This table belongs to BIPRU 3.4.2 R.
1 |
2 |
3 |
4 |
5 |
6 |
|
0 % |
20 % |
50 % |
100 % |
100 % |
150 % |
This table belongs to BIPRU 3.4.2 R.
1 |
2 |
3 |
4 |
5 |
6 |
|
0 % |
20 % |
50 % |
100 % |
100 % |
150 % |
This table belongs to BIPRU 3.4.11 R.
Credit quality step to which central government is assigned |
1 |
2 |
3 |
4 |
5 |
6 |
20% |
50% |
100% |
100% |
100% |
150% |
This table belongs to BIPRU 3.4.34 R.
1 |
2 |
3 |
4 |
5 |
6 |
|
20% |
50% |
50% |
100% |
100% |
150% |
This table belongs to BIPRU 3.4.37 R.
1 |
2 |
3 |
4 |
5 |
6 |
|
20% |
20% |
20% |
50% |
50% |
150% |
This table belongs to BIPRU 3.4.50 R.
1 |
2 |
3 |
4 |
5 |
6 |
|
20% |
50% |
100% |
100% |
150% |
150% |
Table: Exposures in the form of CIUs for which a credit assessment by a nominated ECAI is available
This table belongs to BIPRU 3.4.116 R.
1 |
2 |
3 |
4 |
5 |
6 |
|
20% |
50% |
100% |
100% |
150% |
150% |
This table belongs to BIPRU 13.5.5 R.
Transaction or instrument |
Calculation of size of risk position |
Transaction with linear risk profile except for debt instruments. |
The effective notional value (market price multiplied by quantity) of the underlying financial instruments (including commodities) converted to the firm's domestic currency. |
Debt instruments and payment legs. |
The effective notional value of the outstanding gross payments (including the notional amount) converted to the firm'sbase currency, multiplied by the modified duration of the debt instrument, or payment leg, respectively. |
Credit default swap |
The notional value of the reference debt instrument multiplied by the remaining maturity of the credit default swap. |
Subject to BIPRU 13.5.9 R to BIPRU 13.5.10 R, financial derivative instrument with a non-linear risk profile, including options and swaptions except in the case of an underlying debt instrument. |
Equal to the delta equivalent effective notional value of the financial instrument that underlies the transaction. |
Subject to BIPRU 13.5.9 R to BIPRU 13.5.10 R, financial derivative instrument with a non-linear risk profile, including options and swaptions, of which the underlying is a debt instrument or a payment leg. |
Equal to the delta equivalent effective notional value of the financial instrument or payment leg multiplied by the modified duration of the debt instrument, or payment leg, respectively. |
[Note: BCD Annex III Part 5 points 5 to 9]
This table belongs to BIPRU 13.5.12 R:
Government referenced interest rates |
Non-government referenced interest rates |
|
Maturity |
<= 1 year |
<= 1 year |
Maturity |
>1 <= 5 years |
>1 <= 5 years |
Maturity |
> 5 years |
> 5 years |
[Note: BCD Annex III Part 5 Table 4]
This table belongs to BIPRU 13.5.21 R.
Hedging set categories |
||
(1) |
Interest Rates |
0.2% |
(2) |
Interest Rates for risk positions from a reference debt instrument that underlies a credit default swap and to which a capital charge of 1.60%, or less, applies under BIPRU 7.2.44 R1. |
0.3% |
(3) |
Interest Rates for risk positions from a debt instrument or reference debt instrument to which a capital charge of more than 1.60% applies under BIPRU 7.2.44 R. |
0.6% |
(4) |
Exchange Rates |
2.5% |
(5) |
Electric power |
4.0% |
(6) |
Gold |
5.0% |
(7) |
Equity |
7.0% |
(8) |
Precious Metals (except gold) |
8.5% |
(9) |
Other commodities (excluding precious metals and electricity power) |
10.0% |
(10) |
Underlying instruments of financial derivative instruments that are not in any of the above categories. |
10.0% |
[Note: BCD Annex III Part 5 Table 5]
Table: Appropriate PRA
This table belongs to BIPRU 7.6.7R
Underlying position |
|
The PRA applicable to the underlying equity or equity index in the table in BIPRU 7.3.30R (Simplified equity method) |
|
Interest rate |
The sum of the specific risk PRA (see BIPRU 7.2.43R to BIPRU 7.2.51G (Specific risk calculation)) and the general market risk PRA (as set out in BIPRU 7.2.57R (General market risk PRAs)) applicable to the underlying position |
Debt securities |
The sum of the specific risk PRA (see BIPRU 7.2.43R to BIPRU 7.2.51G (Specific risk calculation)) and the general market risk PRA (as set out in the table in BIPRU 7.2.57R (General market risk PRAs)) applicable to the underlying position |
18% (unless BIPRU 7.6.7R requires otherwise) |
|
Currency |
8% |
Gold |
8% |
32% (subject to BIPRU 7.6.6R and BIPRU 7.6.7R) |
Table: Derived positions
This table belongs to BIPRU 7.6.9R
Underlying |
Option (or warrant) |
Derived position |
Option (warrant) on a single equity or option on a future/forward on a single equity |
A notional position in the actual equity underlying the contract valued at the current market price of the equity. |
|
Option (warrant) on a basket of equities or option on a future/forward on a basket of equities |
A notional position in the actual equities underlying the contract valued at the current market price of the equities. |
|
