Related provisions for BIPRU 9.5.5

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BIPRU 9.5.1RRP
(1) An originator of a synthetic securitisation may calculate risk weighted exposure amount, and, as relevant, expected loss amounts, for the securitised exposures in accordance with BIPRU 9.5.3 R and BIPRU 9.5.4 R, if significant credit risk has been transferred to third parties, either through funded or unfunded credit protection, and the transfer complies with the conditions in (2)-(5).(2) The securitisation documentation must reflect the economic substance of the transaction.(3)
BIPRU 9.5.2RRP
BIPRU 9.5.3 R-BIPRU 9.5.8 R apply to the calculation by an originator of risk weighted exposure amounts for exposuressecuritised in a synthetic securitisation.
BIPRU 9.5.3RRP
(1) In calculating risk weighted exposure amounts for the securitised exposures, where the conditions in BIPRU 9.5.1 R are met, the originator of a synthetic securitisation must, subject to the treatment of maturity mismatches set out in BIPRU 9.5.6 R-BIPRU 9.5.8 R, use the relevant calculation methodologies set out in BIPRU 9.9-BIPRU 9.14and not those set out in BIPRU 3 (Standardised credit risk) or BIPRU 4 (IRB approach).(2) For firms calculating risk weighted exposure amounts
BIPRU 7.5.5RRP
Table: instruments which result in notional foreign currency positionsThis table belongs to BIPRU 7.5.3R(6).InstrumentsSeeForeign currencyfutures, forwards, synthetic futures and CFDsBIPRU 7.5.11RForeign currencyswapsBIPRU 7.5.13RForeign currency options or warrants (unless the firm calculates a PRR on the option or warrant under BIPRU 7.6 (Option PRR)).BIPRU 7.5.15RGold futures, forwards, synthetic futures and CFDsBIPRU 7.5.16RGold options (unless the firm calculates a PRR on
BIPRU 7.5.16RRP
A forward, future, synthetic future or CFD on gold must be treated as a notional position in gold with a value equal to the amount of gold underlying multiplied by the current spot price for gold.
BIPRU 7.2.13RRP
Futures, forwards or synthetic futures on a single debt security must be treated as follows:(1) a purchased future, synthetic future or forward is treated as:(a) a notional long position in the underlying debt security (or the cheapest to deliver (taking into account the conversion factor) where the contract can be satisfied by delivery of one from a range of securities); and(b) a notional short position in a zero coupon zero-specific-risk security with a maturity equal to the
BIPRU 7.2.14RRP
Futures, forwards or synthetic futures on a basket or index of debt securities must be converted into forwards on single debt securities as follows (and then the resulting positions must be treated under BIPRU 7.2.13R):(1) futures, synthetic futures or forwards on a single currency basket or index of debt securities must be treated as either:(a) a series of forwards, one for each of the constituent debt securities in the basket or index, of an amount which is a proportionate
BIPRU 9.3.1RRP
(1) Where significant credit risk associated with securitised exposures has been transferred from the originator in accordance with the terms of BIPRU 9.4 or BIPRU 9.5, that originator may:(a) in the case of a traditional securitisation, exclude from its calculation of risk weighted exposure amounts and, as relevant, expected loss amounts, the exposures which it has securitised; and(b) in the case of a synthetic securitisation, calculate risk weighted exposure amounts and, as
BIPRU 7.3.14RRP
A future (including a synthetic future), forward or CFD on a single equity must be treated as a notional position in that equity.
BIPRU 9.1.4GRP
A firm should apply the securitisation framework set out in this chapter for determining regulatory capital requirements on exposures arising from traditional securitisations and from synthetic securitisations and from structures that contain features of both.
BIPRU 11.5.17RRP
A firm calculating risk weighted exposure amounts in accordance with BIPRU 9 must disclose the following information:(1) a description of the firm's objectives in relation to securitisation activity;(2) the roles played by the firm in the securitisation process;(3) an indication of the extent of the firm's involvement in each of them;(4) the approaches to calculating risk weighted exposure amounts that the firm follows for its securitisation activities;(5) a summary of the firm's