Related provisions for BIPRU 3.4.20
This table belongs to BIPRU 3.4.2 R.
1 |
2 |
3 |
4 |
5 |
6 |
|
0 % |
20 % |
50 % |
100 % |
100 % |
150 % |
This table belongs to BIPRU 3.4.8 R.
MEIP |
0 |
1 |
2 |
3 |
4 |
5 |
6 |
7 |
0% |
0% |
20% |
50% |
100% |
100% |
100% |
150% |
This table belongs to BIPRU 3.4.11 R.
Credit quality step to which central government is assigned |
1 |
2 |
3 |
4 |
5 |
6 |
20% |
50% |
100% |
100% |
100% |
150% |
This table belongs to BIPRU 3.4.34 R.
1 |
2 |
3 |
4 |
5 |
6 |
|
20% |
50% |
50% |
100% |
100% |
150% |
This table belongs to BIPRU 3.4.37 R.
1 |
2 |
3 |
4 |
5 |
6 |
|
20% |
20% |
20% |
50% |
50% |
150% |
Table: Exposures in the form of CIUs for which a credit assessment by a nominated ECAI is available
This table belongs to BIPRU 3.4.116 R.
1 |
2 |
3 |
4 |
5 |
6 |
|
20% |
50% |
100% |
100% |
150% |
150% |
Table: Minimum LGD for secured portion of exposures
This table belongs to BIPRU 4.10.24 R - BIPRU 4.10.27 R
LGD* for senior claims or contingent claims |
LGD* for subordinated claims or contingent claims |
Required minimum collateralisation level of the exposure (C*) |
Required minimum collateralisation level of the exposure (C**) |
|
Receivables |
35% |
65% |
0% |
125% |
Residential real estate/commercial real estate |
35% |
65% |
30% |
140% |
Other collateral |
40% |
70% |
30% |
140% |
[Note: BCD Annex VIII Part 3 point 72 (part)]
Table: Formulae for the calculation of risk weighted exposure amounts
This table belongs to BIPRU 4.4.57 R
Correlation (R) |
0.12 × (1 - EXP(-50*PD))/(1-EXP(-50)) + 0.24* |
|
[1-(1-EXP(-50*PD))/(1-EXP(-50))] |
||
Maturity factor (b) |
(0.11852-0.05478*1n(PD))2 |
|
(1-1.5*b)-1*(1+(M-2.5)*b)*12.5*1.06 |
||
N(x) |
denotes the cumulative distribution function for a standard normal random variable (i.e. the probability that a normal random variable with mean zero and variance of one is less than or equal to x). G(z) denotes the inverse cumulative distribution function for a standard normal random variable (i.e. the value x such that N(x) = z). |
|
PD = 0 |
For PD = 0, RW shall be: 0 |
|
PD = 1 |
For PD = 1: |
|
(i) |
for defaultedexposures where a firm applies the LGD values set out in BIPRU 4.4.32R and BIPRU 4.8.25R RW shall be: 0; |
|
(ii) |
for defaultedexposures where a firm uses its own estimates of LGDs, RW shall be: Max {0, 12.5 *(LGD-ELBE)}; |
|
where ELBEmust be the firm's best estimate of expected loss for the defaultedexposure according to BIPRU 4.3.122 R. |
[Note:BCD Annex VII Part 1 point 3]
3Table: Formulae for the calculation of expected loss amounts
This table belongs to BIPRU 4.4.61 R
Expected loss amount |
|
For defaultedexposures (PD = 1) where a firm uses its own estimates of LGDs, EL must be ELBE, the firm's best estimate of expected loss for the defaultedexposure according to BIPRU 4.3.122 R. |
|
For exposures subject to the treatment set out in BIPRU 4.4.79 R (Double default) EL must be 0. |
[Note:BCD Annex VII Part 1 point 30 (part)]
Table: Risk weighted exposure amounts for retail exposures
This table belongs to BIPRU 4.6.41 R
Correlation (R) |
0.03 × (1 - EXP(-35*PD))/(1-EXP(-35)) + 0.16* |
[1-(1-EXP(-35*PD))/(1-EXP(-35))] |
|
Risk weight (RW) |
(LGD*N[(1-R)-0.5*G(PD)+(R/(1-R))0.5 *G(0.999)]-PD*LGD)* 12.5*1.06 |
N(x) |
denotes the cumulative distribution function for a standard normal random variable (i.e. the probability that a normal random variable with mean zero and variance of one is less than or equal to x). |
G(z) |
denotes the inverse cumulative distribution function for a standard normal random variable (i.e. the value x such that N(x) = z). |
PD = 1 |
For PD = 1 (defaultedexposure), RW must be: Max {0, 12.5 *(LGD- ELBE)} where ELBEmust be the firm's best estimate of expected loss for the defaultedexposure according to BIPRU 4.3.122 R. |
equals RW*exposure value |
[Note:BCD Annex VII Part 1 point 10 (part)]
Table: Formulae for the calculation of expected loss amounts
This table belongs to BIPRU 4.6.47 R
Expected loss amount |
|
For defaultedexposures (PD = 1) where a firm uses its own estimates of LGDs, EL must be ELBE, the firm's best estimate of expected loss for the defaultedexposure according to BIPRU 4.3.122 R. For exposures subject to the treatment set out in BIPRU 4.4.79 R (Double default) EL must be 0. |
[Note:BCD Annex VII Part 1 point 30 (part)]
This table belongs to BIPRU 5.4.34 R.
Other collateral or exposure types |
|||
20 day liquidation period (%) |
10 day liquidation period (%) |
5 day liquidation period (%) |
|
Main index equities, main index convertible bonds |
21.213 |
15 |
10.607 |
Other equities or convertible bonds listed on a recognised investment exchange or designated investment exchange |
35.355 |
25 |
17.678 |
Cash |
0 |
0 |
0 |
Gold |
21.213 |
15 |
10.607 |
Table:
This table belongs to BIPRU 9.12.10 R
44Credit Quality Step |
Securitisation positions |
Resecuritisation positions |
||||
Credit assessments other than short term |
Short-term credit assessments |
A |
B |
C |
D |
E |
1 |
1 |
7% |
12% |
20% |
20% |
30% |
2 |
8% |
15% |
25% |
25% |
40% |
|
3 |
10% |
18% |
35% |
35% |
50% |
|
4 |
2 |
12% |
20% |
40% |
65% |
|
5 |
20% |
35% |
60% |
100% |
||
6 |
35% |
50% |
100% |
150% |
||
7 |
3 |
60% |
75% |
150% |
225% |
|
8 |
100% |
200% |
350% |
|||
9 |
250% |
300% |
500% |
|||
10 |
425% |
500% |
650% |
|||
11 |
650% |
750% |
850% |
|||
all other, unrated |
1250% |
[Note: For mapping of the credit quality step to the credit assessments of eligible ECAIs, referto: www.fsa.gov.uk/pubs/international/ecais_securitisation.pdf ]