Related provisions for BIPRU 9.5.5
1 - 8 of 8 items.
(1) A firm must notify the FCA that it is relying on the deemed transfer of significant credit risk under article 244(2)2 of the EU CRR (Traditional securitisation) or article 245(2)2 of the EU CRR (Synthetic securitisation), including when this is for the purposes of article 337(5) of the EU CRR, no later than one month after the date of the transfer.(2) The notification in (1) must include sufficient information to allow the FCA to assess whether the possible reduction in risk-weighted
The significant risk transfer requirements in articles 2442 (Traditional securitisation) or 2452 (Synthetic securitisation) of the EU CRR provide three options for a firm to demonstrate how it transfers significant credit risk for any given transaction:(1) the originator does not retain more than 50% of the risk-weighted exposure amounts of mezzanine securitisation positions (as defined in article 242(18) of the EU CRR)2, where these are:(a) securitisation positions to which
A firm may apply for permissions under articles 2442 (Traditional securitisation) or 2452 (Synthetic securitisation) of the EU CRR to consider significant risk transfer to have been achieved without needing to rely on options (1) or (2). The scope of such permission may1be defined to cover a number of transactions or an individual transaction.1
The FCA expects originators seeking to apply the securitisation risk weights to synthetic securitisations to take into account all relevant factors to assess the amount of risk transferred. As well as the size and timing of amounts payable to the protection seller, the circumstances in which those amounts are payable can undermine the effectiveness of risk transfer. The FCA expects a firm seeking capital relief through synthetic securitisations to incorporate premiums in their
Article 238 of the EU CRR (Maturity of credit protection) requires maturity to be assessed in considering significant risk transfer. When considering the effective maturity of synthetic securitisations, the FCA expects a firm to consider whether the transaction contained an option to terminate the protection at the discretion of the protection buyer.
(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
(1) In calculating risk weighted exposure amounts for the securitised exposures, where the conditions in BIPRU 9.5.1 R are met, the originator of a synthetic securitisation must, subject to the treatment of maturity mismatches set out in BIPRU 9.5.6 R-BIPRU 9.5.8 R, use the relevant calculation methodologies set out in BIPRU 9.9-BIPRU 9.14and not those set out in BIPRU 3 (Standardised credit risk) or BIPRU 4 (IRB approach).(2) For firms calculating risk weighted exposure amounts
Table: instruments which result in notional foreign currency positions
This table belongs to BIPRU 7.5.3R(6).
Instruments |
See |
Foreign currencyfutures, forwards, synthetic futures and CFDs |
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Foreign currency options or warrants (unless the firm calculates a PRR on the option or warrant under BIPRU 7.6 (Option PRR)). |
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Gold futures, forwards, synthetic futures and CFDs |
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Gold options (unless the firm calculates a PRR on the option under BIPRU 7.6). |
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Futures, forwards or synthetic futures on a single debt security must be treated as follows:(1) a purchased future, synthetic future or forward is treated as:(a) a notional long position in the underlying debt security (or the cheapest to deliver (taking into account the conversion factor) where the contract can be satisfied by delivery of one from a range of securities); and(b) a notional short position in a zero coupon zero-specific-risk security with a maturity equal to the
Futures, forwards or synthetic futures on a basket or index of debt securities must be converted into forwards on single debt securities as follows (and then the resulting positions must be treated under BIPRU 7.2.13R):(1) futures, synthetic futures or forwards on a single currency basket or index of debt securities must be treated as either:(a) a series of forwards, one for each of the constituent debt securities in the basket or index, of an amount which is a proportionate
(1) Where significant credit risk associated with securitised exposures has been transferred from the originator in accordance with the terms of BIPRU 9.4 or BIPRU 9.5, that originator may:(a) in the case of a traditional securitisation, exclude from its calculation of risk weighted exposure amounts and, as relevant, expected loss amounts, the exposures which it has securitised; and(b) in the case of a synthetic securitisation, calculate risk weighted exposure amounts and, as
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