Related provisions for BIPRU 4.10.25
1 - 9 of 9 items.
Table: Minimum LGD for secured portion of exposuresThis table belongs to BIPRU 4.10.24 R - BIPRU 4.10.27 RLGD* for senior claims or contingent claimsLGD* for subordinated claims or contingent claimsRequired minimum collateralisation level of the exposure (C*)Required minimum collateralisation level of the exposure (C**)Receivables35%65%0%125%Residential real estate/commercial real estate35%65%30%140%Other collateral40%70%30%140%[Note: BCD Annex VIII Part 3 point 72 (part)]
(1) Where:(a) risk weighted exposure amounts and expected loss amounts are calculated under the IRB approach; and(b) an exposure is collateralised by both financial collateral and other eligible collateral;LGD* to be taken as the LGD for the purposes of the IRB approach must be calculated in accordance with this rule.(2) A firm must subdivide the volatility-adjusted value of the exposure (i.e. the value after the application of the volatility adjustment as set out in BIPRU 5.4.28
In calculating the 'fully adjusted exposure value' (E*) for the exposures subject to an eligible master netting agreement covering repurchase transactions and/or securities or commodities lending or borrowing transactions and/or other capital market-driven transactions, a firm must calculate the volatility adjustments to be applied in the manner set out in BIPRU 5.6.6 R to BIPRU 5.6.11 R either using the supervisory volatility adjustments approach or the own estimates of volatility