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  1. Point in time
    2011-12-31

BIPRU 13.1 Application and Purpose

Application

BIPRU 13.1.1RRP

1BIPRU 13 applies to a BIPRU firm.

BIPRU 13.1.2RRP

  1. (1)

    BIPRU 13 applies to items in the non-trading book.

  2. (2)

    BIPRU 13 applies to trading book items for the purposes of BIPRU 14.

BIPRU 13.1.3GRP

The requirement to calculate the counterparty credit risk capital charge for trading book items is set out in BIPRU 14.

Purpose

BIPRU 13.1.4GRP

BIPRU 13 implements:

  1. (1)

    Article 78(2) and (4);

  2. (2)

    point 3 of Part 1, and Parts 2, 3, 5, 6 and 7 of Annex III; and

  3. (3)

    Annex IV;

of the Banking Consolidation Directive.

BIPRU 13.1.5GRP

BIPRU 13.3 sets out the calculations of exposure values for financial derivative instrument, long settlement transactions and certain other transactions under the standardised approach and, subject to BIPRU 4, under the IRB approach. BIPRU 13.4, 13.5 and 13.6 set out the provisions relating to the CCR mark to market method, the CCR standardised method and the CCR internal model method in turn.

BIPRU 13.1.6GRP

BIPRU 13.8 sets out a summary of the treatment of securities financing transactions.