Related provisions for BIPRU 3.5.4

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Effective Period

Similar To

To access the FCA Handbook Archive choose a date between 1 January 2001 and 31 December 2004 (From field only).

BIPRU 3.4.3RRP

This table belongs to BIPRU 3.4.2 R.

Credit quality step

1

2

3

4

5

6

Risk weight

0 %

20 %

50 %

100 %

100 %

150 %

BIPRU 3.4.12RRP

This table belongs to BIPRU 3.4.11 R.

Credit quality step to which central government is assigned

1

2

3

4

5

6

Risk weight of exposure

20%

50%

100%

100%

100%

150%

BIPRU 3.4.35RRP

This table belongs to BIPRU 3.4.34 R.

Credit quality step

1

2

3

4

5

6

Risk weight

20%

50%

50%

100%

100%

150%

BIPRU 3.4.38RRP

This table belongs to BIPRU 3.4.37 R.

Credit quality step

1

2

3

4

5

6

Risk weight

20%

20%

20%

50%

50%

150%

BIPRU 3.4.51RRP

This table belongs to BIPRU 3.4.50 R.

Credit quality step

1

2

3

4

5

6

Risk weight

20%

50%

100%

100%

150%

150%

BIPRU 3.4.56BGRP
(1) 4This paragraph provides guidance on BIPRU 3.4.56A R.(2) For the purposes of BIPRU 3.4.56A R (2), a firm may use the FTSE UK gilt 10-year yield index which the Council of Mortgage Lenders makes available to its members.(3) If a firm offers a variable interest rate on a lifetime mortgage, it should calculate an average interest rate in a way which is consistent with the calculation of the discount rate.(4) To determine the projected number of years to maturity of the exposure,
BIPRU 3.4.117RRP

Table: Exposures in the form of CIUs for which a credit assessment by a nominated ECAI is available

This table belongs to BIPRU 3.4.116 R.

Credit quality step

1

2

3

4

5

6

Risk weight

20%

50%

100%

100%

150%

150%

BIPRU 13.5.6RRP

This table belongs to BIPRU 13.5.5 R.

Transaction or instrument

Calculation of size of risk position

Transaction with linear risk profile except for debt instruments.

The effective notional value (market price multiplied by quantity) of the underlying financial instruments (including commodities) converted to the firm's domestic currency.

Debt instruments and payment legs.

The effective notional value of the outstanding gross payments (including the notional amount) converted to the firm'sbase currency, multiplied by the modified duration of the debt instrument, or payment leg, respectively.

Credit default swap

The notional value of the reference debt instrument multiplied by the remaining maturity of the credit default swap.

2Nth to default credit default swap

The effective notional value of the reference debt instrument, multiplied by the modified duration of the nth to default derivative with respect to a change in the credit spread of the reference debt instrument.

Subject to BIPRU 13.5.9 R to BIPRU 13.5.10 R, financial derivative instrument with a non-linear risk profile, including options and swaptions except in the case of an underlying debt instrument.

Equal to the delta equivalent effective notional value of the financial instrument that underlies the transaction.

Subject to BIPRU 13.5.9 R to BIPRU 13.5.10 R, financial derivative instrument with a non-linear risk profile, including options and swaptions, of which the underlying is a debt instrument or a payment leg.

Equal to the delta equivalent effective notional value of the financial instrument or payment leg multiplied by the modified duration of the debt instrument, or payment leg, respectively.

[Note: BCD Annex III Part 5 points 5 to 9 and 15 (part)2]

BIPRU 13.5.13RRP

This table belongs to BIPRU 13.5.12 R:

Government referenced interest rates

Non-government referenced interest rates

Maturity

<= 1 year

<= 1 year

Maturity

>1 <= 5 years

>1 <= 5 years

Maturity

> 5 years

> 5 years

[Note: BCD Annex III Part 5 Table 4]

BIPRU 13.5.22RRP

This table belongs to BIPRU 13.5.21 R.

Hedging set categories

CCR Multiplier (CCRM)

(1)

Interest Rates

0.2%

(2)

Interest Rates for risk positions from a reference debt instrument that underlies a credit default swap and to which a capital charge of 1.60%, or less, applies under BIPRU 7.2.44 R1.

0.3%

(3)

Interest Rates for risk positions from a debt instrument or reference debt instrument to which a capital charge of more than 1.60% applies under BIPRU 7.2.44 R.

0.6%

(4)

Exchange Rates

2.5%

(5)

Electric power

4.0%

(6)

Gold

5.0%

(7)

Equity

7.0%

(8)

Precious Metals (except gold)

8.5%

(9)

Other commodities (excluding precious metals and electricity power)

10.0%

(10)

Reference debt instruments of an nth to default derivative that have a credit assessment from a recognised ECAI equivalent to credit quality step 1 to 32

2

0.3%2

2(11)

Reference debt instruments of an nth to default derivative that do not have a credit assessment from a recognised ECAI equivalent to credit quality step 1 to 3

0.6%

2(12)

Underlying instruments of financial derivative instrument that are not in any of the above categories.

