Related provisions for BIPRU 3.4.36

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BIPRU 9.10.2RRP
In respect of a securitisation position in respect of which a 1250% risk weight is assigned, a firm may, as an alternative to including the position in its calculation of risk weighted exposure amounts, deduct from its capital resources the exposure value of the position. For these purposes, the calculation of the exposure value may reflect eligible funded protection in a manner consistent with BIPRU 9.14.[Note:BCD Annex IX Part 4 points 35, 74 and 75(b)]
BIPRU 9.10.3RRP
Where a firm applies BIPRU 9.10.2 R, 12.5 times the amount deducted in accordance with that paragraph must, for the purposes of BIPRU 9.11.5 R and BIPRU 9.12.8 R, be subtracted from the amount specified in whichever of those rules applies as the maximum risk weighted exposure amount to be calculated by a firm to which one of those rules applies.[Note:BCD Annex IX Part 4 point 36 and point 76]
BIPRU 9.10.4RRP
The risk weighted exposure amount of a securitisation position to which a 1250% risk weight is assigned may be reduced by 12.5 times the amount of any value adjustments made by the firm in respect of the securitised exposures.[Note:BCD Annex IX Part 4 point 72 (part)]
BIPRU 9.3.1RRP
(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
BIPRU 9.3.7RRP
1Significant credit risk will be considered to have been transferred for originators in the following cases:(1) the risk weighted exposure amounts of the mezzanine securitisation positions held by the originator in the securitisation do not exceed 50% of the risk weighted exposure amounts of all mezzanine securitisation positions existing in this securitisation;(2) where there are no mezzanine securitisation positions in a given securitisation and the originator can demonstrate
BIPRU 9.9.4RRP
Subject to BIPRU 9.9.5 R,(1) where a firm calculates risk weighted exposure amounts under the standardised approach to securitisations outlined in BIPRU 9.11, the exposure value of an on-balance sheet securitisation position must be its balance sheet value;(2) where a firm calculates risk weighted exposure amounts under the IRB approach to securitisations outlined in BIPRU 9.12, the exposure value of an on-balance sheet securitisation position must be measured gross of value adjustments;(3)
BIPRU 9.7.4GRP
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 13.8.8RRP
A firm may attribute an exposure value of zero for CCR to a securities financing transaction or to any other exposures in respect of that transaction (but excluding an exposure arising from collateral held to mitigate losses in the event of the default of other participants in the central counterparty's arrangements) which is outstanding with a central counterparty and has not been rejected by the central counterparty.[Note: BCD Annex III Part 2 point 6 in respect of SFTs]
BIPRU 13.7.6RRP
A firm may treat contractual netting as risk-reducing only under the following conditions:(1) the firm must have a contractual netting agreement with its counterparty which creates a single legal obligation, covering all included transactions, such that, in the event of a counterparty's failure to perform owing to default, bankruptcy, liquidation or any other similar circumstance, the firm would have a claim to receive or an obligation to pay only the net sum of the positive and
BIPRU 3.7.2RRP

This table belongs to BIPRU 3.7.1 R

[Note: BCD Annex II]

Category

Item

Percentage

Full risk

Guarantees having the character of credit substitutes

Credit derivatives

Acceptances

Endorsements on bills not bearing the name of another credit institution

Transactions with recourse

Irrevocable standby letters of credit having the character of credit substitutes

Assets purchased under outright forward purchase agreements

Forward deposits

The unpaid portion of partly-paid shares and securities

Asset sale and repurchase agreements as defined in Article 12(3) and (5) of the Bank Accounts Directive

Other items also carrying full risk

100%

Medium risk

Documentary credits issued and confirmed (see also medium/low risk).

Warranties and indemnities (including tender, performance, customs and tax bonds) and guarantees not having the character of credit substitutes.

Irrevocable standby letters of credit not having the character of credit substitutes.

Undrawn credit facilities (agreements to lend, purchase securities, provide guarantees or acceptance facilities) with an original maturity of more than one year.

Note issuance facilities (NIFs) and revolving underwriting facilities (RUFs).

50%

Medium/low risk

Documentary credits in which underlying shipment acts as collateral and other self-liquidating transactions.

Undrawn credit facilities (agreements to lend, purchase securities, provide guarantees or acceptance facilities) with an original maturity of up to and including one year which may not be cancelled unconditionally at any time without notice or that do not effectively provide for automatic cancellation due to deterioration in a borrower's creditworthiness.

20%

Low risk

Undrawn credit facilities (agreements to lend, purchase securities, provide guarantees or acceptance facilities) which may be cancelled unconditionally at any time without notice, or that do effectively provide for automatic cancellation due to deterioration in a borrower's creditworthiness. Retail credit lines may be considered as unconditionally cancellable if the terms permit the firm to cancel them to the full extent allowable under consumer protection and related legislation.

0%
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