BIPRU 5.1 Application and purpose

Pursuant to the third paragraph of article 95(2) of the EU CRR,2 BIPRU 5 implements, in part, Articles 78(1) and 91 to 93 and Annex VIII of the Banking Consolidation Directive.

BIPRU 5 sets out the principles for the recognition of credit risk mitigation in the calculation of risk weighted exposure amounts for the purposes of the calculation of the credit risk capital component.

BIPRU 4.10 implements those parts of Articles 91 to 93 and Annex VIII of the Banking Consolidation Directive which are specific to the recognition of credit risk mitigation by firms using the IRB approach, and modifies the application of the provisions in BIPRU 5 to those firms.

In certain cases provisions specific to the IRB approach have been kept in BIPRU 5 in order to reduce duplication. The main examples are certain references to expected loss and references in the IRB approach in the provisions in BIPRU 5.7 about basket CRM techniques.