10.0%

[Note: BCD Annex III Part 5 Table 5 and Part 5 point 15 (c)2]

BIPRU 7.6.8RRP

Table: Appropriate position risk adjustment

This table belongs to BIPRU 7.6.7R

Underlying position

Appropriate position risk adjustment

Equity

The position risk adjustment applicable to the underlying equity or equity index in the table in BIPRU 7.3.30R (Simplified equity method)

Interest rate

The sum of the specific risk position risk adjustment (see BIPRU 7.2.43R to BIPRU 7.2.51G (Specific risk calculation)) and the general market risk position risk adjustment (as set out in BIPRU 7.2.57R (General market riskposition risk adjustments)) applicable to the underlying position

Debt securities

The sum of the specific risk position risk adjustment (see BIPRU 7.2.43R to BIPRU 7.2.51G (Specific risk calculation)) and the general market risk position risk adjustment (as set out in the table in BIPRU 7.2.57R (General market riskposition risk adjustments)) applicable to the underlying position

Commodity

18% (unless BIPRU 7.6.7R requires otherwise)

Currency

8%

Gold

8%

CIU

32% (subject to BIPRU 7.6.6R and BIPRU 7.6.7R)

BIPRU 7.6.13RRP

Table: Derived positions

This table belongs to BIPRU 7.6.9R

Underlying

Option (or warrant)

Derived position

Equity

Option (warrant) on a single equity or option on a future/forward on a single equity

A notional position in the actual equity underlying the contract valued at the current market price of the equity.

Option (warrant) on a basket of equities or option on a future/forward on a basket of equities

A notional position in the actual equities underlying the contract valued at the current market price of the equities.

Option (warrant) on an equity index or option on a future/forward on an equity index

A notional position in the index underlying the contract valued at the current market price of the index.

Interest rate

Option on an interest rate or an interest rate future/FRA

A zero coupon zero-specific-risk security in the currency concerned with a maturity equal to the sum of the time to expiry of the contract and the length of the period on which the settlement amount of the contract is calculated valued at the notional amount of the contract.

Option on an interest rate swap

A zero coupon zero-specific-risk security in the currency concerned with a maturity equal to the length of the swap valued at the notional principal amount.

Interest rate cap or floor

A zero coupon zero-specific-risk security in the currency concerned with a maturity equal to the remaining period of the cap or floor valued at the notional amount of the contract.

Debt securities

Option (warrant) on a debt security or option on a future/forward on a debt security

The underlying debt security with a maturity equal to the time to expiry of the option valued as the nominal amount underlying the contract at the current market price of the debt security.

Option (warrant) on a basket of debt securities or option on a future/forward on a basket of debt securities

A notional position in the actual debt securities underlying the contract valued at the current market price of the debt securities.

Option (warrant) on an index of debt securities or option on a future/forward on an index of debt securities

A notional position in the index underlying the contract valued at the current market price of the index.

Commodity

Option on a commodity or option on a future/forward on a commodity

An amount equal to the tonnage, barrels or kilos underlying the option with (in the case of a future/forward on a commodity) a maturity equal to the expiry date of the forward or Futures contract underlying the option. In the case of an option on a commodity the maturity of the position falls into Band 1 in the table in BIPRU 7.4.28R (Table: Maturity bands for the maturity ladder approach).

Option on a commodityswap

An amount equal to the tonnage, barrels or kilos underlying the option with a maturity equal to the length of the swap valued at the notional principal amount.

CIU

(These provisions about CIUs are subject to BIPRU 7.6.35R)

Option (warrant) on a single CIU or option on a future/forward on a single CIU

A notional position in the actual CIU underlying the contract valued at the current market price of the CIU.

Option (warrant) on a basket of CIUs or option on a future/forward on a basket of CIUs

A notional position in the actual CIUs underlying the contract valued at the current market price of the CIUs.

Gold

Option on gold or option on a future/forward on gold

An amount equal to the troy ounces underlying the option with (in the case of a future/forward on gold) a maturity equal to the expiry date of the forward or futures contract underlying the option.

Currency

Currency option

The amount of the underlying currency that the firm will receive if the option is exercised converted at the spot rate into the currency that the firm will sell if the option is exercised.

BIPRU 7.6.27RRP

Table: The hedging method of calculating the PRR (equities, debt securities and gold)

This table belongs to BIPRU 7.6.24R(1) - (3)

PRR

Option or warrantposition

In the money by more than the position risk adjustment

In the money by less than the position risk adjustment

Out of the money or at the money

Long in security or gold

Long put

Zero

Wp

X

Short call

Y

Y

Z

Short in security or gold

Long call

Zero

Wc

X

Short put

Y

Y

Z

Where:

Wp means

{(position risk adjustment-100%) x The underlying position valued at strike price}

+

The market value of the underlying position

Wc means

{(100% +position risk adjustment x The underlying position valued at strike price}

-

The market value of the underlying position

X means

The market value of the underlying position multiplied by the appropriate position risk adjustment

Y means

The market value of the underlying position multiplied by the appropriate position risk adjustment. This result may be reduced by the market value of the option or warrant, subject to a maximum reduction to zero.

