Related provisions for BIPRU 4.2.10
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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
For an originator, a sponsor, or for other firms which can calculate KIRB, the risk weighted exposure amounts calculated in respect of its positions in a securitisation may be limited to that which would produce an amount in respect of its credit risk capital requirement equal to the sum of 8% of the risk weighted exposure amount which would be produced if the securitised assets had not been securitised and were on the balance sheet of the firm plus the expected loss amounts of
(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
(1) 3(a) An authorised fund manager of a UCITS scheme 6 must use a risk management process enabling it to monitor and measure at any time the risk of the scheme's positions and their contribution to the overall risk profile of the scheme.3(b) In particular, an authorised fund manager of a UCITS scheme 6 must not solely or mechanistically rely on credit ratings issued by credit rating agencies, as defined in article 3(1)(b) of Regulation (EC) No 1060/2009 of the European Parliament
(1) The risk management process in COLL 6.12.3 R should take account of the investment objectives and policy of the scheme as stated in the most recent prospectus.(2) The depositary of a UCITS scheme should take reasonable care to review the appropriateness of the risk management process in line with its duties under COLL 6.6.4 R (General duties of the depositary) and COLL 6.6.14 R (Duties of the depositary and authorised fund manager: investment and borrowing powers), as appropriate.
(1) Economic substance: the risk management and capital treatment of a securitisation must be determined on the basis of its economic substance and not its legal form.(2) Eligible structures: only standalone traditional securitisations are eligible.(3) Eligible underlying assets: term assets (e.g. residential mortgages) originated by the firm are eligible. (4) Effective credit-risk transfer: the securitisation mechanism (e.g. true sale) must effectively transfer the risks of the
The conditions for the application of a conversion factor of 50% are:(1) the liquidity facility documentation must clearly identify and limit the circumstances under which the facility may be drawn;(2) it must not be possible for the facility to be drawn so as to provide credit support by covering losses already incurred at the time of drawdown, for example by providing liquidity for exposures in default at the time of drawdown or by acquiring assets at more than fair value;(3)
This paragraph provides further guidance on BIPRU 4.2.2 R and in particular BIPRU 4.2.2 R (2). In the appropriate regulator's view risk management has an essential role in informing risk decisions. However, an essential role does not necessarily mean an exclusive role or even always a primary role. There may be justifiable differences between the IRB approach and the firm's use of rating systems for its internal purposes as referred to in BIPRU 4.2.2 R (2). For example, internal
The management report required by DTR 4.1.8 R must also give an indication of:(1) any important events that have occurred since the end of the financial year unless those events are:4(a) 4reflected in the issuer’s profit and loss account or balance sheet; or(b) 4disclosed in the notes to the issuer’s audited financial statements;(2) the issuer's likely future development;(3) activities in the field of research and development;(4) the information concerning acquisitions of own
(1) Responsibility statements must be made by the persons responsible within the issuer.(2) The name and function of any person who makes a responsibility statement must be clearly indicated in the responsibility statement.(3) For each person making a responsibility statement, the statement must set out that to the best of his or her knowledge:(a) the financial statements, prepared in accordance with the applicable set of accounting standards, give a true and fair view of the
A firm must develop methodologies for the identification, measurement, management and monitoring of funding positions. Those methodologies must include the current and projected material cash-flows in and arising from assets, liabilities, off-balance-sheet items, including contingent liabilities and the possible impact of reputational risk.22[Note: article 86(4) of the CRD]4