BIPRU TP 11 IRB transitionals
1Application |
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11.1 |
R |
BIPRU TP 11 applies to a BIPRU firm that uses the IRB approach. |
Purpose |
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11.2 |
G |
BIPRU TP 11 implements Articles 154(2), (3) and (5) of the Banking Consolidation Directive and (in part) Article 17 of the Capital Adequacy Directive. |
Use requirement |
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11.3 |
R |
In accordance with Article 154(2) of the Banking Consolidation Directive, for a firm applying for the use of the IRB approach before 2010, the three years' use requirement prescribed in BIPRU 4.2.11 R (Requirements concerning the experience requirement) is reduced to a period of one year until 31 December 2009. |
11.4 |
R |
In accordance with Article 154(3) of the Banking Consolidation Directive, for a firm applying for the use of own estimates of LGDs and/or conversion factors, the three year use requirement prescribed in BIPRU 4.2.13 R (Requirements concerning the experience requirement) is reduced to two years until 31 December 2008. |
11.5 |
G |
The transitional period in BIPRU TP 11.3R rather than that in BIPRU TP 11.4R applies to retail exposures. |
Residential properties |
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11.6 |
R |
In accordance with Article 154(5) of the Banking Consolidation Directive, until 31 December 20122, the exposure-weighted average LGD for all retail exposures secured by residential properties and not benefiting from guarantees from central governments must not be lower than 10%. 2 |
Expected loss |
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11.7 |
R |
BIPRU TP 11.3R to BIPRU TP 11.6R also apply for the purpose of BIPRU 14.2.18 R and BIPRU 14.2.19 R (Treatment of expected loss amounts under the IRB approach) and GENPRU 2.2.193 R (Upper tier two capital: Surplus provisions). |