Related provisions for MIPRU 4.2BA.15
2The applicable data items referred to in SUP 16.12.4 R are set out according to type of firm in the table below.11
The applicable reporting frequencies for submission of data items and periods referred to in SUP 16.12.4 R are set out in the table below and are calculated from a firm'saccounting reference date, unless indicated otherwise.
The applicable due dates for submission referred to in SUP 16.12.4 R are set out in the table below. The due dates are the last day of the periods given in the table below following the relevant reporting frequency period. 11
96 | the Society (note 1) |
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Frequency |
Submission deadline |
Description of data item |
Frequency |
Submission deadline |
|
Annual Lloyd's return |
Annually |
6 months after the Society'saccounting reference date |
|||
Syndicate accounts and reports (note 2) |
Annually |
6 months after the Society'saccounting reference date |
|||
Quarterly reporting statement |
Quarterly |
15 business days after the quarter end |
|||
Balance Sheet |
|||||
FSA001 (note89 20) or 13 |
Quarterly or half yearly |
(note 14) |
|||
FSA029 |
Quarterly (note 14) |
(note 14) |
|||
Income Statement |
|||||
FSA002 (note20), or 13 |
Quarterly or half yearly (note 14) |
(note 14) |
|||
FSA030 |
Quarterly |
(note 14) |
|||
Capital Adequacy |
|||||
FSA003 (notes 4, 20) or |
Monthly, quarterly or half yearly (note 14) |
(note 14) |
|||
FSA033 (note 12) or |
Quarterly |
(note 14) |
|||
FSA034 (note 13) or |
Quarterly |
(note 14) |
|||
FSA035 (note 13) |
Quarterly |
(note 14) |
|||
Credit Risk |
|||||
FSA004 (notes 5, 20) 13 |
Quarterly or half yearly (note 14) |
(note 14) |
|||
Market Risk |
|||||
FSA005 (notes 6, 20) 13 |
Quarterly or half yearly (note 14) |
(note 14) |
|||
13 | |||||
13 | 13 | 13 | |||
13 | |||||
13 | 13 | 13 | |||
Large Exposures |
|||||
1513 | Quarterly |
20 business days (note 19) |
|||
13 | |||||
13 | 13 | 13 | |||
13 | |||||
13 | 13 | 13 | |||
13 | |||||
13 | 13 | 13 | |||
13 | |||||
13 | 13 | 13 | |||
13 | |||||
13 | 13 | 13 | |||
Note 1 |
The Society must prepare its reports in the format specified in IPRU(INS) Appendix 9.11, unless Note 2 applies. |
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Note 2 |
The Society must ensure that the annual syndicate accounts and reports are prepared in accordance with the Insurance Accounts Directive (Lloyd's Syndicate and Aggregate Accounts) Regulations 2008 (S.I. 2008/1950). |
||||
Note 3 |
[deleted]96 96 |
||||
Note 4 |
|||||
Note 5 |
This applies to a firm that is required to submit data item FSA003 and, at anytime within the 12 months up to its latest accounting reference date ("the relevant period"), was reporting data item FSA004 ("Firm A") or not reporting this item ("Firm B"). In the case of Firm A it must report this data item if one or both of its last two submissions in the relevant period show that the threshold was exceeded. In the case of Firm B it must report this item if both the last two submissions in the relevant period show that the threshold has been exceeded. The threshold is exceeded where data element 77A in data item FSA003 is greater than £10 million, or its currency equivalent, at the relevant reporting date for the firm. |
||||
Note 6 |
This applies to a firm that is required to submit data item FSA003 and, at anytime within the 12 months up to its latest accounting reference date ("the relevant period"), was reporting data item FSA005 ("Firm A") or not reporting this item ("Firm B"). In the case of Firm A it must report this data item if one or both of its last two submissions in the relevant period show that the threshold was exceeded. In the case of Firm B it must report this item if both the last two submissions in the relevant period show that the threshold has been exceeded. The threshold is exceeded where data element 93A in data item FSA003 is greater than £50 million, or its currency equivalent, at the relevant reporting date for the firm. |
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Note 7 |
[deleted]13 13 |
||||
Note 8 |
[deleted]13 13 |
||||
Note 9 |
[deleted]13 13 |
||||
Note 10 |
[deleted]13 13 |
