# Related provisions for BIPRU 4.5.9

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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 4.4.62RRP

3Table: Formulae for the calculation of expected loss amounts

This table belongs to BIPRU 4.4.61 R

 equals PD×LGD Expected loss amount equals EL×exposure value For defaultedexposures (PD = 1) where a firm uses its own estimates of LGDs, EL must be ELBE, the firm's best estimate of expected loss for the defaultedexposure according to BIPRU 4.3.122 R. For exposures subject to the treatment set out in BIPRU 4.4.79 R (Double default) EL must be 0.

[Note:BCD Annex VII Part 1 point 30 (part)]

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)]
FEES 3.2.7RRP