Goldman Sachs International Bank

These are conditions the FCA places on the firm itself, covering things like capital it must hold and what it must report. They do not change what the firm may do for you.

• Requirement to the IMM permission 1712923

  Reporting requirements 1. The firm must collect, record, and report to the PRA the following information on a quarterly basis in each calendar year: 1.1. its counterparty credit risk (CCR) EAD and CCR RWAs at aggregate level, and divided by exposure type (OTC derivatives, listed derivatives, repurchase transactions, securities or commodities lending or borrowing transactions and margin lending transactions); 1.2. its exposures divided by exposure type, counterparty sector and by counterparty credit rating, showing both level and trend; 1.3. the composition of collateral for OTC derivatives, showing both average level of collateral types and trend by collateral type; 1.4. backtesting results on representative (actual or hypothetical) counterparty portfolios, including the results on the following: * 10, 20 or 40-day backtesting for collateralised transactions of OTC derivatives; * 5, 10 or 20-day backtesting for repurchase transactions, securities or commodities lending or borrowing transactions and margin lending transactions; and * backtesting over at least a year for representative uncollateralised transactions; 1.5. where the model relies on mapping to proxy transactions, or on proxy market data, a list of the affected products showing both the level and trend of these products and the results of the analysis to estimate the appropriateness of proxies for counterparty credit risk exposure calculation; 1.6. the results and analysis performed to calculate all capital adjustments held where there are identified limitations in the firm's CCR models and processes. 2. The firm must inform the PRA of any event that may have a significant impact on its IMM Permission, including in particular: 1) changes to the list of asset classes, products or counterparties listed in Table 2 of Annex 1; 2) use of a different model for exposure calculations under the IMM Permission; 3) changes to governance or senior management arrangements in relation to the IMM Permission; and 4) changes to the volumes or trends of trading for assets classes, products or counterparties listed in Table 2 of Annex 1. 5) changes to the volumes or trends of trading for legal entities in the scope of the IMM Permission. Group requirements 3. This Notice applies to each firm for as long as they remain part of the UK Consolidation Group.