Calibrated requirement
£0
Own funds threshold requirement (OFTR) — the higher of the rules-based minimum (OFR, COREPRU 4.1.2R) and your own risk assessment amount from the ORA card (COREPRU 7.2.5R(2))
Binding constraint
PMR
Activity-based regulatory floor
Compliance position
Capital adequacy
Eligible own funds
£0
OFTR
£0
Coverage ratio
—
Surplus / (deficit)
£0
Headroom
—
The Field Guide · PS26/12
Binding-Limb Review
Which of the three limbs fixes the own funds requirement this year, how far the other two are from taking over, and — position by position — whether changing where a cryptoasset is admitted or how it is valued moves the requirement (the 40% charge) or the resource (a deduction). Indicative and fact-dependent; the thresholds are the firm’s own.
Self-tests
Citation register — this review
Capital position
Own funds versus regulatory requirements
The own funds requirement (OFR) is the highest of three components — PMR, FOR and KFR (COREPRU 4.1.2R). The binding component is red, with a dotted reference line at the OFR level. The own funds threshold requirement (OFTR) — the level the firm must actually hold — is the higher of the OFR and your ORA amount (COREPRU 7.2.5R(2)); where the ORA amount is higher, a second dotted line marks the OFTR. Where own funds have not been entered, the chart shows a suggested level of 150% of the OFR — a planning level in line with the FCA’s expectation that firms hold more than the minimum (FG20/1; GC26/4 para 2.40, draft), not a rule. The liquid asset floor has its own chart beside the liquidity breakdown below.
Liquidity requirement
Liquid asset threshold requirement (LATR) — the floor
The LATR cannot be lower than the BLAR plus the ILAR (for a qualifying stablecoin issuer) — the floor shown here (COREPRU 7.2.5R(3)). The firm’s ORA liquidity assessments — the higher of its ongoing 90-day and wind-down estimates — are added on top to arrive at the final LATR (CRYPTOPRU 7.4.5G(3), worked example at 7.4.6G); see the ORA card. If own funds fall below the OFTR, or liquid assets below the LATR, the FCA expects immediate notification under SUP 15.3.1R(1), including the current level against the threshold, an explanation, and the recovery actions taken or planned (CRYPTOPRU 7.3.4G; 7.2.3R(2)(b)).
Hold well in excess of the minimum. As with capital, prudent firms hold more liquid assets than their threshold requirements (GC26/4 para 2.40, draft; FG20/1). Two different ORA jobs sit either side of that line. The 90-day and wind-down assessments set the requirement itself — they are what the hatched segment adds to the floor (CRYPTOPRU 7.4.2R; 7.4.5G(3)). The early-warning levels, recovery actions and the wind-down trigger then live in the buffer above the requirement (7.2.3R) — the trigger has to fire while enough resources remain (GC26/4 para 2.33, draft). The ORA also tests whether what you hold really counts — core assets for the floor, haircuts on non-core, nothing encumbered or belonging to clients (7.4.8R–7.4.11R; COREPRU 6.3.5R).
K-factor decomposition
Where the K-factor charge comes from
K-CCD belongs to the own-name set, triggered by dealing as principal (a qualifying CATP operator engaging in matched principal trading should select that permission too — CRYPTOPRU 4.9.5G(2)). Within that, it is computed on any trading-book transaction with counterparty-default risk persisting beyond the standard spot settlement period — e.g. lending (CRYPTOPRU 4.10.1R). It is not skipped where the position is over-collateralised: the replacement cost is increased, and collateral decreased, by the fixed volatility adjustments before they net (4.10.7R–4.10.9R).
Each charge is set out the same way: what it is, its source in the
made instrument (FCA 2026/45, appended to PS26/12), the dataset the rate applies to,
and the basis on which the figure is derived. Rates are final rules, made 30 June 2026.
K-SIIStablecoins in Issuance
WhatOperational-risk capital held against the firm’s own issuance of qualifying stablecoins.
SourceCRYPTOPRU 4.4.1R. The coefficient was reduced from the consulted 2% to 1% in the final rules (PS26/12 paras 1.3–1.4).
DatasetAverage SII — total stablecoins the issuer is liable to redeem, measured at the end of each business day over a 9-month lookback, excluding the most recent three months, arithmetic mean of the remaining six (4.4.3R); recomputed on the first business day of each month (4.4.2R). Stablecoins owned by the issuer are deducted from capital under COREPRU 3.3.39R and excluded from SII.
