Related provisions for MIPRU 4.2E.7

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MIPRU 4.2E.1RRP
1For the calculation of risk weighted exposure amounts, a firm must use solicited credit assessments from ECAIs in the following manner: (1) consistently and in accordance with this section; and(2) not selectively.
MIPRU 4.2E.8RRP
(1) If more than two credit assessments are available from nominated ECAIs for a rated item, the two assessments generating the two lowest risk weights must be referred to. (2) If the two lowest risk weights are different, the higher risk weight must be assigned. (3) If the two lowest risk weights are the same, that risk weight must be assigned.
BIPRU 3.4.7RRP
An export credit agency credit assessment may be recognised by a firm for the purpose of determining the risk weight to be applied to an exposure under the standardised approach if either of the following conditions is met:(1) the credit assessment is a consensus risk score from export credit agencies participating in the OECD "Arrangement on Guidelines for Officially Supported Export Credits"; or(2) the export credit agency publishes its credit assessments, and the export credit
MIPRU 4.2F.40RRP
Exposures in the form of funds for which a credit assessment by a nominated ECAI is available must be assigned a risk weight using:(1) the table in MIPRU 4.2E.14 R to determine the credit quality step associated with that credit assessment; and(2) the table in MIPRU 4.2F.41 R to determine the risk weight to be applied to the rated position, based on the associated credit quality step.
MIPRU 4.2F.41RRP

Table: Exposures in the form of funds for which a credit assessment by a nominated ECAI is available

This table belongs to MIPRU 4.2F.40 R.

Credit quality step

1

2

3

4

5

6

Risk weight

20%

50%

100%

100%

150%

150%
MIPRU 4.2F.43GRP
A firm should consider a fund as being high risk where there is no external credit assessment from an eligible ECAI and where the fund has specific features (such as high levels of leverage or lack of transparency).
IFPRU 4.12.10GRP
Notification under IFPRU 4.12.1 G should include sufficient information to enable the FCA to assess whether the possible reduction in RWEA which would be achieved by the securitisation is justified by a commensurate transfer of credit risk to third parties. The FCA expects this to include the following:(1) details of the securitisation positions, including rating, exposure value and RWEA broken down by securitisation positions sold and retained;(2) key transaction documentation
BIPRU 11.5.10RRP
For a firm calculating risk weighted exposure amounts in accordance with the standardised approach to credit risk, the following information must be disclosed for each of the standardised credit risk exposure classes;(1) the names of the nominated ECAIs and export credit agencies and the reasons for any changes;(2) the standardised credit risk exposure classes for which each ECAI or export credit agency is used;(3) a description of the process used to transfer the issuer and issue
BIPRU 11.5.17RRP
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
BIPRU 4.10.37RRP
(1) In the case of a firm using the IRB approach to calculate risk weighted exposure amounts and expected loss amounts, the persons in (2) are added to the list in BIPRU 5.4.64 R (Definition of core market participant).(2) The persons referred to in (1) are other financial companies (including insurance companies) exposures to which do not have a credit assessment by an eligible ECAI and are internally rated as having a probability of default equivalent to that associated with
BIPRU 7.2.44RRP

Table: specific risk position risk adjustments

This table belongs to BIPRU 7.2.43R.

Issuer

Residual maturity

Position risk adjustment

Debt securities issued or guaranteed by central governments, issued by central banks, international organisations, multilateral development banks or EEA States' regional governments or local authorities which would qualify for credit quality step 1 or which would receive a 0% risk weight under the standardised approach to credit risk.

Any

0%

(A) Debt securities issued or guaranteed by central governments, issued by central banks, international organisations, multilateral development banks or EEA States' regional governments or local authorities which would qualify for credit quality step 2 or 3 under the standardised approach to credit risk.

(B) Debt securities issued or guaranteed by institutions which would qualify for credit quality step 1 or 2 under the standardised approach to credit risk.

