Related provisions for BIPRU 4.3.126

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The risk weighted exposure amounts for credit risk for exposures belonging to one of the exposure classes referred to in (1) to (4) must, unless deducted from capital resources, be calculated in accordance with the following provisions:(1) for exposures in the sovereign, institution and corporate IRB exposure class, BIPRU 4.4.57 R to BIPRU 4.4.60 R, BIPRU 4.4.79 R, BIPRU 4.5.8 R to BIPRU 4.5.10 R (for specialised lending exposures), BIPRU 4.9.3 R and BIPRU 4.8.16 R to BIPRU 4.8.17
(1) Implementation of the IRB approach as referred to in BIPRU 4.2.18 R must be carried out within a reasonable period of time as set out in the IRB permission.(2) The implementation must be carried out subject to strict conditions determined by the appropriate regulator and set out in the IRB permission.(3) A firm must not use the flexibility under BIPRU 4.2.18 R selectively with the purpose of achieving reduced minimum capital requirements in respect of those IRB exposure classes
(1) To the extent that its IRB permission permits this, a firm permitted to use the IRB approach in the calculation of risk weighted exposure amounts and expected loss amounts3 for one or more IRB exposure classes may apply the standardised approach in accordance with this rule.3(2) A firm may apply the standardised approach to the IRB exposure class referred to in BIPRU 4.3.2 R (1) (Sovereigns) where the number of material counterparties is limited and it would be unduly burdensome
For the purposes of BIPRU 4.2.26 R (4), the equity exposureIRB exposure class of a firm must be considered material if its aggregate value, excluding equity exposures incurred under legislative programmes as referred to in BIPRU 4.2.26 R (8) but including exposures in a CIU treated as equity exposures in accordance with BIPRU 4.9.11 R to BIPRU 4.9.15 R,4 exceeds, on average over the preceding year, 10% of the firm'scapital resources. If the number of those equity exposures is
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)]
For an originator, a sponsor, or for other firms which can calculate KIRB, the risk weighted exposure amounts calculated in respect of its positions in a securitisation may be limited to that which would produce an amount in respect of its credit risk capital requirement equal to the sum of 8% of the risk weighted exposure amount which would be produced if the securitised assets had not been securitised and were on the balance sheet of the firm plus the expected loss amounts of
SUP 16.12.25ARRP

2The applicable data items referred to in SUP 16.12.4 R are set out according to type of firm in the table below:

89Description of data item

Firms’ prudential category and applicable data items (note 1)

MIFIDPRU investment firms

Firms other than MIFIDPRU investment firms


Chapter 3


Chapter 5



Chapter 13

Solvency statement

(note 2)

No standard format

Balance sheet


(note 3)




Section A RMAR

Income statement


(note 3)




Section B RMAR

Capital adequacy


(notes 3 and 5)


FSA034 or FSA035 or FIN071

(note 4)


Section D1 RMAR



(notes 3 and 5)

Metrics monitoring


(notes 3 and 5)

Concentration risk (non-K-CON)


(notes 3, 5 and 7)

Concentration risk (K-CON)


(notes 3, 5 and 7)

Group capital test


(notes 5 and 6)

ICARA assessment questionnaire


(note 5)

Threshold conditions

Section F RMAR (note 17)

Client money and client assets





Section C RMAR (note 13) or FSA039

Note 1

All firms (except MIFIDPRU investment firms in relation to items reported under MIFIDPRU 9) when submitting the completed data item required, must use the format of the data item set out in SUP 16 Annex 24. Guidance notes for completion of the data items are contained in SUP 16 Annex 25.

Note 2

Only applicable to a firm that is a sole trader or partnership. Where the firm is a partnership, this report must be submitted by each partner.

Note 3

A UK parent entity of an investment firm group to which consolidation applies under MIFIDPRU 2.5 must also submit this report on the basis of the consolidated situation.

Note 4

FSA034 must be completed by a firm not subject to the exemption in IPRU(INV) 5.4.2R, unless it is a firm whose permitted business includes establishing, operating or winding up a personal pension scheme, in which case FIN071 must be completed.

FSA035 must be completed by a firm subject to the exemption in IPRU(INV) 5.4.2R.

Note 5

Data items MIF001 – MIF007 must be reported in accordance with the rules in MIFIDPRU 9.

Note 6

Only applicable to a parent undertaking to which the group capital test applies.

Note 7

Only applicable to a non-SNI MIFIDPRU investment firm.