Related provisions for MIPRU 4.2BA.49

21 - 35 of 35 items.

BIPRU 4.9.2R01/01/2007

The following must be calculated in accordance with BIPRU 9 (Securitisation):(1) risk-weighted exposure amounts for securitisedexposures and for exposures belonging to the IRB exposure class referred to in BIPRU 4.3.2 R (6) (securitisation positions); and(2) the expected loss amounts for securitisedexposures.[Note: BCD Article 87(10) and Article 88(3)]

BIPRU 9.7.4G31/12/2011

2Where BIPRU 9.7.2R (5) applies to securitisation positions in an ABCP programme, the firm may be granted a waiver which allows it to use the risk weight assigned to a liquidity facility in order to calculate the risk weighted exposure amount for the positions in the ABCP programme, provided that the liquidity facility ranks pari passu with the positions in the ABCP programme so that they form overlapping positions and 100% of the commercial paper issued by the ABCP programme

BIPRU 3.5.5G01/01/2021

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%
	3	3	3
	3	3
	3	3	3
	Exposures to central governments or central banks of certain countries outside the UK 3 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.
	3	3
	Other exposures	100%
Regional/local governments	Exposures to the Scottish Parliament, National Assembly for Wales and Northern Ireland Assembly in sterling	0%
	3	3	3
	3	3	3
	3	3	3
	Exposures to local or regional governments of certain countries outside the UK 3 in currency of that country	0%	See BIPRU 3.4.19 R for details of type of local/regional government covered. See Note.3
	Exposures to United Kingdom local/regional government in sterling3 if the exposure has original effective maturity of 3 months or less	20%
	3	3	3
	Exposures to local or regional governments of countries outside the UK 3 in currency of that country if the exposure has original effective maturity of 3 months or less	20%	See Note.3
	Other exposures	100%
PSE	Exposures to a PSE of the United Kingdom if that PSE is guaranteed by central government and if the exposure is in sterling3.	0%	BIPRU 3.4.24 R describes the United Kingdom PSEs covered3.
	Exposures to PSE of a country outside the UK 3 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.3
	Exposures to a PSE of the United Kingdom in sterling3 if the exposure has original effective maturity of 3 months or less	20%
	3	3	3
	Exposures to PSE of a country outside the UK 3 in currency of that country if the exposure has original effective maturity of 3 months or less	20%	See Note3.
	Other exposures	100%
Multilateral development banks	Exposures to multilateral development banks listed in paragraph (1) of the Glossary definition	0%	Simplified approach does not apply. Normal rules apply.
Multilateral development banks	Other exposures	Various	Treated as an institution
EU 2, The3 International Monetary Fund and the Bank for International Settlements 2		0%	Simplified approach does not apply. Normal rules apply.
Institutions	Exposures to United Kingdom institution in sterling with original effective maturity of three months or less	20%
	3	3	3
	3	3
	3	3	3
	Exposures to institution with a head office in a country outside the UK 3 in the currency of that country with original effective maturity of three months or less	20%	See Note3.
	Exposures to United Kingdom institution in sterling with original effective maturity of over three months	50%
	3	3	3
	3 1	3
	3 1	3	3
	Exposures to institution with a head office in a country outside the UK 3 in the currency of that country with original effective maturity of over three1 months	50%	See Note3.
	Other exposures	100%
Corporates		100%
Retail exposures		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.
Covered bonds		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.
Securitisation exposures		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.
CIUs	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.
Note3: 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 UK 3 that apply equivalent prudential standards) applies.
3
3

BIPRU 2.2.31G01/01/2007

A firm should assess its exposure to risks transferred through the securitisation of assets should those transfers fail for whatever reason. A firm should consider the effect on its financial position of a securitisation arrangement failing to operate as anticipated or of the values and risks transferred not emerging as expected.

SUP 16.12.11R01/01/2021

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	45 Firms' prudential category and applicable data items(note 1)
	IFPRU investment firms and BIPRU firms		Firmsother thanBIPRU firms or IFPRU investment firms
	IFPRU	BIPRU	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 or FIN07152 (note 14)	FSA031	FSA032 (note 15) or Section D162 RMAR (note 15) 50 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-UK sub-group81	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 UK CRR 81, 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; or80 (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 50 55
Note 14	FSA03474 must be completed by a firm not subject to the exemption in IPRU(INV) 5.4.2R74, unless it is a firm whose permitted business includes establishing, operating or winding up a personal pension scheme, in which case FIN071 must be completed76. FSA035 must be completed by a firm subject to the exemption in IPRU(INV) 5.4.2R74 76. 74 52
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, D1,62 D280 and F RMAR only apply to a firm subject to IPRU(INV) Chapter 13 which is not an exempt CAD firm. 50 50 50
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 77 (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 77 (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 80 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 UK lead regulated firm, it must complete the item on the basis of that group. (3) If it is a group liquidity reporting firm in a UK DLG 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 UK DLG 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 UK DLG 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 UK CRR 82 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.

BIPRU 9.2.1R01/01/2007

(1) Where a firm uses the standardised approach set out in BIPRU 3 (Standardised approach to credit risk) for the calculation of risk weighted exposure amount for the standardised credit risk exposure class to which the securitised exposures would otherwise be assigned under BIPRU 3, then it must calculate the risk weighted exposure amount for a securitisation position in accordance with the standardised approach to securitisations set out in BIPRU 9.9, BIPRU 9.10, BIPRU 9.11

Related provisions for MIPRU 4.2BA.49

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