||||
Note 11 |
[deleted]13 13 |
||||
Note 12 |
FSA033 is only applicable to firms subject to IPRU(INV) 3.80 |
||||
Note 13 |
Only applicable to firms subject to IPRU(INV) 5. FSA034 must be completed by a firm not subject to the exemption in IPRU(INV) 5.4.2R74, unless it is a firm whose permitted business includes establishing, operating or winding up a personal pension scheme, in which case FIN071 must be completed76. FSA035 must be completed by a firm subject to the exemption in IPRU(INV) 5.4.2R74. |
||||
Note 14 |
89All UK consolidation group reports report half yearly on 45 business days submission. All other firms report monthly on 20 business days submission. 373737 |
||||
Note 15 |
[deleted]89 |
||||
Note 16 |
[deleted]13 13 |
||||
Note 17 |
[deleted]13 13 |
||||
Note 18 |
[deleted]13 13 |
||||
Note 19 |
UK consolidation group reports have 45 business days submission. |
||||
Note 20 |
Firms that are members of a UK consolidation group are also required to submit FSA001, FSA002, FSA003, FSA004, FSA005 and FSA008 on a UK consolidation group basis. |
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15Note 21 |
[deleted]89 373737 |
The applicable data items referred to in SUP 16.12.4 R are set out according to firm type in the table below:
Firms’prudential category and applicable data items (note 1) |
|||||
Firms other than MIFIDPRU investment firms |
|||||
IPRU(INV)Chapter 3 |
IPRU(INV)Chapter 5 |
IPRU(INV)Chapter 13 |
|||
Solvency statement |
No standard format (note 4) |
No standard format (note 6) |
No standard format (note 4) |
||
Balance sheet |
FSA029 (note 2) |
FSA029 (note 5) |
FSA029 |
Section A RMAR |
|
Income statement |
FSA030 (note 2) |
FSA030 (note 5) |
FSA030 |
Section B RMAR |
|
Capital adequacy |
MIF001 (note 2 and 3) |
FSA033 (note 5) |
FSA034 or FSA035 or FIN071 (note 7) |
Section D1 RMAR |
|
Supplementary capital data for collective portfolio management investment firms |
FIN067 (note 13) |
||||
ICARA assessment questionnaire |
MIF007 (note 3) |
||||
Threshold conditions |
Section F RMAR |
||||
Client money and client assets |
FSA039 |
FSA039 |
FSA039 |
Section C RMAR |
|
CFTC |
FSA040 (note 8) |
FSA040 (note 8) |
FSA040 (note 8) |
FSA040 (note 8) |
|
Liquidity |
MIF002 (notes 2, 3 and 10) |
||||
Metrics reporting |
MIF003 (notes 2 and 3) |
||||
Concentration risk (non-K-CON) |
MIF004 (notes 2, 3 and 11) |
||||
Concentration risk (K-CON) |
MIF005 (notes 2, 3 and 11) |
||||
Group capital test |
MIF006 (notes 3 and 12) |
||||
Liquidity Questionnaire |
MLA-M (note 9) |
MLA-M (note 9) |
MLA-M (note 9) |
MLA-M (note 9) |
|
Note 1 |
All firms (except MIFIDPRU investment firms in relation to items reported under MIFIDPRU 9) must, when submitting the completed data item required, use the format of the data item set out in SUP 16 Annex 24R. Guidance notes for completion of the data items are contained in SUP 16 Annex 25G. |
||||
Note 2 |
A UK parent entity of an investment firm group to which consolidation applies under MIFIDPRU 2.5 must also submit this report on the basis of the consolidated situation. |
||||
Note 3 |
Data items MIF001 – MIF007 must be reported in accordance with the rules in MIFIDPRU 9. |
||||
Note 4 |
Only applicable to a firm that is a sole trader or partnership. Where the firm is a partnership, this report must be submitted by each partner. |
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Note 5 |
Except if the firm is an adviser (as referred to in IPRU-INV (3)-60(4)R). |
||||
Note 6 |
Only required in the case of an adviser (as referred to in IPRU-INV (3)-60(4)R)) that is a sole trader. |
||||
Note 7 |
FSA034 must be completed by a firm not subject to the exemption in IPRU(INV) 5.4.2R, unless it is a firm whose permitted business includes establishing, operating or winding up a personal pension scheme, in which case FIN071 must be completed. FSA035 must be completed by a firm subject to the exemption in IPRU(INV) 5.4.2R. |
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Note 8 |
Only applicable to firms granted a Part 30 exemption order and operating an arrangement to cover forward profits on the London Metals Exchange. |
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Note 9 |
