BIPRU 9.10 Reduction in risk-weighted exposure amounts

BIPRU 9.10 applies as follows:

1. (1)

   BIPRU 9.10.2 R and BIPRU 9.10.3 R apply to both the standardised approach and the IRB approach; and

2. (2)

   BIPRU 9.10.4 RBIPRU 9.10.7 R apply to the IRB approach.

In respect of a securitisation position in respect of which a 1250% risk weight is assigned, a firm may, as an alternative to including the position in its calculation of risk weighted exposure amounts, deduct from its capital resources the exposure value of the position. For these purposes, the calculation of the exposure value may reflect eligible funded protection in a manner consistent with BIPRU 9.14.

[Note: BCD Annex IX Part 4 points 35, 74 and 75(b)]

Where a firm applies BIPRU 9.10.2 R, 12.5 times the amount deducted in accordance with that paragraph must, for the purposes of BIPRU 9.11.5 R and BIPRU 9.12.8 R, be subtracted from the amount specified in whichever of those rules applies as the maximum risk weighted exposure amount to be calculated by a firm to which one of those rules applies.

[Note: BCD Annex IX Part 4 point 36 and point 76]

The risk weighted exposure amount of a securitisation position to which a 1250% risk weight is assigned may be reduced by 12.5 times the amount of any value adjustments made by the firm in respect of the securitised exposures.

[Note: BCD Annex IX Part 4 point 72 (part)]

To the extent that value adjustments are taken account of for the purposes of BIPRU 9.10.4 R they must not be taken account of for the purposes of the calculation indicated in BIPRU 4.3.8 R (Treatment of expected loss amounts).

[Note: BCD Annex IX Part 4 point 72 (part)]

The risk weighted exposure amount of a securitisation position may be reduced by 12.5 times the amount of any value adjustments made by the firm in respect of the position.

[Note: BCD Annex IX Part 4 point 73]

For the purposes of BIPRU 9.10.2 R (as it applies to the IRB approach):

1. (1)

   the exposure value of the position may be derived from the risk weighted exposure amounts taking into account any reductions made in accordance with BIPRU 9.10.4 RBIPRU 9.10.6 R;

2. (2)

   where the supervisory formula method is used to calculate risk weighted exposure amounts and L K_IRBR and [L+T] > K_IRBR the position may be treated as two positions with L equal to K_IRBR for the more senior of the positions.

   [Note: BCD Annex IX Part 4 point 75(a) and (c)]