Related provisions for MIPRU 4.2BA.23
1 - 18 of 18 items.
The credit enhancement documentation must not contain clauses that require securitisation positions to be improved by the firm in response to a deterioration in the credit quality of the securitised exposures, including: (1) altering the credit quality of the underlying exposures; or(2) increasing the yield payable to investors in the securitisation positions.
If a firm repurchases securitised exposures or securitisation positions, it must:(1) be able to demonstrate that it has adequately considered the following:(a) the price of the repurchase;(b) the firm's capital and liquidity position before and after repurchase;(c) the performance of the securitised exposures; and(d) the performance of the securitisation positions;(2) have concluded, taking into account the factors in (1) and any other relevant information, that the repurchase
The assessment of whether a firm is providing unfunded support to its securitisation positions must take into account the economic substance of that support in the context of the overall transaction and any circumstances in which the firm could become exposed to a higher credit risk in the absence of that support. In this case the firm must consider the relevant position as if it were not rated and must apply the relevant treatment for unrated positions.
The use of the concentration ratio approach for unrated securitisation positions is only permitted where all the following conditions are met:(1) the concentration ratio is equal to the sum of the nominal amounts of all the tranches divided by the sum of the nominal amounts of the tranches junior to, or equal to, the tranche in which the position is held, including that tranche itself;(2) where the resulting risk weight for a securitisation position is lower than any risk weight
Table: specific risk position risk adjustments - standardised approach
3Credit quality step |
1 |
2 |
3 |
4 (only for credit assessments other than short-term credit assessments) |
All other credit quality steps |
1.6% |
4% |
8% |
28% |
100% |
|
3.2% |
8% |
18% |
52% |
100% |
|
A firm may only apply the position risk adjustments in this table where it would have to calculate a risk weighted exposure amount in accordance with the standardised approach to securitisation and resecuritisation positions if such positions were in its non-trading book under BIPRU 9. The appropriate position risk adjustment is calculated as 8% of the risk weight that would apply to the position under the standardised approach in BIPRU 9.11.2 R, subject to the requirements of BIPRU 9.9 to BIPRU 9.11, where appropriate. |
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Table: specific risk Position Risk Adjustments - 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 position risk adjustments 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 position risk adjustment 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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(1) If:(a) a firm'sIRB permission allows it to use this treatment; and(b) the conditions in (2)(16) are satisfied,a firm may attribute to an unrated position in an asset backed commercial paper programme a derived rating as laid down in (3).(2) Positions in the commercial paper issued from the programme must be rated positions.(3) Under the ABCP internal assessment approach, the unrated position must be assigned by the firm to one of the rating grades described in (5). The position
The originator of a traditional securitisation may exclude securitised exposures from the calculation of risk weighted exposure amounts and expected loss amounts if either of the following conditions is fulfilled:(1) 2significant credit risk associated with the securitised exposures is considered to have been transferred to third parties; or(2) 2the originator applies a 1250% risk weight to all securitisation positions it holds in the securitisation or deducts these securitisation
Where there is a clean-up call option, the following conditions must be satisfied:(1) the clean-up call option is exercisable at the discretion of the originator;(2) the clean-up call option may only be exercised when 10% or less of the original value of the exposuressecuritised remains unamortised; and(3) the clean-up call option is not structured to avoid allocating losses to credit enhancement positions or other positions held by investors and is not otherwise structured to
The securitisation documentation must not contain clauses that:(1) other than in the case of early amortisation provisions, require positions in the securitisation to be improved by the originator including but not limited to altering the underlying credit exposures or increasing the yield payable to investors in response to a deterioration in the credit quality of the securitised exposures; or(2) increase the yield payable to holders of positions in the securitisation in response
2Significant credit risk will be considered to be transferred for an originator in the following cases:(1) 2the risk weighted exposure amounts of the mezzanine securitisation positions held by the originator in the securitisation do not exceed 50% of the risk weighted exposure amounts of all mezzanine securitisation positions existing in this securitisation;(2) 2where there are no mezzanine securitisation positions in a given securitisation and the originator can demonstrate that
2An originator must notify the appropriate regulator that it is relying on the deemed transfer of significant credit risk under BIPRU 9.4.11R within a reasonable period before or after a relevant transfer, not being later than one month after the date of the transfer. The notification must include the following information:(1) 2the risk weighted exposure amount of the securitised exposures and retained securitisation positions; (2) 2the exposure value of the securitised exposures
(1) Where there is an exposure to different tranches in a securitisation, the exposure to each tranche must be considered a separate securitisation position.(2) The providers of credit protection to securitisation positions must be treated as holding positions in the securitisation.(3) securitisation positions include exposures to a securitisation arising from interest rate or currency derivative contracts.[Note:BCD Article 96(2)]
Subject to BIPRU 9.9.5 R,(1) where a firm calculates risk weighted exposure amounts under the standardised approach to securitisations outlined in BIPRU 9.11, the exposure value of an on-balance sheet securitisation position must be its balance sheet value;(2) where a firm calculates risk weighted exposure amounts under the IRB approach to securitisations outlined in BIPRU 9.12, the exposure value of an on-balance sheet securitisation position must be measured gross of value adjustments;(3)
Where a securitisation position is subject to funded credit protection, the exposure value of that position may be modified in accordance with and subject to the requirements of BIPRU 5 (Credit risk mitigation) as further specified in BIPRU 9.11.13 R and BIPRU 9.14.[Note:BCD Annex IX Part 4 point 4]
(1) Where a firm has two or more overlapping positions in a securitisation the firm must, to the extent that the positions overlap, include in its calculation of risk weighted exposure amounts only the position, or portion of a position, producing the higher risk weighted exposure amounts. The firm may also recognise such an overlap between capital charges for specific risk in relation to positions in the trading book and capital charges for positions in the non-trading book,
In other cases the firm must treat the securitisation position as two or more positions with the uncovered portion being the position with the lower credit quality. For the purposes of calculating the risk weighted exposure amount for this position, the provisions in BIPRU 9.12.22 R to BIPRU 9.12.24 G apply subject to the modifications that T is adjusted to e* in the case of funded credit protection; and to T-g in the case of unfunded credit protection, where e* denotes the ratio
(1) An originator of a synthetic securitisation may calculate risk weighted exposure amounts1, and, as relevant, expected loss amounts, for the securitised exposures in accordance with BIPRU 9.5.3 R and BIPRU 9.5.4 R, if either of the following conditions is fulfilled:1(a) 1significant credit risk is considered to have been transferred to third parties, either through funded or unfunded credit protection; or(b) 1the originator applies a 1250% risk weight to all securitisation
Each exposure must be assigned to one of the following exposure classes:(1) claims or contingent claims on central governments and central banks;(2) claims or contingent claims on institutions;(3) claims or contingent claims on corporates;(4) retail claims or contingent retail claims;(5) equity claims;(6) securitisation positions; and(7) non credit-obligation assets.[Note: BCD Article 86(1)]
(1) Securitisation documentation should make clear, where applicable, that any repurchase of securitised exposures or securitisation positions by the originator or sponsor beyond its contractual obligations is not mandatory and may only be made at fair market value. In general, any such repurchase should be subject to a firm's credit review and approval process, which should be adequate to ensure that the repurchase complies with BIPRU 9.6.1 R.(2) If an originator or sponsor repurchases
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