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Table of Contents

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Prudential sourcebook for Banks, Building Societies and Investment Firms (BIPRU)BIPRU 1 Aplication (BIPRU 1.1 - 1.4)BIPRU 1.1 Application (BIPRU 1.1.1 - 1.1.26)BIPRU 1.1.1BIPRU 1.1.2BIPRU 1.1.3Purpose (BIPRU 1.1.4)BIPRU 1.1.4Guidance on the categorisation of BIPRU investment firms (BIPRU 1.1.5)BIPRU 1.1.5The definition of a BIPRU firm (BIPRU 1.1.6 - 1.1.10)BIPRU 1.1.6BIPRU 1.1.7BIPRU 1.1.8BIPRU 1.1.9BIPRU 1.1.10Types of investment firm: Limited activity firms (BIPRU 1.1.11)BIPRU 1.1.11Types of investment firm: Limited licence firms (BIPRU 1.1.12)BIPRU 1.1.12Types of investment firm: CAD full scope firm (BIPRU 1.1.13)BIPRU 1.1.13Types of investment firm: CAD investment firm (BIPRU 1.1.14 - 1.1.15)BIPRU 1.1.14BIPRU 1.1.15Types of investment firm: Exempt CAD firm (BIPRU 1.1.16)BIPRU 1.1.16Types of BIPRU investment firm (BIPRU 1.1.17)BIPRU 1.1.17Alternative classification of BIPRU investment firms (BIPRU 1.1.18)BIPRU 1.1.18Types of investment firm: BIPRU 125K firm (BIPRU 1.1.19)BIPRU 1.1.19Types of investment firm: BIPRU 50K firm (BIPRU 1.1.20)BIPRU 1.1.20Types of investment firm: 730K firm (BIPRU 1.1.21)BIPRU 1.1.21Types of investment firm: Part 4A permission (BIPRU 1.1.22)BIPRU 1.1.22Meaning of dealing on own account (BIPRU 1.1.23)BIPRU 1.1.23Interpretation of the definition of types of firm and undertaking (BIPRU 1.1.24 - 1.1.26)BIPRU 1.1.24BIPRU 1.1.25BIPRU 1.1.26BIPRU 1.2 Definition of the trading book (BIPRU 1.2.1 - 1.2.36)Application (BIPRU 1.2.1)BIPRU 1.2.1Purpose (BIPRU 1.2.2)BIPRU 1.2.2Definition of the trading book: General (BIPRU 1.2.3)BIPRU 1.2.3Definition of the trading book: Positions (BIPRU 1.2.4 - 1.2.5)BIPRU 1.2.4BIPRU 1.2.5Definition of the trading book: Repos (BIPRU 1.2.6 - 1.2.6A)BIPRU 1.2.6BIPRU 1.2.6ACRD financial instruments (BIPRU 1.2.7 - 1.2.9)BIPRU 1.2.7BIPRU 1.2.8BIPRU 1.2.9Trading intent (BIPRU 1.2.10 - 1.2.12)BIPRU 1.2.10BIPRU 1.2.11BIPRU 1.2.12Internal hedges (BIPRU 1.2.13 - 1.2.16)BIPRU 1.2.13BIPRU 1.2.14BIPRU 1.2.15BIPRU 1.2.16Size thresholds (BIPRU 1.2.17 - 1.2.20)BIPRU 1.2.17BIPRU 1.2.18BIPRU 1.2.19BIPRU 1.2.20Systems and controls for the trading book (BIPRU 1.2.21 - 1.2.25)BIPRU 1.2.21BIPRU 1.2.22BIPRU 1.2.23BIPRU 1.2.24BIPRU 1.2.25Trading book policy statements (BIPRU 1.2.26 - 1.2.33)BIPRU 1.2.26BIPRU 1.2.27BIPRU 1.2.28BIPRU 1.2.29BIPRU 1.2.30BIPRU 1.2.31BIPRU 1.2.32BIPRU 1.2.33Treatments common to the trading book and the non-trading book (BIPRU 1.2.34)BIPRU 1.2.34Trading book treatments (BIPRU 1.2.35)BIPRU 1.2.35Non-trading book treatments (BIPRU 1.2.36)BIPRU 1.2.36BIPRU 1.3 Applications for advanced approaches and waivers (BIPRU 1.3.1 - 1.3.21)Application (BIPRU 1.3.1)BIPRU 1.3.1Purpose (BIPRU 1.3.2)BIPRU 1.3.2Article 129 (BIPRU 1.3.3- 1.3.6)BIPRU 1.3.3BIPRU 1.3.4BIPRU 1.3.5BIPRU 1.3.6Article 129 permissions and waivers - specific conditions (BIPRU 1.3.7 - 1.3.9)BIPRU 1.3.7BIPRU 1.3.8BIPRU 1.3.9Waiver - general (BIPRU 1.3.10 - 1.3.12)BIPRU 1.3.10BIPRU 1.3.11BIPRU 1.3.12Forms and method of application (BIPRU 1.3.13 - 1.3.21)BIPRU 1.3.13BIPRU 1.3.14BIPRU 1.3.15BIPRU 1.3.16BIPRU 1.3.17BIPRU 1.3.18BIPRU 1.3.19BIPRU 1.3.20BIPRU 1.3.21BIPRU 1.4 Actions for damages (BIPRU 1.4.1)BIPRU 1.4.1BIPRU 1 Annex 1D Application form to apply the advanced measurement approachBIPRU 1 Annex 2D Application form to apply the IRB approachBIPRU 1 Annex 3D Application form to apply the CCR internal model method approachBIPRU 2 Capital (BIPRU 2.1 - 2.3)BIPRU 2.1 Solo consolidation (BIPRU 2.1.1 - 2.1.28)Application (BIPRU 2.1.1)BIPRU 2.1.1Purpose (BIPRU 2.1.2 - 2.1.3)BIPRU 2.1.2BIPRU 2.1.3Applying for a solo consolidation waiver (BIPRU 2.1.4)BIPRU 2.1.4General (BIPRU 2.1.5 - 2.1.6)BIPRU 2.1.5BIPRU 2.1.6The basic rules for solo consolidation (BIPRU 2.1.7 - 2.1.8)BIPRU 2.1.7BIPRU 2.1.8Solo consolidation and capital and concentration risk requirements (BIPRU 2.1.9 - 2.1.18)BIPRU 2.1.9BIPRU 2.1.10BIPRU 2.1.11BIPRU 2.1.12BIPRU 2.1.13BIPRU 2.1.14BIPRU 2.1.15BIPRU 2.1.16BIPRU 2.1.17BIPRU 2.1.18Minimum standards (BIPRU 2.1.19 - 2.1.28)BIPRU 2.1.19BIPRU 2.1.20BIPRU 2.1.21BIPRU 2.1.22BIPRU 2.1.23BIPRU 2.1.24BIPRU 2.1.25BIPRU 2.1.26BIPRU 2.1.27BIPRU 2.1.28BIPRU 2.2 Internal capital adequacy standards (BIPRU 2.2.1 - 2.2.78)Application (BIPRU 2.2.1)BIPRU 2.2.1Purpose (BIPRU 2.2.2)BIPRU 2.2.2Meaning of capital (BIPRU 2.2.3)BIPRU 2.2.3The ICAAP and the SREP: Introduction (BIPRU 2.2.4)BIPRU 2.2.4The ICAAP and the SREP: The ICAAP (BIPRU 2.2.5 - 2.2.7)BIPRU 2.2.5BIPRU 2.2.6BIPRU 2.2.7The ICAAP and the SREP: The SREP (BIPRU 2.2.8 - 2.2.15)BIPRU 2.2.8BIPRU 2.2.9BIPRU 2.2.10BIPRU 2.2.11BIPRU 2.2.12BIPRU 2.2.12ABIPRU 2.2.12BBIPRU 2.2.12CBIPRU 2.2.13BIPRU 2.2.13ABIPRU 2.2.14BIPRU 2.2.15The drafting of individual capital guidance and capital planning buffer (BIPRU 2.2.16 - 2.2.19B)BIPRU 2.2.16BIPRU 2.2.17BIPRU 2.2.18BIPRU 2.2.19BIPRU 2.2.19ABIPRU 2.2.19BFailure to meet individual capital guidance and monitoring and reporting on the capital planning buffer (BIPRU 2.2.20 - 2.2.23F)BIPRU 2.2.20BIPRU 2.2.21BIPRU 2.2.22BIPRU 2.2.23BIPRU 2.2.23ABIPRU 2.2.23BBIPRU 2.2.23CBIPRU 2.2.23DBIPRU 2.2.23EBIPRU 2.2.23FProportionality of an ICAAP (BIPRU 2.2.24 - 2.2.27)BIPRU 2.2.24BIPRU 2.2.25BIPRU 2.2.26BIPRU 2.2.27Guidance on risks to be covered in an ICAAP (BIPRU 2.2.28 - 2.2.29)BIPRU 2.2.28BIPRU 2.2.29Interest rate risk arising from non-trading book activities (BIPRU 2.2.30)BIPRU 2.2.30Securitisation risk (BIPRU 2.2.31)BIPRU 2.2.31Residual risk (BIPRU 2.2.32)BIPRU 2.2.32Concentration risk (BIPRU 2.2.33)BIPRU 2.2.33Liquidity risk (BIPRU 2.2.34 - 2.2.37)BIPRU 2.2.34BIPRU 2.2.35BIPRU 2.2.36BIPRU 2.2.37Business risk: General (BIPRU 2.2.38 - 2.2.40)BIPRU 2.2.38BIPRU 2.2.39BIPRU 2.2.40Business risk: Stress tests for firms using the IRB approach (BIPRU 2.2.41 - 2.2.45)BIPRU 2.2.41BIPRU 2.2.42BIPRU 2.2.43BIPRU 2.2.44BIPRU 2.2.45Systems and controls (BIPRU 2.2.46 - 2.2.47)BIPRU 2.2.46BIPRU 2.2.47Risks which may be considered according to the nature of the activities of a firm (BIPRU 2.2.48)BIPRU 2.2.48Banks and building societies (BIPRU 2.2.49 - 2.2.60)BIPRU 2.2.49BIPRU 2.2.50BIPRU 2.2.51BIPRU 2.2.52BIPRU 2.2.53BIPRU 2.2.54BIPRU 2.2.55BIPRU 2.2.56BIPRU 2.2.57BIPRU 2.2.58BIPRU 2.2.59BIPRU 2.2.60An asset management firm (BIPRU 2.2.61 - 2.2.65)BIPRU 2.2.61BIPRU 2.2.62BIPRU 2.2.63BIPRU 2.2.64BIPRU 2.2.65A securities firm (BIPRU 2.2.66 - 2.2.70)BIPRU 2.2.66BIPRU 2.2.67BIPRU 2.2.68BIPRU 2.2.69BIPRU 2.2.70Capital models (BIPRU 2.2.71 - 2.2.78)BIPRU 2.2.71BIPRU 2.2.72BIPRU 2.2.73BIPRU 2.2.74BIPRU 2.2.75BIPRU 2.2.76BIPRU 2.2.77BIPRU 2.2.78BIPRU 2.3 Interest rate risk in the non-trading book (BIPRU 2.3.1 - 2.3.13)Application (BIPRU 2.3.1 - 2.3.3)BIPRU 2.3.1BIPRU 2.3.2BIPRU 2.3.3Purpose (BIPRU 2.3.4 - 2.3.5)BIPRU 2.3.4BIPRU 2.3.5Proportionality (BIPRU 2.3.6)BIPRU 2.3.6Stress testing for interest rate risk: General requirement (BIPRU 2.3.7 - 2.3.11)BIPRU 2.3.7BIPRU 2.3.8BIPRU 2.3.9BIPRU 2.3.10BIPRU 2.3.11Stress testing for interest rate risk: Frequency (BIPRU 2.3.12)BIPRU 2.3.12Consolidation (BIPRU 2.3.13)BIPRU 2.3.13BIPRU 3 Standardised credit risk (BIPRU 3.1 - 3.7)BIPRU 3.1 Application and purpose (BIPRU 3.1.1 - 3.1.6)Application (BIPRU 3.1.1)BIPRU 3.1.1Purpose (BIPRU 3.1.2 - 3.1.4)BIPRU 3.1.2BIPRU 3.1.3BIPRU 3.1.4Calculation of the credit risk capital component (BIPRU 3.1.5 - 3.1.6)BIPRU 3.1.5BIPRU 3.1.6BIPRU 3.2 The central principles of the standardised approach to credit risk (BIPRU 3.2.1 - 3.2.38)BIPRU 3.2.1BIPRU 3.2.2BIPRU 3.2.3BIPRU 3.2.4BIPRU 3.2.5BIPRU 3.2.6BIPRU 3.2.7BIPRU 3.2.8Exposure classes (BIPRU 3.2.9 - 3.2.13)BIPRU 3.2.9BIPRU 3.2.10BIPRU 3.2.11BIPRU 3.2.12BIPRU 3.2.13Retail exposures: Significance (BIPRU 3.2.14)BIPRU 3.2.14Retail exposures: Aggregation: Reasonable steps (BIPRU 3.2.15)BIPRU 3.2.15Retail exposures: Aggregation: Single risk (BIPRU 3.2.16)BIPRU 3.2.16Retail exposures: Aggregation: Personal and business exposures (BIPRU 3.2.17)BIPRU 3.2.17Retail exposures: Exchange rate (BIPRU 3.2.18)BIPRU 3.2.18Retail exposures: Frequency of monitoring (BIPRU 3.2.19 - 3.2.24)BIPRU 3.2.19BIPRU 3.2.20BIPRU 3.2.21BIPRU 3.2.22BIPRU 3.2.23BIPRU 3.2.24Zero risk-weighting for intra-group exposures: core UK group (BIPRU 3.2.25 - 3.2.37)BIPRU 3.2.25BIPRU 3.2.25ABIPRU 3.2.26BIPRU 3.2.27BIPRU 3.2.27ABIPRU 3.2.28BIPRU 3.2.29BIPRU 3.2.29ABIPRU 3.2.30BIPRU 3.2.31BIPRU 3.2.32BIPRU 3.2.33BIPRU 3.2.34BIPRU 3.2.35BIPRU 3.2.36BIPRU 3.2.37Exposures to recognized third-country investment firms, clearing houses and investment exchanges (BIPRU 3.2.38)BIPRU 3.2.38BIPRU 3.3 The use of the credit assessments of ratings agencies (BIPRU 3.3.1 - 3.3.9)BIPRU 3.3.1Recognition of ratings agencies (BIPRU 3.3.2 - 3.3.6)BIPRU 3.3.2BIPRU 3.3.3BIPRU 3.3.4BIPRU 3.3.5BIPRU 3.3.6Mapping of credit assessments (BIPRU 3.3.7 - 3.3.9)BIPRU 3.3.7BIPRU 3.3.8BIPRU 3.3.9BIPRU 3.4 Risk weights under the standardised approach to credit risk (BIPRU 3.4.1 - 3.4.134)Risk weights: Exposures to central governments or central banks: Treatment (BIPRU 3.4.1 - 3.4.2)BIPRU 3.4.1BIPRU 3.4.2Table: Exposures to central governments and central banks for which a credit assessment by a nominated ECAI is available (BIPRU 3.4.3 - 3.4.4)BIPRU 3.4.3BIPRU 3.4.4Exposures in the national currency of the borrower (BIPRU 3.4.5 - 3.4.6)BIPRU 3.4.5BIPRU 3.4.6Use of credit assessments by export credit agencies (BIPRU 3.4.7 - 3.4.8)BIPRU 3.4.7BIPRU 3.4.8Table: Exposure for which a credit assessment by an export credit agency is recognised (BIPRU 3.4.9)BIPRU 3.4.9Exposures to regional governments or local authorities: General (BIPRU 3.4.10)BIPRU 3.4.10Exposures to regional governments or local authorities: Central government risk weight based method (BIPRU 3.4.11)BIPRU 3.4.11Table: Central government risk weight based method (BIPRU 3.4.12 - 3.4.19A)BIPRU 3.4.12BIPRU 3.4.13BIPRU 3.4.14BIPRU 3.4.15BIPRU 3.4.16BIPRU 3.4.17BIPRU 3.4.18BIPRU 3.4.19BIPRU 3.4.19AExposures to administrative bodies and non-commercial undertakings (BIPRU 3.4.20)BIPRU 3.4.20Treatment (BIPRU 3.4.21)BIPRU 3.4.21Public sector entities (BIPRU 3.4.22 - 3.4.26)BIPRU 3.4.22BIPRU 3.4.23BIPRU 3.4.24BIPRU 3.4.25BIPRU 3.4.26Exposures to multilateral development banks: Treatment (BIPRU 3.4.27 - 3.4.29)BIPRU 3.4.27BIPRU 3.4.28BIPRU 3.4.29Exposures to international organisations (BIPRU 3.4.30)BIPRU 3.4.30Exposures to institutions: General (BIPRU 3.4.31)BIPRU 3.4.31Exposures to institutions: Treatment (BIPRU 3.4.32)BIPRU 3.4.32Exposures to institutions: Risk weight floor on exposures to unrated institutions (BIPRU 3.4.33)BIPRU 3.4.33Exposures to institutions: Credit assessment based method (BIPRU 3.4.34)BIPRU 3.4.34Table: Exposures to institutions with a residual maturity of more than three months for which a credit assessment by a nominated ECAI is available (BIPRU 3.4.35 - 3.4.37)BIPRU 3.4.35BIPRU 3.4.36BIPRU 3.4.37Table: Exposures to an institution with a residual maturity of three months or less for which a credit assessment by a nominated ECAI is available (BIPRU 3.4.38 - 3.4.39)BIPRU 3.4.38BIPRU 3.4.39Exposures to institutions: Interaction with short-term credit assessments (BIPRU 3.4.40 - 3.4.43)BIPRU 3.4.40BIPRU 3.4.41BIPRU 3.4.42BIPRU 3.4.43Exposures to institutions: Short-term exposures in the national currency of the borrower (BIPRU 3.4.44 - 3.4.46)BIPRU 3.4.44BIPRU 3.4.45BIPRU 3.4.46Exposures to institutions: Investments in regulatory capital instrumentsBIPRU 3.4.47Exposures to institutions: Minimum reserves required by the ECB (BIPRU 3.4.48)BIPRU 3.4.48Exposures to corporates: General (BIPRU 3.4.49)BIPRU 3.4.49Exposures to corporates: Treatment (BIPRU 3.4.50)BIPRU 3.4.50Table: Exposures for which a credit assessment by a nominated ECAI is available (BIPRU 3.4.51 - 3.4.52)BIPRU 3.4.51BIPRU 3.4.52Retail exposures (BIPRU 3.4.53)BIPRU 3.4.53Exposures secured by real estate property (BIPRU 3.4.54 - 3.4.55)BIPRU 3.4.54BIPRU 3.4.55Exposures secured by mortgages on residential property (BIPRU 3.4.56 - 3.4.88)BIPRU 3.4.56BIPRU 3.4.56ABIPRU 3.4.56BBIPRU 3.4.57BIPRU 3.4.58BIPRU 3.4.59BIPRU 3.4.60BIPRU 3.4.61BIPRU 3.4.62BIPRU 3.4.63BIPRU 3.4.64BIPRU 3.4.65BIPRU 3.4.66BIPRU 3.4.67BIPRU 3.4.68BIPRU 3.4.69BIPRU 3.4.70BIPRU 3.4.71BIPRU 3.4.72BIPRU 3.4.73BIPRU 3.4.74BIPRU 3.4.75BIPRU 3.4.76BIPRU 3.4.77BIPRU 3.4.78BIPRU 3.4.79BIPRU 3.4.80BIPRU 3.4.81BIPRU 3.4.82BIPRU 3.4.83BIPRU 3.4.84BIPRU 3.4.85BIPRU 3.4.86BIPRU 3.4.87BIPRU 3.4.88Exposures secured by mortgages on commercial real estate (BIPRU 3.4.89 - 3.4.94)BIPRU 3.4.89BIPRU 3.4.90BIPRU 3.4.91BIPRU 3.4.92BIPRU 3.4.93BIPRU 3.4.94Past due items (BIPRU 3.4.95 - 3.4.102)BIPRU 3.4.95BIPRU 3.4.96BIPRU 3.4.97BIPRU 3.4.98BIPRU 3.4.99BIPRU 3.4.100BIPRU 3.4.101BIPRU 3.4.102Items belonging to regulatory high-risk categories (BIPRU 3.4.103 - 3.4.105)BIPRU 3.4.103BIPRU 3.4.104BIPRU 3.4.105Exposures in the form of covered bonds (BIPRU 3.4.106 - 3.4.110)BIPRU 3.4.106BIPRU 3.4.107BIPRU 3.4.108BIPRU 3.4.109BIPRU 3.4.110Items representing securitisation positions (BIPRU 3.4.111)BIPRU 3.4.111Exposures to institutions and corporates with a short-term credit assessment (BIPRU 3.4.112)BIPRU 3.4.112Table: Exposures to institutions where BIPRU 3.4.34 R to BIPRU 3.4.39 R apply, and exposures to corporates for which a short-term credit assessment by a nominated ECAI is available (BIPRU 3.4.113)BIPRU 3.4.113Exposures in the form of collective investment undertakings (CIUs) (BIPRU 3.4.114 - 3.4.125)BIPRU 3.4.114BIPRU 3.4.115BIPRU 3.4.116BIPRU 3.4.117BIPRU 3.4.118BIPRU 3.4.119BIPRU 3.4.120BIPRU 3.4.121BIPRU 3.4.122BIPRU 3.4.123BIPRU 