Related provisions for BIPRU 4.1.18

1 - 13 of 13 items.

Search Term(s)

Filter by Modules

Filter by Documents

Filter by Keywords

Effective Period

Similar To

To access the FCA Handbook Archive choose a date between 1 January 2001 and 31 December 2004 (From field only).

BIPRU 7.2.48ERRP
Table: specific risk Position Risk Adjustments - IRB approach3Credit Quality StepSecuritisation positionsResecuritisation positionsCredit assessments other than short termShort-term credit assessmentsABCDE110.56%0.96%1.6%1.6%2.4%20.64%1.20%2%2%3.2%30.8%1.44%2.8%2.8%4%420.96%1.6%3.2%5.2%51.60%2.8%4.8%8%62.8%4%8%12%734.8%6%12%18%88%16%28%920%24%40%1034%40%52%1152%60%68%all other unrated100%A firm may only apply the position risk adjustments in this table where it would have to calculate
BIPRU 9.12.20RRP
(1) If:(a) a firm'sIRB permission allows it to use this treatment; and(b) the conditions in (2)(16) are satisfied,a firm may attribute to an unrated position in an asset backed commercial paper programme a derived rating as laid down in (3).(2) Positions in the commercial paper issued from the programme must be rated positions.(3) Under the ABCP internal assessment approach, the unrated position must be assigned by the firm to one of the rating grades described in (5). The position
BIPRU 9.9.4RRP
Subject to BIPRU 9.9.5 R,(1) where a firm calculates risk weighted exposure amounts under the standardised approach to securitisations outlined in BIPRU 9.11, the exposure value of an on-balance sheet securitisation position must be its balance sheet value;(2) where a firm calculates risk weighted exposure amounts under the IRB approach to securitisations outlined in BIPRU 9.12, the exposure value of an on-balance sheet securitisation position must be measured gross of value adjustments;(3)