# Related provisions for BIPRU 4.4.62

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BIPRU 4.4.58RRP

Table: Formulae for the calculation of risk weighted exposure amounts

This table belongs to BIPRU 4.4.57 R

 Correlation (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*1.06 N(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 the inverse cumulative distribution function for a standard normal random variable (i.e. the value x such that N(x) = z). PD = 0 For PD = 0, RW shall be: 0 PD = 1 For PD = 1: (i) for defaultedexposures where a firm applies the LGD values set out in BIPRU 4.4.32R and BIPRU 4.8.25R RW shall be: 0; (ii) for defaultedexposures where a firm uses its own estimates of LGDs, RW shall be: Max {0, 12.5 *(LGD-ELBE)}; where ELBEmust be the firm's best estimate of expected loss for the defaultedexposure according to BIPRU 4.3.122 R.

[Note:BCD Annex VII Part 1 point 3]

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 3.7.2RRP

This table belongs to BIPRU 3.7.1 R

[Note: BCD Annex II]

 Category Item Percentage Full risk Guarantees 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 sale and repurchase agreements as defined in Article 12(3) and (5) of the Bank Accounts DirectiveOther items also carrying full risk 100% Medium risk Documentary credits issued and confirmed (see also medium/low risk).Warranties and indemnities (including tender, performance, customs and tax bonds) and guarantees not having the character of credit substitutes.Irrevocable standby letters of credit not having the character of credit substitutes.Undrawn credit facilities (agreements to lend, purchase securities, provide guarantees or acceptance facilities) with an original maturity of more than one year.Note issuance facilities (NIFs) and revolving underwriting facilities (RUFs). 50% Medium/low risk Documentary credits in which underlying shipment acts as collateral and other self-liquidating transactions.Undrawn credit facilities (agreements to lend, purchase securities, provide guarantees or acceptance facilities) with an original maturity of up to and including one year which may not be cancelled unconditionally at any time without notice or that do not effectively provide for automatic cancellation due to deterioration in a borrower's creditworthiness. 20% Low risk Undrawn credit facilities (agreements to lend, purchase securities, provide guarantees or acceptance facilities) which may be cancelled unconditionally at any time without notice, or that do effectively provide for automatic cancellation due to deterioration in a borrower's creditworthiness. Retail credit lines may be considered as unconditionally cancellable if the terms permit the firm to cancel them to the full extent allowable under consumer protection and related legislation. 0%