Z means

The option hedging method is not permitted; the option standard method must be used.

SYSC 7.1.-2GRP

19For a common platform firm:

  1. (1)

    the MiFID Org Regulation applies, as summarised in SYSC 1 Annex 1 3.2G, SYSC 1 Annex 1 3.2-AR and SYSC 1 Annex 1 3.2-BR; and

  2. (2)

    the rules and guidance apply as set out in the table below:

    Subject

    Applicable rule or guidance

    Risk assessment

    SYSC 7.1.1G

    Risk management

    SYSC 7.1.4R, SYSC 7.1.4AG

    Risk control: remuneration

    SYSC 7.1.7BG, SYSC 7.1.7BBG

    Risk control: additional provisions

    SYSC 7.1.7CG, SYSC 7.1.8G, SYSC 7.1.9R to SYSC 7.1.16R

    Additional rules for CCR firms

    SYSC 7.1.16CR to SYSC 7.1.22R

BIPRU 7.3.30RRP

Table: simplified equity method position risk adjustments

This table belongs to BIPRU 7.3.29R

Instrument

Position risk adjustment

Single equities

16%2

2

Qualifying equity indices2 (see BIPRU 7.3.38R)

2

8%

All other equity indices or baskets

16%2

2

If it is necessary to distinguish between the specific risk position risk adjustment and the general market risk position risk adjustment, the specific risk position risk adjustment for the first and third rows is 8%2 and that for the second row is 0%. The rest of the position risk adjustment in the second column is the general market risk position risk adjustment

2
BIPRU 7.3.34RRP

Table: position risk adjustment for specific risk under the standard equity method

This table belongs to BIPRU 7.3.33R1

Instrument

Position risk adjustment

Qualifying equity indices2 (see BIPRU 7.3.38R)

2

0%

All equities, and other2equity indices or equity2 baskets

22

8%2

2
BIPRU 4.5.13RRP

Table: Expected loss values for specialised lending

This table belongs to BIPRU 4.5.12 R

Remaining maturity

Category 1 (Strong)

Category 2 (Good)

Category 3 (Satisfactory)

Category 4 (Weak)

Category 5

Less than 2.5 years

0%

0.4%

2.8%

8%

50%

Equal or more than 2.5 years

0.4%

0.8%

2.8%

8%

50%

The coverage of each of the categories is set out in BIPRU 4.5.6 R

[Note:BCD Annex VII Part 1 point 31 (part)]

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 4.6.42RRP

Table: Risk weighted exposure amounts for retail exposures

This table belongs to BIPRU 4.6.41 R

Correlation (R)

0.03 × (1 - EXP(-35*PD))/(1-EXP(-35)) + 0.16*

[1-(1-EXP(-35*PD))/(1-EXP(-35))]

Risk weight (RW)

(LGD*N[(1-R)-0.5*G(PD)+(R/(1-R))0.5 *G(0.999)]-PD*LGD)* 12.5*1.06

N(x)

denotes the cumulative distribution function for a standard normal random variable (i.e. the probability that a normal random variable with mean zero and variance of one is less than or equal to x).

G(z)

denotes the inverse cumulative distribution function for a standard normal random variable (i.e. the value x such that N(x) = z).

PD = 1

For PD = 1 (defaultedexposure), RW must be:

Max {0, 12.5 *(LGD- ELBE)}

where ELBEmust be the firm's best estimate of expected loss for the defaultedexposure according to BIPRU 4.3.122 R.

Risk weighted exposure amount

equals RW*exposure value

[Note:BCD Annex VII Part 1 point 10 (part)]

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 4.10.51RRP
GA as calculated under BIPRU 5.8.11 R is then taken as the value of the protection for the purposes of calculating the effects of unfunded credit protection under the IRB approach.[Note: BCD Annex VIII Part 4 point 8 (part)]
BIPRU 9.12.11RRP

Table:

This table belongs to BIPRU 9.12.10 R

4

4Credit Quality Step

Securitisation positions

Resecuritisation positions

Credit assessments other than short term

Short-term credit assessments

A

B

C

D

E

1

1

7%

12%

20%

20%

30%

2

8%

15%

25%

25%

40%

3

10%

18%

35%

35%

50%

4

2

12%

20%

40%

65%

5

20%

35%

60%

100%

6

35%

50%

100%

150%

7

3

60%

75%

150%

225%

8

100%

200%

350%

9

250%

300%

500%

10

425%

500%

650%

11

650%

750%

850%

all other, unrated

1250%

[Note: For mapping of the credit quality step to the credit assessments of eligible ECAIs, refer to: http://www.fca.org.uk/your-fca/documents/fsa-ecais-securitisation for the FCA and http://www.bankofengland.co.uk/publications/Documents/other/pra/policy/2013/ecaissecuritisation.pdf for the PRA.]

[Note:BCD, Annex IX, Part 4, point 46]4