(C) Debt securities issued or guaranteed by institution which would qualify for credit quality step 3 under BIPRU 3.4.34 R (Exposures to institutions: Credit assessment based method) or which would do so if it had an original effective maturity of three months or less.

(D) Debt securities issued or guaranteed by corporates which would qualify for credit quality step 1, 2 or 32 under the standardised approach to credit risk.

(E) Other qualifying debt securities (see BIPRU 7.2.49R)

2

Zero to six months

0.25%

over 6 and up to and including 24 months

1%

Over 24 months

1.6%

(A) Debt securities issued or guaranteed by central governments, issued by central banks, international organisations, multilateral development banks or EEA States' regional governments or local authorities or institutions which would qualify for credit quality step 4 or 5 under the standardised approach to credit risk.

(B) Debt securities issued or guaranteed by corporates which would qualify for credit quality step 4 under the standardised approach to credit risk.

(C) Exposures for which a credit assessment by a nominated ECAI is not available.

2

Any

8%

(A) Debt securities issued or guaranteed by central governments, issued by central banks, international organisations, multilateral development banks or EEA States' regional governments or local authorities or institution which would qualify for credit quality step 6 under the standardised approach to credit risk.

(B) Debt securities issued or guaranteed by corporate which would qualify for credit quality step 5 or 6 under the standardised approach to credit risk.

(C) An instrument that shows a particular risk because of the insufficient solvency of the issuer of liquidity. This paragraph applies even if the instrument would otherwise qualify for a lower position risk adjustment under this table.

Any

12%

Note: The question of what a corporate is and of what category a debt security falls into must be decided under the rules relating to the standardised approach to credit risk.

[Note:CAD Annex I point 14 Table 1]2

BIPRU 7.2.49RRP
A debt security is a qualifying debt security if:(1) it qualifies for a credit quality step under the standardised approach to credit risk corresponding at least to investment grade; or(2) it has a PD which, because of the solvency of the issuer, is not higher than that of the debt securities referred to under (1) under the IRB approach; or(3) it is a debt security for which a credit assessment by a nominated ECAI is unavailable and which meets the following conditions:(a) it
BIPRU 3.2.20RRP
(1) To calculate risk weighted exposure amounts, risk weights must be applied to all exposures, unless deducted from capital resources, in accordance with the provisions of BIPRU 3.4.(2) The application of risk weights must be based on the standardised credit risk exposure class to which the exposure is assigned and, to the extent specified in BIPRU 3.4, its credit quality.(3) Credit quality may be determined by reference to:(a) the credit assessments of eligible ECAIs in accordance
BIPRU 5.7.1RRP
The following parties may be recognised as eligible providers of unfunded credit protection:(1) central governments and central banks;(2) regional governments or local authorities;(3) multilateral development banks;(4) international organisationsexposures which are assigned a 0% risk weight under the standardised approach;(5) public sector entities, claims on which are treated as claims on institutions or central governments under the standardised approach;(6) institutions;(7)
BIPRU 9.11.2RRP

Table:

This table belongs to BIPRU 9.11.1 R

2

Credit Quality step

1

2

3

4 (only for credit assessments other than short-term credit assessments)2

All other credit quality steps2

2

Securitisation positions2

2

20%

50%

100%

350%

1250%2

2Resecuritisation positions

40%

100%

225%

650%

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/pra/Documents/publications/ss/2013/ss913.pdf for the PRA]

[Note: BCD, Annex IX, Part 4, point 6, Table 1]2

BIPRU 9.12.20RRP
(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
IFPRU 4.6.29GRP
The FCA expects a firm using a rating agency grades as the primary driver in its IRB models to be able to demonstrate (and document) compliance with the following criteria:(1) the firm has its own internal rating scale;(2) the firm has a system and processes in place that allow it to continuously collect and analyse all relevant information, and the 'other relevant information' considered by the firm in accordance with article 171(2) of the EU CRR reflects the information collected