3.4.124BIPRU 3.4.125Other items (BIPRU 3.4.126)BIPRU 3.4.126Treatment (BIPRU 3.4.127 - 3.4.134)BIPRU 3.4.127BIPRU 3.4.128BIPRU 3.4.129BIPRU 3.4.130BIPRU 3.4.131BIPRU 3.4.132BIPRU 3.4.133BIPRU 3.4.134BIPRU 3.5 Simplified method of calculating risk weights (BIPRU 3.5.1 - 3.5.8)BIPRU 3.5.1BIPRU 3.5.2BIPRU 3.5.3BIPRU 3.5.4BIPRU 3.5.5BIPRU 3.5.6BIPRU 3.5.7BIPRU 3.5.8BIPRU 3.6 Use of rating agencies' credit assessments for the determination of risk weights under the standardised approach to credit risk (BIPRU 3.6.1 - 3.6.21)BIPRU 3.6.1BIPRU 3.6.2BIPRU 3.6.3Treatment (BIPRU 3.6.4 - 3.6.11)BIPRU 3.6.4BIPRU 3.6.5BIPRU 3.6.6BIPRU 3.6.7BIPRU 3.6.8BIPRU 3.6.9BIPRU 3.6.10BIPRU 3.6.11Issuer and issue credit assessment (BIPRU 3.6.12 - 3.6.15)BIPRU 3.6.12BIPRU 3.6.13BIPRU 3.6.14BIPRU 3.6.15Long-term and short-term credit assessments (BIPRU 3.6.16 - 3.6.19)BIPRU 3.6.16BIPRU 3.6.17BIPRU 3.6.18BIPRU 3.6.19Domestic and foreign currency items (BIPRU 3.6.20 - 3.6.21)BIPRU 3.6.20BIPRU 3.6.21BIPRU 3.7 classification of off-balance-sheet items (BIPRU 3.7.1 - 3.7.2)BIPRU 3.7.1Table: classification of off-balance-sheet items (BIPRU 3.7.2)BIPRU 3.7.2BIPRU 3 Annex 1 Guidance on the standardised approach zero risk weighting for intra-group exposuresBIPRU 3 Annex 2 Regional governments and local authorities eligible for the treatment in BIPRU 3.4.15RBIPRU 3 Annex 3 High risk exposuresBIPRU 3 Annex 4 Exposures to institutions: Interaction with short-term credit assessments in BIPRU 3.4.40RBIPRU 4 The IRB approach (BIPRU 4.1 - 4.10)BIPRU 4.1 The IRB approach: Application, purpose and overview (BIPRU 4.1.1 - 4.1.27)Application (BIPRU 4.1.1)BIPRU 4.1.1Purpose (BIPRU 4.1.2 - 4.1.5)BIPRU 4.1.2BIPRU 4.1.3BIPRU 4.1.4BIPRU 4.1.5Overview (BIPRU 4.1.6 - 4.1.11)BIPRU 4.1.6BIPRU 4.1.7BIPRU 4.1.8BIPRU 4.1.9BIPRU 4.1.10BIPRU 4.1.11IRB permissions: general (BIPRU 4.1.12 - 4.1.14)BIPRU 4.1.12BIPRU 4.1.13BIPRU 4.1.14Link to standard rules: Incorporation of the IRB output into the capital calculation (BIPRU 4.1.15 - 4.1.24)BIPRU 4.1.15BIPRU 4.1.16BIPRU 4.1.17BIPRU 4.1.18BIPRU 4.1.19BIPRU 4.1.20BIPRU 4.1.21BIPRU 4.1.22BIPRU 4.1.23BIPRU 4.1.24Compliance (BIPRU 4.1.25 - 4.1.27)BIPRU 4.1.25BIPRU 4.1.26BIPRU 4.1.27BIPRU 4.2 The IRB approach: High level material (BIPRU 4.2.1 - 4.2.35)Application (BIPRU 4.2.1)BIPRU 4.2.1General approach to granting an IRB permission (BIPRU 4.2.2 - 4.2.3)BIPRU 4.2.2BIPRU 4.2.3OutsourcingBIPRU 4.2.4Assessment and estimation (BIPRU 4.2.5)BIPRU 4.2.5Further requirements concerning the use test (BIPRU 4.2.6 - 4.2.10)BIPRU 4.2.6BIPRU 4.2.7BIPRU 4.2.8BIPRU 4.2.9BIPRU 4.2.10Requirements concerning the experience requirement (BIPRU 4.2.11 - 4.2.15)BIPRU 4.2.11BIPRU 4.2.12BIPRU 4.2.13BIPRU 4.2.14BIPRU 4.2.15Implementation of the internal ratings based approach (BIPRU 4.2.16 - 4.2.25)BIPRU 4.2.16BIPRU 4.2.17BIPRU 4.2.18BIPRU 4.2.19BIPRU 4.2.20BIPRU 4.2.21BIPRU 4.2.22BIPRU 4.2.23BIPRU 4.2.24BIPRU 4.2.25Combined use of methodologies: Basic provisions (BIPRU 4.2.26)BIPRU 4.2.26Combined use of methodologies: Documentation (BIPRU 4.2.27)BIPRU 4.2.27Combined use of methodologies: Sovereign and institutional, exposures (BIPRU 4.2.28)BIPRU 4.2.28Combined use of methodologies: Meaning of non-significance and immateriality (BIPRU 4.2.29 - 4.2.32)BIPRU 4.2.29BIPRU 4.2.30BIPRU 4.2.31BIPRU 4.2.32Combined use of methodologies: Territorial aspects (BIPRU 4.2.33)BIPRU 4.2.33Combined use of methodologies: Intra-group exposures (BIPRU 4.2.34)BIPRU 4.2.34Combined use of methodologies: Purchase of a new businesses (BIPRU 4.2.35)BIPRU 4.2.35BIPRU 4.3 The IRB approach: Provisions common to different exposure classes (BIPRU 4.3.1 - 4.3.132)Application (BIPRU 4.3.1)BIPRU 4.3.1Exposure classes (BIPRU 4.3.2 - 4.3.3)BIPRU 4.3.2BIPRU 4.3.3Calculation of risk weighted exposure amounts (BIPRU 4.3.4 - 4.3.5)BIPRU 4.3.4BIPRU 4.3.5Calculation of expected loss amounts (BIPRU 4.3.6 - 4.3.7)BIPRU 4.3.6BIPRU 4.3.7Treatment of expected loss amounts (BIPRU 4.3.8)BIPRU 4.3.8Corporate governance (BIPRU 4.3.9 - 4.3.14)BIPRU 4.3.9BIPRU 4.3.10BIPRU 4.3.11BIPRU 4.3.12BIPRU 4.3.13BIPRU 4.3.14Credit risk control (BIPRU 4.3.15 - 4.3.18)BIPRU 4.3.15BIPRU 4.3.16BIPRU 4.3.17BIPRU 4.3.18Documentation of rating systems (BIPRU 4.3.19 - 4.3.24)BIPRU 4.3.19BIPRU 4.3.20BIPRU 4.3.21BIPRU 4.3.22BIPRU 4.3.23BIPRU 4.3.24Rating systems (BIPRU 4.3.25 - 4.3.28)BIPRU 4.3.25BIPRU 4.3.26BIPRU 4.3.27BIPRU 4.3.28Validation of internal estimates (BIPRU 4.3.29 - 4.3.37)BIPRU 4.3.29BIPRU 4.3.30BIPRU 4.3.31BIPRU 4.3.32BIPRU 4.3.33BIPRU 4.3.34BIPRU 4.3.35BIPRU 4.3.36BIPRU 4.3.37Internal audit (BIPRU 4.3.38)BIPRU 4.3.38Stress tests used in assessment of capital adequacy (BIPRU 4.3.39 - 4.3.42)BIPRU 4.3.39BIPRU 4.3.39ABIPRU 4.3.40BIPRU 4.3.41BIPRU 4.3.42Rating systems: Assignment to grades or pools (BIPRU 4.3.43 - 4.3.48)BIPRU 4.3.43BIPRU 4.3.44BIPRU 4.3.45BIPRU 4.3.46BIPRU 4.3.47BIPRU 4.3.48Rating systems: General governance (BIPRU 4.3.49)BIPRU 4.3.49Rating systems: Overrides (BIPRU 4.3.50)BIPRU 4.3.50Rating systems: Use of models (BIPRU 4.3.51 - 4.3.53)BIPRU 4.3.51BIPRU 4.3.52BIPRU 4.3.53Rating systems: Data maintenance (BIPRU 4.3.54)BIPRU 4.3.54Rating systems: IT systems (BIPRU 4.3.55)BIPRU 4.3.55Definition of default: Main provisions (BIPRU 4.3.56 - 4.3.57)BIPRU 4.3.56BIPRU 4.3.57Definition of default: Materiality (BIPRU 4.3.58 - 4.3.59)BIPRU 4.3.58BIPRU 4.3.59Definition of default: Identification of obligor (BIPRU 4.3.60)BIPRU 4.3.60Definition of default: Days past due (BIPRU 4.3.61 - 4.3.62)BIPRU 4.3.61BIPRU 4.3.62Definition of default: Unlikeliness to pay (BIPRU 4.3.63 - 4.3.69)BIPRU 4.3.63BIPRU 4.3.64BIPRU 4.3.65BIPRU 4.3.66BIPRU 4.3.67BIPRU 4.3.68BIPRU 4.3.69Risk quantification: Definition of default: Other provisions (BIPRU 4.3.70 - 4.3.72)BIPRU 4.3.70BIPRU 4.3.71BIPRU 4.3.72Risk quantification: Overall requirements for estimation: General (BIPRU 4.3.73 - 4.3.91)BIPRU 4.3.73BIPRU 4.3.74BIPRU 4.3.75BIPRU 4.3.76BIPRU 4.3.77BIPRU 4.3.78BIPRU 4.3.79BIPRU 4.3.80BIPRU 4.3.81BIPRU 4.3.82BIPRU 4.3.83BIPRU 4.3.84BIPRU 4.3.85BIPRU 4.3.86BIPRU 4.3.87BIPRU 4.3.88BIPRU 4.3.89BIPRU 4.3.90BIPRU 4.3.91Risk quantification: Overall requirements for estimation: Pooled data (BIPRU 4.3.92 - 4.3.94)BIPRU 4.3.92BIPRU 4.3.93BIPRU 4.3.94Risk quantification: Overall requirements for estimation: Requirements specific to PD estimates (BIPRU 4.3.95 - 4.3.97)BIPRU 4.3.95BIPRU 4.3.96BIPRU 4.3.97Risk quantification: Overall requirements for estimation: Requirements specific to own-LGD estimates (BIPRU 4.3.98 - 4.3.123)BIPRU 4.3.98BIPRU 4.3.99BIPRU 4.3.100BIPRU 4.3.101BIPRU 4.3.102BIPRU 4.3.103BIPRU 4.3.104BIPRU 4.3.105BIPRU 4.3.106BIPRU 4.3.107BIPRU 4.3.108BIPRU 4.3.109BIPRU 4.3.110BIPRU 4.3.111BIPRU 4.3.112BIPRU 4.3.113BIPRU 4.3.114BIPRU 4.3.115BIPRU 4.3.116BIPRU 4.3.117BIPRU 4.3.118BIPRU 4.3.119BIPRU 4.3.120BIPRU 4.3.121BIPRU 4.3.122BIPRU 4.3.123Risk quantification: Overall requirements for estimation: Requirements specific to own-conversion factor estimates (BIPRU 4.3.124 - 4.3.131)BIPRU 4.3.124BIPRU 4.3.125BIPRU 4.3.126BIPRU 4.3.127BIPRU 4.3.128BIPRU 4.3.129BIPRU 4.3.130BIPRU 4.3.131Risk quantification: Overall requirements for estimation: Comparability (BIPRU 4.3.132)BIPRU 4.3.132BIPRU 4.4 The IRB approach: Exposures to corporates, institutions and sovereigns (BIPRU 4.4.1 - 4.4.85)Application (BIPRU 4.4.1)BIPRU 4.4.1Definition (BIPRU 4.4.2 - 4.4.4)BIPRU 4.4.2BIPRU 4.4.3BIPRU 4.4.4Rating system: Structure of rating system (BIPRU 4.4.5 - 4.4.9)BIPRU 4.4.5BIPRU 4.4.6BIPRU 4.4.7BIPRU 4.4.8BIPRU 4.4.9Rating system: Assignment to grades or pools (BIPRU 4.4.10)BIPRU 4.4.10Rating system: Assignment of exposures (BIPRU 4.4.11 - 4.4.13)BIPRU 4.4.11BIPRU 4.4.12BIPRU 4.4.13Rating system: Overrides (BIPRU 4.4.14)BIPRU 4.4.14Rating system: Integrity of assignment process (BIPRU 4.4.15 - 4.4.18)BIPRU 4.4.15BIPRU 4.4.16BIPRU 4.4.17BIPRU 4.4.18Rating system: Use of models (BIPRU 4.4.19)BIPRU 4.4.19Rating system: Documentation of rating systems (BIPRU 4.4.20)BIPRU 4.4.20Rating system: Data maintenance (BIPRU 4.4.21)BIPRU 4.4.21Risk quantification: Definition of default (BIPRU 4.4.22)BIPRU 4.4.22Risk quantification: Overall requirements for estimation: Requirements specific to PD estimation (BIPRU 4.4.23 - 4.4.31)BIPRU 4.4.23BIPRU 4.4.24BIPRU 4.4.25BIPRU 4.4.26BIPRU 4.4.27BIPRU 4.4.28BIPRU 4.4.29BIPRU 4.4.30BIPRU 4.4.31IRB foundation approach: General (BIPRU 4.4.32 - 4.4.33)BIPRU 4.4.32BIPRU 4.4.33IRB foundation approach: LGDs (BIPRU 4.4.34 - 4.4.35)BIPRU 4.4.34BIPRU 4.4.35Foundation IRB approach: Exposure value and conversion factors (BIPRU 4.4.36 - 4.4.39)BIPRU 4.4.36BIPRU 4.4.37BIPRU 4.4.38BIPRU 4.4.39Advanced IRB approach: General (BIPRU 4.4.40 - 4.4.41)BIPRU 4.4.40BIPRU 4.4.41Advanced IRB approach: LGDs and PDs (BIPRU 4.4.42 - 4.4.44)BIPRU 4.4.42BIPRU 4.4.43BIPRU 4.4.44Advanced IRB approach: Conversion factors (BIPRU 4.4.45 - 4.4.46)BIPRU 4.4.45BIPRU 4.4.46Advanced IRB approach: Structure of the rating system (BIPRU 4.4.47 - 4.4.50)BIPRU 4.4.47BIPRU 4.4.48BIPRU 4.4.49BIPRU 4.4.50Advanced IRB approach: Assignment of exposures (BIPRU 4.4.51 - 4.4.52)BIPRU 4.4.51BIPRU 4.4.52Advanced IRB approach: Data maintenance (BIPRU 4.4.53)BIPRU 4.4.53Advanced IRB approach: Requirements specific to own-LGD estimates (BIPRU 4.4.54)BIPRU 4.4.54Advanced IRB approach: Requirements specific to own-conversion factor estimates (BIPRU 4.4.55)BIPRU 4.4.55Calculations: General (BIPRU 4.4.56)BIPRU 4.4.56Calculations: Risk-weighted exposure amounts (BIPRU 4.4.57 - 4.4.60)BIPRU 4.4.57BIPRU 4.4.58BIPRU 4.4.59BIPRU 4.4.60Calculations: Expected loss amounts (BIPRU 4.4.61 - 4.4.62)BIPRU 4.4.61BIPRU 4.4.62Calculations: PD (BIPRU 4.4.63 - 4.4.66)BIPRU 4.4.63BIPRU 4.4.64BIPRU 4.4.65BIPRU 4.4.66Calculations: Maturity (BIPRU 4.4.67 - 4.4.70)BIPRU 4.4.67BIPRU 4.4.68BIPRU 4.4.69BIPRU 4.4.70Calculations: Exposure value (BIPRU 4.4.71 - 4.4.78)BIPRU 4.4.71BIPRU 4.4.72BIPRU 4.4.73BIPRU 4.4.74BIPRU 4.4.75BIPRU 4.4.76BIPRU 4.4.77BIPRU 4.4.78Double default (BIPRU 4.4.79 - 4.4.85)BIPRU 4.4.79BIPRU 4.4.80BIPRU 4.4.81BIPRU 4.4.82BIPRU 4.4.83BIPRU 4.4.84BIPRU 4.4.85BIPRU 4.5 The IRB approach: Specialised lending exposures (BIPRU 4.5.1 - 4.5.14)Application (BIPRU 4.5.1 - 4.5.2)BIPRU 4.5.1BIPRU 4.5.2Definition of specialised lending (BIPRU 4.5.3)BIPRU 4.5.3Treatment of specialised lending (BIPRU 4.5.4)BIPRU 4.5.4Structure of rating system (BIPRU 4.5.5)BIPRU 4.5.5Assignment of exposures (BIPRU 4.5.6)BIPRU 4.5.6Calculation of risk-weighted exposure amounts (BIPRU 4.5.7 - 4.5.11)BIPRU 4.5.7BIPRU 4.5.8BIPRU 4.5.9BIPRU 4.5.10BIPRU 4.5.11Calculation of expected loss amounts (BIPRU 4.5.12 - 4.5.14)BIPRU 4.5.12BIPRU 4.5.13BIPRU 4.5.14BIPRU 4.6 The IRB approach: Retail exposures (BIPRU 4.6.1 - 4.6.58)Application (BIPRU 4.6.1)BIPRU 4.6.1Definition of retail exposures (BIPRU 4.6.2 - 4.6.4)BIPRU 4.6.2BIPRU 4.6.3BIPRU 4.6.4Rating system: Structure of rating system (BIPRU 4.6.5)BIPRU 4.6.5Rating system: Assignment to grades or pools (BIPRU 4.6.6 - 4.6.11)BIPRU 4.6.6BIPRU 4.6.7BIPRU 4.6.8BIPRU 4.6.9BIPRU 4.6.10BIPRU 4.6.11Rating system: Assignment of exposures (BIPRU 4.6.12)BIPRU 4.6.12Rating system: Overrides (BIPRU 4.6.13)BIPRU 4.6.13Rating system: Integrity of assignment process (BIPRU 4.6.14 - 4.6.15)BIPRU 4.6.14BIPRU 4.6.15Rating system: Use of models (BIPRU 4.6.16)BIPRU 4.6.16Rating system: Documentation (BIPRU 4.6.17)BIPRU 4.6.17Rating system: Data maintenance (BIPRU 4.6.18)BIPRU 4.6.18Risk quantification: Definition of default (BIPRU 4.6.19 - 4.6.22)BIPRU 4.6.19BIPRU 4.6.20BIPRU 4.6.21BIPRU 4.6.22Risk quantification: Overall requirements for estimation (BIPRU 4.6.23)BIPRU 4.6.23Risk quantification: Requirements specific to PD estimation (BIPRU 4.6.24 - 4.6.30)BIPRU 4.6.24BIPRU 4.6.25BIPRU 4.6.26BIPRU 4.6.27BIPRU 4.6.28BIPRU 4.6.29BIPRU 4.6.30Risk quantification: Requirements specific to own-LGD estimation (BIPRU 4.6.31 - 4.6.36)BIPRU 4.6.31BIPRU 4.6.32BIPRU 4.6.33BIPRU 4.6.34BIPRU 4.6.35BIPRU 4.6.36Risk quantification: Requirements specific to own-conversion factor estimates (BIPRU 4.6.37 - 4.6.40)BIPRU 4.6.37BIPRU 4.6.38BIPRU 4.6.39BIPRU 4.6.40Calculation of risk weighted exposure amounts for retail exposures: General (BIPRU 4.6.41 - 4.6.42)BIPRU 4.6.41BIPRU 4.6.42Calculation of risk weighted exposure amounts for retail exposures: Retail mortgages (BIPRU 4.6.43)BIPRU 4.6.43Calculation of risk weighted exposure amounts for retail exposures: Qualifying revolving retail exposures (BIPRU 4.6.44 - 4.6.46)BIPRU 4.6.44BIPRU 4.6.45BIPRU 4.6.46Calculation of expected loss amounts (BIPRU 4.6.47 - 4.6.48)BIPRU 4.6.47BIPRU 4.6.48Calculation of PDs (BIPRU 4.6.49 - 4.6.52)BIPRU 4.6.49BIPRU 4.6.50BIPRU 4.6.51BIPRU 4.6.52Calculation of LGDs (BIPRU 4.6.53 - 4.6.54)BIPRU 4.6.53BIPRU 4.6.54Calculation of exposure values and own conversion factors (BIPRU 4.6.55 - 4.6.56)BIPRU 4.6.55BIPRU 4.6.56Double default (BIPRU 4.6.57 - 4.6.58)BIPRU 4.6.57BIPRU 4.6.58BIPRU 4.7 The IRB approach: Equity exposures (BIPRU 4.7.1 - 4.7.35)Application (BIPRU 4.7.1)Definition of equity exposures (BIPRU 4.7.2)BIPRU 4.7.2Calculation of risk-weighted exposure amounts (BIPRU 4.7.3 - 4.7.6)BIPRU 4.7.3BIPRU 4.7.4BIPRU 4.7.5BIPRU 4.7.6Exposure value (BIPRU 4.7.7)BIPRU 4.7.7The calculation of risk-weighted exposure amounts for equity exposures: The simple risk weight approach: Introduction (BIPRU 4.7.8)BIPRU 4.7.8The calculation of risk-weighted exposure amounts for equity exposures: The simple risk weight approach: Risk weighted exposure amounts (BIPRU 4.7.9 - 4.7.11)BIPRU 4.7.9BIPRU 4.7.10BIPRU 4.7.11The calculation of risk-weighted exposure amounts for equity