Basis1% × average stablecoins in issuance (4.4.1R).
K-RCSRelevant Cryptoassets Safeguarded
WhatCapital held against client assets the firm safeguards (custody). The final rules renamed the consulted K-QCS: the base captures both qualifying cryptoassets and relevant specified investment cryptoassets (RSICs — a specified investment, such as a tokenised security, held in custody).
SourceCRYPTOPRU 4.5.1R.
DatasetAverage RCS — qualifying cryptoassets and RSICs safeguarded, including assets held via appointed third parties or sub-custodians (4.5.7R) — mean of daily values across six months, excluding the most recent three months, recomputed on the first business day of each month (4.5.5R–4.5.6R). Where a firm is subject to both CRYPTOPRU and MIFIDPRU, RSICs already captured in K-ASA are not double-counted (4.5.3R). If unsure whether assets are safeguarded, include them (4.5.4R).
Basis0.04% × average RCS (4.5.1R).
K-CCSClient Cryptoassets Staked
WhatOperational-risk capital for client cryptoassets the firm stakes — arranging qualifying cryptoasset staking, whether as principal or agent (CRYPTOPRU 4.6.5R).
SourceCRYPTOPRU 4.6.1R.
DatasetAverage CCS — mean of daily values across six months, excluding the most recent three months, recomputed on the first business day of each month (4.6.6R–4.6.7R). Assets already included in K-RCS are not double-counted (4.6.2R); assets staked via appointed third parties are included (4.6.8R).
Basis0.04% × average CCS (4.6.1R).
K-CCOClient Cryptoasset Orders
WhatOperational-risk capital for cryptoasset orders the firm handles for clients — reception and transmission, execution on behalf of clients, or orders handled solely in its capacity as the qualifying CATP operator (CRYPTOPRU 4.7.2G).
SourceCRYPTOPRU 4.7.1R; base at 4.7.2G and 4.7.8G; exclusions at 4.7.3R (own name), 4.7.5G (introductions) and 4.7.6G (non-transacting arrangements).
DatasetAverage CCO — sum of the absolute value of each buy and sell order (4.7.11R), measured throughout each business day over a 9-month lookback, excluding the most recent three months, mean of the remaining six (4.7.10R); recomputed on the first business day of each month (4.7.9R). Excludes orders executed in the firm’s own name (these move to K-CTF, 4.7.4G) and orders involving only a CASS 16 stablecoin (defined term “cryptoasset order”).
Basis0.1% × average CCO (4.7.1R).
K-CTFCryptoasset Trading Flow
WhatOperational-risk capital for the daily value of transactions the firm carries out in its own name — including own-name transactions on behalf of clients — and excluding orders handled for clients in the name of clients, which sit in K-CCO (CRYPTOPRU 4.8.2G, 4.8.7G).
SourceCRYPTOPRU 4.8.1R.
DatasetAverage CTF — sum of the absolute value of each buy and sell order (4.8.6R), measured throughout each business day over a 9-month lookback, excluding the most recent three months, mean of the remaining six (4.8.5R); recomputed on the first business day of each month (4.8.4R).
Basis0.1% × average CTF (4.8.1R).
Handled vs own-name — count each flow once.
The pivot between K-CCO and K-CTF is the capacity in which the order is executed:
own name → K-CTF; in the name of clients → K-CCO (CRYPTOPRU 4.7.3R, 4.7.4G, 4.8.2G).
A firm operating a qualifying CATP includes in K-CCO the orders it handles solely in its
capacity as the CATP operator (4.7.2G(2)); a firm executing orders on an external CATP also includes those
in K-CCO — but where it executes an order in its own name, including on behalf of a
client, that order moves to K-CTF (4.7.3R–4.7.4G). Orders handled on a client’s behalf
feed K-CCO (0.1%); orders executed in the firm’s own name feed K-CTF (0.1%). Each flow is counted
once and only once — a principal flow must not be bucketed as a handled order, nor
entered under both. Enter handled orders in the “Client QCA orders handled” input and own-name flow in
the “Own-name QCA trading flow” input; do not split a single flow across both.
K-NCPNet Cryptoasset Position
WhatMarket-risk capital on the firm’s trading-book positions in qualifying cryptoassets. The final rules replaced the consulted Category A / Category B model with a single test: cryptoassets that can be prudently valued and are admitted to a UK QCATP take a flat 40% net-position requirement; cryptoassets failing those conditions are deducted in full from CET1 capital instead (COREPRU 3.3.23R(3); PS26/12 para 1.4 — the FCA stepped away from the categorisation in response to feedback).