Option (warrant) on an equity index or option on a future/forward on an equity index |
A notional position in the index underlying the contract valued at the current market price of the index. |
|
Interest rate |
A zero coupon zero-specific-risk security in the currency concerned with a maturity equal to the sum of the time to expiry of the contract and the length of the period on which the settlement amount of the contract is calculated valued at the notional amount of the contract. |
|
A zero coupon zero-specific-risk security in the currency concerned with a maturity equal to the length of the swap valued at the notional principal amount. |
||
Interest rate cap or floor |
A zero coupon zero-specific-risk security in the currency concerned with a maturity equal to the remaining period of the cap or floor valued at the notional amount of the contract. |
|
Debt securities |
Option (warrant) on a debt security or option on a future/forward on a debt security |
The underlying debt security with a maturity equal to the time to expiry of the option valued as the nominal amount underlying the contract at the current market price of the debt security. |
Option (warrant) on a basket of debt securities or option on a future/forward on a basket of debt securities |
A notional position in the actual debt securities underlying the contract valued at the current market price of the debt securities. |
|
Option (warrant) on an index of debt securities or option on a future/forward on an index of debt securities |
A notional position in the index underlying the contract valued at the current market price of the index. |
|
Option on a commodity or option on a future/forward on a commodity |
An amount equal to the tonnage, barrels or kilos underlying the option with (in the case of a future/forward on a commodity) a maturity equal to the expiry date of the forward or Futures contract underlying the option. In the case of an option on a commodity the maturity of the position falls into Band 1 in the table in BIPRU 7.4.28R (Table: Maturity bands for the maturity ladder approach). |
|
An amount equal to the tonnage, barrels or kilos underlying the option with a maturity equal to the length of the swap valued at the notional principal amount. |
||
(These provisions about CIUs are subject to BIPRU 7.6.35R) |
Option (warrant) on a single CIU or option on a future/forward on a single CIU |
A notional position in the actual CIU underlying the contract valued at the current market price of the CIU. |
Option (warrant) on a basket of CIUs or option on a future/forward on a basket of CIUs |
A notional position in the actual CIUs underlying the contract valued at the current market price of the CIUs. |
|
Gold |
An amount equal to the troy ounces underlying the option with (in the case of a future/forward on gold) a maturity equal to the expiry date of the forward or futures contract underlying the option. |
|
Currency |
Currency option |
The amount of the underlying currency that the firm will receive if the option is exercised converted at the spot rate into the currency that the firm will sell if the option is exercised. |
Table: The hedging method of calculating the PRR (equities, debt securities and gold)
This table belongs to BIPRU 7.6.24R(1) - (3)
PRR |
||||
In the money by more than the PRA |
In the money by less than the PRA |
|||
Long in security or gold |
Long put |
Zero |
Wp |
X |
Short call |
Y |
Y |
Z |
|
Short in security or gold |
Long call |
Zero |
Wc |
X |
Short put |
Y |
Y |
Z |
|
Where: |
||||
Wp means |
{(PRA-100%) x The underlying position valued at strike price} |
+ |
The market value of the underlying position |
|
Wc means |
{(100% +PRA x The underlying position valued at strike price} |
- |
The market value of the underlying position |
|
X means |
The market value of the underlying position multiplied by the appropriate PRA |
|||
Y means |
The market value of the underlying position multiplied by the appropriate PRA. This result may be reduced by the market value of the option or warrant, subject to a maximum reduction to zero. |
|||
Z means |
The option hedging method is not permitted; the option standard method must be used. |
Table: simplified equity method PRAs
This table belongs to BIPRU 7.3.29R
Instrument |
|
Single equities |
12% |
Qualifying equity indices (see BIPRU 7.3.38R) |
8% |
All other equity indices or baskets |
12% |
If it is necessary to distinguish between the specific risk PRA and the general market risk PRA, the specific risk PRA for the first and third rows is 4% and that for the second row is 0%. The rest of the PRA in the second column is the general market risk PRA. |
Table: PRAsfor specific risk under the standard equity method
This table belongs to BIPRU 7.3.33R1
Instrument |
|
2% |
|
Qualifying equity indices (see BIPRU 7.3.38R) |
0% |
4% |
Table: Expected loss values for specialised lending