exposures: The simple risk weight approach: Expected loss (BIPRU 4.7.12)BIPRU 4.7.12The calculation of risk-weighted exposure amounts for equity exposures: The PD/LGD approach: Introduction (BIPRU 4.7.13)BIPRU 4.7.13The calculation of risk-weighted exposure amounts for equity exposures: The PD/LGD approach: Risk weighted exposure amounts (BIPRU 4.7.14 - 4.7.16)BIPRU 4.7.14BIPRU 4.7.15BIPRU 4.7.16The calculation of risk-weighted exposure amounts for equity exposures: The PD/LGD approach: Calculation of expected loss amounts (BIPRU 4.7.17)BIPRU 4.7.17The calculation of risk-weighted exposure amounts for equity exposures: The PD/LGD approach: PDs (BIPRU 4.7.18 - 4.7.19)BIPRU 4.7.18BIPRU 4.7.19The calculation of risk-weighted exposure amounts for equity exposures: The PD/LGD approach: LGDs (BIPRU 4.7.20 - 4.7.21)BIPRU 4.7.20BIPRU 4.7.21The calculation of risk-weighted exposure amounts for equity exposures: The PD/LGD approach: Maturity (BIPRU 4.7.22)BIPRU 4.7.22The calculation of risk-weighted exposure amounts for equity exposures: The internal models approach: Introduction (BIPRU 4.7.23)BIPRU 4.7.23The calculation of risk-weighted exposure amounts for equity exposures: The internal models approach: Risk weighted exposure amounts (BIPRU 4.7.24 - 4.7.25)BIPRU 4.7.24BIPRU 4.7.25The calculation of risk weighted exposure amounts for equity exposures: The internal models approach: Expected loss amounts (BIPRU 4.7.26)BIPRU 4.7.26The calculation of risk weighted exposure amounts for equity exposures: The internal models approach: Capital requirements and risk quantification (BIPRU 4.7.27)BIPRU 4.7.27The calculation of risk-weighted exposure amounts for equity exposures: The internal models approach: Risk management and controls (BIPRU 4.7.28)BIPRU 4.7.28The calculation of risk-weighted exposure amounts for equity exposures: The internal models approach: Validation and documentation (BIPRU 4.7.29 - 4.7.35)BIPRU 4.7.29BIPRU 4.7.30BIPRU 4.7.31BIPRU 4.7.32BIPRU 4.7.33BIPRU 4.7.34BIPRU 4.7.35BIPRU 4.8 The IRB approach: Purchased receivables (BIPRU 4.8.1 - 4.8.30)Application (BIPRU 4.8.1 - 4.8.2)BIPRU 4.8.1BIPRU 4.8.2Structure of rating systems (BIPRU 4.8.3)BIPRU 4.8.3Risk quantification: Overall requirements for estimation: General (BIPRU 4.8.4 - 4.8.5)BIPRU 4.8.4BIPRU 4.8.5Risk quantification: Overall requirements for estimation: Requirements specific to PD estimation (BIPRU 4.8.6 - 4.8.8)BIPRU 4.8.6BIPRU 4.8.7BIPRU 4.8.8Risk quantification: Overall requirements for estimation: Requirements specific to own-LGD estimates (BIPRU 4.8.9)BIPRU 4.8.9Risk quantification: Overall requirements for estimation: Minimum requirements for purchased receivables: General (BIPRU 4.8.10)BIPRU 4.8.10Risk quantification: Overall requirements for estimation: Minimum requirements for purchased receivables: Legal certainty (BIPRU 4.8.11)BIPRU 4.8.11Risk quantification: Overall requirements for estimation: Minimum requirements for purchased receivables: Effectiveness of monitoring systems (BIPRU 4.8.12)BIPRU 4.8.12Risk quantification: Overall requirements for estimation: Minimum requirements for purchased receivables: Effectiveness of work-out systems (BIPRU 4.8.13)BIPRU 4.8.13Risk quantification: Overall requirements for estimation: Minimum requirements for purchased receivables: Effectiveness of systems for controlling collateral, credit availability and cash (BIPRU 4.8.14)BIPRU 4.8.14Risk quantification: Overall requirements for estimation: Minimum requirements for purchased receivables: Compliance with the firm's internal policies and procedures (BIPRU 4.8.15)BIPRU 4.8.15Calculation of risk-weighted asset amounts: Eligibility for different treatments: Corporate exposures (BIPRU 4.8.16 - 4.8.17)BIPRU 4.8.16BIPRU 4.8.17Calculation of risk weighted asset amounts: Eligibility for different treatments: Retail exposures (BIPRU 4.8.18 - 4.8.20)BIPRU 4.8.18BIPRU 4.8.19BIPRU 4.8.20Calculation of risk weighted asset amounts for dilution risk (BIPRU 4.8.21)BIPRU 4.8.21Calculation of risk weighted exposure amounts: PDs (BIPRU 4.8.22 - 4.8.24)BIPRU 4.8.22BIPRU 4.8.23BIPRU 4.8.24Calculation of risk weighted asset amounts: LGDs: Corporate exposures (BIPRU 4.8.25 - 4.8.26)BIPRU 4.8.25BIPRU 4.8.26Calculation of risk weighted asset amounts: LGDs: Retail exposures (BIPRU 4.8.27)BIPRU 4.8.27Calculation of risk weighted asset amounts: Exposure value (BIPRU 4.8.28 - 4.8.29)BIPRU 4.8.28BIPRU 4.8.29Calculation of expected loss amounts (BIPRU 4.8.30)BIPRU 4.8.30BIPRU 4.9 The IRB approach: Securitisation, non-credit obligations assets and CIUs (BIPRU 4.9.1 - 4.9.15)Application (BIPRU 4.9.1)BIPRU 4.9.1Securitisation exposures (BIPRU 4.9.2)BIPRU 4.9.2Provision of credit protection (BIPRU 4.9.3)BIPRU 4.9.3Non credit obligation assets: Introduction (BIPRU 4.9.4)BIPRU 4.9.4Non credit obligation assets: Inclusion of residual value of leases (BIPRU 4.9.5)BIPRU 4.9.5Non credit obligation assets: Risk weighted exposure amount (BIPRU 4.9.6 - 4.9.8)BIPRU 4.9.6BIPRU 4.9.7BIPRU 4.9.8Non credit obligation assets: Exposure value (BIPRU 4.9.9)BIPRU 4.9.9Non credit obligation assets: Expected loss amounts (BIPRU 4.9.10)BIPRU 4.9.10Collective investment undertakings (BIPRU 4.9.11 - 4.9.15)BIPRU 4.9.11BIPRU 4.9.12BIPRU 4.9.13BIPRU 4.9.14BIPRU 4.9.15BIPRU 4.10 The IRB approach: Credit risk mitigation (BIPRU 4.10.1 - 4.10.51)Application (BIPRU 4.10.1)BIPRU 4.10.1Purpose (BIPRU 4.10.2)BIPRU 4.10.2General (BIPRU 4.10.3 - 4.10.4)BIPRU 4.10.3BIPRU 4.10.4Eligibility of funded credit protection: General (BIPRU 4.10.5)BIPRU 4.10.5Real estate collateral: Types of eligible collateral: General (BIPRU 4.10.6 - 4.10.10)BIPRU 4.10.6BIPRU 4.10.7BIPRU 4.10.8BIPRU 4.10.9BIPRU 4.10.10Real estate collateral: Types of eligible collateral: Finnish housing legislation (BIPRU 4.10.11 - 4.10.12)BIPRU 4.10.11BIPRU 4.10.12Real estate collateral: Minimum requirements for recognition (BIPRU 4.10.13)BIPRU 4.10.13Receivables: Types of eligible collateral (BIPRU 4.10.14)BIPRU 4.10.14Receivables: Minimum requirements for recognition (BIPRU 4.10.15)BIPRU 4.10.15Other physical collateral: Types of eligible collateral (BIPRU 4.10.16 - 4.10.17)BIPRU 4.10.16BIPRU 4.10.17Other physical collateral: Minimum requirements for recognition (BIPRU 4.10.18)BIPRU 4.10.18Leasing: Types of eligible transactions and conditions of eligibility (BIPRU 4.10.19)BIPRU 4.10.19Calculating risk-weighted exposure amounts and expected loss amounts for funded credit risk mitigation: Introduction (BIPRU 4.10.20)BIPRU 4.10.20Calculating risk weighted exposure amounts and expected loss amounts for funded credit risk mitigation: Valuation: Receivables (BIPRU 4.10.21)BIPRU 4.10.21Calculating risk weighted exposure amounts and expected loss amounts for funded credit risk mitigation: Valuation: Other physical collateral (BIPRU 4.10.22)BIPRU 4.10.22Calculating risk weighted exposure amounts and expected loss amounts: General treatment (BIPRU 4.10.23 - 4.10.28)BIPRU 4.10.23BIPRU 4.10.24BIPRU 4.10.25BIPRU 4.10.26BIPRU 4.10.27BIPRU 4.10.28Calculating risk weighted exposure amounts and expected loss amounts for funded credit risk mitigation: Alternative treatment for real estate collateral (BIPRU 4.10.29)BIPRU 4.10.29Calculating risk weighted exposure amounts and expected loss amounts: Mixed pools of collateral (BIPRU 4.10.30)BIPRU 4.10.30Calculating risk weighted exposure amounts and expected loss amounts for funded credit risk mitigation: Other modifications of the rules on credit risk mitigation: Financial collateral simple method (BIPRU 4.10.31)BIPRU 4.10.31Calculating risk weighted exposure amounts and expected loss amounts for funded credit risk mitigation: Other modifications of the rules on credit risk mitigation: Master netting agreements (BIPRU 4.10.32 - 4.10.34)BIPRU 4.10.32BIPRU 4.10.33BIPRU 4.10.34Calculating risk weighted exposure amounts and expected loss amounts for funded credit risk mitigation: Other modifications of the rules on credit risk mitigation: Financial collateral comprehensive method (BIPRU 4.10.35 - 4.10.37)BIPRU 4.10.35BIPRU 4.10.36BIPRU 4.10.37Unfunded credit protection: Eligibility of providers (BIPRU 4.10.38 - 4.10.39)BIPRU 4.10.38BIPRU 4.10.39Unfunded credit protection: Minimum requirements for assessing the effect of guarantees and credit derivatives: Introduction (BIPRU 4.10.40 - 4.10.41)BIPRU 4.10.40BIPRU 4.10.41Unfunded credit protection: Minimum requirements for assessing the effect of guarantees and credit derivatives: Eligible guarantors and guarantees (BIPRU 4.10.42 - 4.10.44)BIPRU 4.10.42BIPRU 4.10.43BIPRU 4.10.44Unfunded credit protection: Minimum requirements for assessing the effect of guarantees and credit derivatives: Adjustment criteria (BIPRU 4.10.45 - 4.10.46)BIPRU 4.10.45BIPRU 4.10.46Unfunded credit protection: Minimum requirements for assessing the effect of guarantees and credit derivatives: Credit derivatives (BIPRU 4.10.47 - 4.10.48)BIPRU 4.10.47BIPRU 4.10.48Unfunded credit protection: Minimum requirements for assessing the effect of guarantees and credit derivatives: Calculating risk weighted exposure amounts and expected loss amounts (BIPRU 4.10.49)BIPRU 4.10.49Maturity mismatches (BIPRU 4.10.50 - 4.10.51)BIPRU 4.10.50BIPRU 4.10.51BIPRU 4 Annex 1 Supervisory Slotting Criteria for Specialised LendingBIPRU 5 Credit risk mitigation (BIPRU 5.1 - 5.9)BIPRU 5.1 Application and purpose (BIPRU 5.1.1 - 5.1.5)Application (BIPRU 5.1.1)BIPRU 5.1.1Purpose (BIPRU 5.1.2 - 5.1.5)BIPRU 5.1.2BIPRU 5.1.3BIPRU 5.1.4BIPRU 5.1.5BIPRU 5.2 The central principles of credit risk mitigation (BIPRU 5.2.1 - 5.2.15)BIPRU 5.2.1BIPRU 5.2.2BIPRU 5.2.3BIPRU 5.2.4Funded credit protection (BIPRU 5.2.5)BIPRU 5.2.5Treatment of credit linked notes (BIPRU 5.2.6)BIPRU 5.2.6Unfunded credit protection (BIPRU 5.2.7)BIPRU 5.2.7Minimum requirements (BIPRU 5.2.8 - 5.2.10)BIPRU 5.2.8BIPRU 5.2.9BIPRU 5.2.10Calculating the effects of the credit risk mitigation (BIPRU 5.2.11 - 5.2.15)BIPRU 5.2.11BIPRU 5.2.12BIPRU 5.2.13BIPRU 5.2.14BIPRU 5.2.15BIPRU 5.3 On balance sheet netting (BIPRU 5.3.1 - 5.3.4)Eligibility (BIPRU 5.3.1 - 5.3.2)BIPRU 5.3.1BIPRU 5.3.2Minimum requirements (BIPRU 5.3.3)BIPRU 5.3.3Calculating the effects of credit risk mitigation (BIPRU 5.3.4)BIPRU 5.3.4BIPRU 5.4 Financial collateral (BIPRU 5.4.1 - 5.4.66)Eligibility (BIPRU 5.4.1 - 5.4.8)BIPRU 5.4.1BIPRU 5.4.2BIPRU 5.4.3BIPRU 5.4.4BIPRU 5.4.5BIPRU 5.4.6BIPRU 5.4.7BIPRU 5.4.8Minimum requirements (BIPRU 5.4.9 - 5.4.13)BIPRU 5.4.9BIPRU 5.4.10BIPRU 5.4.11BIPRU 5.4.12BIPRU 5.4.13The financial collateral simple method: General (BIPRU 5.4.14 - 5.4.16)BIPRU 5.4.14BIPRU 5.4.15BIPRU 5.4.16The financial collateral simple method: Valuation (BIPRU 5.4.17)BIPRU 5.4.17The financial collateral simple method: Calculating risk-weighted exposure amounts (BIPRU 5.4.18)BIPRU 5.4.18The financial collateral simple method: Repurchase transactions and securities lending or borrowing transactions (BIPRU 5.4.19)BIPRU 5.4.19The financial collateral simple method: financial derivative instruments subject to daily mark-to-market (BIPRU 5.4.20 - 5.4.22)BIPRU 5.4.20BIPRU 5.4.21BIPRU 5.4.22The financial collateral comprehensive method: General (BIPRU 5.4.23 - 5.4.27)BIPRU 5.4.23BIPRU 5.4.24BIPRU 5.4.25BIPRU 5.4.26BIPRU 5.4.27The financial collateral comprehensive method: Calculating adjusted values (BIPRU 5.4.28)BIPRU 5.4.28The financial collateral comprehensive method: Calculation of volatility adjustments to be applied: General (BIPRU 5.4.29 - 5.4.32)BIPRU 5.4.29BIPRU 5.4.30BIPRU 5.4.31BIPRU 5.4.32The financial collateral comprehensive method: Supervisory volatility adjustments approach (BIPRU 5.4.33 - 5.4.34)BIPRU 5.4.33BIPRU 5.4.34Table: Volatility adjustments for debt securities described in BIPRU 5.4.2R(2) and (3) - (4) (BIPRU 5.4.35)BIPRU 5.4.35Table: Volatility adjustments for debt securities described in BIPRU 5.4.2R(5) (BIPRU 5.4.36)BIPRU 5.4.36Table: Volatility adjustments for other collateral or exposure types (BIPRU 5.4.37)BIPRU 5.4.37Table: Volatility adjustments for currency mismatch (BIPRU 5.4.38 - 5.4.43)BIPRU 5.4.38BIPRU 5.4.39BIPRU 5.4.40BIPRU 5.4.41BIPRU 5.4.42BIPRU 5.4.43The financial collateral comprehensive method: Own estimates of volatility adjustments approach: General (BIPRU 5.4.44 - 5.4.49)BIPRU 5.4.44BIPRU 5.4.45BIPRU 5.4.46BIPRU 5.4.47BIPRU 5.4.48BIPRU 5.4.49The financial collateral comprehensive method: Own estimates of volatility adjustments approach: Quantitative Criteria (BIPRU 5.4.50 - 5.4.56)BIPRU 5.4.50BIPRU 5.4.51BIPRU 5.4.52BIPRU 5.4.53BIPRU 5.4.54BIPRU 5.4.55BIPRU 5.4.56The financial collateral comprehensive method: Own estimates of volatility adjustments approach: Qualitative Criteria (BIPRU 5.4.57 - 5.4.60)BIPRU 5.4.57BIPRU 5.4.58BIPRU 5.4.59BIPRU 5.4.60The financial collateral comprehensive method: Scaling up of volatility adjustments (BIPRU 5.4.61)BIPRU 5.4.61The financial collateral comprehensive method: Conditions for applying a 0% volatility adjustment (BIPRU 5.4.62 - 5.4.65)BIPRU 5.4.62BIPRU 5.4.63BIPRU 5.4.64BIPRU 5.4.65Financial collateral comprehensive method: Calculating risk-weighted exposure amounts (BIPRU 5.4.66)BIPRU 5.4.66BIPRU 5.5 Other funded credit risk mitigation (BIPRU 5.5.1 - 5.5.11)Deposits with third parties: Eligibility (BIPRU 5.5.1)BIPRU 5.5.1Deposits with third parties: Minimum requirements (BIPRU 5.5.2)BIPRU 5.5.2Deposits with third parties: Calculating the effects of the credit risk mitigation (BIPRU 5.5.3)BIPRU 5.5.3Life insurance policies: Eligibility (BIPRU 5.5.4)BIPRU 5.5.4Life insurance policies: Minimum requirements (BIPRU 5.5.5 - 5.5.6)BIPRU 5.5.5BIPRU 5.5.6Life