest bearing shares (PIBs) Physical gold bullion Real estate investment trusts (REITs) Securities 2 admitted to trading on a regulated venue UK commercial property Units in regulated collective investment schemes 2
NOTE 1:	A Standard Asset must be capable of being accurately and fairly valued on an ongoing basis and readily realised within 30 days, whenever required.
NOTE 2:	In addition to complying with the provisions of IPRU-INV 5.8, in accordance with IPRU-INV 5.3.2R, a firm must hold its liquid capital in financial resources as follows:
	ICR	realisable within 12 months; and
	CS	realisable within 30 days

Related provisions for IPRU-INV 12.2.6

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