Only applicable to RAG 3 firms carrying on home financing or home finance administration connected to regulated mortgage contracts, unless as at 26 April 2014 the firm’sPart 4A permission was and remains subject to a restriction preventing it from undertaking new home financing or home finance administration connected to regulated mortgage contracts. |
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Note 10 |
Does not apply to an SNI MIFIDPRU investment firm which has been granted an exemption from the liquidity requirements in MIFIDPRU 6. |
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Note 11 |
Only applicable to a non-SNI MIFIDPRU investment firm. |
||||
Note 12 |
Only applicable to a parent undertaking to which the group capital test applies. |
||||
Note 13 |
Only applicable to firms that are collective portfolio management investment firms. |
The applicable data items referred to in SUP 16.12.4 R are set out76 according to firm type76 in the table below:
Firms’ prudential category and applicable data items (note 1) |
|||||||
Firms other than MIFIDPRU investment firms |
|||||||
Chapter 3 |
Chapter 5 |
Chapter 11 |
Chapter 12 |
Chapter 13 |
|||
Solvency statement (note 2) |
No standard format |
No standard format |
No standard format |
||||
Balance sheet |
FSA029 (note 3) |
FSA029 |
FSA029 |
FSA029 |
FSA029 |
Section A RMAR |
|
Income statement |
FSA030 (note 3) |
FSA030 |
FSA030 |
FSA030 |
FSA030 |
Section B RMAR |
|
Capital adequacy |
MIF001 (note 3 and 4) |
FSA033 |
FSA034 or FSA035 or FIN071 (note 5) |
FIN066 |
FIN069 |
Section D1 RMAR |
|
ICARA assessment questionnaire |
MIF007 (note 4) |
||||||
Supplementary capital data for collective portfolio management investment firms |
FIN067 (note 9) |
||||||
Threshold conditions |
Section F RMAR |
||||||
Volumes and types of business |
FSA03895 |
FSA038 |
FSA038 |
FSA038 |
FSA038 |
||
Client money and client assets |
FSA039 |
FSA039 |
FSA039 |
FSA039 |
FSA039 |
Section C RMAR |
|
Liquidity |
MIF002 (notes 3, 4 and 6) |
||||||
Metrics monitoring |
MIF003 (notes 3 and 4) |
||||||
Concentration risk (non-K-CON) |
MIF004 (notes 3, 4 and 7) |
||||||
Concentration risk (K-CON) |
MIF005 (notes 3, 4 and 7) |
||||||
Group capital test |
MIF006 (notes 4 and 8) |
||||||
Information on P2P agreements |
FIN070 |
||||||
Note 1 |
All firms, except MIFIDPRU investment firms in relation to items reported under MIFIDPRU 9, must, when submitting the completed data item required, use the format of the data item set out in SUP 16 Annex 24. Guidance notes for completion of the data items are contained in SUP 16 Annex 25. |
||||||
Note 2 |
Only applicable to a firm that is a sole trader or partnership. Where the firm is a partnership, this report must be submitted by each partner. |
||||||
Note 3 |
A UK parent entity of an investment firm group to which consolidation applies under MIFIDPRU 2.5 must also submit this report on the basis of the consolidated situation. |
||||||
Note 4 |
Data items MIF001 – MIF007 must be reported in accordance with the rules in MIFIDPRU 9. |
||||||
Note 5 |
FSA034 must be completed by a firm not subject to the exemption in IPRU(INV) 5.4.2R, unless it is a firm whose permitted business includes establishing, operating or winding up a personal pension scheme, in which case FIN071 must be completed. FSA035 must be completed by a firm subject to the exemption in IPRU(INV) 5.4.2R. |
||||||
Note 6 |
Does not apply to an SNI MIFIDPRU investment firm which has been granted an exemption from the liquidity requirements in MIFIDPRU [6]. |
||||||
Note 7 |
Only applicable to a non-SNI MIFIDPRU investment firm. |
||||||
Note 8 |
Only applicable to a parent undertaking to which the group capital test applies. |
||||||
Note 9 |
Only applicable to firms that are collective portfolio management investment firms. |
The applicable data items, reporting frequencies and submission deadlines referred to in SUP 16.12.4 R are set out in the table below. Reporting frequencies are calculated from a firm'saccounting reference date, unless indicated otherwise. The due dates are the last day of the periods given in the table below following the relevant reporting frequency period.