insurance policies: Calculating the effects of the credit risk mitigation (BIPRU 5.5.7)BIPRU 5.5.7Instruments purchased on request: Eligibility (BIPRU 5.5.8)BIPRU 5.5.8Instruments purchased on request: Calculating the effects of the credit risk mitigation (BIPRU 5.5.9 - 5.5.10)BIPRU 5.5.9BIPRU 5.5.10Credit linked notes (BIPRU 5.5.11)BIPRU 5.5.11BIPRU 5.6 Master netting agreements (BIPRU 5.6.1 - 5.6.29)Eligibility (BIPRU 5.6.1)BIPRU 5.6.1Minimum requirements (BIPRU 5.6.2 - 5.6.3)BIPRU 5.6.2BIPRU 5.6.3Calculation of the fully adjusted exposure value: the supervisory volatility adjustments approach and the own estimates of volatility adjustments approach (BIPRU 5.6.4 - 5.6.11)BIPRU 5.6.4BIPRU 5.6.5BIPRU 5.6.6BIPRU 5.6.7BIPRU 5.6.8BIPRU 5.6.9BIPRU 5.6.11BIPRU 5.6.10Calculation of the fully adjusted exposure value: the master netting agreement internal models approach (BIPRU 5.6.12 - 5.6.28)BIPRU 5.6.12BIPRU 5.6.13BIPRU 5.6.14BIPRU 5.6.15BIPRU 5.6.16BIPRU 5.6.17BIPRU 5.6.18BIPRU 5.6.19BIPRU 5.6.19ABIPRU 5.6.20BIPRU 5.6.21BIPRU 5.6.22BIPRU 5.6.23BIPRU 5.6.24BIPRU 5.6.25BIPRU 5.6.26BIPRU 5.6.27BIPRU 5.6.28Calculation of risk weighted exposure amounts under the standardised approach (BIPRU 5.6.29)BIPRU 5.6.29BIPRU 5.7 Unfunded credit protection (BIPRU 5.7.1 - 5.7.28)Eligibility (BIPRU 5.7.1)BIPRU 5.7.1Types of credit derivatives (BIPRU 5.7.2 - 5.7.3)BIPRU 5.7.2BIPRU 5.7.3Internal hedges (BIPRU 5.7.4)BIPRU 5.7.4Minimum requirements: General (BIPRU 5.7.5 - 5.7.7)BIPRU 5.7.5BIPRU 5.7.6BIPRU 5.7.7Minimum requirements: Operational requirements (BIPRU 5.7.8)BIPRU 5.7.8Minimum requirements: Sovereign and other public sector counter-guarantees (BIPRU 5.7.9 - 5.7.10)BIPRU 5.7.9BIPRU 5.7.10Additional requirements for guarantees (BIPRU 5.7.11 - 5.7.12)BIPRU 5.7.11BIPRU 5.7.12Additional requirements for credit derivatives (BIPRU 5.7.13 - 5.7.14)BIPRU 5.7.13BIPRU 5.7.14Unfunded credit protection: Valuation (BIPRU 5.7.15 - 5.7.19)BIPRU 5.7.15BIPRU 5.7.16BIPRU 5.7.17BIPRU 5.7.18BIPRU 5.7.19Calculating risk weighted exposure amounts and expected loss amounts (BIPRU 5.7.20)BIPRU 5.7.20Calculating risk weighted exposure amounts: Partial protection - tranching (BIPRU 5.7.21)BIPRU 5.7.21Calculating risk-weighted exposure amounts: The standardised approach (BIPRU 5.7.22)BIPRU 5.7.22Calculating risk weighted exposure amounts: standardised approach: Full protection (BIPRU 5.7.23)BIPRU 5.7.23Calculating risk weighted exposure amounts: Standardised approach: Partial protection - equal seniority (BIPRU 5.7.24)BIPRU 5.7.24Calculating risk weighted exposure amounts: standardised approach: Sovereign guarantees (BIPRU 5.7.25)BIPRU 5.7.25Calculating risk-weighted exposure amounts and expected loss amounts: Basket CRM techniques (BIPRU 5.7.26)BIPRU 5.7.26First-to-default credit derivatives (BIPRU 5.7.27)BIPRU 5.7.27Nth-to-default credit derivatives (BIPRU 5.7.28)BIPRU 5.7.28BIPRU 5.8 Maturity mismatches (BIPRU 5.8.1 - 5.8.11)BIPRU 5.8.1BIPRU 5.8.2Definition of maturity (BIPRU 5.8.3 - 5.8.5)BIPRU 5.8.3BIPRU 5.8.4BIPRU 5.8.5Valuation of protection: Transactions subject to funded credit protection - financial collateral simple method (BIPRU 5.8.6 - 5.8.7)BIPRU 5.8.6BIPRU 5.8.7Valuation of protection: Transactions subject to funded credit protection - financial collateral comprehensive method (BIPRU 5.8.8 - 5.8.9)BIPRU 5.8.8BIPRU 5.8.9Valuation of protection: Transactions subject to unfunded credit protection (BIPRU 5.8.10 - 5.8.11)BIPRU 5.8.10BIPRU 5.8.11BIPRU 5.9 Combinations of credit risk mitigation in the standardised approach (BIPRU 5.9.1 - 5.9.2)BIPRU 5.9.1BIPRU 5.9.2BIPRU 6 Operational risk (BIPRU 6.1 - 6.5)BIPRU 6.1 Operational risk: Application and purpose (BIPRU 6.1.1 - 6.1.4)Application (BIPRU 6.1.1 - 6.1.2)BIPRU 6.1.1BIPRU 6.1.2Purpose (BIPRU 6.1.3 - 6.1.4)BIPRU 6.1.3BIPRU 6.1.4BIPRU 6.2 Operational risk: Methodologies and systems (BIPRU 6.2.1 - 6.2.13)The definition of ORCR (BIPRU 6.2.1 - 6.2.4)BIPRU 6.2.1BIPRU 6.2.2BIPRU 6.2.3BIPRU 6.2.4Restrictions on changing the approach used for calculating ORCR (BIPRU 6.2.5 - 6.2.8)BIPRU 6.2.5BIPRU 6.2.6BIPRU 6.2.7BIPRU 6.2.8Combination of different methodologies (BIPRU 6.2.9 - 6.2.13)BIPRU 6.2.9BIPRU 6.2.10BIPRU 6.2.11BIPRU 6.2.12BIPRU 6.2.13BIPRU 6.3 Operational risk: Basic indicator approach (BIPRU 6.3.1 - 6.3.16)ORCR (BIPRU 6.3.1)BIPRU 6.3.1Relevant indicator: General (BIPRU 6.3.2)BIPRU 6.3.2Relevant indicator: An example calculation (BIPRU 6.3.3)BIPRU 6.3.3Relevant indicator: Insufficient income data (BIPRU 6.3.4)BIPRU 6.3.4Relevant indicator: Application of accounting categories (BIPRU 6.3.5 - 6.3.9)BIPRU 6.3.5BIPRU 6.3.6BIPRU 6.3.7BIPRU 6.3.8BIPRU 6.3.9Qualifications (BIPRU 6.3.10 - 6.3.15)BIPRU 6.3.10BIPRU 6.3.11BIPRU 6.3.12BIPRU 6.3.13BIPRU 6.3.14BIPRU 6.3.15General risk management standards (BIPRU 6.3.16)BIPRU 6.3.16BIPRU 6.4 Operational risk: Standardised approach (BIPRU 6.4.1 - 6.4.21)Eligibility (BIPRU 6.4.1 - 6.4.2)BIPRU 6.4.1BIPRU 6.4.1ABIPRU 6.4.2Business lines (BIPRU 6.4.3 - 6.4.5)BIPRU 6.4.3BIPRU 6.4.4BIPRU 6.4.5ORCR calculated using the standardised approach (BIPRU 6.4.6 - 6.4.8)BIPRU 6.4.6BIPRU 6.4.7BIPRU 6.4.8Relevant indicator (BIPRU 6.4.9)BIPRU 6.4.9Principles for business line mapping (BIPRU 6.4.10 - 6.4.15)BIPRU 6.4.10BIPRU 6.4.11BIPRU 6.4.12BIPRU 6.4.13BIPRU 6.4.14BIPRU 6.4.15The alternative standardised approach (BIPRU 6.4.16)BIPRU 6.4.16Eligibility for the alternative standardised approach (BIPRU 6.4.17 - 6.4.18)BIPRU 6.4.17BIPRU 6.4.18ORCR calculated using the alternative standardised approach (BIPRU 6.4.19 - 6.4.21)BIPRU 6.4.19BIPRU 6.4.20BIPRU 6.4.21BIPRU 6.5 Operational risk: Advanced measurement approaches (BIPRU 6.5.1 - 6.5.32)Application (BIPRU 6.5.1)BIPRU 6.5.1AMA permissions: general (BIPRU 6.5.2 - 6.5.4)BIPRU 6.5.2BIPRU 6.5.3BIPRU 6.5.4Minimum standards (BIPRU 6.5.5 - 6.5.5B)BIPRU 6.5.5BIPRU 6.5.5ABIPRU 6.5.5BQualitative standards (BIPRU 6.5.6 - 6.5.11)BIPRU 6.5.6BIPRU 6.5.7BIPRU 6.5.8BIPRU 6.5.9BIPRU 6.5.10BIPRU 6.5.11Quantitative standards: process (BIPRU 6.5.12 - 6.5.20)BIPRU 6.5.12BIPRU 6.5.13BIPRU 6.5.14BIPRU 6.5.15BIPRU 6.5.16BIPRU 6.5.17BIPRU 6.5.18BIPRU 6.5.19BIPRU 6.5.20Quantitative standards: internal data (BIPRU 6.5.21)BIPRU 6.5.21Quantitative standards: external data (BIPRU 6.5.22)BIPRU 6.5.22Quantitative standards: scenario analysis (BIPRU 6.5.23)BIPRU 6.5.23Quantitative standards: business environment and internal control factors (BIPRU 6.5.24)BIPRU 6.5.24Table: Loss event type classification (BIPRU 6.5.25)BIPRU 6.5.25Impact of insurance and risk transfer mechanisms (BIPRU 6.5.26 - 6.5.30A)BIPRU 6.5.26BIPRU 6.5.27BIPRU 6.5.28BIPRU 6.5.29BIPRU 6.5.30BIPRU 6.5.30AUse of an advanced measurement approach on a groupwide basis (BIPRU 6.5.31 - 6.5.32)BIPRU 6.5.31BIPRU 6.5.32BIPRU 7 Market risk (BIPRU 7.1 - 7.11)BIPRU 7.1 Application, purpose, general provisions and non-standard transactions (BIPRU 7.1.1 - 7.1.20)Application (BIPRU 7.1.1)BIPRU 7.1.1Purpose (BIPRU 7.1.2)BIPRU 7.1.2General provisions: Obligation to calculate PRR (BIPRU 7.1.3 - 7.1.4)BIPRU 7.1.3BIPRU 7.1.4General provisions: Non-trading book items (BIPRU 7.1.5)BIPRU 7.1.5General provisions: Frequency of calculation (BIPRU 7.1.6 - 7.1.7)BIPRU 7.1.6BIPRU 7.1.7Purpose of rules for non-standard transactions and instruments for which no PRR treatment has been specified (BIPRU 7.1.8)BIPRU 7.1.8Instruments for which no PRR treatment has been specified (BIPRU 7.1.9 - 7.1.13)BIPRU 7.1.9BIPRU 7.1.10BIPRU 7.1.11BIPRU 7.1.12BIPRU 7.1.13Instruments in non-standard form (BIPRU 7.1.14 - 7.1.15)BIPRU 7.1.14BIPRU 7.1.15Meaning of appropriate percentage for non-standard transactions (BIPRU 7.1.16)BIPRU 7.1.16Stress testing and scenario analyses of trading book positions (BIPRU 7.1.17 - 7.1.20)BIPRU 7.1.17BIPRU 7.1.17ABIPRU 7.1.18BIPRU 7.1.19BIPRU 7.1.20BIPRU 7.2 Interest rate PRR (BIPRU 7.2.1 - 7.2.66)General rule (BIPRU 7.2.1 - 7.2.2)BIPRU 7.2.1BIPRU 7.2.2Scope of the interest rate PRR calculation (BIPRU 7.2.3 - 7.2.9)BIPRU 7.2.3BIPRU 7.2.4BIPRU 7.2.5BIPRU 7.2.6BIPRU 7.2.7BIPRU 7.2.8BIPRU 7.2.9Derivation of notional positions: General approach (BIPRU 7.2.10 - 7.2.12)BIPRU 7.2.10BIPRU 7.2.11BIPRU 7.2.12Derivation of notional positions: Futures, forwards or synthetic futures on a debt security (BIPRU 7.2.13)BIPRU 7.2.13Derivation of notional positions: Futures, forwards or synthetic futures on a basket or index of debt securities (BIPRU 7.2.14 - 7.2.17)BIPRU 7.2.14BIPRU 7.2.15BIPRU 7.2.16BIPRU 7.2.17Derivation of notional positions: Interest rate futures and forward rate agreements (FRAs) (BIPRU 7.2.18 - 7.2.20)BIPRU 7.2.18BIPRU 7.2.19BIPRU 7.2.20Derivation of notional positions: Interest rate swaps or foreign currency swaps (BIPRU 7.2.21 - 7.2.23)BIPRU 7.2.21BIPRU 7.2.22BIPRU 7.2.23Derivation of notional positions: Deferred start interest rate swaps or foreign currency swaps (BIPRU 7.2.24 - 7.2.26)BIPRU 7.2.24BIPRU 7.2.25BIPRU 7.2.26Derivation of notional positions: Swaps where only one leg is an interest rate leg (e.g. equity swaps) (BIPRU 7.2.27 - 7.2.28)BIPRU 7.2.27BIPRU 7.2.28Derivation of notional positions: Cash legs of repurchase agreements and reverse repurchase agreements (BIPRU 7.2.29 - 7.2.30)BIPRU 7.2.29BIPRU 7.2.30Derivation of notional positions: Cash borrowings and deposits (BIPRU 7.2.31)BIPRU 7.2.31Derivation of notional positions: Options and warrants (BIPRU 7.2.32)BIPRU 7.2.32Derivation of notional positions: Bonds where the coupons and principal are paid in different currencies (BIPRU 7.2.33)BIPRU 7.2.33Derivation of notional positions: Interest rate risk on other futures, forwards and options (BIPRU 7.2.34 - 7.2.35)BIPRU 7.2.34BIPRU 7.2.35Deriving the net position in each debt security: General (BIPRU 7.2.36)BIPRU 7.2.36Deriving the net position in each debt security: Netting positions in the same debt security (BIPRU 7.2.37)BIPRU 7.2.37Deriving the net position in each debt security: Netting the cheapest to deliver security with other deliverable securities (BIPRU 7.2.38 - 7.2.39)BIPRU 7.2.38BIPRU 7.2.39Deriving the net position in each debt security: Netting zero-specific-risk securities with different maturities (BIPRU 7.2.40)BIPRU 7.2.40Deriving the net position in each debt security: Reduced net underwriting positions in debt securities (BIPRU 7.2.41 - 7.2.42)BIPRU 7.2.41BIPRU 7.2.42Deriving the net position in the correlation trading portfolio (BIPRU 7.2.42A - 7.2.42D)BIPRU 7.2.42ABIPRU 7.2.42BBIPRU 7.2.42CBIPRU 7.2.42DSpecific risk calculation (BIPRU 7.2.43 - 7.2.46A)BIPRU 7.2.43BIPRU 7.2.44BIPRU 7.2.45BIPRU 7.2.46BIPRU 7.2.46ASpecific risk: securitisations and resecuritisations (BIPRU 7.2.47 - 7.2.48K)BIPRU 7.2.47BIPRU 7.2.47ABIPRU 7.2.47BBIPRU 7.2.47CBIPRU 7.2.48BIPRU 7.2.48ABIPRU 7.2.48BBIPRU 7.2.48CBIPRU 7.2.48DBIPRU 7.2.48EBIPRU 7.2.48FBIPRU 7.2.48GBIPRU 7.2.48HBIPRU 7.2.48IBIPRU 7.2.48JBIPRU 7.2.48KSpecific risk: correlation trading portfolio (BIPRU 7.2.48L)BIPRU 7.2.48LDefinition of a qualifying debt security (BIPRU 7.2.49 - 7.2.51)BIPRU 7.2.49BIPRU 7.2.50BIPRU 7.2.51General market risk calculation: General (BIPRU 7.2.52 - 7.2.54)BIPRU 7.2.52BIPRU 7.2.53BIPRU 7.2.54General market risk calculation: Simplified maturity method (BIPRU 7.2.55 - 7.2.57)BIPRU 7.2.55BIPRU 7.2.56BIPRU 7.2.57General market risk calculation: The maturity method (BIPRU 7.2.58 - 7.2.61)BIPRU 7.2.58BIPRU 7.2.59BIPRU 7.2.60BIPRU 7.2.61General market risk calculation: Duration method (BIPRU 7.2.62 - 7.2.66)BIPRU 7.2.62BIPRU 7.2.63BIPRU 7.2.64BIPRU 7.2.65BIPRU 7.2.66BIPRU 7.3 Equity PRR and basic interest rate PRR for equity derivatives (BIPRU 7.3.1 - 7.3.48)General rule (BIPRU 7.3.1)BIPRU 7.3.1Scope of the equity PRR calculation (BIPRU 7.3.2 - 7.3.8)BIPRU 7.3.2BIPRU 7.3.3BIPRU 7.3.4BIPRU 7.3.5BIPRU 7.3.6BIPRU 7.3.7BIPRU 7.3.8Derivation of notional positions: General approach (BIPRU 7.3.9 - 7.3.11)BIPRU 7.3.9BIPRU 7.3.10BIPRU 7.3.11Derivation of notional positions: Depository receipts (BIPRU 7.3.12)BIPRU 7.3.12Derivation of notional positions: Convertibles (BIPRU 7.3.13)BIPRU 7.3.13Derivation of notional positions: Futures, forwards and CFDs on a single equity (BIPRU 7.3.14)BIPRU 7.3.14Derivation of notional positions: Futures, forwards and CFDs on equity indices or baskets (BIPRU 7.3.15 - 7.3.18)BIPRU 7.3.15BIPRU 7.3.16BIPRU 7.3.17BIPRU 7.3.18Derivation of notional positions: Equity legs of equity swaps (BIPRU 7.3.19 - 7.3.20)BIPRU 7.3.19BIPRU 7.3.20Derivation of notional positions: Options (BIPRU 7.3.21)BIPRU 7.3.21Deriving the net position in each equity (BIPRU 7.3.22 - 7.3.25)BIPRU 7.3.22BIPRU 7.3.23BIPRU 7.3.24BIPRU 7.3.25Simplified and standard equity methods (BIPRU 7.3.26 - 7.3.28)BIPRU 7.3.26BIPRU 7.3.27BIPRU 7.3.28Simplified equity method (BIPRU 7.3.29 - 7.3.30)BIPRU 7.3.29BIPRU 7.3.30Standard equity method (BIPRU 7.3.31 - 7.3.32)BIPRU 7.3.31BIPRU 7.3.32Standard equity method: Specific risk (BIPRU 7.3.33 - 7.3.34)BIPRU 7.3.33BIPRU 7.3.34Definition of a qualifying equity (BIPRU 7.3.35 - 7.3.37)BIPRU 7.3.35BIPRU 7.3.36BIPRU 7.3.37Definition of a qualifying equity index (BIPRU 7.3.38 - 7.3.39)BIPRU 7.3.38BIPRU 7.3.39Standard equity method: General market risk: General (BIPRU 7.3.40)BIPRU 7.3.40Standard equity method: General market risk: Approach One: No offset between different country portfolios (BIPRU 7.3.41)BIPRU 7.3.41Standard equity method: General market risk: Approach Two: Limited offset between different country portfolios (BIPRU 7.3.42 - 7.3.43)BIPRU 7.3.42BIPRU 7.3.43Basic interest rate calculation for equity instruments (BIPRU 7.3.44 - 7.3.47)BIPRU 7.3.44BIPRU 7.3.45BIPRU 7.3.46BIPRU 7.3.47Additional