This table belongs to BIPRU 4.5.12 R
Remaining maturity |
Category 1 (Strong) |
Category 2 (Good) |
Category 3 (Satisfactory) |
Category 4 (Weak) |
Category 5 |
Less than 2.5 years |
0% |
0.4% |
2.8% |
8% |
50% |
Equal or more than 2.5 years |
0.4% |
0.8% |
2.8% |
8% |
50% |
The coverage of each of the categories is set out in BIPRU 4.5.6 R |
[Note:BCD Annex VII Part 1 point 31 (part)]
Table: Risk weighted exposure amounts for retail exposures
This table belongs to BIPRU 4.6.41 R
Correlation (R) |
0.03 × (1 - EXP(-35*PD))/(1-EXP(-35)) + 0.16* |
[1-(1-EXP(-35*PD))/(1-EXP(-35))] |
|
Risk weight (RW) |
(LGD*N[(1-R)-0.5*G(PD)+(R/(1-R))0.5 *G(0.999)]-PD*LGD)* 12.5*1.06 |
N(x) |
denotes the cumulative distribution function for a standard normal random variable (i.e. the probability that a normal random variable with mean zero and variance of one is less than or equal to x). |
G(z) |
denotes the inverse cumulative distribution function for a standard normal random variable (i.e. the value x such that N(x) = z). |
PD = 1 |
For PD = 1 (defaultedexposure), RW must be: Max {0, 12.5 *(LGD- ELBE)} where ELBEmust be the firm's best estimate of expected loss for the defaultedexposure according to BIPRU 4.3.122 R. |
equals RW*exposure value |
[Note:BCD Annex VII Part 1 point 10 (part)]
Table: Capital charges relating to consolidated requirement components
This table belongs to BIPRU 8.7.11 R
Rules on which the consolidated requirement component are based (the applicable risk capital requirement) |
|
Table : Simplified method of calculating risk weights
This table belongs to BIPRU 3.5.4 G.
Exposure class |
Exposure sub-class |
Risk weights |
Comments |
Central government |
Exposures to United Kingdom government or Bank of England in sterling |
0% |
|
Exposures to United Kingdom government or Bank of England in the currency of another EEA State |
0% |
See Note 2. |
|
Exposures to EEA State's central government or central bank in currency of that state |
0% |
||
Exposures to EEA State's central government or central bank in the currency of another EEA State |
0% |
See Notes 2 and 3. |
|
Exposures to central governments or central banks of certain countries outside the EEA in currency of that country |
See next column |
The risk weight is whatever it is under local law. See BIPRU 3.4.6 R for precise details. |
|
Exposures to European Central Bank |
0% |
||
Other exposures |
100% |
||
Regional/local governments |
Exposures to the Scottish Parliament, National Assembly for Wales and Northern Ireland Assembly in sterling |
0% |
|
Exposures to the Scottish Parliament, National Assembly for Wales and Northern Ireland Assembly in the currency of another EEA State |
0% |
See Note 2. |
|
Exposures to EEA States' equivalent regional/local governments in currency of that state |
0% |
See BIPRU 3.4.17 R for details of type of local/regional government covered. |
|
Exposures to EEA States' equivalent regional/local governments in the currency of another EEA State |
0% |
See BIPRU 3.4.17 R for details of type of local/regional government covered. See Notes 2 and 3. |
|
Exposures to local or regional governments of certain countries outside the EEA in currency of that country |
0% |
See BIPRU 3.4.19 R for details of type of local/regional government covered. See Note 1. |
|
Exposures to United Kingdom or EEA States' local/regional government in currency of that state if the exposure has original effective maturity of 3 months or less |
20% |
||
Exposures to United Kingdom or EEA States' local/regional government in the currency of another EEA State if the exposure has original effective maturity of 3 months or less |
20% |
See Note 2. See Note 3 for local/regional government of an EEA State other than the United Kingdom |
|
Exposures to local or regional governments of countries outside the EEA in currency of that country if the exposure has original effective maturity of 3 months or less |
20% |
See Note 1. |
|
Other exposures |
100% |
||
Exposures to a PSE of the United Kingdom or of an EEA State if that PSE is guaranteed by its central government and if the exposure is be in currency of that PSE's state. |
0% |
BIPRU 3.4.24 R describes the United KingdomPSEs covered and BIPRU 3.4.25 R describes the EEAPSEs covered. |
|
Exposures to PSE of a country outside the EEA if that PSE is guaranteed by the country's central government and if the exposure is in currency of that country. |
0% |
See BIPRU 3.4.26 R and Note 1. |
|
Exposures to a PSE of the United Kingdom or of an EEA State in currency of that state if the exposure has original effective maturity of 3 months or less |
20% |
||
Exposures to a PSEof the United Kingdom or of an EEA State in the currency of another EEA State if the exposure has original effective maturity of 3 months or less |
20% |
See Notes 2 and 3. |
|
Exposures to PSE of a country outside the EEA in currency of that country if the exposure has original effective maturity of 3 months or less |
