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. |
2Nth to default credit default swap |
The effective notional value of the reference debt instrument, multiplied by the modified duration of the nth to default derivative with respect to a change in the credit spread of the reference debt instrument. |
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. |
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) |
Reference debt instruments of an nth to default derivative that have a credit assessment from a recognised ECAI equivalent to credit quality step 1 to 32 2 |
0.3%2 |
2(11) |
Reference debt instruments of an nth to default derivative that do not have a credit assessment from a recognised ECAI equivalent to credit quality step 1 to 3 |
0.6% |
2(12) |
Underlying instruments of financial derivative instrument that are not in any of the above categories. |
10.0% |
[Note: BCD Annex III Part 5 Table 5 and Part 5 point 15 (c)2]
Table: Appropriate position risk adjustment
This table belongs to BIPRU 7.6.7R
Underlying position |
|
The position risk adjustment 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 position risk adjustment (see BIPRU 7.2.43R to BIPRU 7.2.51G (Specific risk calculation)) and the general market risk position risk adjustment (as set out in BIPRU 7.2.57R (General market riskposition risk adjustments)) applicable to the underlying position |
Debt securities |
The sum of the specific risk position risk adjustment (see BIPRU 7.2.43R to BIPRU 7.2.51G (Specific risk calculation)) and the general market risk position risk adjustment (as set out in the table in BIPRU 7.2.57R (General market riskposition risk adjustments)) 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 position risk adjustment |
In the money by less than the position risk adjustment |
|||
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 |
{(position risk adjustment-100%) x The underlying position valued at strike price} |
+ |
The market value of the underlying position |
|
Wc means |
{(100% +position risk adjustment 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 position risk adjustment |
|||
Y means |
The market value of the underlying position multiplied by the appropriate position risk adjustment. 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 position risk adjustments
This table belongs to BIPRU 7.3.29R
Instrument |
|
Single equities |
16%2 2 |
Qualifying equity indices2 (see BIPRU 7.3.38R) 2 |
8% |
All other equity indices or baskets |
16%2 2 |
If it is necessary to distinguish between the specific risk position risk adjustment and the general market risk position risk adjustment, the specific risk position risk adjustment for the first and third rows is 8%2 and that for the second row is 0%. The rest of the position risk adjustment in the second column is the general market risk position risk adjustment 2 |
Table: position risk adjustment for specific risk under the standard equity method
This table belongs to BIPRU 7.3.33R1
Instrument |
|
Qualifying equity indices2 (see BIPRU 7.3.38R) 2 |
0% |
All equities, and other2equity indices or equity2 baskets 22 |
8%2 2 |
The applicable data items referred to in SUP 16.12.4 R are set out according to firm type in the table below:
Description of data item |
45Firms' prudential category and applicable data items(note 1) |
|||||||
Firmsother thanBIPRU firms or IFPRU investment firms |
||||||||
IPRU(INV)Chapter 3 |
IPRU(INV)Chapter 5 |
IPRU(INV)Chapter 9 |
IPRU(INV)Chapter 13 |
38 | ||||
Solvency statement |
No standard format (note 11) |
No standard format (note 20) |
No standard format (note 11) |
38 | ||||
Balance sheet |
FSA001/FINREP (note 36) |
FSA001 (Note 2) |
FSA029 (note 18) |
FSA029 |
FSA029 |
FSA029 (note 15) or Section A RMAR (note 15) |
38 | |
Income statement |
FSA00250/FINREP (note 36) 50 |
FSA002 (Note 2) |
FSA030 (note 18) |
FSA030 |
FSA030 |
FSA030 (note 15) or Section B RMAR (note 15) |
38 | |
Capital adequacy |
COREP (Note 36) |
FSA003 (Note 2) |
FSA033 (note 18) |
FSA034 or FSA035 (note 14) |
FSA031 |
FSA032 (note 15) or Sections D1 and D2 50RMAR (note 15) 50 |
38 | |
Supplementary capital data for collective portfolio management investment firms |
FIN067 (Note 35) |
FIN068 (Note 35) |
||||||
Credit risk |
COREP (Note 36) |
FSA004 (Notes 2, 3) |
||||||
Market risk |
COREP (Note 36) |
FSA005 (Notes 2, 4) |
||||||
Market risk - supplementary |
FSA006 (note 5) |
