BIPRU TP 11 IRB transitionals

1 Application

11.1

R

BIPRU TP 11 applies to a BIPRU firm that uses the IRB approach.

Purpose

11.2

G

BIPRU TP 11 implements Articles 154(2), (3) and (5) of the Banking Consolidation Directive and (in part) Article 17 of the Capital Adequacy Directive.

Use requirement

11.3

R

In accordance with Article 154(2) of the Banking Consolidation Directive, for a firm applying for the use of the IRB approach before 2010, the three years' use requirement prescribed in BIPRU 4.2.11 R (Requirements concerning the experience requirement) is reduced to a period of one year until 31 December 2009.

11.4

R

In accordance with Article 154(3) of the Banking Consolidation Directive, for a firm applying for the use of own estimates of LGDs and/or conversion factors, the three year use requirement prescribed in BIPRU 4.2.13 R (Requirements concerning the experience requirement) is reduced to two years until 31 December 2008.

11.5

G

The transitional period in BIPRU TP 11.3R rather than that in BIPRU TP 11.4R applies to retail exposures.

Residential properties

11.6

R

In accordance with Article 154(5) of the Banking Consolidation Directive, until 31 December 20122, the exposure-weighted average LGD for all retail exposures secured by residential properties and not benefiting from guarantees from central governments must not be lower than 10%.

Expected loss

11.7

R

BIPRU TP 11.3R to BIPRU TP 11.6R also apply for the purpose of BIPRU 14.2.18 R and BIPRU 14.2.19 R (Treatment of expected loss amounts under the IRB approach) and GENPRU 2.2.193 R (Upper tier two capital: Surplus provisions).