Related provisions for BIPRU 4.3.42
1 - 20 of 28 items.
Any arrangements entered into on or after 26 April 20142 which increase the amount of a loan already advanced or change the security to a loan already advanced or change the contractual terms (other than if the firm is exercising forbearance) of a loan already advanced will be subject to the credit risk capital requirement under MIPRU 4.2A.4R (2)(a) provided that, where the arrangements only increase the amount of a loan already advanced, such requirement shall only apply to the
The arrangements excluded from the credit risk capital requirement include:(1) a loan acquired by a firm after 26 April 2014 if that loan was made before 26 April 2014;(2) arrangements made as a result of forbearance procedures, including: (a) a change in the basis of interest payments from variable to fixed rate; or(b) a change from a repayment mortgage to interest only; or(c) the capitalisation of interest which increases the principal outstanding, where there is no element
The calculation of the consolidated capital resources requirement of a firm's UK consolidation group or non-EEA sub-group involves taking the individual components that make up the capital resources requirement on a solo basis and applying them on a consolidated basis. Those components are the capital charge for credit risk (the credit risk capital requirement), the capital charge for market risk (the market risk capital requirement), the capital charge for operational risk (the
A firm must disclose the following information regarding compliance with BIPRU 3, BIPRU 4, 5, BIPRU 7, 5 and the overall Pillar 2 rule:(1) a summary of the firm's approach to assessing the adequacy of its internal capital to support current and future activities;(2) for a firm calculating risk weighted exposure amounts in accordance with the standardised approach to credit risk, 8% of the risk weighted exposure amounts for each of the standardised credit risk exposure classes;(3)
A firm must disclose the following information regarding its exposure to counterparty credit risk:(1) a discussion of the methodology used to assign internal capital and credit limits for counterparty credit exposures;(2) a discussion of policies for securing collateral and establishing credit reserves;(3) a discussion of policies with respect to wrong-way riskexposures;(4) a discussion of the impact of the amount of collateral the firm would have to provide given a downgrade
A firm must disclose its capital resources requirements separately for each risk referred to in (1), (2) and (3):44(1) in respect of its trading-book business, its:(a) interest rate PRR;(b) equity PRR;1(c) option PRR;(d) collective investment schemesPRR;(e) counterparty risk capital component; and(f) concentration risk capital component; and(2) in respect of all of its business activities, its:(a) commodity PRR; and(b) foreign currency PRR; and41(3) its specific interest-rate
A firm calculating risk weighted exposure amounts in accordance with BIPRU 9 or capital resource requirements according to BIPRU 7.2.48A R to BIPRU 7.2.48K R4 must disclose the following information, where relevant separately for its trading book and non-trading book:4(1) a description of the firm's objectives in relation to securitisation activity;(1A) the nature of other risks, including liquidity risk inherent in securitised assets;4(1B) the type of risks in terms of seniority
(1) A firm must regularly perform a credit risk stress test to assess the effect of certain specific conditions on its total capital requirements for credit risk. The test to be employed must be one chosen by the firm. The test to be employed must be meaningful and reasonably conservative. Stressed portfolios must contain the vast majority of a firm's total exposures covered by the IRB approach.(2) The stress test must be designed to assess the firm's ability to meet its capital
The IRB approach is an alternative to the standardised approach for calculating a firm's credit risk capital requirements. It may be applied to all a firm'sexposures or to some of them, subject to various limitations on partial use as set out in BIPRU 4.2. Under the IRB approach capital requirements are based on a firm's own estimates of certain parameters together with other parameters set out in the Banking Consolidation Directive.
An IRB permission will modify GENPRU 2.1.51 R (Calculation of the credit risk capital requirement) by amending, to the extent set out in the IRB permission, the calculation of the credit risk capital requirement in accordance with BIPRU 4 and the other provisions of the Handbook relating to the IRB approach.
A firm must calculate its credit risk capital component as the sum of:(1) (for exposures to which the standardised approach is applied) the credit risk capital component as calculated under BIPRU 3.1.5 R; and(2) (for exposures to which the IRB approach is applied to which the standardised approach would otherwise apply in accordance with BIPRU 3.1.5 R (Credit risk capital component)), 8% of the total of the firm'srisk weighted exposure amounts calculated in accordance with the
If the calculation of the amount of an exposure or of a combination of exposures under BIPRU 13 would materially understate the amount of the counterparty credit risk the firm must increase the amount of the credit risk capital requirement by an amount sufficient to compensate for that understatement.
If a firm in relation to an exposure covered by BIPRU 13:(1) has an exposure of a non-standard type; or(2) an exposure that is part of a non-standard arrangement; or(3) has an exposure that, taken together with other exposures (whether or not they are subject to BIPRU 13), gives rise to a non-standard counterparty credit risk; or(4) is subject to the rule in BIPRU 13.2.1 R;it must notify the appropriate regulator as soon as practicable of that fact, the counterparty involved,
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)]
(1) This rule sets out what must be treated as being non-significant business or immaterial for the purposes of BIPRU 4.2.26 R (4), for exposures that do not fall within the equity exposureIRB exposure class.(2) A firm may elect permanently to exclude exposures from the IRB approach and apply the standardised approach. However a firm may only make use of this exemption to the extent that:(a) the consolidated credit risk requirement (adjusted under (6)) so far as it is attributable
A firm must exclude material holdings in the notional calculation of the credit risk capital requirement for the purposes of BIPRU 8.4.13 R. A firm must identify whether it has any material holdings and the amount of them in accordance with GENPRU 2.2 (Capital resources) and GENPRU 2 Annex 4 (Capital resources table for a BIPRU investment firm deducting material holdings).