FSA006 (Note 5) |
||||||
Operational risk |
COREP (Note 36) |
|||||||
Large exposures |
COREP (Note 36) |
|||||||
Exposures between core UK group and non-core large exposures group |
FSA018 (note 12) |
|||||||
Solo consolidation data |
FSA016 (note 25) |
FSA016 (Note 25) |
||||||
Pillar 2 questionnaire |
FSA019 (note 8) |
FSA019 (Note 8) |
||||||
Non-EEA sub-group |
COREP (Note 36) |
FSA028 (Note 9) |
||||||
Threshold conditions |
Section F RMAR (Note 15) |
|||||||
Client money and client assets |
FSA039 |
FSA039 |
FSA039 (note 18) |
FSA039 |
FSA039 |
Section C RMAR (Note 15) or FSA039 |
38 | |
CFTC |
FSA040 (note 24) |
FSA040 (Note 24) |
FSA040 (note 24) |
FSA040 (note 24) |
FSA040 (note 24) |
FSA040 (note 24) |
38 | |
IRB portfolio risk |
FSA045 (note 22) |
FSA045 (Note 22) |
||||||
Securitisation: non-trading book |
COREP (Note 36) |
FSA046 (Note 23) |
||||||
Daily Flows |
FSA047/COREP (Notes 26, 29 , 31, 33, and 36) |
|||||||
Enhanced Mismatch Report |
FSA048/COREP (Notes 26, 29 , 31, 33, and 36) |
|||||||
Liquidity Buffer Qualifying Securities |
FSA050/COREP (Notes 27, 30, 31, 33, and 36) |
|||||||
Funding Concentration |
FSA051/COREP (Notes 27, 30, 31, 33, and 36) |
|||||||
Pricing data |
FSA052/COREP (Notes 27, 31, 33, 34, and 36) |
|||||||
Retail and corporate funding |
FSA053/COREP (Notes 27, 30, 31, 33, and 36) |
|||||||
Currency Analysis |
FSA054/COREP (Notes 27, 30, 31, 33, and 36) |
|||||||
Systems and Controls Questionnaire |
FSA055/COREP (Notes 28, 33, and 36) |
FSA055 (Notes 28 and 33) |
||||||
Securitisation: trading book |
COREP (Note 36) |
|||||||
46Liquidity Questionnaire |
MLA-M (Note 37) |
MLA-M (Note 37) |
MLA-M (Note 37) |
MLA-M (Note 37) |
MLA-M (Note 37) |
MLA-M (Note 37) |
MLA-M (Note 37) |
|
Note 1 |
All firms, except IFPRU investment firms in relation to data items reported under the EU CRR, when submitting the completed data item required, a firm must use the format of the data item set out in SUP 16 Annex 24. Guidance notes for completion of the data items are contained in SUP 16 Annex 25. |
|||||||
Note 2 |
Firms that are members of a UK consolidation group are also required to submit this report on a UK consolidation group basis. |
|||||||
Note 3 |
This applies to a firm that is required to submit data item FSA003 and, at any time within the 12 months up to its latest accounting reference date ("the relevant period"), was reporting data item FSA004 ("Firm A") or not reporting this item ("Firm B"). In the case of Firm A it must report this data item if one or both of its last two submissions in the relevant period show that the threshold was exceeded. In the case of Firm B it must report this item if both the last two submissions in the relevant period show that the threshold has been exceeded. The threshold is exceeded where data element 77A in data item FSA003 is greater than £10 million, or its currency equivalent, at the relevant reporting date for the firm. |
|||||||
Note 4 |
This applies to a firm that is required to submit data item FSA003 and, at anytime within the 12 months up to its latest accounting reference date ("the relevant period"), was reporting data item FSA005 ("Firm A") or not reporting this item ("Firm B"). In the case of Firm A it must report this data item if one or both of its last two submissions in the relevant period show that the threshold was exceeded. In the case of Firm B it must report this item if both the last two submissions in the relevant period show that the threshold has been exceeded. The threshold is exceeded where data element 93A in data item FSA003 is greater than £50 million, or its currency equivalent, at the relevant reporting date for the firm. |
|||||||
Note 5 |
Only applicable to firms with a VaR model permission. |
|||||||
Note 6 |
[deleted] |
|||||||
Note 7 |
[deleted] |
|||||||
Note 8 |
Only applicable to IFPRU investment firms and BIPRU firms that: (a) are subject to consolidated supervision under BIPRU 8, except those that are either included within the consolidated supervision of a group that includes a UK credit institution, or that have been granted an investment firm consolidation waiver; or (b) have been granted an investment firm consolidation waiver ;or (c) are not subject to consolidated supervision under BIPRU 8. An IFPRU investment firm and a BIPRU firm under (a) must complete the report on the basis of its UK consolidation group. An IFPRU investment firm and a BIPRU firm under (b) or (c) must complete the report on the basis of its solo position. |