capital charge in relation to equity indices (BIPRU 7.3.48)BIPRU 7.3.48BIPRU 7.4 Commodity PRR (BIPRU 7.4.1 - 7.4.41)General rule (BIPRU 7.4.1)BIPRU 7.4.1Scope of the commodity PRR calculation (BIPRU 7.4.2 - 7.4.6)BIPRU 7.4.2BIPRU 7.4.3BIPRU 7.4.4BIPRU 7.4.5BIPRU 7.4.6Derivation of notional positions: General (BIPRU 7.4.7)BIPRU 7.4.7Derivation of notional positions: Futures, forwards, CFDs and options on a single commodity (BIPRU 7.4.8 - 7.4.9)BIPRU 7.4.8BIPRU 7.4.9Derivation of notional positions: Buying or selling a single commodity at an average of spot prices prevailing in the future (BIPRU 7.4.10 - 7.4.12)BIPRU 7.4.10BIPRU 7.4.11BIPRU 7.4.12Derivation of notional positions: CFDs and options on a commodity index (BIPRU 7.4.13 - 7.4.15)BIPRU 7.4.13BIPRU 7.4.14BIPRU 7.4.15Derivation of notional positions: Commodity swaps (BIPRU 7.4.16 - 7.4.19)BIPRU 7.4.16BIPRU 7.4.17BIPRU 7.4.18BIPRU 7.4.19Calculating the PRR for each commodity: General (BIPRU 7.4.20 - 7.4.23)BIPRU 7.4.20BIPRU 7.4.21BIPRU 7.4.22BIPRU 7.4.23Calculating the PRR for each commodity: Simplified approach (BIPRU 7.4.24)BIPRU 7.4.24Calculating the PRR for each commodity: Maturity ladder approach (BIPRU 7.4.25 - 7.4.30)BIPRU 7.4.25BIPRU 7.4.26BIPRU 7.4.27BIPRU 7.4.28BIPRU 7.4.29BIPRU 7.4.30Calculating the PRR for each commodity: Extended maturity ladder approach (BIPRU 7.4.31 - 7.4.37)BIPRU 7.4.31BIPRU 7.4.32BIPRU 7.4.33BIPRU 7.4.34BIPRU 7.4.35BIPRU 7.4.36BIPRU 7.4.37Liquidity and other risks (BIPRU 7.4.38 - 7.4.41)BIPRU 7.4.38BIPRU 7.4.39BIPRU 7.4.40BIPRU 7.4.41BIPRU 7.5 Foreign currency PRR (BIPRU 7.5.1 - 7.5.20)General rule (BIPRU 7.5.1 - 7.5.2)BIPRU 7.5.1BIPRU 7.5.2Scope of the foreign currency PRR calculation (BIPRU 7.5.3 - 7.5.9)BIPRU 7.5.3BIPRU 7.5.4BIPRU 7.5.5BIPRU 7.5.6BIPRU 7.5.7BIPRU 7.5.8BIPRU 7.5.9Derivation of notional positions: General (BIPRU 7.5.10)BIPRU 7.5.10Derivation of notional positions: Foreign exchange forwards, futures, CFDs and synthetic futures (BIPRU 7.5.11 - 7.5.12)BIPRU 7.5.11BIPRU 7.5.12Derivation of notional positions: Foreign currency swaps (BIPRU 7.5.13 - 7.5.14)BIPRU 7.5.13BIPRU 7.5.14Derivation of notional positions: Foreign currency options and warrants (BIPRU 7.5.15)BIPRU 7.5.15Derivation of notional positions: Gold forwards, futures, synthetic futures and CFDs (BIPRU 7.5.16)BIPRU 7.5.16Derivation of notional positions: Gold options (BIPRU 7.5.17)BIPRU 7.5.17Derivation of notional positions: CIUs (BIPRU 7.5.18)BIPRU 7.5.18Open currency position (BIPRU 7.5.19)BIPRU 7.5.19Net gold position (BIPRU 7.5.20)BIPRU 7.5.20BIPRU 7.6 Option PRR (BIPRU 7.6.1 - 7.6.37)Option PRR calculation (BIPRU 7.6.1 - 7.6.2)BIPRU 7.6.1BIPRU 7.6.2Scope of the option PRR calculation (BIPRU 7.6.3 - 7.6.5)BIPRU 7.6.3BIPRU 7.6.4BIPRU 7.6.5The in the money percentage (BIPRU 7.6.6)BIPRU 7.6.6The appropriate position risk adjustment (BIPRU 7.6.7 - 7.6.8)BIPRU 7.6.7BIPRU 7.6.8Calculating derived positions (BIPRU 7.6.9)BIPRU 7.6.9Netting positions (BIPRU 7.6.10 - 7.6.12)BIPRU 7.6.10BIPRU 7.6.11BIPRU 7.6.12Derived positions (BIPRU 7.6.13)BIPRU 7.6.13Combinations of options which can be treated as one option (BIPRU 7.6.14 - 7.6.15)BIPRU 7.6.14BIPRU 7.6.15The option PRR for an individual positions (BIPRU 7.6.16 - 7.6.19)BIPRU 7.6.16BIPRU 7.6.17BIPRU 7.6.18BIPRU 7.6.19The standard method: Purchased options and warrants (BIPRU 7.6.20)BIPRU 7.6.20The standard method: Written options and warrants (BIPRU 7.6.21)BIPRU 7.6.21The standard method: Underwriting or sub-underwriting an issue of warrants (BIPRU 7.6.22)BIPRU 7.6.22The hedging method (BIPRU 7.6.23 - 7.6.28)BIPRU 7.6.23BIPRU 7.6.24BIPRU 7.6.25BIPRU 7.6.26BIPRU 7.6.27BIPRU 7.6.28Specific methods and treatments: Digital options (BIPRU 7.6.29)BIPRU 7.6.29Specific methods and treatments: Written cliquet options (BIPRU 7.6.30)BIPRU 7.6.30Specific methods and treatments: Quantos (BIPRU 7.6.31)BIPRU 7.6.31Interaction with other chapters (BIPRU 7.6.32 - 7.6.33)BIPRU 7.6.32BIPRU 7.6.33Options on a commodity (BIPRU 7.6.34)BIPRU 7.6.34Options on a CIU (BIPRU 7.6.35 - 7.6.37)BIPRU 7.6.35BIPRU 7.6.36BIPRU 7.6.37BIPRU 7.7 Position risk requirements for collective investment undertakings (BIPRU 7.7.1 - 7.7.14)Collective investment undertaking PRR calculation (BIPRU 7.7.1)BIPRU 7.7.1Scope of the PRR calculation for collective investment undertakings (BIPRU 7.7.2)BIPRU 7.7.2General rules (BIPRU 7.7.3 - 7.7.4)BIPRU 7.7.3BIPRU 7.7.4Calculation of the collective investment undertaking PRR (BIPRU 7.7.5)BIPRU 7.7.5Look through methods: General criteria (BIPRU 7.7.6 - 7.7.8)BIPRU 7.7.6BIPRU 7.7.7BIPRU 7.7.8Standard CIU look through method: General (BIPRU 7.7.9)BIPRU 7.7.9Standard CIU look through method: Index or basket funds (BIPRU 7.7.10)BIPRU 7.7.10CIU modified look through method (BIPRU 7.7.11 - 7.7.12)BIPRU 7.7.11BIPRU 7.7.12CAD 1 models and VaR models (BIPRU 7.7.13)BIPRU 7.7.13Options on a CIU (BIPRU 7.7.14)BIPRU 7.7.14BIPRU 7.8 Securities underwriting (BIPRU 7.8.1 -7.8.39)General rules (BIPRU 7.8.1 - 7.8.7)BIPRU 7.8.1BIPRU 7.8.2BIPRU 7.8.3BIPRU 7.8.4BIPRU 7.8.5BIPRU 7.8.6BIPRU 7.8.7Commitment to underwriting securities (BIPRU 7.8.8)BIPRU 7.8.8Exclusions from BIPRU 7.8 (BIPRU 7.8.9)BIPRU 7.8.9Grey market transactions (BIPRU 7.8.10 - 7.8.11)BIPRU 7.8.10BIPRU 7.8.11New securities (BIPRU 7.8.12)BIPRU 7.8.12Time of initial commitment (BIPRU 7.8.13 - 7.8.16)BIPRU 7.8.13BIPRU 7.8.14BIPRU 7.8.15BIPRU 7.8.16Calculating the net underwriting position (BIPRU 7.8.17 - 7.8.20)BIPRU 7.8.17BIPRU 7.8.18BIPRU 7.8.19BIPRU 7.8.20Over-allotment options (BIPRU 7.8.21 - 7.8.22)BIPRU 7.8.21BIPRU 7.8.22Working day 0 (BIPRU 7.8.23 - 7.8.26)BIPRU 7.8.23BIPRU 7.8.24BIPRU 7.8.25BIPRU 7.8.26Calculating the reduced net underwriting position (BIPRU 7.8.27 - 7.8.30)BIPRU 7.8.27BIPRU 7.8.28BIPRU 7.8.29BIPRU 7.8.30Large exposure risk from underwriting securities: Calculating the net underwriting exposure (BIPRU 7.8.31 - 7.8.36)BIPRU 7.8.31BIPRU 7.8.32BIPRU 7.8.33BIPRU 7.8.34BIPRU 7.8.35BIPRU 7.8.36Large exposure risk from underwriting securities: Monitoring and reporting concentration risk (BIPRU 7.8.37)BIPRU 7.8.37Risk management (BIPRU 7.8.38 - 7.8.39)BIPRU 7.8.38BIPRU 7.8.39BIPRU 7.9 Use of a CAD 1 model (BIPRU 7.9.1 - 7.9.53)Introduction (BIPRU 7.9.1 - 7.9.5)BIPRU 7.9.1BIPRU 7.9.2BIPRU 7.9.3BIPRU 7.9.4BIPRU 7.9.5Scope of CAD 1 models (BIPRU 7.9.6 - 7.9.8)BIPRU 7.9.6BIPRU 7.9.7BIPRU 7.9.8The CAD 1 model waiver application and review process (BIPRU 7.9.9 -7.9.16)BIPRU 7.9.9BIPRU 7.9.10BIPRU 7.9.11BIPRU 7.9.12BIPRU 7.9.13BIPRU 7.9.14BIPRU 7.9.15BIPRU 7.9.16Maintenance of model recognition (BIPRU 7.9.17 - 7.9.18)BIPRU 7.9.17BIPRU 7.9.18Risk management standards (BIPRU 7.9.19 - 7.9.23)BIPRU 7.9.19BIPRU 7.9.20BIPRU 7.9.21BIPRU 7.9.22BIPRU 7.9.23Model standards (BIPRU 7.9.24)BIPRU 7.9.24Options risk aggregation models (BIPRU 7.9.25 - 7.9.43)BIPRU 7.9.25BIPRU 7.9.26BIPRU 7.9.27BIPRU 7.9.28BIPRU 7.9.29BIPRU 7.9.30BIPRU 7.9.31BIPRU 7.9.32BIPRU 7.9.33BIPRU 7.9.34BIPRU 7.9.35BIPRU 7.9.36BIPRU 7.9.37BIPRU 7.9.38BIPRU 7.9.39BIPRU 7.9.40BIPRU 7.9.41BIPRU 7.9.42BIPRU 7.9.43Interest rate pre-processing models (BIPRU 7.9.44 - 7.9.53)BIPRU 7.9.44BIPRU 7.9.45BIPRU 7.9.46BIPRU 7.9.47BIPRU 7.9.48BIPRU 7.9.49BIPRU 7.9.50BIPRU 7.9.51BIPRU 7.9.52BIPRU 7.9.53BIPRU 7.10 Use of a Value at Risk Model (BIPRU 7.10.1 - 7.10.149)Application (BIPRU 7.10.1)BIPRU 7.10.1Introduction and purpose (BIPRU 7.10.2 - 7.10.6)BIPRU 7.10.2BIPRU 7.10.3BIPRU 7.10.4BIPRU 7.10.5BIPRU 7.10.6Conditions for granting a VaR model permission (BIPRU 7.10.7 - 7.10.9)BIPRU 7.10.7BIPRU 7.10.8BIPRU 7.10.9The VaR model permission application and review process (BIPRU 7.10.10 - 7.10.15)BIPRU 7.10.10BIPRU 7.10.11BIPRU 7.10.12BIPRU 7.10.13BIPRU 7.10.14BIPRU 7.10.15Conditions for a VaR model outside the United Kingdom (BIPRU 7.10.16 - 7.10.17)BIPRU 7.10.16BIPRU 7.10.17Scope of VaR models (BIPRU 7.10.18 - 7.10.23)BIPRU 7.10.18BIPRU 7.10.19BIPRU 7.10.20BIPRU 7.10.21BIPRU 7.10.22BIPRU 7.10.23Model standards: General (BIPRU 7.10.24 - 7.10.25)BIPRU 7.10.24BIPRU 7.10.25Model standards: Frequency of calculations and confidence level (BIPRU 7.10.26 - 7.10.27A)BIPRU 7.10.26BIPRU 7.10.27BIPRU 7.10.27AModel standards: Holding period (BIPRU 7.10.28 - 7.10.29)BIPRU 7.10.28BIPRU 7.10.29Model standards: Observation period (BIPRU 7.10.30 - 7.10.30B)BIPRU 7.10.30BIPRU 7.10.30ABIPRU 7.10.30BModel standards: Data series (BIPRU 7.10.31 - 7.10.35)BIPRU 7.10.31BIPRU 7.10.32BIPRU 7.10.33BIPRU 7.10.34BIPRU 7.10.35Model standards: Aggregation across risk categories (BIPRU 7.10.36 - 7.10.37)BIPRU 7.10.36BIPRU 7.10.37Model standards: Risk factors: Introduction (BIPRU 7.10.38)BIPRU 7.10.38Model standards: Risk factors: General (BIPRU 7.10.39 - 7.10.45)BIPRU 7.10.39BIPRU 7.10.39ABIPRU 7.10.39BBIPRU 7.10.40BIPRU 7.10.41BIPRU 7.10.42BIPRU 7.10.43BIPRU 7.10.44BIPRU 7.10.45Model standards: Risk factors: Specific risk (BIPRU 7.10.46 - 7.10.52)BIPRU 7.10.46BIPRU 7.10.47BIPRU 7.10.48BIPRU 7.10.49BIPRU 7.10.50BIPRU 7.10.51BIPRU 7.10.52Model standards: Materiality (BIPRU 7.10.53 - 7.10.55)BIPRU 7.10.53BIPRU 7.10.54BIPRU 7.10.55Incremental risk charge: Scope and parameters (BIPRU 7.10.55A - 7.10.55E)BIPRU 7.10.55ABIPRU 7.10.55BBIPRU 7.10.55CBIPRU 7.10.55DBIPRU 7.10.55EIncremental risk charge: Liquidity horizons (BIPRU 7.10.55F - 7.10.55I)BIPRU 7.10.55FBIPRU 7.10.55GBIPRU 7.10.55HBIPRU 7.10.55IIncremental risk charge: Hedges (BIPRU 7.10.55J - 7.10.55K)BIPRU 7.10.55JBIPRU 7.10.55KIncremental risk charge: Nonlinear positions and model risk (BIPRU 7.10.55L - 7.10.55M)BIPRU 7.10.55LBIPRU 7.10.55MIncremental risk charge: Validation (BIPRU 7.10.55N - 7.10.55O)BIPRU 7.10.55NBIPRU 7.10.55OIncremental risk charge: Documentation and frequency of calculation (BIPRU 7.10.55P - 7.10.55Q)BIPRU 7.10.55PBIPRU 7.10.55QIncremental risk charge: Internal approaches based on different parameters (BIPRU 7.10.55R - 7.10.55S)BIPRU 7.10.55RBIPRU 7.10.55SAll price risk measure: General requirements (BIPRU 7.10.55T - 7.10.55Y)BIPRU 7.10.55TBIPRU 7.10.55UBIPRU 7.10.55VBIPRU 7.10.55WBIPRU 7.10.55XBIPRU 7.10.55YAll price risk measure: Stress testing (BIPRU 7.10.55Z - 7.10.55ZC)BIPRU 7.10.55ZBIPRU 7.10.55ZABIPRU 7.10.55ZBBIPRU 7.10.55ZCRisk management standards: Introduction (BIPRU 7.10.56 - 7.10.57)BIPRU 7.10.56BIPRU 7.10.57Risk management standards: General requirement (BIPRU 7.10.58)BIPRU 7.10.58Risk management standards: Use requirement (BIPRU 7.10.59 - 7.10.61)BIPRU 7.10.59BIPRU 7.10.60BIPRU 7.10.61Risk management standards: Risk control unit (BIPRU 7.10.62)BIPRU 7.10.62Risk management standards: Senior management (BIPRU 7.10.63 - 7.10.64)BIPRU 7.10.63BIPRU 7.10.64Risk management standards: Skilled staff (BIPRU 7.10.65)BIPRU 7.10.65Risk management standards: Controls and compliance (BIPRU 7.10.66)BIPRU 7.10.66Risk management standards: Documentation (BIPRU 7.10.67 - 7.10.68)BIPRU 7.10.67BIPRU 7.10.68Risk management standards: Track record (BIPRU 7.10.69)BIPRU 7.10.69Risk management standards: Development validation (BIPRU 7.10.70 - 7.10.71)BIPRU 7.10.70BIPRU 7.10.71Risk management standards: Stress testing (BIPRU 7.10.72 - 7.10.73A)BIPRU 7.10.72BIPRU 7.10.73BIPRU 7.10.73ARisk management standards: Valuation (BIPRU 7.10.74)BIPRU 7.10.74Risk management standards: Risk review (BIPRU 7.10.75)BIPRU 7.10.75Risk management standards: Validation and backtesting (BIPRU 7.10.76 - 7.10.80)BIPRU 7.10.76BIPRU 7.10.77BIPRU 7.10.78BIPRU 7.10.79BIPRU 7.10.80Risk management standards: Information technology (BIPRU 7.10.81)BIPRU 7.10.81Risk management standards: Controls (BIPRU 7.10.82)BIPRU 7.10.82Stress testing (BIPRU 7.10.83 - 7.10.90A)BIPRU 7.10.83BIPRU 7.10.84BIPRU 7.10.85BIPRU 7.10.86BIPRU 7.10.87BIPRU 7.10.88BIPRU 7.10.89BIPRU 7.10.90BIPRU 7.10.90ABacktesting: Introduction (BIPRU 7.10.91 - 7.10.95)BIPRU 7.10.91BIPRU 7.10.92BIPRU 7.10.93BIPRU 7.10.94BIPRU 7.10.94ABIPRU 7.10.95Backtesting: Basic testing requirements (BIPRU 7.10.96 - 7.10.97)BIPRU 7.10.96BIPRU 7.10.97Backtesting: One day VaR measure (BIPRU 7.10.98)BIPRU 7.10.98Backtesting: Calculating the profit and loss (BIPRU 7.10.99 - 7.10.102)BIPRU 7.10.99BIPRU 7.10.100BIPRU 7.10.101BIPRU 7.10.102Backtesting: Definition of backtesting exception (BIPRU 7.10.103)BIPRU 7.10.103Backtesting: Obligation to notify the appropriate regulator (BIPRU 7.10.104)BIPRU 7.10.104Backtesting: Summary of the backtesting cycle (BIPRU 7.10.105)BIPRU 7.10.105Backtesting: Process for disregarding backtesting exceptions (BIPRU 7.10.106)BIPRU 7.10.106Backtesting: Specific risk backtesting (BIPRU 7.10.107 - 7.10.108)BIPRU 7.10.107BIPRU 7.10.108Backtesting: Multiple exceptions (BIPRU 7.10.109 - 7.10.110)BIPRU 7.10.109BIPRU 7.10.110Backtesting: Hypothetical profit and loss (BIPRU 7.10.111 - 7.10.112A)BIPRU 7.10.111BIPRU 7.10.112BIPRU 7.10.112ACapital calculations: General (BIPRU 7.10.113 - 7.10.117)BIPRU 7.10.113BIPRU 7.10.114BIPRU 7.10.115BIPRU 7.10.116BIPRU 7.10.116ABIPRU 7.10.117Capital calculations: Multiplication factors (BIPRU 7.10.118 - 7.10.126)BIPRU 7.10.118BIPRU 7.10.119BIPRU 7.10.120BIPRU 7.10.121BIPRU 7.10.122BIPRU 7.10.123BIPRU 7.10.124BIPRU 7.10.125BIPRU 7.10.126Capital calculations: Specific risk surcharge: transitional requirements (BIPRU 7.10.127)BIPRU 7.10.127Reporting procedures and requirements (BIPRU 7.10.128 - 7.10.130)BIPRU 7.10.128BIPRU 7.10.129BIPRU 7.10.130Updating the VaR model permission (BIPRU 7.10.131 - 7.10.132)BIPRU 7.10.131BIPRU 7.10.132Link to standard PRR rules: Incorporation of the model output into the capital calculation (BIPRU 7.10.133 - 7.10.142)BIPRU 7.10.133BIPRU 7.10.134BIPRU 7.10.135BIPRU 7.10.136BIPRU 7.10.136ABIPRU 7.10.137BIPRU 