SourceCRYPTOPRU 4.9.18R (rate); 4.9.10R (exclusions); COREPRU 3.3.23R(3) (deduction).
DatasetNet position per qualifying cryptoasset, netting only identical, fungible cryptoassets (4.9.13R–4.9.14G), measured point-in-time — not the exclude-3 / average-6 base; firms must be able to monitor the requirement intra-day (4.9.9R). Positions in a CASS 16 stablecoin are excluded (4.9.10R(1) — the PS confirms UK-issued qualifying stablecoins remain outside K-NCP); non-UK-issued qualifying stablecoins are treated as other qualifying cryptoassets.
BasisNet position (ignoring sign) × 40%, summed across cryptoassets (4.9.8R, 4.9.18R).
K-CCDCryptoasset Counterparty Default
WhatCounterparty-default capital on trading-book transactions where the risk persists beyond the standard spot settlement period — e.g. lending qualifying cryptoassets to a counterparty. Spot-only firms are not expected to calculate it (CRYPTOPRU 4.10.2G(1)).
SourceCRYPTOPRU 4.10.1R–4.10.13G.
DatasetExposure value EV = Max(0; RC − C) (4.10.6R), where RC is the current market value of the asset due from the counterparty increased by the fixed volatility adjustment (4.10.7R) and C is collateral received decreased by it (4.10.8R). Adjustments (4.10.9R): CASS 16 stablecoin 0%; any other qualifying cryptoasset 40%; collateral that would be deductible in full under COREPRU 3 — e.g. not admitted to a UK QCATP — 100% (4.10.5R(3)). Computed whenever the exposure exists, including where collateral exceeds the loan (4.10.2G(4)).
BasisK-CCD = α × EV × RF, α = 1.2 (4.10.11R). Risk factor by counterparty (4.10.12R): 1.6% central governments, central banks, PSEs, credit institutions, investment firms and CRYPTOPRU firms; 8% other counterparties; 83.33% a retail client with negative balance protection under CRYPTO 9.7.
Lending, borrowing and over-collateralisation.
K-CCD turns on the question “does the firm carry counterparty-default risk on this leg?” —
it applies to trading-book transactions where that risk persists beyond the standard spot settlement
period, such as lending cryptoassets to a counterparty, and either direction can generate the charge
depending on who bears the risk (CRYPTOPRU 4.10.1R). The method is K-CCD = α × EV × RF
with α = 1.2 (4.10.11R), where EV = Max(0; RC − C) (4.10.6R): the replacement cost RC is
increased by the fixed volatility adjustment and collateral C is
decreased by it (4.10.7R–4.10.9R). Because of the Max(0; …) form
the charge is computed whenever the exposure exists and is shown even where it nets toward
zero — over-collateralisation reduces it but does not stop the calculation. The worked example at 4.10.13G
shows the force of the fixed adjustments: £100 lent to a CRYPTOPRU firm against £100 of collateral that is
not admitted to a UK QCATP produces RC of £140 (40% uplift), collateral of £0 (100% adjustment) and a
K-CCD of 1.2 × £140 × 1.6% = £2.688. Both volatility directions are shown explicitly
in the decomposition so the netting is visible.
K-CONConcentration RiskBy link
WhatCapital for trading-book exposures concentrated in single clients or groups of connected clients — the eighth part of the KFR (CRYPTOPRU 4.3.1R(8)).
SourceCRYPTOPRU 5.1.1R–5.1.4R, cross-applying and modifying MIFIDPRU 5.4–5.10.
DatasetPer-counterparty trading-book exposure values — summing MIFIDPRU exposures, K-CCD-scope exposures and other exposures to a cryptoasset issued or supply-controlled by the client (5.1.2G) — against a single concentration soft limit per client (MIFIDPRU 5.5.1R).
BasisCharge on the excess over the soft limit: OFRE × 200% while the excess is 10 business days old or less, then by own-funds tranche (MIFIDPRU 5.7.4R as cross-applied); hard limits at 500% / 600% of own funds (5.9.1R). Calculated per counterparty in The Concentration Number on this firm's eligible own funds and carried back into this KFR by link — the K-factor card shows the figure and its date.