Related provisions for BIPRU 9.5.5
1 - 7 of 7 items.
(1) An originator of a synthetic securitisation may calculate risk weighted exposure amount, and, as relevant, expected loss amounts, for the securitised exposures in accordance with BIPRU 9.5.3 R and BIPRU 9.5.4 R, if significant credit risk has been transferred to third parties, either through funded or unfunded credit protection, and the transfer complies with the conditions in (2)-(5).(2) The securitisation documentation must reflect the economic substance of the transaction.(3)
(1) In calculating risk weighted exposure amounts for the securitised exposures, where the conditions in BIPRU 9.5.1 R are met, the originator of a synthetic securitisation must, subject to the treatment of maturity mismatches set out in BIPRU 9.5.6 R-BIPRU 9.5.8 R, use the relevant calculation methodologies set out in BIPRU 9.9-BIPRU 9.14and not those set out in BIPRU 3 (Standardised credit risk) or BIPRU 4 (IRB approach).(2) For firms calculating risk weighted exposure amounts
Table: instruments which result in notional foreign currency positions
This table belongs to BIPRU 7.5.3R(6).
Instruments |
See |
Foreign currencyfutures, forwards, synthetic futures and CFDs |
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Foreign currency options or warrants (unless the firm calculates a PRR on the option or warrant under BIPRU 7.6 (Option PRR)). |
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Gold futures, forwards, synthetic futures and CFDs |
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Gold options (unless the firm calculates a PRR on the option under BIPRU 7.6). |
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Futures, forwards or synthetic futures on a single debt security must be treated as follows:(1) a purchased future, synthetic future or forward is treated as:(a) a notional long position in the underlying debt security (or the cheapest to deliver (taking into account the conversion factor) where the contract can be satisfied by delivery of one from a range of securities); and(b) a notional short position in a zero coupon zero-specific-risk security with a maturity equal to the
Futures, forwards or synthetic futures on a basket or index of debt securities must be converted into forwards on single debt securities as follows (and then the resulting positions must be treated under BIPRU 7.2.13R):(1) futures, synthetic futures or forwards on a single currency basket or index of debt securities must be treated as either:(a) a series of forwards, one for each of the constituent debt securities in the basket or index, of an amount which is a proportionate
(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
A firm calculating risk weighted exposure amounts in accordance with BIPRU 9 must disclose the following information:(1) a description of the firm's objectives in relation to securitisation activity;(2) the roles played by the firm in the securitisation process;(3) an indication of the extent of the firm's involvement in each of them;(4) the approaches to calculating risk weighted exposure amounts that the firm follows for its securitisation activities;(5) a summary of the firm's