7.10.138BIPRU 7.10.139BIPRU 7.10.140BIPRU 7.10.141BIPRU 7.10.142Link to standard PRR rules: General market risk only (BIPRU 7.10.143)BIPRU 7.10.143Link to standard PRR rules: General market risk only (BIPRU 7.10.144)BIPRU 7.10.144Link to standard PRR rules: Miscellaneous (BIPRU 7.10.145)BIPRU 7.10.145Requirement to use value at risk methodology (BIPRU 7.10.146)BIPRU 7.10.146Ceasing to meet the requirements of BIPRU 7.10 (BIPRU 7.10.147 - 7.10.148)BIPRU 7.10.147BIPRU 7.10.148Changes to a VaR model (BIPRU 7.10.149)BIPRU 7.10.149BIPRU 7.11 Credit derivatives in the trading book (BIPRU 7.11.1 - 7.11.64)Scope (BIPRU 7.11.1)BIPRU 7.11.1Establishment of positions created by credit derivatives: Treatment of the protection seller (BIPRU 7.11.2 - 7.11.11)BIPRU 7.11.2BIPRU 7.11.3BIPRU 7.11.4BIPRU 7.11.5BIPRU 7.11.6BIPRU 7.11.7BIPRU 7.11.8BIPRU 7.11.9BIPRU 7.11.10BIPRU 7.11.11Establishment of positions created by credit derivatives: Treatment of the protection buyer (BIPRU 7.11.12 - 7.11.12B)BIPRU 7.11.12BIPRU 7.11.12ABIPRU 7.11.12BDeriving the net position in each debt security: Credit derivatives (BIPRU 7.11.12C)BIPRU 7.11.12CRecognition of hedging provided by credit derivatives (BIPRU 7.11.13 - 7.11.17)BIPRU 7.11.13BIPRU 7.11.14BIPRU 7.11.15BIPRU 7.11.16BIPRU 7.11.17Specific risk calculation (BIPRU 7.11.18 - 7.11.58)BIPRU 7.11.18BIPRU 7.11.19BIPRU 7.11.20BIPRU 7.11.21BIPRU 7.11.22BIPRU 7.11.23BIPRU 7.11.24BIPRU 7.11.25BIPRU 7.11.26BIPRU 7.11.27BIPRU 7.11.28BIPRU 7.11.29BIPRU 7.11.30BIPRU 7.11.31BIPRU 7.11.32BIPRU 7.11.33BIPRU 7.11.34BIPRU 7.11.35BIPRU 7.11.36BIPRU 7.11.37BIPRU 7.11.38BIPRU 7.11.39BIPRU 7.11.40BIPRU 7.11.41BIPRU 7.11.42BIPRU 7.11.43BIPRU 7.11.44BIPRU 7.11.45BIPRU 7.11.46BIPRU 7.11.47BIPRU 7.11.48BIPRU 7.11.49BIPRU 7.11.50BIPRU 7.11.51BIPRU 7.11.52BIPRU 7.11.53BIPRU 7.11.54BIPRU 7.11.55BIPRU 7.11.56BIPRU 7.11.57BIPRU 7.11.58Valuation (BIPRU 7.11.59)BIPRU 7.11.59Other risks relating to credit derivatives (BIPRU 7.11.60 - 7.11.64)BIPRU 7.11.60BIPRU 7.11.61BIPRU 7.11.62BIPRU 7.11.63BIPRU 7.11.64BIPRU 8 Group risk consolidation (BIPRU 8.1 - 8.9A)BIPRU 8.1 Application (BIPRU 8.1.1 - 8.1.2)BIPRU 8.1.1BIPRU 8.1.2Purpose (BIPRU 8.1.3)BIPRU 8.1.3How this chapter is organised (BIPRU 8.1.4 - 8.1.11)BIPRU 8.1.4BIPRU 8.1.5BIPRU 8.1.6BIPRU 8.1.7BIPRU 8.1.8BIPRU 8.1.9BIPRU 8.1.10BIPRU 8.1.11Consolidation requirements for BIPRU firms elsewhere in the Handbook (BIPRU 8.1.12 - 8.1.16)BIPRU 8.1.12BIPRU 8.1.13BIPRU 8.1.14BIPRU 8.1.15BIPRU 8.1.16BIPRU 8.2 Scope and basic consolidation requirements for UK consolidation groups (BIPRU 8.2.1 - 8.2.7)Main consolidation rule for UK consolidation groups (BIPRU 8.2.1 - 8.2.3)BIPRU 8.2.1BIPRU 8.2.2BIPRU 8.2.3Definition of UK consolidation group (BIPRU 8.2.4 - 8.2.7)BIPRU 8.2.4BIPRU 8.2.5BIPRU 8.2.6BIPRU 8.2.7BIPRU 8.3 Scope and basic consolidation requirements for non-EEA sub-groups (BIPRU 8.3.1 - 8.3.24)Main consolidation rule for non-EEA sub-groups (BIPRU 8.3.1 - 8.3.4)BIPRU 8.3.1BIPRU 8.3.2BIPRU 8.3.3BIPRU 8.3.4How to identify a non-EEA sub-group (BIPRU 8.3.5 - 8.3.24)BIPRU 8.3.5BIPRU 8.3.6BIPRU 8.3.7BIPRU 8.3.8BIPRU 8.3.9BIPRU 8.3.10BIPRU 8.3.11BIPRU 8.3.12BIPRU 8.3.13BIPRU 8.3.14BIPRU 8.3.15BIPRU 8.3.16BIPRU 8.3.17BIPRU 8.3.18BIPRU 8.3.19BIPRU 8.3.20BIPRU 8.3.21BIPRU 8.3.22BIPRU 8.3.23BIPRU 8.3.24BIPRU 8.4 CAD Article 22 groups and investment firm consolidation waiver (BIPRU 8.4.1 - 8.4.19)Application (BIPRU 8.4.1)BIPRU 8.4.1The effect of an investment firm consolidation waiver and the conditions for getting one (BIPRU 8.4.2 - 8.4.6)BIPRU 8.4.2BIPRU 8.4.3BIPRU 8.4.4BIPRU 8.4.5BIPRU 8.4.6Meeting the terms of an investment firm consolidation waiver (BIPRU 8.4.7 - 8.4.8)BIPRU 8.4.7BIPRU 8.4.8Definition of a CAD Article 22 group (BIPRU 8.4.9 - 8.4.10)BIPRU 8.4.9BIPRU 8.4.10Capital adequacy obligations relating to a CAD Article 22 group: General rule (BIPRU 8.4.11)BIPRU 8.4.11Capital adequacy obligations relating to a CAD Article 22 group: Capital resources (BIPRU 8.4.12)BIPRU 8.4.12Capital adequacy obligations relating to a CAD Article 22 group: Capital resources requirement (BIPRU 8.4.13 - 8.4.16)BIPRU 8.4.13BIPRU 8.4.14BIPRU 8.4.15BIPRU 8.4.16Capital adequacy obligations relating to a CAD Article 22 group: Advanced prudential calculation approaches (BIPRU 8.4.17)BIPRU 8.4.17Additional rules that apply to a firm with an investment firm consolidation waiver (BIPRU 8.4.18 - 8.4.19)BIPRU 8.4.18BIPRU 8.4.19BIPRU 8.5 Basis of consolidation (BIPRU 8.5.1 - 8.5.14)Undertakings to be included in consolidation (BIPRU 8.5.1 - 8.5.3)BIPRU 8.5.1BIPRU 8.5.2BIPRU 8.5.3Basis of inclusion of undertakings in consolidation (BIPRU 8.5.4 - 8.5.6)BIPRU 8.5.4BIPRU 8.5.5BIPRU 8.5.6Basis of inclusion of collective portfolio management investment firms in consolidation (BIPRU 8.5.7 - 8.5.8)BIPRU 8.5.7BIPRU 8.5.8Exclusion of undertakings from consolidation: Balance sheet size (BIPRU 8.5.9 - 8.5.10)BIPRU 8.5.9BIPRU 8.5.10Exclusion of undertakings from consolidation: Other reasons (BIPRU 8.5.11 - 8.5.13)BIPRU 8.5.11BIPRU 8.5.12BIPRU 8.5.13Information about excluded undertakings (BIPRU 8.5.14)BIPRU 8.5.14BIPRU 8.6 Consolidated capital resources (BIPRU 8.6.1 - 8.6.21)General (BIPRU 8.6.1)BIPRU 8.6.1Notification of issuance of capital instruments (BIPRU 8.6.1A - 8.6.1F)BIPRU 8.6.1ABIPRU 8.6.1BBIPRU 8.6.1CBIPRU 8.6.1DBIPRU 8.6.1EBIPRU 8.6.1FLimits on the use of different forms of capital (BIPRU 8.6.2 - 8.6.5)BIPRU 8.6.2BIPRU 8.6.3BIPRU 8.6.4BIPRU 8.6.5Calculation of consolidated capital resources if there is a building society in the group (BIPRU 8.6.6)BIPRU 8.6.6Calculation of consolidated capital resources if there is a bank or credit institution in the group (BIPRU 8.6.7)BIPRU 8.6.7Calculation of consolidated capital resources for an investment firm group (BIPRU 8.6.8 - 8.6.9)BIPRU 8.6.8BIPRU 8.6.9Treatment of minority interests (BIPRU 8.6.10)BIPRU 8.6.10Indirectly issued capital and group capital resources (BIPRU 8.6.11 - 8.6.20)BIPRU 8.6.11BIPRU 8.6.12BIPRU 8.6.13BIPRU 8.6.14BIPRU 8.6.15BIPRU 8.6.16BIPRU 8.6.17BIPRU 8.6.18BIPRU 8.6.19BIPRU 8.6.20Venture Capital Investments (BIPRU 8.6.21)BIPRU 8.6.21BIPRU 8.7 Consolidated capital resources requirements (BIPRU 8.7.1 - 8.7.39)General approach (BIPRU 8.7.1 - 8.7.9)BIPRU 8.7.1BIPRU 8.7.2BIPRU 8.7.3BIPRU 8.7.4BIPRU 8.7.5BIPRU 8.7.6BIPRU 8.7.7BIPRU 8.7.8BIPRU 8.7.9Method of calculation to be used (BIPRU 8.7.10)BIPRU 8.7.10Calculation of the consolidated requirement components (BIPRU 8.7.11 - 8.7.12)BIPRU 8.7.11BIPRU 8.7.12Choice of consolidation method (BIPRU 8.7.13 - 8.7.15)BIPRU 8.7.13BIPRU 8.7.14BIPRU 8.7.15Notifying the appropriate regulator of the choice of consolidation technique (BIPRU 8.7.16)BIPRU 8.7.16Special rules for the consolidated credit risk requirement (BIPRU 8.7.17 - 8.7.23)BIPRU 8.7.17BIPRU 8.7.18BIPRU 8.7.19BIPRU 8.7.20BIPRU 8.7.21BIPRU 8.7.22BIPRU 8.7.23Special rules for the consolidated market risk requirement (BIPRU 8.7.24 - 8.7.25)BIPRU 8.7.24BIPRU 8.7.25Special rules for the consolidated operational risk requirement (BIPRU 8.7.26 - 8.7.27)BIPRU 8.7.26BIPRU 8.7.27Special rules for calculating specific consolidated requirement components (BIPRU 8.7.28)BIPRU 8.7.28Elimination of intra-group transactions (BIPRU 8.7.29)BIPRU 8.7.29Other provisions about calculating risk capital requirements (BIPRU 8.7.30 - 8.7.33)BIPRU 8.7.30BIPRU 8.7.31BIPRU 8.7.32BIPRU 8.7.33Use of the solo requirements of another EEA competent authority (BIPRU 8.7.34 - 8.7.36)BIPRU 8.7.34BIPRU 8.7.35BIPRU 8.7.36Use of the consolidated requirements of another EEA competent authority (BIPRU 8.7.37 - 8.7.38)BIPRU 8.7.37BIPRU 8.7.38Prohibition on using the standardised rules of a regulator outside the EEA (BIPRU 8.7.38A)BIPRU 8.7.38AUse of an advanced prudential calculation approach under the rules of an overseas regulator (BIPRU 8.7.39)BIPRU 8.7.39BIPRU 8.8 Advanced prudential calculation approaches (BIPRU 8.8.1 - 8.8.9)General (BIPRU 8.8.1 - 8.8.2)BIPRU 8.8.1BIPRU 8.8.2Prohibition on using the rules of an overseas regulator (BIPRU 8.8.3)BIPRU 8.8.3Special provisions relating to the internal ratings based approach (BIPRU 8.8.4)BIPRU 8.8.4Special provisions relating to the advanced measurement approach (BIPRU 8.8.5 - 8.8.7)BIPRU 8.8.5BIPRU 8.8.6BIPRU 8.8.7Special provisions relating to the CCR internal model method (BIPRU 8.8.8)BIPRU 8.8.8Corporate governance arrangement for the IRB approach and the AMA (BIPRU 8.8.9)BIPRU 8.8.9BIPRU 8.9 [deleted]BIPRU 8.9A Consolidated large exposure requirements (BIPRU 8.9A.1 - 8.9A.3)Integrated groups: core UK group and non-core large exposures group (BIPRU 8.9A.1 - 8.9A.3)BIPRU 8.9A.1BIPRU 8.9A.2BIPRU 8.9A.3BIPRU 8 Annex 1 Decision tree identifying a UK consolidation groupBIPRU 8 Annex 2 Examples of how to identify a UK consolidation groupBIPRU 8 Annex 3 Examples of how to identify a non-EEA sub-groupBIPRU 8 Annex 4 Text of Articles 125 and 126 of the Banking Consolidation DirectiveBIPRU 8 Annex 5 Decision tree for identifying the consolidated capital resources requirement of a UK consolidation group or a non-EEA sub-group.BIPRU 8 Annex 6 Non-EEA regulators' requirements deemed CRD-equivalent for individual risksBIPRU 9 Securitisation (BIPRU 9.1 - 9.15)BIPRU 9.1 Application and purpose (BIPRU 9.1.1 - 9.1.10)Application (BIPRU 9.1.1)BIPRU 9.1.1Purpose (BIPRU 9.1.2)BIPRU 9.1.2General obligations: Risk-weighted exposures (BIPRU 9.1.3 - 9.1.5)BIPRU 9.1.3BIPRU 9.1.4BIPRU 9.1.5General obligations: Systems (BIPRU 9.1.6 - 9.1.8A)BIPRU 9.1.6BIPRU 9.1.7BIPRU 9.1.8BIPRU 9.1.8ATrading book and non-trading book (BIPRU 9.1.9 - 9.1.10)BIPRU 9.1.9BIPRU 9.1.10BIPRU 9.2 Approach to be used (BIPRU 9.2.1)BIPRU 9.2.1BIPRU 9.3 Requirements for originators and sponsors (BIPRU 9.3.1 - 9.3.22)BIPRU 9.3.1BIPRU 9.3.1ABIPRU 9.3.2BIPRU 9.3.3BIPRU 9.3.4BIPRU 9.3.5BIPRU 9.3.6BIPRU 9.3.7BIPRU 9.3.8BIPRU 9.3.9BIPRU 9.3.10BIPRU 9.3.11BIPRU 9.3.12BIPRU 9.3.13BIPRU 9.3.14Origination criteria (BIPRU 9.3.15 - 9.3.17)Disclosure requirements (BIPRU 9.3.18 - 9.3.22)BIPRU 9.3.18BIPRU 9.3.19BIPRU 9.3.20BIPRU 9.3.21BIPRU 9.3.22BIPRU 9.4 Traditional securitisation (BIPRU 9.4.1 - 9.4.18)Minimum requirements for recognition of significant credit risk transfer (BIPRU 9.4.1 - 9.4.18)BIPRU 9.4.1BIPRU 9.4.2BIPRU 9.4.3BIPRU 9.4.4BIPRU 9.4.5BIPRU 9.4.6BIPRU 9.4.7BIPRU 9.4.8BIPRU 9.4.9BIPRU 9.4.10BIPRU 9.4.11BIPRU 9.4.12BIPRU 9.4.13BIPRU 9.4.14BIPRU 9.4.15BIPRU 9.4.16BIPRU 9.4.17BIPRU 9.4.18BIPRU 9.5 Synthetic securitisation (BIPRU 9.5.1. - 9.5.8)Minimum requirements for recognition of significant credit risk transfer (BIPRU 9.5.1 - 9.5.1F)BIPRU 9.5.1BIPRU 9.5.1ABIPRU 9.5.1BBIPRU 9.5.1CBIPRU 9.5.1DBIPRU 9.5.1EBIPRU 9.5.1FOriginators' calculation of risk-weighted exposure amounts for exposures securitised in a synthetic securitisation (BIPRU 9.5.2 - 9.5.4)BIPRU 9.5.2BIPRU 9.5.3BIPRU 9.5.4Treatment of maturity mismatches in synthetic securitisations (BIPRU 9.5.5 - 9.5.8)BIPRU 9.5.5BIPRU 9.5.6BIPRU 9.5.7BIPRU 9.5.8BIPRU 9.6 Implicit support (BIPRU 9.6.1 - 9.6.8)BIPRU 9.6.1BIPRU 9.6.1ABIPRU 9.6.2BIPRU 9.6.3BIPRU 9.6.4BIPRU 9.6.5BIPRU 9.6.6BIPRU 9.6.7BIPRU 9.6.8BIPRU 9.7 Recognition of credit assessments of ECAIs (BIPRU 9.7.1 - 9.7.4)BIPRU 9.7.1BIPRU 9.7.2BIPRU 9.7.2ABIPRU 9.7.3BIPRU 9.7.4BIPRU 9.8 Use of ECAI credit assessments for the determination of applicable risk weights (BIPRU 9.8.1 - 9.8.7)BIPRU 9.8.1BIPRU 9.8.2BIPRU 9.8.3BIPRU 9.8.4BIPRU 9.8.5BIPRU 9.8.6BIPRU 9.8.7BIPRU 9.9 Calculation of risk-weighted exposure amounts for securitisation positions (BIPRU 9.9.1 - 9.9.10)BIPRU 9.9.1BIPRU 9.9.2BIPRU 9.9.3BIPRU 9.9.4BIPRU 9.9.5BIPRU 9.9.6BIPRU 9.9.7BIPRU 9.9.8BIPRU 9.9.9BIPRU 9.9.10BIPRU 9.10 Reduction in risk-weighted exposure amounts (BIPRU 9.10.1 - 9.10.7)BIPRU 9.10.1BIPRU 9.10.2BIPRU 9.10.3BIPRU 9.10.4BIPRU 9.10.5BIPRU 9.10.6BIPRU 9.10.7BIPRU 9.11 Calculation of risk weighted exposure amounts under the standardised approach to securitisations (BIPRU 9.11.1 - 9.11.13)BIPRU 9.11.1BIPRU 9.11.2BIPRU 9.11.3BIPRU 9.11.4Originator and sponsor firms (BIPRU 9.11.5)BIPRU 9.11.5Treatment of unrated securitisation positions (BIPRU 9.11.6 - 9.11.7)BIPRU 9.11.6BIPRU 9.11.7Treatment of securitisation positions in a second loss tranche or better in an ABCP programme (BIPRU 9.11.8 - 9.11.9)BIPRU 9.11.8BIPRU 9.11.9Treatment of unrated liquidity facilities (BIPRU 9.11.10)BIPRU 9.11.10Liquidity facilities that may be drawn only in the event of a general market disruption (BIPRU 9.11.11)Cash advance facilities (BIPRU 9.11.12)BIPRU 9.11.12Standardised approach: recognition of credit risk mitigation on securitisation positions (BIPRU 9.11.13)BIPRU 9.11.13BIPRU 9.12 Calculation of risk-weighted exposure amounts under the IRB approach (BIPRU 9.12.1 - 9.12.28)BIPRU 9.12.1Hierarchy of methods (BIPRU 9.12.2 - 9.12.6)BIPRU 9.12.2BIPRU 9.12.3BIPRU 9.12.4BIPRU 9.12.5BIPRU 9.12.6Use of inferred ratings (BIPRU 9.12.7)BIPRU 9.12.7Maximum risk-weighted exposure amounts (BIPRU 9.12.8)BIPRU 9.12.8Ratings based method (BIPRU 9.12.9 - 9.12.19)BIPRU 9.12.9BIPRU 9.12.10BIPRU 9.12.11BIPRU 9.12.12BIPRU 9.12.13BIPRU 9.12.14BIPRU 9.12.15BIPRU 9.12.16BIPRU 9.12.17BIPRU 9.12.18BIPRU 9.12.19The ABCP internal assessment approach (BIPRU 9.12.20)BIPRU 9.12.20Supervisory formula method (BIPRU 9.12.21 - 9.12.22)BIPRU 9.12.21BIPRU 9.12.22Simplified inputs (BIPRU 9.12.23 - 9.12.24)BIPRU 9.12.23BIPRU 9.12.24Liquidity Facilities (BIPRU 9.12.25)BIPRU 9.12.25Liquidity facilities only available in the event of general market disruption (BIPRU 9.12.26)BIPRU 9.12.26Cash advance facilities (BIPRU 9.12.27)BIPRU 9.12.27Exceptional treatment for liquidity facilities