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 PRAThis table belongs to BIPRU 7.6.7RUnderlying positionAppropriate PRAEquityThe PRA 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 PRA (see BIPRU 7.2.43R to BIPRU 7.2.51G (Specific risk calculation)) and the general market risk PRA (as set out in BIPRU 7.2.57R (General market risk PRAs)) applicable to the underlying positionDebt securitiesThe sum of the specific
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 PRAIn the money by less than the PRAOut of the money or at the moneyLong in security or goldLong putZeroWpXShort callYYZShort in security or goldLong callZeroWcXShort putYYZWhere:Wp means{(PRA-100%) x The underlying position valued at strike price}+The market value of the underlying positionWc
Table: simplified equity method PRAsThis table belongs to BIPRU 7.3.29RInstrumentPRASingle equities12%Qualifying equity indices (see BIPRU 7.3.38R)8%All other equity indices or baskets12%If it is necessary to distinguish between the specific risk PRA and the general market risk PRA, the specific risk PRA for the first and third rows is 4% and that for the second row is 0%. The rest of the PRA in the second column is the general market risk PRA.
Table: PRAsfor specific risk under the standard equity methodThis table belongs to BIPRU 7.3.33R1InstrumentPRAQualifying equities2%Qualifying equity indices (see BIPRU 7.3.38R)0%All other equities, equity indices or equities baskets4%
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 itemFirms prudential category and applicable data items (note 1)BIPRU firms (note 17)2Firmsother thanBIPRU firms730K125K and UCITS investment firms50KIPRU(INV)2Chapter 3IPRU(INV)2Chapter 5IPRU(INV)2Chapter 9IPRU(INV)2Chapter 13UPRUAnnual accountsNo standard formatNo standard format (note 19)2No standard format2No standard format (note 21)3No standard
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 requirementConsolidated operational risk requirementOperational
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: Positions other than ones with short-term credit assessmentsThis table belongs to BIPRU 9.12.10 RCredit Quality Step (CQS)Risk weightABCCQS 17%12%20%CQS 28%15%25%CQS 310%18%35%CQS 412%20%CQS 520%35%CQS 635%50%CQS 760%75%CQS 8100%CQS 9250%CQS 10425%CQS 11650%Below CQS 111250%[Note: For mapping of the credit quality step to the credit assessments of eligible ECAIs, referto: ]