Related provisions for BIPRU 9.13.16

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BIPRU 9.12.11RRP

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 ]

BIPRU 9.11.2RRP

Table: Positions other than ones with short-term credit assessments

This table belongs to BIPRU 9.11.1 R

Credit Quality step

1

2

3

4

5 and below

Risk weight

20%

50%

100%

350%

1250%

[Note: For mapping of the credit quality step to the credit assessments of eligible ECAIs, refer to: www.fsa.gov.uk/pubs/international/ecais_securitisation.pdf ]

BIPRU 9.9.9RRP
Subject to the provisions of GENPRU that deal with the deduction of securitisation positions at stage M in the relevant capital resources table, the risk weighted exposure amount must be included in the firm's total of risk weighted exposure amounts for the purposes of the calculation of its credit risk capital requirement.[Note:BCD Article 96(4)]
BIPRU 3.5.5GRP

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%

PSE

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%

Multilateral development banks

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.

Institutions

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%

Corporates

100%

Retail exposures

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.

Covered bonds

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.

Securitisationexposures

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.

CIUs

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.