|||||||
Note 9 |
This will be applicable to firms that are members of a UK consolidation group on the reporting date. |
|||||||
Note 10 |
[deleted]55 55 |
|||||||
Note 11 |
Only applicable to a firm that is a sole trader or a partnership, when the report must be submitted by each partner. |
|||||||
Note 12 |
This is only applicable to a firm that has both a core UK group and a non-core large exposures group. |
|||||||
Note 13 |
[deleted]55 5055 |
|||||||
Note 14 |
FSA034 must be completed by a firm not subject to the exemption in IPRU(INV) 5.2.3(2)R. FSA035 must be completed by a firm subject to the exemption in IPRU(INV) 5.2.3(2)R. |
|||||||
Note 15 |
FSA029, FSA030, FSA032 and FSA039 only apply to a firm subject to IPRU(INV) Chapter 13 which is an exempt CAD firm. Sections A, B, C, D1, D250and F RMAR only apply to a firm subject to IPRU(INV) Chapter 13 which is not an exempt CAD firm. 5050 |
|||||||
Note 16 |
[deleted] |
|||||||
Note 17 |
An exempt BIPRU commodity firm will, by virtue of the definition of BIPRU TP 15, be exempt from completing FSA003 (and thus FSA004, FSA005, FSA006 and FSA007) for the duration of the transitional provision. It is however required to submit all other data items applicable according to the firm's BIPRU classification including, for the avoidance of doubt, BIPRU TP 16. |
|||||||
Note 18 |
Except if the firm is an adviser, local or traded options market maker (as referred to in IPRU(INV) 3-60(4)R. |
|||||||
Note 19 |
[deleted]55 55 |
|||||||
Note 20 |
Only required in the case of an adviser, local or traded options market maker (as referred to in IPRU(INV) 3-60(4)R) that is a sole trader. |
|||||||
Note 21 |
[deleted] |
|||||||
Note 22 |
Only applicable to firms that have an IRB permission. |
|||||||
Note 23 |
Only applicable to firms that hold securitisation positions, or are the originator or sponsor of securitisations. of non-trading book exposures. |
|||||||
Note 24 |
Only applicable to firms granted a Part 30 exemption order and operating an arrangement to cover forward profits on the London Metals Exchange. |
|||||||
Note 25 |
Only applicable to a firm that has a solo consolidation waiver. |
|||||||
Note 26 |
A firm must complete this item separately on each of the following bases (if applicable). (1) It must complete it on a solo basis. Therefore even if it has a solo consolidation waiver it must complete the item on an unconsolidated basis by reference to the firm alone. (2) If it is a group liquidity reporting firm in a DLG by default and is a UKlead regulated firm, it must complete the item on the basis of that group. (3) If it is a group liquidity reporting firm in a UKDLG by modification, it must complete the item on the basis of that group. (4) If it is a group liquidity reporting firm in a non-UK DLG by modification, it must complete the item on the basis of that group. |
|||||||
Note 27 |
A firm must complete this item separately on each of the following bases that are applicable. (1) It must complete it on a solo basis unless it is a group liquidity reporting firm in a UKDLG by modification. Therefore even if it has a solo consolidation waiver it must complete the item on an unconsolidated basis by reference to the firm alone. (2) If it is a group liquidity reporting firm in a UKDLG by modification, it must complete the item on the basis of that group. |
|||||||
Note 28 |
If it is a non-ILAS BIPRU firm, it must complete it on a solo basis. Therefore even if it has a solo consolidation waiver it must complete the item on an unconsolidated basis by reference to the firm alone. |
|||||||
Note 29 |
(1) This item must be reported in the reporting currency. (2) If any data element is in a currency or currencies other than the reporting currency, all currencies (including the reporting currency) must be combined into a figure in the reporting currency. (3) In addition, all material currencies (which may include the reporting currency) must each be recorded separately (translated into the reporting currency). However if: (a) the reporting frequency is (whether under a rule or under a waiver) quarterly or less than quarterly; or (b) the only material currency is the reporting currency; (3) does not apply. (4) If there are more than three material currencies for this data item, (3) only applies