Related provisions for BIPRU 3.5.4

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This table belongs to BIPRU 3.4.2 R.Credit quality step123456Risk weight0 %20 %50 %100 %100 %150 %
This table belongs to BIPRU 3.4.11 R.Credit quality step to which central government is assigned123456Risk weight of exposure20%50%100%100%100%150%
This table belongs to BIPRU 3.4.34 R.Credit quality step123456Risk weight20%50%50%100%100%150%
This table belongs to BIPRU 3.4.37 R.Credit quality step123456Risk weight20%20%20%50%50%150%
This table belongs to BIPRU 3.4.50 R.Credit quality step123456Risk weight20%50%100%100%150%150%
(1) 4This paragraph provides guidance on BIPRU 3.4.56A R.(2) For the purposes of BIPRU 3.4.56A R (2), a firm may use the FTSE UK gilt 10-year yield index which the Council of Mortgage Lenders makes available to its members.(3) If a firm offers a variable interest rate on a lifetime mortgage, it should calculate an average interest rate in a way which is consistent with the calculation of the discount rate.(4) To determine the projected number of years to maturity of the exposure,
BIPRU 3.4.117RRP
Table: Exposures in the form of CIUs for which a credit assessment by a nominated ECAI is availableThis table belongs to BIPRU 3.4.116 R.Credit quality step123456Risk weight20%50%100%100%150%150%
This table belongs to BIPRU 13.5.5 R.Transaction or instrumentCalculation of size of risk positionTransaction 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
BIPRU 13.5.13RRP
This table belongs to BIPRU 13.5.12 R:Government referenced interest ratesNon-government referenced interest ratesMaturity<= 1 year<= 1 yearMaturity>1 <= 5 years>1 <= 5 yearsMaturity> 5 years> 5 years[Note: BCD Annex III Part 5 Table 4]
BIPRU 13.5.22RRP
This table belongs to BIPRU 13.5.21 R.Hedging set categoriesCCR Multiplier (CCRM)(1)Interest Rates0.2%(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 Rates2.5%(5)Electric
Table: Appropriate position risk adjustmentThis table belongs to BIPRU 7.6.7RUnderlying positionAppropriate position risk adjustmentEquityThe position risk adjustment applicable to the underlying equity or equity index in the table in BIPRU 7.3.30R (Simplified equity method)Interest rateThe sum of the specific risk position risk adjustment (see BIPRU 7.2.43R to BIPRU 7.2.51G (Specific risk calculation)) and the general market risk position risk adjustment (as set out in BIPRU
Table: Derived positionsThis table belongs to BIPRU 7.6.9RUnderlyingOption (or warrant)Derived positionEquityOption (warrant) on a single equity or option on a future/forward on a single equityA notional position in the actual equity underlying the contract valued at the current market price of the equity.Option (warrant) on a basket of equities or option on a future/forward on a basket of equitiesA notional position in the actual equities underlying the contract valued at the
Table: The hedging method of calculating the PRR (equities, debt securities and gold)This table belongs to BIPRU 7.6.24R(1) - (3)PRROption or warrantpositionIn the money by more than the position risk adjustmentIn the money by less than the position risk adjustmentOut of the money or at the moneyLong in security or goldLong putZeroWpXShort callYYZShort in security or goldLong callZeroWcXShort putYYZWhere:Wp means{(position risk adjustment-100%) x The underlying position valued
SYSC 7.1.-2GRP
19For a common platform firm:(1) the MiFID Org Regulation applies, as summarised in SYSC 1 Annex 1 3.2G, SYSC 1 Annex 1 3.2-AR and SYSC 1 Annex 1 3.2-BR; and(2) the rules and guidance apply as set out in the table below:SubjectApplicable rule or guidanceRisk assessmentSYSC 7.1.1GRisk management SYSC 7.1.4R, SYSC 7.1.4AGRisk control: remuneration SYSC 7.1.7BG, SYSC 7.1.7BBGRisk control: additional provisions SYSC 7.1.7CG, SYSC 7.1.8G, SYSC 7.1.9R to SYSC 7.1.16RAdditional rules
Table: simplified equity method position risk adjustmentsThis table belongs to BIPRU 7.3.29RInstrumentPosition risk adjustmentSingle equities16%22Qualifying equity indices2 (see BIPRU 7.3.38R)28%All other equity indices or baskets16%22If it is necessary to distinguish between the specific risk position risk adjustment and the general market risk position risk adjustment, the specific risk position risk adjustment for the first and third rows is 8%2 and that for the second row
Table: position risk adjustment for specific risk under the standard equity methodThis table belongs to BIPRU 7.3.33R1InstrumentPosition risk adjustmentQualifying equity indices2 (see BIPRU 7.3.38R)20%All equities, and other2equity indices or equity2 baskets228%22
SUP 16.12.11RRP
The applicable data items referred to in SUP 16.12.4 R are set out according to firm type in the table below:Description of data item45Firms' prudential category and applicable data items(note 1)IFPRU investment firms and BIPRU firmsFirmsother thanBIPRU firms or IFPRU investment firmsIFPRUBIPRUIPRU(INV)Chapter 3IPRU(INV)Chapter 5IPRU(INV)Chapter 9IPRU(INV)Chapter 1338Solvency statementNo standard format (note 11)No standard format (note 20)No standard format (note 11)38Balance
Table: Expected loss values for specialised lendingThis table belongs to BIPRU 4.5.12 RRemaining maturityCategory 1 (Strong)Category 2 (Good)Category 3 (Satisfactory)Category 4 (Weak)Category 5Less than 2.5 years0%0.4%2.8%8%50%Equal or more than 2.5 years0.4%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)]
Table: Risk weighted exposure amounts for retail exposuresThis table belongs to BIPRU 4.6.41 RCorrelation (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*1.06N(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
Table: Capital charges relating to consolidated requirement componentsThis table belongs to BIPRU 8.7.11 RConsolidated requirement componentRules on which the consolidated requirement component are based (the applicable risk capital requirement)Consolidated credit risk requirementCredit risk capital requirementConsolidated fixed overheads requirementFixed overheads requirementConsolidated market risk requirementMarket risk capital requirement3
Table : Simplified method of calculating risk weightsThis table belongs to BIPRU 3.5.4 G.Exposure classExposure sub-classRisk weightsCommentsCentral governmentExposures to United Kingdom government or Bank of England in sterling0%Exposures to United Kingdom government or Bank of England in the currency of another EEA State0%See Note 2.Exposures to EEA State's central government or central bank in currency of that state0%Exposures to EEA State's central government or central bank
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 9.12.11RRP
Table: This table belongs to BIPRU 9.12.10 R44Credit Quality StepSecuritisation positionsResecuritisation positionsCredit assessments other than short termShort-term credit assessmentsABCDE117%12%20%20%30%28%15%25%25%40%310%18%35%35%50%4212%20%40%65%520%35%60%100%635%50%100%150%7360%75%150%225%8100%200%350%9250%300%500%10425%500%650%11650%750%850%all other, unrated1250%[Note: For mapping of the credit quality step to the credit assessments of eligible ECAIs, refer to: