Related provisions for GENPRU 1.3.34
1 - 7 of 7 items.
(1) Except to the extent that GENPRU or BIPRU14 provide for another method of valuation, GENPRU 1.3.14 R to GENPRU 1.3.34 R (Marking to market, Marking to model, Independent price verification or Valuation adjustments14) apply:99(a) for the purposes set out in GENPRU 1.3.41 R;(b) for the purposes set out in GENPRU 1.3.39 R; and(c) to any balance sheet position measured at market value or fair value.(2) A firm must establish and maintain systems and controls sufficient to provide
The recognition of any gains or losses arising from valuations subject to GENPRU 1.3.13 R and GENPRU 1.3.38 R to GENPRU 1.3.41 R must be recognised for the purpose of calculating capital resources in accordance with GENPRU 1.3.14 R to GENPRU 1.3.34 R (Marking to market, Marking to model, Independent price verification or Valuation adjustments14). However if GENPRU or BIPRU14 provide for another treatment of such gains or losses, that other treatment must be applied.99
(1) This paragraph sets out the requirements referred to in GENPRU 1.3.30 R and GENPRU 1.3.32 R.(2) A firm must consider the following adjustments14: unearned credit spreads, close-out costs, operational risks, early termination, investing and funding costs, future administrative costs and, where appropriate, model risk.9(3) 9(a) In the case of a BIPRU firm, a firm must establish and maintain procedures for calculating adjustments to the current valuation of less liquid positions.
Reconciliation differences under GENPRU 1.3.34 R should not be reflected in the valuations under GENPRU 1.3 but should be disclosed to the FCA14 in prudential returns.10Firms which are subject to the reporting requirement under SUP 16.16 should disclose those reconciliation differences in the Prudent Valuation Return which they are required to submit to the FCA14 under SUP 16.16.4 R.
Adjustments to accounting values(1) For the purposes of GENPRU and BIPRU, the adjustments in (2) and (3) apply to values calculated pursuant to GENPRU 1.3.4 R in addition to those required by GENPRU 1.3.9 R to GENPRU 1.3.10 R.(2) A BIPRU firm must not recognise either:(a) the fair value reserves related to gains or losses on cash flow hedges of financial instruments measured at amortised cost; or(b) any unrealised gains or losses on debt instruments held, or formerly held,8 in
Both trading book9 positions and other fair-valued positions9are subject to prudent valuation rules as specified in GENPRU 1.3.14 R to GENPRU 1.3.34 R (Marking to market, Marking to model, Independent price verification,Valuation adjustments or, in the case of an insurer or a UK ISPV, valuation adjustments9 or reserves). In accordance with those rules, a firm must ensure that the value applied to each of its trading book positionsand other fair-valued positions9 appropriately
Where value adjustments are taken against the secured part of an exposure secured by a mortgage on residential property and that is past due, the secured part net of value adjustments must be assigned a risk weight of: (1) 100% if value adjustments are less than 20% of the secured part of the exposure gross of value adjustments; or(2) 50% if value adjustments are no less than 20% of the secured part of the exposure gross of value adjustments.
The unsecured part of any past due item, net of any value adjustments taken against the unsecured part, must be assigned a risk weight of: (1) 150% if value adjustments are less than 20% of the unsecured part of the exposure gross of value adjustments; or(2) 100% if value adjustments are no less than 20% of the unsecured part of the exposure gross of value adjustments.
The application of value adjustments to either the secured or the unsecured component of an exposure secured on residential property may be illustrated on the basis of a £110,000 loan on a property valued at £100,000, where £80,000 of the loan is secured, £30,000 of the exposure is unsecured and a value adjustment of £20,000 is taken.(1) Value adjustment applied to unsecured component:(a) Value adjustment of £20,000 taken on £30,000 unsecured exposure.(b) Value adjustment exceeds
If a firm experiences a greater than 15% increase in the total value of its relevant debts under management compared to the value used in its last prudential resources requirement calculation, it must recalculate its prudential resources requirement using the new total value of its relevant debts under management.
(1) This rule applies to trading book valuation adjustments or reserves referred to in GENPRU 1.3.29 R to 14GENPRU 1.3.35A G14 (Valuation adjustments and reserves). It applies to a BIPRU firm.(2) When valuation adjustments or reserves give rise to losses of the current financial year, a firm must treat them in accordance with GENPRU 2.2.85 R.(3) Valuation adjustments or reserves which exceed those made under the accounting framework to which a firm is subject must be treated in
Trading book profits and losses, other than those losses to which GENPRU 2.2.86R (2) (Valuation adjustment and reserves) refers, originating from valuation adjustments or reserves as referred to in GENPRU 1.3.29 R to 14GENPRU 1.3.35A G14 (Valuation adjustments or reserves) must be included in the calculation of net interim trading book profits and be added to or deducted from tier three capital resources.
Trading book valuation adjustments or reserves as referred to in GENPRU 1.3.29 R to 14GENPRU 1.3.35A G14 which exceed those made under the accounting framework to which a firm is subject must be treated in accordance with GENPRU 2.2.248 R if not required to be treated under GENPRU 2.2.86R (2).
If a firm can demonstrate to the appropriate regulator that for data that has been collected prior to 31 December 2006, appropriate adjustments have been made to achieve broad equivalence with the definitions of default or loss, the appropriate regulator may in the IRB permission allow the firm some flexibility in the application of the required standards for data.[Note:BCD Annex VII Part 4 point 56]