where KIRB cannot be calculated (BIPRU 9.12.28)BIPRU 9.12.28BIPRU 9.13 Securitisations of revolving exposures with early amortisation provisions (BIPRU 9.13.1 - 9.13.21)BIPRU 9.13.1Additional capital requirements for securitisations of revolving exposures with early amortisation provisions (BIPRU 9.13.2 - 9.13.7)BIPRU 9.13.2BIPRU 9.13.3BIPRU 9.13.4BIPRU 9.13.5BIPRU 9.13.6BIPRU 9.13.7Exemptions from early amortisation treatment (BIPRU 9.13.8)Maximum capital requirement (BIPRU 9.13.9 - 9.13.10)BIPRU 9.13.9BIPRU 9.13.10Calculation of risk-weighted exposure amounts (BIPRU 9.13.11 - 9.13.20)BIPRU 9.13.11BIPRU 9.13.12BIPRU 9.13.13BIPRU 9.13.14BIPRU 9.13.15BIPRU 9.13.16BIPRU 9.13.17BIPRU 9.13.18BIPRU 9.13.19BIPRU 9.13.20Liquidity plans (BIPRU 9.13.21)BIPRU 9.13.21BIPRU 9.14 Recognition of credit risk mitigation on securitisation positions under the IRB approach (BIPRU 9.14.1 - 9.14.13)BIPRU 9.14.1BIPRU 9.14.2BIPRU 9.14.3Funded protection (BIPRU 9.14.4)BIPRU 9.14.4Unfunded credit protection (BIPRU 9.14.5)BIPRU 9.14.5Credit risk mitigation under the ratings based method (BIPRU 9.14.6)BIPRU 9.14.6Credit risk mitigation under the supervisory formula method full credit protection (BIPRU 9.14.7 - 9.14.10)BIPRU 9.14.7BIPRU 9.14.8BIPRU 9.14.9BIPRU 9.14.10Credit risk mitigation under the supervisory formula method partial protection (BIPRU 9.14.11 - 9.14.13)BIPRU 9.14.11BIPRU 9.14.12BIPRU 9.14.13BIPRU 9.15 Requirements for investors (BIPRU 9.15.1 - 9.15.18)Application (BIPRU 9.15.1 - 9.15.1B)BIPRU 9.15.1BIPRU 9.15.1ABIPRU 9.15.1BPurpose (BIPRU 9.15.2)BIPRU 9.15.2Exposures to transferred credit risk (BIPRU 9.15.3)Retention of net economic interest (BIPRU 9.15.4 - 9.15.10)BIPRU 9.15.4BIPRU 9.15.5BIPRU 9.15.6BIPRU 9.15.7BIPRU 9.15.8BIPRU 9.15.9BIPRU 9.15.10Investor due diligence (BIPRU 9.15.11 - 9.15.13)BIPRU 9.15.11BIPRU 9.15.12BIPRU 9.15.13Monitoring requirements (BIPRU 9.15.14 - 9.15.16)BIPRU 9.15.14BIPRU 9.15.15BIPRU 9.15.16Group level requirements (9.15.16A - 9.15.16E)BIPRU 9.15.16ABIPRU 9.15.16BBIPRU 9.15.16CBIPRU 9.15.16DBIPRU 9.15.17BIPRU 9.15.18BIPRU 10 Large exposures requirements (BIPRU 10.1 - 10.12)BIPRU 10.1 Application and Purpose (BIPRU 10.1.1 - 10.1.5)Application (BIPRU 10.1.1)BIPRU 10.1.1Purpose (BIPRU 10.1.2 - 10.1.5)BIPRU 10.1.2BIPRU 10.1.3BIPRU 10.1.4BIPRU 10.1.5BIPRU 10.2 Identification of exposures and recognition of credit risk mitigation (BIPRU 10.2.1 - 10.2.24)BIPRU 10.2.1BIPRU 10.2.2BIPRU 10.2.2ABIPRU 10.2.3BIPRU 10.2.3ABIPRU 10.2.4Calculation of exposures (BIPRU 10.2.5 - 10.2.8)BIPRU 10.2.5BIPRU 10.2.6BIPRU 10.2.7BIPRU 10.2.8Recognition of credit risk mitigation (BIPRU 10.2.9 - 10.2.10)BIPRU 10.2.9BIPRU 10.2.10The financial collateral simple method under the standardised approach (BIPRU 10.2.11 - 10.2.13)BIPRU 10.2.11BIPRU 10.2.12BIPRU 10.2.13The financial collateral comprehensive method (BIPRU 10.2.14 - 10.2.18)BIPRU 10.2.14BIPRU 10.2.15BIPRU 10.2.16BIPRU 10.2.17BIPRU 10.2.18Firms using full IRB approach (BIPRU 10.2.19 - 10.2.21)BIPRU 10.2.19BIPRU 10.2.20BIPRU 10.2.21Stress testing of credit risk concentrations (BIPRU 10.2.22 - 10.2.24)BIPRU 10.2.22BIPRU 10.2.23BIPRU 10.2.24BIPRU 10.3 Identification of counterparties (BIPRU 10.3.1 - 10.3.16)BIPRU 10.3.1BIPRU 10.3.2Identification of counterparties for guaranteed and collateralised exposures (BIPRU 10.3.3 - 10.3.4)BIPRU 10.3.3BIPRU 10.3.4Groups of connected clients (BIPRU 10.3.5 - 10.3.8A)BIPRU 10.3.5BIPRU 10.3.5ABIPRU 10.3.5BBIPRU 10.3.6BIPRU 10.3.7BIPRU 10.3.8BIPRU 10.3.8AExposures to counterparties and groups of connected clients (BIPRU 10.3.9 - 10.3.11)BIPRU 10.3.9BIPRU 10.3.10BIPRU 10.3.11Exposures to trustees (BIPRU 10.3.12 - 10.3.14)BIPRU 10.3.12BIPRU 10.3.13BIPRU 10.3.14Exposures to underlying assets (BIPRU 10.3.15 - 10.3.16)BIPRU 10.3.15BIPRU 10.3.16BIPRU 10.4BIPRU 10.5 Limits on exposures (BIPRU 10.5.1 - 10.5.24)Definition of large exposure (BIPRU 10.5.1)BIPRU 10.5.1Definition of capital resources (BIPRU 10.5.2 - 10.5.5)BIPRU 10.5.2BIPRU 10.5.3BIPRU 10.5.4BIPRU 10.5.5Large exposure limits (BIPRU 10.5.6 - 10.5.24)BIPRU 10.5.6BIPRU 10.5.7BIPRU 10.5.8BIPRU 10.5.9BIPRU 10.5.10BIPRU 10.5.11BIPRU 10.5.12BIPRU 10.5.13BIPRU 10.5.14BIPRU 10.5.15BIPRU 10.5.16BIPRU 10.5.17BIPRU 10.5.18BIPRU 10.5.19BIPRU 10.5.20BIPRU 10.5.21BIPRU 10.5.22BIPRU 10.5.23BIPRU 10.5.24BIPRU 10.6 Exemptions (BIPRU 10.6.1 - 10.6.37)General exemptions (BIPRU 10.6.1 - 10.6.31)BIPRU 10.6.1BIPRU 10.6.2BIPRU 10.6.3BIPRU 10.6.4BIPRU 10.6.5BIPRU 10.6.6BIPRU 10.6.7BIPRU 10.6.8BIPRU 10.6.9BIPRU 10.6.10BIPRU 10.6.11BIPRU 10.6.12BIPRU 10.6.13BIPRU 10.6.14BIPRU 10.6.15BIPRU 10.6.16BIPRU 10.6.17BIPRU 10.6.18BIPRU 10.6.19BIPRU 10.6.20BIPRU 10.6.21BIPRU 10.6.22BIPRU 10.6.23BIPRU 10.6.24BIPRU 10.6.25BIPRU 10.6.26BIPRU 10.6.27BIPRU 10.6.28BIPRU 10.6.29BIPRU 10.6.30BIPRU 10.6.31Institutional exemption (BIPRU 10.6.32 - 10.6.33)BIPRU 10.6.32BIPRU 10.6.33Sovereign large exposure waiver (BIPRU 10.6.34 - 10.6.37)BIPRU 10.6.34BIPRU 10.6.35BIPRU 10.6.36BIPRU 10.6.37BIPRU 10.7BIPRU 10.8BIPRU 10.8A Intra-group exposures: core UK group (BIPRU 10.8A.1 - 10.8A.12)Application (BIPRU 10.8A.1)BIPRU 10.8A.1Definition of core UK group (BIPRU 10.8A.2 - 10.8A.4)BIPRU 10.8A.2BIPRU 10.8A.3BIPRU 10.8A.4Minimum standards (BIPRU 10.8A.5 - 10.8A.7)BIPRU 10.8A.5BIPRU 10.8A.6BIPRU 10.8A.7Exemption for a core UK group (BIPRU 10.8A.8 - 10.8A.9)BIPRU 10.8A.8BIPRU 10.8A.9Calculation of capital resources for a core UK group (BIPRU 10.8A.10 - 10.8A.11)BIPRU 10.8A.10BIPRU 10.8A.11Notification (BIPRU 10.8A.12)BIPRU 10.8A.12BIPRU 10.9BIPRU 10.9A Intra-group exposures: non-core large exposures group (BIPRU 10.9A.1 - 10.9A.12)Application (BIPRU 10.9A.1 - 10.9A.2)BIPRU 10.9A.1BIPRU 10.9A.2Definition of non-core large exposures group (BIPRU 10.9A.3)BIPRU 10.9A.3Definition of non-core concentration risk group counterparty (BIPRU 10.9A.4)BIPRU 10.9A.4Revised large exposure limits for a non-core large exposures group (BIPRU 10.9A.5 - 10.9A.6)BIPRU 10.9A.5BIPRU 10.9A.6Non-trading book backstop limit for a non-core large exposures group (BIPRU 10.9A.7)BIPRU 10.9A.7Concentrated exposures in a non-core large exposures group (BIPRU 10.9A.8)BIPRU 10.9A.8Calculation of capital resources for a core UK group (BIPRU 10.9A.9)BIPRU 10.9A.9Exemption for intra-group exposures on a solo basis (BIPRU 10.9A.10 - 10.9A.11)BIPRU 10.9A.10BIPRU 10.9A.11Notification (BIPRU 10.9A.12)BIPRU 10.9A.12BIPRU 10.10BIPRU 10.10A Trading book limits (BIPRU 10.10A.1 - 10.10A.14)Application (BIPRU 10.10A.1 - 10.10A.1A)BIPRU 10.10A.1BIPRU 10.10A.1ATrading book limits (BIPRU 10.10A.2 - 10.10A.3)BIPRU 10.10A.2BIPRU 10.10A.2ABIPRU 10.10A.3How to calculate the concentration risk capital component (BIPRU 10.10A.4 - 10.10A.9)BIPRU 10.10A.4BIPRU 10.10A.5BIPRU 10.10A.6BIPRU 10.10A.7BIPRU 10.10A.8BIPRU 10.10A.9Percentages applicable under BIPRU 10.10A.9R (BIPRU 10.10A.10)BIPRU 10.10A.10How CNCOM applies to the non-core large exposures group (BIPRU 10.10A.11)BIPRU 10.10A.11Core UK group and non-core large exposures group: treatment of the trading book concentration risk excess (BIPRU 10.10A.12)BIPRU 10.10A.12ExamplesBIPRU 10.10A.13 (BIPRU 10.10A.13)Example of a CNCOM calculation (all numbers 000s) (BIPRU 10.10A.14)BIPRU 10.10A.14BIPRU 10.11BIPRU 10.12 Systems and controls and general (BIPRU 10.12.1 - 10.12.6)Systems and controls (BIPRU 10.12.1 - 10.12.2)BIPRU 10.12.1BIPRU 10.12.2Concentration risk policies (BIPRU 10.12.3)BIPRU 10.12.3Reporting (BIPRU 10.12.4)BIPRU 10.12.4Artificial transactions (BIPRU 10.12.5 - 10.12.6)BIPRU 10.12.5BIPRU 10.12.6BIPRU 10 Annex 1BIPRU 10 Annex 2 Examples of treatment of intra-group exposures under BIPRU 10BIPRU 11 Disclosure (Pillar 3) (BIPRU 11.1 - 11.6)BIPRU 11.1 Application and purpose (BIPRU 11.1.1 - 11.1.2)Application (BIPRU 11.1.1)BIPRU 11.1.1Purpose (BIPRU 11.1.2)BIPRU 11.1.2BIPRU 11.2 Basis of disclosures (BIPRU 11.2.1 - 11.2.7)Disclosure on an individual basis (BIPRU 11.2.1)BIPRU 11.2.1EEA parent institutions (BIPRU 11.2.2 - 11.2.3)BIPRU 11.2.2BIPRU 11.2.3Firms controlled by an EEA parent financial holding company (BIPRU 11.2.4 - 11.2.5)BIPRU 11.2.4BIPRU 11.2.5Waiver: Comparable disclosures provided on a consolidated basis by a parent undertaking established in a third country (BIPRU 11.2.6 - 11.2.7)BIPRU 11.2.6BIPRU 11.2.7BIPRU 11.3 Disclosures: Information to be disclosed; Frequency, media and location of disclosures; Verification (BIPRU 11.3.1 - 11.3.10)Information to be disclosed (BIPRU 11.3.1 - 11.3.2)BIPRU 11.3.1BIPRU 11.3.2Disclosure policy (BIPRU 11.3.3)BIPRU 11.3.3Rating decisions (BIPRU 11.3.4)BIPRU 11.3.4Exemption from disclosure: Materiality (BIPRU 11.3.5)BIPRU 11.3.5Exemption from disclosure: Proprietary or confidential information (BIPRU 11.3.6 - 11.3.7)BIPRU 11.3.6BIPRU 11.3.7Frequency of publication (BIPRU 11.3.8 - 11.3.9)BIPRU 11.3.8BIPRU 11.3.9Media and location of publication (BIPRU 11.3.10)BIPRU 11.3.10BIPRU 11.4 Technical criteria on disclosure: General criteria (BIPRU 11.4.1 - 11.4.5)Criterion for materiality (BIPRU 11.4.1)BIPRU 11.4.1Criteria: Proprietary or confidential information (BIPRU 11.4.2 - 11.4.3)BIPRU 11.4.2BIPRU 11.4.3Criteria: Frequency of publication (BIPRU 11.4.4)BIPRU 11.4.4Disclosures: Significant subsidiaries (BIPRU 11.4.5)BIPRU 11.4.5BIPRU 11.5 Technical criteria on disclosure: General requirements (BIPRU 11.5.1 - 11.5.21)Disclosure: Risk management objectives and policies (BIPRU 11.5.1)BIPRU 11.5.1Disclosure: Scope of application of directive requirements (BIPRU 11.5.2)BIPRU 11.5.2Disclosure: Capital resources (BIPRU 11.5.3)BIPRU 11.5.3Disclosure: Compliance with BIPRU 3, BIPRU 4, BIPRU 6, BIPRU 7, BIPRU 10 and the overall Pillar 2 rule (BIPRU 11.5.4 - 11.5.7)BIPRU 11.5.4BIPRU 11.5.5BIPRU 11.5.6BIPRU 11.5.7Disclosure: Credit risk and dilution risk (BIPRU 11.5.8 - 11.5.9)BIPRU 11.5.8BIPRU 11.5.9Disclosure: Firms calculating risk weighted exposure amounts in accordance with the standardised approach (BIPRU 11.5.10)BIPRU 11.5.10Disclosure: Firms calculating risk weighted exposure amounts using the IRB approach (BIPRU 11.5.11)BIPRU 11.5.11Disclosure: Market risk (BIPRU 11.5.12)BIPRU 11.5.12Disclosure: Use of VaR model for calculation of market risk capital requirement (BIPRU 11.5.13)BIPRU 11.5.13Disclosure: Operational risk (BIPRU 11.5.14)BIPRU 11.5.14Disclosure: Non-trading book exposures in equities (BIPRU 11.5.15)BIPRU 11.5.15Disclosures: Exposures to interest rate risk in the non-trading book (BIPRU 11.5.16)BIPRU 11.5.16Disclosures: Securitisation (BIPRU 11.5.17)BIPRU 11.5.17Disclosures: remuneration (BIPRU 11.5.18 - 11.5.21)BIPRU 11.5.18BIPRU 11.5.19BIPRU 11.5.20BIPRU 11.5.21BIPRU 11.6 Qualifying requirements for the use of particular instruments or methodologies (BIPRU 11.6.1 - 11.6.6)Disclosures: Firms using the IRB approach (BIPRU 11.6.1 - 11.6.4)BIPRU 11.6.1BIPRU 11.6.2BIPRU 11.6.3BIPRU 11.6.4Disclosures: Credit risk mitigation (BIPRU 11.6.5)BIPRU 11.6.5Disclosure: Insurance for the purpose of mitigating operational risk (BIPRU 11.6.6)BIPRU 11.6.6BIPRU 12 Liquidity standards (BIPRU 12.1 - 12.9)BIPRU 12.1 Application (BIPRU 12.1.1 - 12.1.7)BIPRU 12.1.1BIPRU 12.1.2BIPRU 12.1.3BIPRU 12.1.4BIPRU 12.1.5BIPRU 12.1.6BIPRU 12.1.7BIPRU 12.2 Adequacy of liquidity resources (BIPRU 12.2.1 - 12.2.19)The overall liquidity adequacy rule (BIPRU 12.2.1 - 12.2.2)BIPRU 12.2.1BIPRU 12.2.2Branch liquidity resources (BIPRU 12.2.3 - 12.2.4)BIPRU 12.2.3BIPRU 12.2.4Liquidity resources: general (BIPRU 12.2.5 - 12.2.7)BIPRU 12.2.5BIPRU 12.2.6BIPRU 12.2.7Liquid assets buffer and funding profile (BIPRU 12.2.8 - 12.2.13)BIPRU 12.2.8BIPRU 12.2.9BIPRU 12.2.10BIPRU 12.2.11BIPRU 12.2.12BIPRU 12.2.13Individual assessments of liquidity adequacy (BIPRU 12.2.14 - 12.2.19)BIPRU 12.2.14BIPRU 12.2.15BIPRU 12.2.16BIPRU 12.2.17BIPRU 12.2.18BIPRU 12.2.19BIPRU 12.3 Liquidity risk management (BIPRU 12.3.1 - 12.3.32)BIPRU 12.3.1BIPRU 12.3.2BIPRU 12.3.3Overarching liquidity systems and controls requirements (BIPRU 12.3.4 - 12.3.7)BIPRU 12.3.4BIPRU 12.3.4ABIPRU 12.3.5BIPRU 12.3.6BIPRU 12.3.7Governing body and senior management oversight: liquidity risk tolerance (BIPRU 12.3.8 - 12.3.9)BIPRU 12.3.8BIPRU 12.3.9Governing body and senior management oversight: approval and review of arrangements (BIPRU 12.3.10 - 12.3.14)BIPRU 12.3.10BIPRU 12.3.11BIPRU 12.3.12BIPRU 12.3.13BIPRU 12.3.14Pricing liquidity risk (BIPRU 12.3.15 - 12.3.16)BIPRU 12.3.15BIPRU 12.3.16Intra-day management of liquidity (BIPRU 12.3.17 - 12.3.21)BIPRU 12.3.17BIPRU 12.3.18BIPRU 12.3.19BIPRU 12.3.20BIPRU 12.3.21Management of collateral (BIPRU 12.3.22 - 12.3.25)BIPRU 12.3.22BIPRU 12.3.22ABIPRU 12.3.22BBIPRU 12.3.24BIPRU 12.3.25Managing liquidity across legal entities, business lines and currencies (BIPRU 12.3.26 - 12.3.28)BIPRU 12.3.26BIPRU 12.3.27BIPRU 12.3.28Funding diversification and market access (BIPRU 12.3.29 - 12.3.32)BIPRU 12.3.29BIPRU 12.3.30BIPRU 12.3.31BIPRU 12.3.32BIPRU 12.4 Stress testing and contingency funding (BIPRU 12.4.-2 - 12.4.16)BIPRU 12.4.-2Stress testing (BIPRU 12.4.-1 - 12.4.9)BIPRU 12.4.