Data item (note 1) |
Frequency |
Submission deadline |
|
Balance Sheet |
Sections A.1 and A.2 MLAR |
Quarterly |
|
Income Statement |
Sections B.0 and B.1 MLAR |
Quarterly |
|
Capital Adequacy(notes 4 and 5)70 58 |
Section C MLAR |
Quarterly |
|
Lending - Business flow and rates |
Section D MLAR |
Quarterly |
|
Residential Lending to individuals - New business profile |
Section E MLAR |
Quarterly |
|
Lending - arrears analysis |
Section F MLAR |
Quarterly |
|
Mortgage Administration - Business Profile |
Section G MLAR |
Quarterly |
|
Mortgage Administration - Arrears analysis |
Section H MLAR |
Quarterly |
|
Analysis of loans to customers |
Section A3 MLAR |
Quarterly |
|
Provisions analysis |
Section B2 MLAR |
Quarterly |
|
Fees and Levies |
Section J MLAR |
Annually |
|
Sale and rent back |
Section K MLAR |
Annually |
|
Credit Risk (notes 2 and 4)58 58 |
Section L MLAR |
Quarterly |
|
Liquidity (notes 3 and 4)58 58 |
Section M MLAR |
Quarterly |
|
Note 1 |
When submitting the completed data item required, a firm must use the format of the data item set out in SUP 16 Annex 19A. Guidance notes for the completion of the data items are set out in SUP 16 Annex 19B. |
||
Note 2 |
Only applicable to a firm that has one or more exposures that satisfy the conditions set out in MIPRU 4.2A.4 R, and: - has permission to carry on any home financing which is connected to regulated mortgage contracts; or - has permission to carry on home financing and home finance administration which is connected to regulated mortgage contracts (and no other activity); or - has permission to carry on home finance administration which is connected to regulated mortgage contracts and has all or part of the home finance transactions that it administers on its balance sheet. |
||
Note 3 |
Only applicable to a firm that:64 - is80 subject to MIPRU 4.2D; -80 has no restriction to its Part 4A permission preventing it from undertaking new home financing or home finance administration connected to regulated mortgage contracts; and - has permission to carry on any home financing or home finance administration connected to regulated mortgage contracts. 6464 |
||
Note 4 |
Not applicable if the firm exclusively carries on home finance administration or home finance providing activities in relation to second charge regulated mortgage contracts or legacy CCA mortgage contracts (or both)66. Also not applicable if the firm is a P2P platform operator facilitating home finance transactions.83 |
||
70Note 5 |
Only applicable to a firm that is subject to MIPRU 4.2 (Capital resources requirements). |
2The applicable data items referred to in SUP 16.12.4 R are set out according to type of firm in the table below:
Firms’ prudential category and applicable data item (note 1) |
|||
Chapter 13 |
Firms that are also in one or more of RAGs 2 to 6 and not subject to IPRU(INV) Chapter 13 |
||
Solvency statement |
No standard format (note 2) |
||
Balance sheet |
FSA029 (note 3) |
Section A RMAR |
|
Income statement |
FSA030 (note 3) |
Section B RMAR |
|
Capital adequacy |
MIF001 (notes 3 and 6) |
Section D1 RMAR (note 9) |
|
Liquidity |
MIF002 (notes 3, 4 and 6) |
||
Metrics monitoring |
MIF003 (notes 3 and 6) |
||
Concentration risk (non-K-CON) |
MIF004 (notes 3, 5 and 6) |
||
Concentration risk (K-CON) |
MIF005 (notes 3, 5 and 6) |
||
Group capital test |
MIF006 (notes 6 and 8) |
||
ICARA assessment questionnaire |
MIF007 (note 6) |
||
Supplementary capital data for collective portfolio management investment firms |
FIN067 (note 10) |
||
Professional indemnity insurance (note 11)90 |
Section E RMAR |
Section E RMAR |
Section E RMAR |
Threshold conditions |
Section F RMAR |
||
Training and competence |
Section G RMAR |
Section G RMAR |
Section G RMAR |
COBS data |
Section H RMAR |
Section H RMAR |
Section H RMAR |
Client money and client assets |
Section C RMAR |
Section C RMAR |
|
Fees and levies |
Section J RMAR |
Section J RMAR |
|
Adviser charges |
Section K RMAR (note 7) |
Section K RMAR (note 7) |
