Related provisions for BIPRU 4.4.62

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Table: Formulae for the calculation of risk weighted exposure amountsThis table belongs to BIPRU 4.4.57 RCorrelation (R)0.12 × (1 - EXP(-50*PD))/(1-EXP(-50)) + 0.24*[1-(1-EXP(-50*PD))/(1-EXP(-50))]Maturity factor (b)(0.11852-0.05478*1n(PD))2(LGD*N[(1-R)-0.5*G(PD)+(R/(1-R))0.5 *G(0.999)]-PD*LGD)*(1-1.5*b)-1*(1+(M-2.5)*b)*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
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)]
This table belongs to BIPRU 3.7.1 R[Note: BCD Annex II]CategoryItemPercentageFull riskGuarantees having the character of credit substitutesCredit derivativesAcceptancesEndorsements on bills not bearing the name of another credit institutionTransactions with recourseIrrevocable standby letters of credit having the character of credit substitutesAssets purchased under outright forward purchase agreementsForward depositsThe unpaid portion of partly-paid shares and securitiesAsset