20% |
See Note 1. |
|
Other exposures |
100% |
||
Exposures to multilateral development banks listed in paragraph (1) of the Glossary definition |
0% |
Simplified approach does not apply. Normal rules apply. |
|
Other exposures |
Various |
Treated as an institution |
|
European Community, the International Monetary Fund and the Bank for International Settlements |
0% |
Simplified approach does not apply. Normal rules apply. |
|
Exposures to United Kingdominstitution in sterling with original effective maturity of three months or less |
20% |
||
Exposures to United Kingdominstitution in the currency of another EEA State with original effective maturity of three months or less |
20% |
See Note 2. |
|
Exposures to institution whose head office is in another EEA State in the currency of that state with original effective maturity of three months or less |
20% |
||
Exposures to institution whose head office is in another EEA State in the currency of another EEA State with original effective maturity of three months or less |
20% |
See Notes 2 and 3. |
|
Exposures to institution with a head office in a country outside the EEA in the currency of that country with original effective maturity of three months or less |
20% |
See Note 1. |
|
Exposures to United Kingdominstitution in sterling with original effective maturity of over three months |
50% |
||
Exposures to United Kingdominstitution in the currency of another EEA State with original effective maturity of over three months |
50% |
See Note 2. |
|
Exposures to an EEAinstitution with a head office in another EEA State in the currency of that state with original effective maturity of over months |
50% |
||
Exposures to an EEAinstitution with a head office in another EEA State in the currency of another EEA State with original effective maturity of over months |
50% |
See Notes 2 and 3. |
|
Exposures to institution with a head office in a country outside the EEA in the currency of that country with original effective maturity of over months |
50% |
See Note 1. |
|
Other exposures |
100% |
||
100% |
|||
75% |
Simplified approach does not apply. Normal rules apply. |
||
Mortgages on residential or commercial property |
Various |
Simplified approach does not apply. Normal rules apply. |
|
Past due items |
Various |
Simplified approach does not apply. Normal rules apply. |
|
High risk items |
150% |
Simplified approach does not apply. Normal rules apply. |
|
Various |
Risk weights are based on the risk weight of issuer as described in BIPRU 3.4.110 R. The risk weight of the issuer for this purpose should be calculated under the simplified approach. |
||
Generally 1250%. May look through to underlying exposures if BIPRU 9 allows. |
Use the BIPRU 9rules for unrated exposures under the standardised approach |
||
Short term exposures with rating |
See BIPRU 3.4.112 R. Not applicable as uses ECAI ratings. |
||
May look through to underlying under BIPRU 3.4.123 R |
Various |
Simplified approach does not apply. Normal rules apply. May use simplified approach to underlying if simplified approach applies to underlying. |
|
May use average risk weight under BIPRU 3.4.124 R |
Various |
Simplified approach does not apply. Normal rules apply. May use simplified approach to underlyings if simplified approach applies to underlying. |
|
High risk under BIPRU 3.4.118 R |
150% |
Simplified approach does not apply. Normal rules apply. |
|
Others |
100% |
||
Other items under BIPRU 3.2.9 R (16) |
Various |
Simplified approach does not apply. Normal rules apply. |
|
Note 1: The risk weight should not be lower than the risk weight that applies for national currency exposures of the central government of the third country in question under BIPRU 3.5. That means that this risk weight only applies if the third country is one of those to which BIPRU 3.4.6 R (Preferential risk weight for exposures of the central government of countries outside the EEA that apply equivalent prudential standards) applies. |
|||
Note 2: This is a transitional measure. It lasts until 31 December 2012. |
|||
Note 3: The risk weight should not be lower than the risk weight that applies for exposures of the central government of the EEA State in question in the currency of another EEA State under BIPRU 3.5. |
Table: Positions other than ones with short-term credit assessments
This table belongs to BIPRU 9.12.10 R
Credit Quality Step (CQS) |
Risk weight |
||
A |
B |
C |
|
CQS 1 |
7% |
12% |
20% |
CQS 2 |
8% |
15% |
25% |
CQS 3 |
10% |
18% |
35% |
CQS 4 |
12% |
20% |
|
CQS 5 |
20% |
35% |
|
CQS 6 |
35% |
50% |
|
CQS 7 |
60% |
75% |
|
CQS 8 |
100% |
||
CQS 9 |
250% |
||
CQS 10 |
425% |
||
CQS 11 |
650% |
||
Below CQS 11 |
1250% |
[Note: For mapping of the credit quality step to the credit assessments of eligible ECAIs, referto: www.fsa.gov.uk/pubs/international/ecais_securitisation.pdf ]