Section K RMAR (note 7) |
Note 1 |
When submitting the completed data item required, a firm (except a MIFIDPRU investment firm in relation to an item reported under MIFIDPRU 9) must use the format of the data item set out in SUP 16 Annex 24R, or SUP 16 Annex 18AR in the case of the RMAR. Guidance notes for completion of the data items are contained in SUP 16 Annex 25, or SUP 16 Annex 18BG in the case of the RMAR. |
||
Note 2 |
Only applicable to a firm that is a sole trader or partnership. Where the firm is a partnership, this report must be submitted by each partner. |
||
Note 3 |
A UK parent entity of an investment firm group to which consolidation applies under MIFIDPRU 2.5 must also submit this report on the basis of the consolidated situation. |
||
Note 4 |
Does not apply to an SNI MIFIDPRU investment firm which has been granted an exemption from the liquidity requirements in MIFIDPRU 6. |
||
Note 5 |
Only applicable to a non-SNI MIFIDPRU investment firm. |
||
Note 6 |
Data items MIF001 – MIF007 must be reported in accordance with the rules in MIFIDPRU 9. |
||
Note 7 |
This item only applies to firms that provide advice on retail investment products and P2P agreements. |
||
Note 8 |
Only applicable to a parent undertaking to which the group capital test applies. |
||
Note 9 |
Where a firm submits data items for both RAG 7 and RAG 9, the firm must complete Section D1. |
||
Note 10 |
Only applicable to firms that are collective portfolio management investment firms. |
||
Note 11 |
This item only applies94 to firms that are subject to an FCA requirement to hold professional indemnity insurance94. 90 |
2The applicable data items referred to in SUP 16.12.4 R are set out according to type of firm in the table below:
Firms’ prudential category and applicable data items (note 1) |
|||||
Firms other than MIFIDPRU investment firms |
|||||
Chapter 3 |
Chapter 5 |
Chapter 13 |
|||
Solvency statement (note 2) |
No standard format |
||||
Balance sheet |
FSA029 (note 3) |
FSA029 |
FSA029 |
Section A RMAR |
|
Income statement |
FSA030 (note 3) |
FSA030 |
FSA030 |
Section B RMAR |
|
Capital adequacy |
MIF001 (notes 3 and 5) |
FSA033 |
FSA034 or FSA035 or FIN071 (note 4) |
Section D1 RMAR |
|
Liquidity |
MIF002 (notes 3 and 5) |
||||
Metrics monitoring |
MIF003 (notes 3 and 5) |
||||
Concentration risk (non-K-CON) |
MIF004 (notes 3, 5 and 7) |
||||
Concentration risk (K-CON) |
MIF005 (notes 3, 5 and 7) |
||||
Group capital test |
MIF006 (notes 5 and 6) |
||||
ICARA assessment questionnaire |
MIF007 (note 5) |
||||
Threshold conditions |
Section F RMAR (note 17) |
||||
Client money and client assets |
FSA039 |
FSA039 |
FSA039 |
Section C RMAR (note 13) or FSA039 |
|
Note 1 |
All firms (except MIFIDPRU investment firms in relation to items reported under MIFIDPRU 9) when submitting the completed data item required, must use the format of the data item set out in SUP 16 Annex 24. Guidance notes for completion of the data items are contained in SUP 16 Annex 25. |
||||
Note 2 |
Only applicable to a firm that is a sole trader or partnership. Where the firm is a partnership, this report must be submitted by each partner. |
||||
Note 3 |
A UK parent entity of an investment firm group to which consolidation applies under MIFIDPRU 2.5 must also submit this report on the basis of the consolidated situation. |
||||
Note 4 |
FSA034 must be completed by a firm not subject to the exemption in IPRU(INV) 5.4.2R, unless it is a firm whose permitted business includes establishing, operating or winding up a personal pension scheme, in which case FIN071 must be completed. FSA035 must be completed by a firm subject to the exemption in IPRU(INV) 5.4.2R. |
||||
Note 5 |
Data items MIF001 – MIF007 must be reported in accordance with the rules in MIFIDPRU 9. |
||||
Note 6 |
Only applicable to a parent undertaking to which the group capital test applies. |
||||
Note 7 |
Only applicable to a non-SNI MIFIDPRU investment firm. |
Table: specific risk position risk adjustments
This table belongs to BIPRU 7.2.43R.
