BIPRU 9.2 Approach to be used

Where a firm uses the standardised approach set out in BIPRU 3 (Standardised approach to credit risk) for the calculation of risk weighted exposure amount for the standardised credit risk exposure class to which the securitised exposures would otherwise be assigned under BIPRU 3, then it must calculate the risk weighted exposure amount for a securitisation position in accordance with the standardised approach to securitisations set out in BIPRU 9.9, BIPRU 9.10, BIPRU 9.11 and BIPRU 9.13.

In all other cases it must calculate a risk weighted exposure amount in accordance with the IRB approach to securitisations set out in BIPRU 9.9, BIPRU 9.10, BIPRU 9.12, BIPRU 9.13 and BIPRU 9.14.

[Note: BCD Article 94]