Related provisions for BIPRU 7.8.37
This table belongs to BIPRU 3.4.2 R.
1 
2 
3 
4 
5 
6 

0 % 
20 % 
50 % 
100 % 
100 % 
150 % 
This table belongs to BIPRU 3.4.11 R.
Credit quality step to which central government is assigned 
1 
2 
3 
4 
5 
6 
20% 
50% 
100% 
100% 
100% 
150% 
This table belongs to BIPRU 3.4.34 R.
1 
2 
3 
4 
5 
6 

20% 
50% 
50% 
100% 
100% 
150% 
This table belongs to BIPRU 3.4.37 R.
1 
2 
3 
4 
5 
6 

20% 
20% 
20% 
50% 
50% 
150% 
Table: Exposures in the form of CIUs for which a credit assessment by a nominated ECAI is available
This table belongs to BIPRU 3.4.116 R.
1 
2 
3 
4 
5 
6 

20% 
50% 
100% 
100% 
150% 
150% 
Table: Risk weighted exposure amounts for retail exposures
This table belongs to BIPRU 4.6.41 R
Correlation (R) 
0.03 × (1  EXP(35*PD))/(1EXP(35)) + 0.16* 
[1(1EXP(35*PD))/(1EXP(35))] 

Risk weight (RW) 
(LGD*N[(1R)^{0.5}*G(PD)+(R/(1R))^{0.5} *G(0.999)]PD*LGD)* 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 = 1 
For PD = 1 (defaultedexposure), RW must be: Max {0, 12.5 *(LGD EL_{BE})} where EL_{BE}must be the firm's best estimate of expected loss for the defaultedexposure according to BIPRU 4.3.122 R. 
equals RW*exposure value 
[Note:BCD Annex VII Part 1 point 10 (part)]
Table:
This table belongs to BIPRU 9.12.10 R
44Credit Quality Step 
Securitisation positions 
Resecuritisation positions 

Credit assessments other than short term 
Shortterm credit assessments 
A 
B 
C 
D 
E 
1 
1 
7% 
12% 
20% 
20% 
30% 
2 
8% 
15% 
25% 
25% 
40% 

3 
10% 
18% 
35% 
35% 
50% 

4 
2 
12% 
20% 
40% 
65% 

5 
20% 
35% 
60% 
100% 

6 
35% 
50% 
100% 
150% 

7 
3 
60% 
75% 
150% 
225% 

8 
100% 
200% 
350% 

9 
250% 
300% 
500% 

10 
425% 
500% 
650% 

11 
650% 
750% 
850% 

all other, unrated 
1250% 
[Note: For mapping of the credit quality step to the credit assessments of eligible ECAIs, refer to: http://www.fca.org.uk/yourfca/documents/fsaecaissecuritisation for the FCA and http://www.bankofengland.co.uk/publications/Documents/other/pra/policy/2013/ecaissecuritisation.pdf for the PRA.]