to the three largest in amount. A firm must identify the largest in amount in accordance with the following procedure. (a) For each currency, take the largest of the asset or liability figure as referred to in the definition of material currency. (b) Take the three largest figures from the resulting list of amounts. (5) The date as at which the calculations for the purposes of the definition of material currency are carried out is the last day of the reporting period in question. (6) The reporting currency for this data item is whichever of the following currencies the firm chooses, namely USD (the United States Dollar), EUR (the euro), GBP (sterling), JPY (the Japanese Yen), CHF (the Swiss Franc), CAD (the Canadian Dollar) or SEK (the Swedish Krona). |
|||||||
Note 30 |
Note 29 applies, except that paragraphs (3), (4) and (5) do not apply, meaning that material currencies must not be recorded separately. |
|||||||
Note 31 |
Any changes to reporting requirements caused by a firm receiving an intra-group liquidity modification (or a variation to one) do not take effect until the first day of the next reporting period applicable under the changed reporting requirements for the data item in question if the firm receives that intra-group liquidity modification or variation part of the way through such a period. If the change is that the firm does not have to report a particular data item or does not have to report it at a particular reporting level, the firm must nevertheless report that item or at that reporting level for any reporting period that has already begun. This paragraph is subject to anything that the intra-group liquidity modification says to the contrary.15 |
|||||||
Note 32 |
Only applicable to firms that hold securitisation positions in the trading book and/or are the originator or sponsor of securitisations held in the trading book. |
|||||||
Note 33 |
FSA047, FSA048, FSA050, FSA051, FSA052, FSA053 and FSA054 must be completed by an ILAS BIPRU firm. An ILAS BIPRU firm does not need to complete FSA055. A non-ILAS BIPRU firm must complete FSA055 and does not need to complete FSA047, FSA048, FSA050, FSA051, FSA052, FSA053 and FSA054. |
|||||||
Note 34 |
This data item must be reported only in the currencies named in FSA052, so that liabilities in GBP are reported in GBP in rows 1 to 4, those in USD are reported in USD in rows 5 to 8, and those in Euro are reported in Euro in rows 9 to 12. Liabilities in other currencies are not to be reported. |
|||||||
Note 35 |
Only applicable to firms that are collective portfolio management investment firms. |
|||||||
Note 36 |
Requirements under COREP and FINREP should be determined with reference to the EU CRR and applicable technical standards. |
|||||||
46Note 37 |
Only applicable to RAG 3 firms carrying on home financing or home finance administration connected to regulated mortgage contracts, unless as at 26 April 2014 its Part 4A permission was and continues to remain subject to a restriction preventing it from undertaking new home financing or home finance administration connected to regulated mortgage contracts. |
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 |
|
EU2, the International Monetary Fund and the Bank for International Settlements 2 |
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 three 1months |
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 three1 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 three1 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:
This table belongs to BIPRU 9.12.10 R
44Credit Quality Step |
Securitisation positions |
Resecuritisation positions |
||||
Credit assessments other than short term |
Short-term credit assessments |
A |
B |
C |
D |
E |
1 |
1 |
7% |
12% |
20% |
20% |
30% |
2 |
8% |
15% |
25% |
25% |
40% |
|
3 |
10% |
18% |
35% |
35% |
50% |
|
4 |
2 |
12% |
20% |
40% |
65% |
|
5 |
20% |
35% |
60% |
100% |
||
6 |
35% |
50% |
100% |
150% |
||
7 |
3 |
60% |
75% |
150% |
225% |
|
8 |
100% |
200% |
350% |
|||
9 |
250% |
300% |
500% |
|||
10 |
425% |
500% |
650% |
|||
11 |
650% |
750% |
850% |
|||
all other, unrated |
1250% |
[Note: For mapping of the credit quality step to the credit assessments of eligible ECAIs, refer to: http://www.fca.org.uk/your-fca/documents/fsa-ecais-securitisation for the FCA and http://www.bankofengland.co.uk/publications/Documents/other/pra/policy/2013/ecaissecuritisation.pdf for the PRA.]