Related provisions for BIPRU 13.5.11
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 3.4.37 R.
1 
2 
3 
4 
5 
6 

20% 
20% 
20% 
50% 
50% 
150% 
This table belongs to BIPRU 13.5.5 R.
Transaction or instrument 
Calculation of size of risk position 
Transaction with linear risk profile except for debt instruments. 
The effective notional value (market price multiplied by quantity) of the underlying financial instruments (including commodities) converted to the firm's domestic currency. 
Debt instruments and payment legs. 
The effective notional value of the outstanding gross payments (including the notional amount) converted to the firm'sbase currency, multiplied by the modified duration of the debt instrument, or payment leg, respectively. 
Credit default swap 
The notional value of the reference debt instrument multiplied by the remaining maturity of the credit default swap. 
2Nth to default credit default swap 
The effective notional value of the reference debt instrument, multiplied by the modified duration of the nth to default derivative with respect to a change in the credit spread of the reference debt instrument. 
Subject to BIPRU 13.5.9 R to BIPRU 13.5.10 R, financial derivative instrument with a nonlinear risk profile, including options and swaptions except in the case of an underlying debt instrument. 
Equal to the delta equivalent effective notional value of the financial instrument that underlies the transaction. 
Subject to BIPRU 13.5.9 R to BIPRU 13.5.10 R, financial derivative instrument with a nonlinear risk profile, including options and swaptions, of which the underlying is a debt instrument or a payment leg. 
Equal to the delta equivalent effective notional value of the financial instrument or payment leg multiplied by the modified duration of the debt instrument, or payment leg, respectively. 
This table belongs to BIPRU 13.5.12 R:
Government referenced interest rates 
Nongovernment referenced interest rates 

Maturity 
<= 1 year 
<= 1 year 
Maturity 
>1 <= 5 years 
>1 <= 5 years 
Maturity 
> 5 years 
> 5 years 
[Note: BCD Annex III Part 5 Table 4]
This table belongs to BIPRU 13.5.21 R.
Hedging set categories 

(1) 
Interest Rates 
0.2% 
(2) 
Interest Rates for risk positions from a reference debt instrument that underlies a credit default swap and to which a capital charge of 1.60%, or less, applies under BIPRU 7.2.44 R1. 
0.3% 
(3) 
Interest Rates for risk positions from a debt instrument or reference debt instrument to which a capital charge of more than 1.60% applies under BIPRU 7.2.44 R. 
0.6% 
(4) 
Exchange Rates 
2.5% 
(5) 
Electric power 
4.0% 
(6) 
Gold 
5.0% 
(7) 
Equity 
7.0% 
(8) 
Precious Metals (except gold) 
8.5% 
(9) 
Other commodities (excluding precious metals and electricity power) 
10.0% 
(10) 
Reference debt instruments of an nth to default derivative that have a credit assessment from a recognised ECAI equivalent to credit quality step 1 to 32 2 
0.3%2 
2(11) 
Reference debt instruments of an nth to default derivative that do not have a credit assessment from a recognised ECAI equivalent to credit quality step 1 to 3 
0.6% 
2(12) 
Underlying instruments of financial derivative instrument that are not in any of the above categories. 
10.0% 
[Note: BCD Annex III Part 5 Table 5 and Part 5 point 15 (c)2]
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))/(1EXP(35)) + 0.16* 
[1(1EXP(35*PD))/(1EXP(35))] 

Risk weight (RW) 
(LGD*N[(1R)^{0.5}*G(PD)+(R/(1R))^{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 EL_{BE})} where EL_{BE}must 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:
This table belongs to BIPRU 9.12.10 R
44Credit Quality Step 
Securitisation positions 
Resecuritisation positions 

Credit assessments other than short term 
Shortterm 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, refer to: http://www.fca.org.uk/yourfca/documents/fsaecaissecuritisation for the FCA and http://www.bankofengland.co.uk/publications/Documents/other/pra/policy/2013/ecaissecuritisation.pdf for the PRA.]
Table: Expected loss values for specialised lending
This table belongs to BIPRU 4.5.12 R
Remaining maturity 
Category 1 (Strong) 
Category 2 (Good) 
Category 3 (Satisfactory) 
Category 4 (Weak) 
Category 5 
Less than 2.5 years 
0% 
0.4% 
2.8% 
8% 
50% 
Equal or more than 2.5 years 
0.4% 
0.8% 
2.8% 
8% 
50% 
The coverage of each of the categories is set out in BIPRU 4.5.6 R 
[Note:BCD Annex VII Part 1 point 31 (part)]