Related provisions for IFPRU 4.6.11

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To access the FCA Handbook Archive choose a date between 1 January 2001 and 31 December 2004 (From field only).

To demonstrate that a rating system provides for a meaningful differentiation of risk and accurate and consistent quantitative estimates of risk, the FCA expects a firm would have regard to the sensitivity of the rating to movements in fundamental risk drivers, in assigning exposures to grades or pools within a rating system (see article 171 of the EU CRR).
The FCA would not expect a firm to treat an obligor as part of a single obligor under IFPRU 4.5.1 G if the firm rates its exposures on a standalone basis or if its rating is notched. (For these purposes, a rating is notched if it takes into account individual risk factors or otherwise reflects risk factors that are not applied on a common group basis.) Accordingly, if a group has two members which are separately rated, the FCA will not expect that the default of one will necessarily
For purposes of repurchase transactions and securities lending or borrowing transactions, the FCA does not consider that there are any core market participants apart from those entities listed in article 227(3) of the EU CRR.