Related provisions for BIPRU 3.4.88

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BIPRU 13.4.3RRP
A firm must obtain a figure for potential future credit exposure by multiplying the notional principal amounts or underlying values by the percentages in the table in BIPRU 13.4.5 R.[Note: BCD Annex III Part 3, Step (b) (part)]
BIPRU 13.4.12RRP
A firm must calculate the exposure value as the sum of:(1) the current replacement cost calculated under BIPRU 13.4.2 R; and(2) the potential future credit exposure calculated under BIPRU 13.4.3 R.[Note: BCD Annex III Part 3, Step (c)]
BIPRU 4.2.2RRP
A firm's systems for the management and rating of credit risk exposures must be sound and implemented with integrity and, in particular, they must meet the following standards in accordance with the minimum IRB standards:(1) the firm'srating systems provide for a meaningful assessment of obligor and transaction characteristics, a meaningful differentiation of risk and accurate and consistent quantitative estimates of risk;(2) internal ratings and default and loss estimates used
BIPRU 5.8.9RRP
(1) The maturity of the credit protection and that of the exposure must be reflected in the adjusted value of the collateral according to the following formula:CVAM = CVA x (t-t*)/(T-t*)where:(a) CVA is the volatility adjusted value of the collateral as specified in BIPRU 5.4.28 R or the amount of the exposure, whichever is the lowest;(b) t is the number of years remaining to the maturity date of the credit protection calculated in accordance with BIPRU 5.8.3 R to BIPRU 5.8.5
BIPRU 5.8.11RRP
(1) The maturity of the credit protection and that of the exposure must be reflected in the adjusted value of the credit protection according to the following formula:GA = G* x (t-t*)/(T-t*)where:(a) G* is the amount of the protection adjusted for any currency mismatch;(b) GA is G* adjusted for any maturity mismatch;(c) t is the number of years remaining to the maturity date of the credit protection calculated in accordance with BIPRU 5.8.3 R to BIPRU 5.8.5 R, or the value of
IFPRU 4.2.6GRP
Where an exposure is denominated in a currency other than the euro, the FCA expects a firm to use appropriate and consistent exchange rates to determine compliance with relevant thresholds in the EU CRR. Accordingly, a firm should calculate the euro equivalent value of the exposure for the purposes of establishing compliance with the aggregate monetary limit of €1 million for retail exposures using a set of exchange rates the firm considers to be appropriate. The FCA expects a
IFPRU 1.3.1RRP
Except for operational risk, a firm that is permitted to use internal approaches for the calculation of risk weighted exposure amounts or own fund requirements must report annually to the FCA: (1) the results of the calculations of its internal approaches for its exposures or positions that are included in the benchmark portfolios; and(2) an explanation of the methodologies used to produce those calculations in (1).[Note: article 78(1) of CRD]
BIPRU 7.5.18RRP
(1) This rule deals with positions in CIUs.(2) The actual foreign currencypositions of a CIU must be included in a firm'sforeign currency PRR calculation under BIPRU 7.5.1 R1.(3) A firm may rely on third party reporting of the foreign currencypositions in the CIU, where the correctness of this report is adequately ensured.(4) If a firm is not aware of the foreign currencypositions in a CIU, the firm must assume that the CIU is invested up to the maximum extent allowed under the
BIPRU 3.5.2GRP
The approach in this section is only likely to be relevant for a limited licence firm or a limited activity firm that has only incidental credit exposures and for whom it would be prohibitively costly to establish the systems needed to include the credit assessments of ECAIs and export credit agencies in its regulatory capital calculations. However the approach may be used by other firms if appropriate. A firm should notify the appropriate regulator if it adopts the approach in
BIPRU 1.2.16RRP
By way of derogation from 1BIPRU 1.2.14 R to BIPRU 1.2.15 R, when a firm hedges a non-trading book credit risk exposure using a credit derivative booked in its trading book (using an internal hedge), the non-trading book exposure is not deemed to be hedged for the purposes of calculating capital requirements unless the firm purchases from an eligible third party protection provider a credit derivative meeting the requirements set out in BIPRU 5.7.13 R (Additional requirements
BIPRU 9.3.7RRP
1Significant credit risk will be considered to have been transferred for originators in the following cases:(1) the risk weighted exposure amounts of the mezzanine securitisation positions held by the originator in the securitisation do not exceed 50% of the risk weighted exposure amounts of all mezzanine securitisation positions existing in this securitisation;(2) where there are no mezzanine securitisation positions in a given securitisation and the originator can demonstrate