Related provisions for BIPRU 3.5.6
This table belongs to BIPRU 3.4.2 R.
1 
2 
3 
4 
5 
6 

0 % 
20 % 
50 % 
100 % 
100 % 
150 % 
This table belongs to BIPRU 3.4.8 R.
MEIP 
0 
1 
2 
3 
4 
5 
6 
7 
0% 
0% 
20% 
50% 
100% 
100% 
100% 
150% 
This table belongs to BIPRU 3.4.11 R.
Credit quality step to which central government is assigned 
1 
2 
3 
4 
5 
6 
20% 
50% 
100% 
100% 
100% 
150% 
This table belongs to BIPRU 3.4.34 R.
1 
2 
3 
4 
5 
6 

20% 
50% 
50% 
100% 
100% 
150% 
This table belongs to BIPRU 3.4.37 R.
1 
2 
3 
4 
5 
6 

20% 
20% 
20% 
50% 
50% 
150% 
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.
1 
2 
3 
4 
5 
6 

20% 
50% 
100% 
100% 
150% 
150% 
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)]
Table: Formulae for the calculation of risk weighted exposure amounts
This table belongs to BIPRU 4.4.57 R
Correlation (R) 
0.12 × (1  EXP(50*PD))/(1EXP(50)) + 0.24* 

[1(1EXP(50*PD))/(1EXP(50))] 

Maturity factor (b) 
(0.118520.05478*1n(PD))^{2} 

(LGD*N[(1R)^{0.5}*G(PD)+(R/(1R))^{0.5} *G(0.999)]PD*LGD)* 

(11.5*b)^{1}*(1+(M2.5)*b)*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 = 0 
For PD = 0, RW shall be: 0 

PD = 1 
For PD = 1: 

(i) 
for defaultedexposures where a firm applies the LGD values set out in BIPRU 4.4.32R and BIPRU 4.8.25R RW shall be: 0; 

(ii) 
for defaultedexposures where a firm uses its own estimates of LGDs, RW shall be: Max {0, 12.5 *(LGDEL_{BE})}; 

where EL_{BE}must be the firm's best estimate of expected loss for the defaultedexposure according to BIPRU 4.3.122 R. 
[Note:BCD Annex VII Part 1 point 3]
3Table: Formulae for the calculation of expected loss amounts
This table belongs to BIPRU 4.4.61 R
Expected loss amount 

For defaultedexposures (PD = 1) where a firm uses its own estimates of LGDs, EL must be EL_{BE,} the firm's best estimate of expected loss for the defaultedexposure according to BIPRU 4.3.122 R. 

For exposures subject to the treatment set out in BIPRU 4.4.79 R (Double default) EL must be 0. 
[Note:BCD Annex VII Part 1 point 30 (part)]
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))/(1EXP(35)) + 0.16* 
[1(1EXP(35*PD))/(1EXP(35))] 

Risk weight (RW) 
(LGD*N[(1R)^{0.5}*G(PD)+(R/(1R))^{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 EL_{BE})} where EL_{BE}must be the firm's best estimate of expected loss for the defaultedexposure according to BIPRU 4.3.122 R. 
equals RW*exposure value 
[Note:BCD Annex VII Part 1 point 10 (part)]
Table: Formulae for the calculation of expected loss amounts
This table belongs to BIPRU 4.6.47 R
Expected loss amount 

For defaultedexposures (PD = 1) where a firm uses its own estimates of LGDs, EL must be EL_{BE,} the firm's best estimate of expected loss for the defaultedexposure according to BIPRU 4.3.122 R. For exposures subject to the treatment set out in BIPRU 4.4.79 R (Double default) EL must be 0. 
[Note:BCD Annex VII Part 1 point 30 (part)]
This table belongs to BIPRU 5.4.34 R.
Other collateral or exposure types 

20 day liquidation period (%) 
10 day liquidation period (%) 
5 day liquidation period (%) 

Main index equities, main index convertible bonds 
21.213 
15 
10.607 
Other equities or convertible bonds listed on a recognised investment exchange or designated investment exchange 
35.355 
25 
17.678 
Cash 
0 
0 
0 
Gold 
21.213 
15 
10.607 
Table: Positions other than ones with shortterm credit assessments
This table belongs to BIPRU 9.12.10 R
Credit Quality Step (CQS) 
Risk weight 

A 
B 
C 

CQS 1 
7% 
12% 
20% 
CQS 2 
8% 
15% 
25% 
CQS 3 
10% 
18% 
35% 
CQS 4 
12% 
20% 

CQS 5 
20% 
35% 

CQS 6 
35% 
50% 

CQS 7 
60% 
75% 

CQS 8 
100% 

CQS 9 
250% 

CQS 10 
425% 

CQS 11 
650% 

Below CQS 11 
1250% 
[Note: For mapping of the credit quality step to the credit assessments of eligible ECAIs, referto: www.fsa.gov.uk/pubs/international/ecais_securitisation.pdf ]