Issuer |
Residual maturity |
|
Debt securities issued or guaranteed by central governments, issued by central banks, international organisations, multilateral development banks or United Kingdom5 regional governments or local authorities which would qualify for credit quality step 1 or which would receive a 0% risk weight under the standardised approach to credit risk. |
Any |
0% |
(A) Debt securities issued or guaranteed by central governments, issued by central banks, international organisations, multilateral development banks or United Kingdom5 regional governments or local authorities which would qualify for credit quality step 2 or 3 under the standardised approach to credit risk. (B) Debt securities issued or guaranteed by institutions which would qualify for credit quality step 1 or 2 under the standardised approach to credit risk. (C) Debt securities issued or guaranteed by institution which would qualify for credit quality step 3 under BIPRU 3.4.34 R (Exposures to institutions: Credit assessment based method) or which would do so if it had an original effective maturity of three months or less. (D) Debt securities issued or guaranteed by corporates which would qualify for credit quality step 1, 2 or 32 under the standardised approach to credit risk. (E) Other qualifying debt securities (see BIPRU 7.2.49R) 2 |
Zero to six months |
0.25% |
over 6 and up to and including 24 months |
1% |
|
Over 24 months |
1.6% |
|
(A) Debt securities issued or guaranteed by central governments, issued by central banks, international organisations, multilateral development banks or United Kingdom5 regional governments or local authorities or institutions which would qualify for credit quality step 4 or 5 under the standardised approach to credit risk. (B) Debt securities issued or guaranteed by corporates which would qualify for credit quality step 4 under the standardised approach to credit risk. (C) Exposures for which a credit assessment by a nominated ECAI is not available. 2 |
Any |
8% |
(A) Debt securities issued or guaranteed by central governments, issued by central banks, international organisations, multilateral development banks or United Kingdom5 regional governments or local authorities or institution which would qualify for credit quality step 6 under the standardised approach to credit risk. (B) Debt securities issued or guaranteed by corporate which would qualify for credit quality step 5 or 6 under the standardised approach to credit risk. (C) An instrument that shows a particular risk because of the insufficient solvency of the issuer of liquidity. This paragraph applies even if the instrument would otherwise qualify for a lower position risk adjustment under this table. |
Any |
12% |
Note: The question of what a corporate is and of what category a debt security falls into must be decided under the rules relating to the standardised approach to credit risk. |
Table: specific risk position risk adjustments - standardised approach
3Credit quality step |
1 |
2 |
3 |
4 (only for credit assessments other than short-term credit assessments) |
All other credit quality steps |
1.6% |
4% |
8% |
28% |
100% |
|
3.2% |
8% |
18% |
52% |
100% |
|
A firm may only apply the position risk adjustments in this table where it would have to calculate a risk weighted exposure amount in accordance with the standardised approach to securitisation and resecuritisation positions if such positions were in its non-trading book under BIPRU 9. The appropriate position risk adjustment is calculated as 8% of the risk weight that would apply to the position under the standardised approach in BIPRU 9.11.2 R, subject to the requirements of BIPRU 9.9 to BIPRU 9.11, where appropriate. |
Table: specific risk Position Risk Adjustments - IRB approach
3Credit Quality Step |
Securitisation positions |
Resecuritisation positions |
||||
Credit assessments other than short term |
Short-term credit assessments |
A |
B |
C |
D |
E |
1 |
1 |
0.56% |
0.96% |
1.6% |
1.6% |
2.4% |
2 |
0.64% |
1.20% |
2% |
2% |
3.2% |
|
3 |
0.8% |
1.44% |
2.8% |
2.8% |
4% |
|
4 |
2 |
0.96% |
1.6% |
3.2% |
5.2% |
|
5 |
1.60% |
2.8% |
4.8% |
8% |
||
6 |
2.8% |
4% |
8% |
12% |
||
7 |
3 |
4.8% |
6% |
12% |
18% |
|
8 |
8% |
16% |
28% |
|||
9 |
20% |
24% |
40% |
|||
10 |
34% |
40% |
52% |
|||
11 |
52% |
60% |
68% |
|||
all other unrated |
100% |
|||||
A firm may only apply the position risk adjustments in this table where it would have to calculate a risk weighted exposure amount in accordance with the IRB approach to securitisation and resecuritisation positions if such positions were in its non-trading book under BIPRU 9. The appropriate position risk adjustment is calculated as 8% of the risk weight that would apply to the position under the IRB approach in BIPRU 9.12.11 R, subject to the requirements in BIPRU 9.12 where appropriate. |