Related provisions for BIPRU 13.5.21

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BIPRU 13.6.52RRP
A firm must have a track record in the use of models that generate a distribution of exposures1 to CCR. Thus, the firm must be able to demonstrate that it has been using a model to calculate the distribution of exposures1 upon which the EPE calculation is based that meets, broadly, the minimum requirements set out in BIPRU 13.6 for at least one year prior to the date of its CCR internal model method permission.[Note: BCD Annex III Part 6 point 28]
BIPRU 13.6.67RRP
(1) A firm'sCCR internal model method model must meet the validation requirements in (2) to (8).(2) The qualitative validation requirements set out in BIPRU 7.10 must be met.(3) Interest rates, foreign currency rates, equity prices, commodities, and other market risk factors must be forecast over long time horizons for measuring CCRexposure. The performance of the forecasting model for market risk factors must be validated over a long time horizon.(4) The pricing models used to
BIPRU 13.5.1RRP
A firm may use the CCR standardised method only for financial derivative instruments and long settlement transactions.[Note: BCD Annex III Part 5 point 1 (part)]
BIPRU 13.5.9RRP
A firm must apply the CCR mark to market method to transactions with a non-linear risk profile or for payment legs and transactions with debt instruments as underlying if:(1) the firm does not have a CAD 1 model permission or a VaR model permission; or(2) where the firm does have a CAD 1 model permission or a VaR model permission but cannot determine the delta or the modified duration, respectively, with its CAD 1 model permission or VaR model permission.[Note: BCD Annex III Part
BIPRU 13.5.10RRP
A firm must not recognise netting for the purpose of applying the CCR mark to market method to an exposure treated under BIPRU 13.5.9 R (that is, the exposure value must be determined as if there were a netting set that comprises just the individual transaction).[Note: BCD Annex III Part 5 point 19 (part)]
BIPRU 13.5.15RRP
There is one hedging set for each issuer of a reference debt instrument that underlies a credit default swap.[Note: BCD Annex III Part 5 point 15]
BIPRU 13.5.19RRP
A firm that makes use of collateral to mitigate its CCR must have internal procedures to verify that, prior to recognising the effect of collateral in its calculations, the collateral meets the legal certainty standards set out in BIPRU 5 modified, where relevant, by BIPRU 4.10.[Note: BCD Annex III Part 5 point 21]
BIPRU 13.5.22RRP

This table belongs to BIPRU 13.5.21 R.

Hedging set categories

CCR Multiplier (CCRM)

(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]

BIPRU 13.5.25RRP
A firm must determine the exposure value net of collateral, as follows:exposure value = *max(CMV-CMC;(j)((i)(RPTij)-(l)(RPClj))*CCRMj)where:CMV = current market value of the portfolio of transactions within the netting set with a counterparty gross of collateral.That is, where:CMV = (i)(CMVi)where:CMVi = the current market value of transaction i;CMC = the current market value of the collateral assigned to the netting set.That is, where:CMC = (l)(CMCl)whereCMCl = the current market
BIPRU 13.3.15RRP
In the cases in BIPRU 13.3.14 R, a firm must set the exposure value for CCR for these credit derivatives to zero.[Note: BCD Annex III Part 2 point 3 (part)]