Related provisions for BIPRU 4.10.25

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BIPRU 4.10.28RRP

Table: Minimum LGD for secured portion of exposures

This table belongs to BIPRU 4.10.24 R - BIPRU 4.10.27 R

LGD* for senior claims or contingent claims

LGD* for subordinated claims or contingent claims

Required minimum collateralisation level of the exposure (C*)

Required minimum collateralisation level of the exposure (C**)

Receivables

35%

65%

0%

125%

Residential real estate/commercial real estate

35%

65%

30%

140%

Other collateral

40%

70%

30%

140%

[Note: BCD Annex VIII Part 3 point 72 (part)]

BIPRU 4.10.30RRP
(1) Where:(a) risk weighted exposure amounts and expected loss amounts are calculated under the IRB approach; and(b) an exposure is collateralised by both financial collateral and other eligible collateral;LGD* to be taken as the LGD for the purposes of the IRB approach must be calculated in accordance with this rule.(2) A firm must subdivide the volatility-adjusted value of the exposure (i.e. the value after the application of the volatility adjustment as set out in BIPRU 5.4.28
BIPRU 5.6.5RRP
In calculating the ‘fully adjusted exposure value’ (E*) for the exposures subject to an eligible master netting agreement covering repurchase transactions and/or securities or commodities lending or borrowing transactions and/or other capital market-driven transactions, a firm must calculate the volatility adjustments to be applied in the manner set out in BIPRU 5.6.6 R to BIPRU 5.6.11 R either using the supervisory volatility adjustments approach or the own estimates of volatility