Related provisions for MIPRU 4.2BA.18
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 3.4.8 R.
MEIP 
0 
1 
2 
3 
4 
5 
6 
7 
0% 
0% 
20% 
50% 
100% 
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% 
 (1)
The application of MIPRU 4.2F.30 R may be illustrated by an example. If a firm has a mortgage exposure of £100,000 secured on residential property in the United Kingdom that satisfies the criteria listed in MIPRU 4.2F.4 R to MIPRU 4.2F.9 R and the value of that property is £100,000, then £80,000 of that exposure may be treated as fully and completely secured and risk weighted at 35%. The remaining £20,000 should be risk weighted at 75%. A diagrammatic illustration of this example is in MIPRU 4.2F.31G (2).
 (2)
A diagrammatic illustration of the example in MIPRU 4.2F.31G (1).
Unsecured component risk weighted at 75%
Example
Secured component risk weighted at 35%
£100,000 loan secured on residential property valued at £100,000
First £80,000 (i.e. 80% LTV) risk weighted at 35%
Remaining £20,000 (i.e. above 80% LTV) risk weighted at 75%
Overall risk weight is 43%
 (3)
The same approach applies to exposures described in MIPRU 4.2F.9 R. On inception, a risk weight of 35% should be applied to the first 80% of the principal/"purchase price" outstanding, with a risk weight of 75% being applied to the remainder of the principal exposure.
 (1)
The application of MIPRU 4.2F.33 R may be illustrated by an example. Where a firstcharge mortgage exposure of £50,000 from another lender is secured on residential property in the United Kingdom that satisfies the criteria in MIPRU 4.2F.4 R to MIPRU 4.2F.29 R and the value of that property is £100,000, then a firm with a secondcharge mortgage of £60,000 on the same property may treat £30,000 of that exposure as fully and completely secured and risk weight it at 35%, treat a further £20,000 as unsecured and risk weight it at 75%, and risk weight the remaining £10,000 at 100%. A diagrammatic illustration of this example is in (2).
 (2)
A diagrammatic illustration of the example in (1)
Property value
Exposure and risk weightings
Example
£10,000 of secondcharge  risk weighted at 100%
• Remaining secondcharge mortgage, i.e. £10,000
£100,000
£20,000 of secondcharge  risk weighted at 75%
• Secondcharge mortgage up to maximum of 100% of property value, i.e. £20,000
£30,000 of secondcharge  risk weighted at 35%
• Secondcharge mortgage up to maximum of 80% of property value, i.e. £30,000
Firstcharge mortgage (£50,000)
• Other lender has firstcharge over property with outstanding loan balance of £50,000
Table: Exposures in the form of funds for which a credit assessment by a nominated ECAI is available
This table belongs to MIPRU 4.2F.40 R.
Credit quality step 
1 
2 
3 
4 
5 
6 
Risk weight 
20% 
50% 
100% 
100% 
150% 
150% 
The application of value adjustments to either the secured or the unsecured component of an exposure secured on residential property may be illustrated on the basis of a £110,000 loan on a property valued at £100,000, where £80,000 of the loan is secured, £30,000 of the exposure is unsecured and a value adjustment of £20,000 is taken.
 (1)
Value adjustment applied to unsecured component:
 (a)
Value adjustment of £20,000 taken on £30,000 unsecured exposure.
 (b)
Value adjustment exceeds 20%, so the firm should risk weight the remaining £10,000 unsecured exposure at 100% (as per MIPRU 4.2F.55 R).
 (c)
The risk weight to be applied to the secured exposure of £80,000 is 100% (as per MIPRU 4.2F.51 R).
 (a)
 (2)
Value adjustment applied to secured component:
 (a)
Value adjustment of £20,000 taken on £80,000 secured exposure.
 (b)
Value adjustment exceeds 20%, so the firm should risk weight the remaining £60,000 secured exposure at 50% (as per MIPRU 4.2F.51 R).
 (c)
The risk weight to be applied to the unsecured exposure of £30,000 is 150% (as per MIPRU 4.2F.55 R).
 (a)
 (3)
A diagrammatic illustration of how MIPRU 4.2F.56G (1) and MIPRU 4.2F.56G (2) operate is as follows:
Value adjustment applied to unsecured component (MIPRU 4.2F.51 R)
Risk weightings
Exposure
Risk weightings
Value adjustment to secured component (MIPRU 4.2F.55 R)
£20,000
Unsecured component of £30,000
£30,000 risk weighted at 150%
£10,000 risk weighted at 100%
£80,000 risk weighted at 100%
Secured component of £80,000
£20,000
£60,000 risk weighted at 50%
Table: Minimum LGD for secured portion of exposures
This table belongs to BIPRU 4.10.24 R  BIPRU 4.10.27 R
LGD* for senior claims or contingent claims 
LGD* for subordinated claims or contingent claims 
Required minimum collateralisation level of the exposure (C*) 
Required minimum collateralisation level of the exposure (C**) 

Receivables 
35% 
65% 
0% 
125% 
Residential real estate/commercial real estate 
35% 
65% 
30% 
140% 
Other collateral 
40% 
70% 
30% 
140% 
[Note: BCD Annex VIII Part 3 point 72 (part)]
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))/(1EXP(50)) + 0.24* 

[1(1EXP(50*PD))/(1EXP(50))] 

Maturity factor (b) 
(0.118520.05478*1n(PD))^{2} 

(LGD*N[(1R)^{0.5}*G(PD)+(R/(1R))^{0.5} *G(0.999)]PD*LGD)* 

(11.5*b)^{1}*(1+(M2.5)*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 *(LGDEL_{BE})}; 

where EL_{BE}must 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]
3Table: Formulae for the calculation of expected loss amounts
This table belongs to BIPRU 4.4.61 R
Expected loss amount 

For defaultedexposures (PD = 1) where a firm uses its own estimates of LGDs, EL must be EL_{BE,} 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)]
This table belongs to BIPRU 5.4.34 R.
Other collateral or exposure types 

20 day liquidation period (%) 
10 day liquidation period (%) 
5 day liquidation period (%) 

Main index equities, main index convertible bonds 
21.213 
15 
10.607 
Other equities or convertible bonds listed on a recognised investment exchange or designated investment exchange 
35.355 
25 
17.678 
Cash 
0 
0 
0 
Gold 
21.213 
15 
10.607 
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: Formulae for the calculation of expected loss amounts
This table belongs to BIPRU 4.6.47 R
Expected loss amount 

For defaultedexposures (PD = 1) where a firm uses its own estimates of LGDs, EL must be EL_{BE,} 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)]
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.]