Related provisions for MIPRU 4.2BA.49

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BIPRU 3.5.5GRP

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 UK3 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 UK3 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 UK3 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 KingdomPSEs covered3.

Exposures to PSE of a country outside the UK3 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 UK3 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.

Other exposures

Various

Treated as an institution

EU2, The3 International Monetary Fund and the Bank for International Settlements

2

0%

Simplified approach does not apply. Normal rules apply.

Institutions

Exposures to United Kingdominstitution 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 UK3 in the currency of that country with original effective maturity of three months or less

20%

See Note3.

Exposures to United Kingdominstitution 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 UK3 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.

Securitisationexposures

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 UK3 that apply equivalent prudential standards) applies.

3

3
BIPRU 2.2.31GRP
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 16.12.11RRP

The applicable data items referred to in SUP 16.12.4 R are set out according to firm type in the table below:

89Description of data item

Firms’prudential category and applicable data items (note 1)

MIFIDPRU investment firms

Firms other than MIFIDPRU investment firms

IPRU(INV)Chapter 3

IPRU(INV)Chapter 5

91

IPRU(INV)Chapter 13

Solvency statement

No standard format (note 4)

No standard format (note 6)

No standard format (note 4)

Balance sheet

FSA029

(note 2)

FSA029

(note 5)

FSA029

91

Section A RMAR

Income statement

FSA030

(note 2)

FSA030

(note 5)

FSA030

91

Section B RMAR

Capital adequacy

MIF001

(note 2 and 3)

FSA033

(note 5)

FSA034 or FSA035 or FIN071

(note 7)

91

Section D1 RMAR

Supplementary capital data for collective portfolio management investment firms

FIN067

(note 13)

ICARA assessment questionnaire

MIF007

(note 3)

Threshold conditions

Section F RMAR

Client money and client assets

FSA039

FSA039

FSA039

91

Section C RMAR

CFTC

FSA040 (note 8)

FSA040 (note 8)

FSA040 (note 8)

91

FSA040 (note 8)

Liquidity

MIF002

(notes 2, 3 and 10)

Metrics reporting

MIF003

(notes 2 and 3)

Concentration risk (non-K-CON)

MIF004

(notes 2, 3 and 11)

Concentration risk (K-CON)

MIF005

(notes 2, 3 and 11)

Group capital test

MIF006

(notes 3 and 12)

Liquidity Questionnaire

MLA-M (note 9)

MLA-M (note 9)

MLA-M (note 9)

91

MLA-M (note 9)

Note 1

All firms (except MIFIDPRU investment firms in relation to items reported under MIFIDPRU 9) must, when submitting the completed data item required, use the format of the data item set out in SUP 16 Annex 24R. Guidance notes for completion of the data items are contained in SUP 16 Annex 25G.

Note 2

A UK parent entity of an investment firm group to which consolidation applies under MIFIDPRU 2.5 must also submit this report on the basis of the consolidated situation.

Note 3

Data items MIF001 – MIF007 must be reported in accordance with the rules in MIFIDPRU 9.

Note 4

Only applicable to a firm that is a sole trader or partnership. Where the firm is a partnership, this report must be submitted by each partner.

Note 5

Except if the firm is an adviser (as referred to in IPRU-INV (3)-60(4)R).

Note 6

Only required in the case of an adviser (as referred to in IPRU-INV (3)-60(4)R)) that is a sole trader.

Note 7

FSA034 must be completed by a firm not subject to the exemption in IPRU(INV) 5.4.2R, unless it is a firm whose permitted business includes establishing, operating or winding up a personal pension scheme, in which case FIN071 must be completed.

FSA035 must be completed by a firm subject to the exemption in IPRU(INV) 5.4.2R.

Note 8

Only applicable to firms granted a Part 30 exemption order and operating an arrangement to cover forward profits on the London Metals Exchange.

Note 9

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 the firm’sPart 4A permission was and remains subject to a restriction preventing it from undertaking new home financing or home finance administration connected to regulated mortgage contracts.

Note 10

Does not apply to an SNI MIFIDPRU investment firm which has been granted an exemption from the liquidity requirements in MIFIDPRU 6.

Note 11

Only applicable to a non-SNI MIFIDPRU investment firm.

Note 12

Only applicable to a parent undertaking to which the group capital test applies.

Note 13

Only applicable to firms that are collective portfolio management investment firms.
BIPRU 9.2.1RRP
(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