# Related provisions for BIPRU 3.4.12

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BIPRU 3.4.38RRP

This table belongs to BIPRU 3.4.37 R.

 Credit quality step 1 2 3 4 5 6 Risk weight 20% 20% 20% 50% 50% 150%
BIPRU 4.10.51RRP
GA as calculated under BIPRU 5.8.11 R is then taken as the value of the protection for the purposes of calculating the effects of unfunded credit protection under the IRB approach.[Note: BCD Annex VIII Part 4 point 8 (part)]
BIPRU 4.6.42RRP

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. Risk weighted exposure amount equals RW*exposure value

[Note:BCD Annex VII Part 1 point 10 (part)]

BIPRU 9.12.11RRP

Table:

This table belongs to BIPRU 9.12.10 R

4
 4Credit 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, refer to: http://www.fca.org.uk/your-fca/documents/fsa-ecais-securitisation for the FCA and http://www.bankofengland.co.uk/publications/Documents/other/pra/policy/2013/ecaissecuritisation.pdf for the PRA.]

[Note:BCD, Annex IX, Part 4, point 46]4

BIPRU 13.8.8RRP
A firm may attribute an exposure value of zero for CCR to a securities financing transaction or to any other exposures in respect of that transaction (but excluding an exposure arising from collateral held to mitigate losses in the event of the default of other participants in the central counterparty's arrangements) which is outstanding with a central counterparty and has not been rejected by the central counterparty.[Note: BCD Annex III Part 2 point 6 in respect of SFTs]
BIPRU 3.7.2RRP

This table belongs to BIPRU 3.7.1 R

[Note: BCD Annex II]

 Category Item Percentage Full risk Guarantees having the character of credit substitutesCredit derivativesAcceptancesEndorsements on bills not bearing the name of another credit institutionTransactions with recourseIrrevocable standby letters of credit having the character of credit substitutesAssets purchased under outright forward purchase agreementsForward depositsThe unpaid portion of partly-paid shares and securitiesAsset sale and repurchase agreements as defined in Article 12(3) and (5) of the Bank Accounts DirectiveOther items also carrying full risk 100% Medium risk Documentary credits issued and confirmed (see also medium/low risk).Warranties and indemnities (including tender, performance, customs and tax bonds) and guarantees not having the character of credit substitutes.Irrevocable standby letters of credit not having the character of credit substitutes.Undrawn credit facilities (agreements to lend, purchase securities, provide guarantees or acceptance facilities) with an original maturity of more than one year.Note issuance facilities (NIFs) and revolving underwriting facilities (RUFs). 50% Medium/low risk Documentary credits in which underlying shipment acts as collateral and other self-liquidating transactions.Undrawn credit facilities (agreements to lend, purchase securities, provide guarantees or acceptance facilities) with an original maturity of up to and including one year which may not be cancelled unconditionally at any time without notice or that do not effectively provide for automatic cancellation due to deterioration in a borrower's creditworthiness. 20% Low risk Undrawn credit facilities (agreements to lend, purchase securities, provide guarantees or acceptance facilities) which may be cancelled unconditionally at any time without notice, or that do effectively provide for automatic cancellation due to deterioration in a borrower's creditworthiness. Retail credit lines may be considered as unconditionally cancellable if the terms permit the firm to cancel them to the full extent allowable under consumer protection and related legislation. 0%