BIPRU 13.1 Application and Purpose

The requirement to calculate the counterparty credit risk capital charge for trading book items is set out in BIPRU 14.

Pursuant to the third paragraph of article 95(2) of the UK CRR3, BIPRU 13 applies requirements that correspond to3:

1. (1)

   Article 78(2) and (4);

2. (2)

   point 3 of Part 1, and Parts 2, 3, 5, 6 and 7 of Annex III; and

3. (3)

   Annex IV;

of the Banking Consolidation Directive.

BIPRU 13.3 sets out the calculations of exposure values for financial derivative instrument, long settlement transactions and certain other transactions under the standardised approach and, subject to BIPRU 4, under the IRB approach. BIPRU 13.4, 13.5 and 13.6 set out the provisions relating to the CCR mark to market method, the CCR standardised method and the CCR internal model method in turn.

BIPRU 13.8 sets out a summary of the treatment of securities financing transactions.