Table: specific risk PRAs - IRB approach
3Credit Quality Step |
Securitisation positions |
Resecuritisation positions |
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Credit assessments other than short term |
Short-term credit assessments |
A |
B |
C |
D |
E |
1 |
1 |
0.56% |
0.96% |
1.6% |
1.6% |
2.4% |
2 |
0.64% |
1.20% |
2% |
2% |
3.2% |
|
3 |
0.8% |
1.44% |
2.8% |
2.8% |
4% |
|
4 |
2 |
0.96% |
1.6% |
3.2% |
5.2% |
|
5 |
1.60% |
2.8% |
4.8% |
8% |
||
6 |
2.8% |
4% |
8% |
12% |
||
7 |
3 |
4.8% |
6% |
12% |
18% |
|
8 |
8% |
16% |
28% |
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9 |
20% |
24% |
40% |
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10 |
34% |
40% |
52% |
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11 |
52% |
60% |
68% |
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all other unrated |
100% |
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A firm may only apply the PRAs in this table where it would have to calculate a risk weighted exposure amount in accordance with the IRB approach to securitisation and resecuritisation positions if such positions were in its non-trading book under BIPRU 9. The appropriate PRA is calculated as 8% of the risk weight that would apply to the position under the IRB approach in BIPRU 9.12.11 R, subject to the requirements in BIPRU 9.12 where appropriate. |
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