-1BIPRU 12.4.1BIPRU 12.4.2BIPRU 12.4.3BIPRU 12.4.4BIPRU 12.4.5BIPRU 12.4.5ABIPRU 12.4.6BIPRU 12.4.7BIPRU 12.4.8BIPRU 12.4.9Contingency funding plans (BIPRU 12.4.10 - 12.4.16)BIPRU 12.4.10BIPRU 12.4.11BIPRU 12.4.12BIPRU 12.4.13BIPRU 12.4.14BIPRU 12.4.15BIPRU 12.4.16BIPRU 12.5 Individual Liquidity Adequacy Standards (BIPRU 12.5.1 - 12.5.77)Individual Liquidity Adequacy Assessment (BIPRU 12.5.1 - 12.5.6)BIPRU 12.5.1BIPRU 12.5.2BIPRU 12.5.3BIPRU 12.5.4BIPRU 12.5.5BIPRU 12.5.6ILAA stresses (BIPRU 12.5.7)BIPRU 12.5.7First liquidity stress (BIPRU 12.5.8 - 12.5.10)BIPRU 12.5.8BIPRU 12.5.9BIPRU 12.5.10Second liquidity stress (BIPRU 12.5.11 - 12.5.12)BIPRU 12.5.11BIPRU 12.5.12ILAA methodology (BIPRU 12.5.13 - 12.5.14)BIPRU 12.5.13BIPRU 12.5.14Wholesale secured and unsecured funding risk (BIPRU 12.5.15 - 12.5.19)BIPRU 12.5.15BIPRU 12.5.16BIPRU 12.5.17BIPRU 12.5.18BIPRU 12.5.19Retail funding risk (BIPRU 12.5.20 - 12.5.25)BIPRU 12.5.20BIPRU 12.5.21BIPRU 12.5.22BIPRU 12.5.23BIPRU 12.5.24BIPRU 12.5.25Intra-day liquidity risk (BIPRU 12.5.26 - 12.5.35)BIPRU 12.5.26BIPRU 12.5.27BIPRU 12.5.28BIPRU 12.5.29BIPRU 12.5.30BIPRU 12.5.31BIPRU 12.5.32BIPRU 12.5.33BIPRU 12.5.34BIPRU 12.5.35Intra-group liquidity risk (BIPRU 12.5.36 - 12.5.39)BIPRU 12.5.36BIPRU 12.5.37BIPRU 12.5.38BIPRU 12.5.39Cross-currency liquidity risk (BIPRU 12.5.40 - 12.5.41)BIPRU 12.5.40BIPRU 12.5.41Off-balance sheet liquidity risk (BIPRU 12.5.42 - 12.5.51)BIPRU 12.5.42BIPRU 12.5.43BIPRU 12.5.44BIPRU 12.5.45BIPRU 12.5.46BIPRU 12.5.47BIPRU 12.5.48BIPRU 12.5.49BIPRU 12.5.50BIPRU 12.5.51Franchise-viability risk (BIPRU 12.5.52 - 12.5.55)BIPRU 12.5.52BIPRU 12.5.53BIPRU 12.5.54BIPRU 12.5.55Marketable assets risk (BIPRU 12.5.56 - 12.5.62)BIPRU 12.5.56BIPRU 12.5.57BIPRU 12.5.58BIPRU 12.5.59BIPRU 12.5.60BIPRU 12.5.61BIPRU 12.5.62Non-marketable assets risk (BIPRU 12.5.63 - 12.5.73)BIPRU 12.5.63BIPRU 12.5.64BIPRU 12.5.65BIPRU 12.5.66BIPRU 12.5.67BIPRU 12.5.68BIPRU 12.5.69BIPRU 12.5.70BIPRU 12.5.71BIPRU 12.5.72BIPRU 12.5.73Funding concentration risk (BIPRU 12.5.74 - 12.5.77)BIPRU 12.5.74BIPRU 12.5.75BIPRU 12.5.76BIPRU 12.5.77BIPRU 12.6 Simplified ILAS (BIPRU 12.6.1 - 12.6.22)BIPRU 12.6.1BIPRU 12.6.2BIPRU 12.6.3BIPRU 12.6.4BIPRU 12.6.5Simplified ILAS conditions (BIPRU 12.6.6 - 12.6.8)BIPRU 12.6.6BIPRU 12.6.6ABIPRU 12.6.7BIPRU 12.6.8Size of the simplified buffer requirement (BIPRU 12.6.9)BIPRU 12.6.9The wholesale net cash outflow component (BIPRU 12.6.10)BIPRU 12.6.10The retail and SME deposit component (BIPRU 12.6.11 - 12.6.14)BIPRU 12.6.11BIPRU 12.6.12BIPRU 12.6.13BIPRU 12.6.14The credit pipeline component (BIPRU 12.6.15)BIPRU 12.6.15Buffer securities restriction (BIPRU 12.6.16 - 12.6.17)BIPRU 12.6.16BIPRU 12.6.17Foreign currency positions (BIPRU 12.6.18)BIPRU 12.6.18Content of the simplified ILAS liquid assets buffer (BIPRU 12.6.19 - 12.6.20)BIPRU 12.6.19BIPRU 12.6.20ILSA (BIPRU 12.6.21 - 12.6.22)BIPRU 12.6.21BIPRU 12.6.22BIPRU 12.7 Liquid assets buffer (BIPRU 12.7.1 - 12.7.12)BIPRU 12.7.1BIPRU 12.7.2BIPRU 12.7.3BIPRU 12.7.4BIPRU 12.7.5BIPRU 12.7.6BIPRU 12.7.6ABIPRU 12.7.7BIPRU 12.7.8BIPRU 12.7.9BIPRU 12.7.9ABIPRU 12.7.10BIPRU 12.7.11BIPRU 12.7.12BIPRU 12.8 Cross-border and intra-group management of liquidity (BIPRU 12.8.1 - 12.8.30)BIPRU 12.8.1BIPRU 12.8.2BIPRU 12.8.3BIPRU 12.8.4BIPRU 12.8.5BIPRU 12.8.6Intra-group liquidity modification: general (BIPRU 12.8.7 - 12.8.13)BIPRU 12.8.7BIPRU 12.8.8BIPRU 12.8.9BIPRU 12.8.10BIPRU 12.8.11BIPRU 12.8.12BIPRU 12.8.13Consideration of an application for an intra-group liquidity modification (BIPRU 12.8.14 - 12.8.20)BIPRU 12.8.14BIPRU 12.8.15BIPRU 12.8.16BIPRU 12.8.17BIPRU 12.8.18BIPRU 12.8.19BIPRU 12.8.20Ongoing requirements (BIPRU 12.8.21)BIPRU 12.8.21Whole-firm liquidity modification: general (BIPRU 12.8.22 - 12.8.25)BIPRU 12.8.22BIPRU 12.8.23BIPRU 12.8.24BIPRU 12.8.25Consideration of an application for a whole-firm liquidity modification (BIPRU 12.8.26 - 12.8.28)BIPRU 12.8.26BIPRU 12.8.27BIPRU 12.8.28Ongoing requirements (BIPRU 12.8.29 - 12.8.30)BIPRU 12.8.29BIPRU 12.8.30BIPRU 12.9 Individual liquidity guidance and regulatory intervention points (BIPRU 12.9.1 - 12.9.27)Appropriate regulator assessment process (BIPRU 12.9.1 - 12.9.9)BIPRU 12.9.1BIPRU 12.9.2BIPRU 12.9.3BIPRU 12.9.4BIPRU 12.9.5BIPRU 12.9.6BIPRU 12.9.7BIPRU 12.9.8BIPRU 12.9.9Additional guidance for branches (BIPRU 12.9.10)BIPRU 12.9.10Regulatory intervention points for ILAS BIPRU firms (BIPRU 12.9.11 - 12.9.23)BIPRU 12.9.11BIPRU 12.9.12BIPRU 12.9.12ABIPRU 12.9.13BIPRU 12.9.14BIPRU 12.9.15BIPRU 12.9.16BIPRU 12.9.17BIPRU 12.9.18BIPRU 12.9.19BIPRU 12.9.20BIPRU 12.9.21BIPRU 12.9.22BIPRU 12.9.23Monitoring requirement (BIPRU 12.9.24)BIPRU 12.9.24Mode of notification (BIPRU 12.9.25 - 12.9.27)BIPRU 12.9.25BIPRU 12.9.26BIPRU 12.9.27BIPRU 13 The calculation of counterparty risk exposure values for financial derivatives, securities financing transactions and long settlement transactions (BIPRU 13.1 - 13.8)BIPRU 13.1 Application and Purpose (BIPRU 13.1.1 - 13.1.6)Application (BIPRU 13.1.1 - 13.1.3)BIPRU 13.1.1BIPRU 13.1.2BIPRU 13.1.3Purpose (BIPRU 13.1.4 - 13.1.6)BIPRU 13.1.4BIPRU 13.1.5BIPRU 13.1.6BIPRU 13.2 Unusual Transactions (BIPRU 13.2.1 - 13.2.5)BIPRU 13.2.1BIPRU 13.2.2BIPRU 13.2.3BIPRU 13.2.4BIPRU 13.2.5BIPRU 13.3 Calculation of exposure values for financial derivatives and long settlement transactions: General provisions (BIPRU 13.3.1 - 13.3.16)Financial derivative instruments (BIPRU 13.3.1 - 13.3.2)BIPRU 13.3.1BIPRU 13.3.2Definition of financial derivative instrument (BIPRU 13.3.3)BIPRU 13.3.3Long settlement transactions (BIPRU 13.3.4 - 13.3.7)BIPRU 13.3.4BIPRU 13.3.5BIPRU 13.3.6BIPRU 13.3.7General netting (BIPRU 13.3.8 - 13.3.9)BIPRU 13.3.8BIPRU 13.3.9Combined use (BIPRU 13.3.10 - 13.3.11)BIPRU 13.3.10BIPRU 13.3.11Exposure to a central counterparty (BIPRU 13.3.12 - 13.3.13)BIPRU 13.3.12BIPRU 13.3.13Exceptions (BIPRU 13.3.14 - 13.3.16)BIPRU 13.3.14BIPRU 13.3.15BIPRU 13.3.16BIPRU 13.4 CCR mark to market method (BIPRU 13.4.1 - 13.4.19)General (BIPRU 13.4.1 - 13.4.4)BIPRU 13.4.1BIPRU 13.4.2BIPRU 13.4.3BIPRU 13.4.4Table: multiples to be applied to notional principal amounts or underlying values (BIPRU 13.4.5 - 13.4.10)BIPRU 13.4.5BIPRU 13.4.6BIPRU 13.4.7BIPRU 13.4.8BIPRU 13.4.9BIPRU 13.4.10Table: alternative multiples to be applied to notional principal amounts or underlying values (BIPRU 13.4.11 - 13.4.14)BIPRU 13.4.11BIPRU 13.4.12BIPRU 13.4.13BIPRU 13.4.14Alternative approach (BIPRU 13.4.15)BIPRU 13.4.15Netting: Contracts for novation (BIPRU 13.4.16)BIPRU 13.4.16Netting: Other netting agreements (BIPRU 13.4.17 - 13.4.19)BIPRU 13.4.17BIPRU 13.4.18BIPRU 13.4.19BIPRU 13.5 CCR standardised method (BIPRU 13.5.1 - 13.5.28)Scope (BIPRU 13.5.1)BIPRU 13.5.1Derivation of risk position: payment legs (BIPRU 13.5.2)BIPRU 13.5.2Derivation of risk position: mapping (BIPRU 13.5.3 - 13.5.4)BIPRU 13.5.3BIPRU 13.5.4Derivation of risk position: calculating the size of the risk position (BIPRU 13.5.5 - 13.5.6)BIPRU 13.5.5BIPRU 13.5.6Derivation of risk position: effective notional value (BIPRU 13.5.7)BIPRU 13.5.7Derivation of risk position: treatment of collateral (BIPRU 13.5.8)BIPRU 13.5.8Derivation of risk position: non-linear risks (BIPRU 13.5.9 - 13.5.10)BIPRU 13.5.9BIPRU 13.5.10Hedging sets: assignment (BIPRU 13.5.11)BIPRU 13.5.11Hedging sets: description (BIPRU 13.5.12)BIPRU 13.5.12Table: Hedging sets (BIPRU 13.5.13 - 13.5.17)BIPRU 13.5.13BIPRU 13.5.14BIPRU 13.5.15BIPRU 13.5.16BIPRU 13.5.17Hedging sets: collateral (BIPRU 13.5.18 - 13.5.19)BIPRU 13.5.18BIPRU 13.5.19Hedging sets: netting (BIPRU 13.5.20)BIPRU 13.5.20Credit conversion factors: Table (BIPRU 13.5.21 - 13.5.23)BIPRU 13.5.21BIPRU 13.5.22BIPRU 13.5.23Exposure value (BIPRU 13.5.24 - 13.5.28)BIPRU 13.5.24BIPRU 13.5.25BIPRU 13.5.26BIPRU 13.5.27BIPRU 13.5.28BIPRU 13.6 CCR internal model method (BIPRU 13.6.1 - 13.6.68)Introduction (BIPRU 13.6.1 - 13.6.5)BIPRU 13.6.1BIPRU 13.6.2BIPRU 13.6.3BIPRU 13.6.4BIPRU 13.6.5Scope (BIPRU 13.6.6 - 13.6.8)BIPRU 13.6.6BIPRU 13.6.7BIPRU 13.6.8Use of other models (BIPRU 13.6.9)BIPRU 13.6.9Partial use (BIPRU 13.6.10 - 13.6.16)BIPRU 13.6.10BIPRU 13.6.11BIPRU 13.6.12BIPRU 13.6.13BIPRU 13.6.14BIPRU 13.6.15BIPRU 13.6.16Use of CCR internal model method (BIPRU 13.6.17 - 13.6.21)BIPRU 13.6.17BIPRU 13.6.18BIPRU 13.6.19BIPRU 13.6.20BIPRU 13.6.21Exposure value (BIPRU 13.6.22 - 13.6.24)BIPRU 13.6.22BIPRU 13.6.23BIPRU 13.6.24Effective EPE (BIPRU 13.6.25 - 13.6.30)BIPRU 13.6.25BIPRU 13.6.26BIPRU 13.6.27BIPRU 13.6.28BIPRU 13.6.29BIPRU 13.6.30Alpha (BIPRU 13.6.31 - 13.6.36)BIPRU 13.6.31BIPRU 13.6.32BIPRU 13.6.33BIPRU 13.6.34BIPRU 13.6.35BIPRU 13.6.35ABIPRU 13.6.36Maturity adjustment (BIPRU 13.6.37)BIPRU 13.6.37Margin agreement (BIPRU 13.6.38 - 13.6.39)BIPRU 13.6.38BIPRU 13.6.39Operational requirements: General (BIPRU 13.6.40)BIPRU 13.6.40Operational requirements: CCR control (BIPRU 13.6.41 - 13.6.50)BIPRU 13.6.41BIPRU 13.6.42BIPRU 13.6.43BIPRU 13.6.44BIPRU 13.6.45BIPRU 13.6.46BIPRU 13.6.47BIPRU 13.6.48BIPRU 13.6.49BIPRU 13.6.50Operational requirements: Use test (BIPRU 13.6.51 - 13.6.55)BIPRU 13.6.51BIPRU 13.6.52BIPRU 13.6.53BIPRU 13.6.54BIPRU 13.6.55Operational requirements: Stress testing (BIPRU 13.6.56 - 13.6.57)BIPRU 13.6.56BIPRU 13.6.57Operational requirements: Wrong-way risk (BIPRU 13.6.58 - 13.6.59)BIPRU 13.6.58BIPRU 13.6.59Operational requirements: Integrity of modelling process (BIPRU 13.6.60 - 13.6.66)BIPRU 13.6.60BIPRU 13.6.61BIPRU 13.6.62BIPRU 13.6.63BIPRU 13.6.64BIPRU 13.6.65BIPRU 13.6.66Validation requirements (BIPRU 13.6.67 - 13.6.68)BIPRU 13.6.67BIPRU 13.6.68BIPRU 13.7 Contractual netting (BIPRU 13.7.1 - 13.7.11)Scope (BIPRU 13.7.1)BIPRU 13.7.1Types of netting recognised (BIPRU 13.7.2- 13.7.5)BIPRU 13.7.2BIPRU 13.7.3BIPRU 13.7.4BIPRU 13.7.5Conditions for recognition (BIPRU 13.7.6 - 13.7.10)BIPRU 13.7.6BIPRU 13.7.7BIPRU 13.7.8BIPRU 13.7.9BIPRU 13.7.10Effects of recognition (BIPRU 13.7.11)BIPRU 13.7.11BIPRU 13.8 Securities financing transactions (BIPRU 13.8.1 - 13.8.8)Purpose (BIPRU 13.8.1)BIPRU 13.8.1Calculation of exposure value for SFTs (BIPRU 13.8.2 - 13.8.6)BIPRU 13.8.2BIPRU 13.8.3BIPRU 13.8.4BIPRU 13.8.5BIPRU 13.8.6Exposure to a central counterparty (BIPRU 13.8.7 - 13.8.8)BIPRU 13.8.7BIPRU 13.8.8BIPRU 13 Annex 1BIPRU 14 Capital requirements for settlement and counterparty risk (BIPRU 14.1 - 14.4)BIPRU 14.1 Application and purpose (BIPRU 14.1.1 - 14.1.3)Application (BIPRU 14.1.1 - 14.1.2)BIPRU 14.1.1BIPRU 14.1.2Purpose (BIPRU 14.1.3)BIPRU 14.1.3BIPRU 14.2 Calculation of the capital requirement for CCR (BIPRU 14.2.1 - 14.2.24)Calculation of the counterparty risk capital component (BIPRU 14.2.1 - 14.2.2)BIPRU 14.2.1BIPRU 14.2.2Credit derivatives (BIPRU 14.2.3 - 14.2.10)BIPRU 14.2.3BIPRU 14.2.4BIPRU 14.2.5BIPRU 14.2.6BIPRU 14.2.7BIPRU 14.2.8BIPRU 14.2.9BIPRU 14.2.10Calculation (BIPRU 14.2.11 - 14.2.13)BIPRU 14.2.11BIPRU 14.2.12BIPRU 14.2.13Collateral (BIPRU 14.2.14 - 14.2.17)BIPRU 14.2.14BIPRU 14.2.15BIPRU 14.2.16BIPRU 14.2.17Treatment of expected loss amounts under the IRB approach (BIPRU 14.2.18 - 14.2.19)BIPRU 14.2.18BIPRU 14.2.19Exposures to recognised third-country investment firms, recognised clearing houses and designated investment exchanges (BIPRU 14.2.20)BIPRU 14.2.20Netting of trading book exposures against non-trading book exposures (BIPRU 14.2.21 - 14.2.24)BIPRU 14.2.21BIPRU 14.2.22BIPRU 14.2.23BIPRU 14.2.24BIPRU 14.3 Unsettled transactions (BIPRU 14.3.1 - 14.3.5)Scope (BIPRU 14.3.1 - 14.3.2)BIPRU 14.3.1BIPRU 14.3.2Calculation (BIPRU 14.3.3 - 14.3.4)BIPRU 14.3.3BIPRU 14.3.4Table: Factors for the multiplication of price differences (BIPRU 14.3.5)BIPRU 14.3.5BIPRU 14.3.5BIPRU 14.4 Free deliveries (BIPRU 14.4.1 - 14.4.7)Scope (BIPRU 14.4.1 - 14.4.2)BIPRU 14.4.1BIPRU 14.4.2Exposure (BIPRU 14.4.3 - 14.4.7)BIPRU 14.4.3BIPRU 14.4.4BIPRU 14.4.5BIPRU 14.4.6BIPRU 14.4.7BIPRU Transitional Provisions and SchedulesBIPRU TP 1 Applicable chapter of IPRU and other general provisionsBIPRU TP 2 Capital floors for a firm using the IRB or AMA approachesBIPRU TP 3 Pre CRD capital requirements applying on a solo basis during 2007BIPRU TP 4 Pre CRD capital requirements applying on a solo basis during 2007: BanksBIPRU TP 5 Pre CRD capital requirements applying on a solo basis during 2007: Building societiesBIPRU TP 6 Pre CRD capital requirements applying on a solo basis during 2007: Investment management firmsBIPRU TP 7 Pre CRD capital requirements applying on a solo basis during 2007: UCITS investment firmsBIPRU TP 8 Pre CRD capital requirements applying on a solo basis during 2007: Securities and futures firmsBIPRU TP 9 Pre CRD capital requirements applying on a solo basis during 2007 and capital floors: Personal investment firmsBIPRU TP 10 Pre CRD capital requirements applying on a consolidated basis during 2007BIPRU TP 11 IRB transitionalsBIPRU TP 12 Operational risk transitionals: small trading bookBIPRU TP 13 Other operational risk transitionalsBIPRU TP 14 Market risk: VaR modelsBIPRU TP 15 Commodities firm transitionals: Exemption from capital requirementsBIPRU TP 16 Commodities firm transitionals: large exposuresBIPRU TP 17 Large exposures: Exemptions for intra-group exposures for banks and investment firmsBIPRU TP 18 Large exposures: Exemptions for intra-group exposures for building societiesBIPRU TP 19 Large exposures: Exemptions for intra-group exposures on a consolidated basisBIPRU TP 20 Standardised credit risk transitionalsBIPRU TP 21 Close substitutes for commoditiesBIPRU TP 22 Solo consolidationBIPRU TP 23 Record keeping transitionalsBIPRU TP 24 Mid market valuationsBIPRU TP 25 Exclusions from consolidationBIPRU TP 26 Quantitative aspects of BIPRU 12: all firms to which BIPRU 12 appliesBIPRU TP 27 Application of GENPRU 1.2, BIPRU 12.3 and BIPRU 12.4: all firms to which BIPRU 12 appliesBIPRU TP 28 BIPRU 12.3 and BIPRU 12.4: banks with a Global Liquidity ConcessionBIPRU TP 29 Liquid assets buffer scalar: simplified ILAS BIPRU firmsBIPRU TP 30 Liquidity floor for certain banksBIPRU TP 31 Consequential changes to the Handbook occasioned by BIPRU 12: all firms to which BIPRU 12 appliesBIPRU TP 32 Consequential changes to the Handbook occasioned by BIPRU 12: simplified ILAS building societiesBIPRU TP 33 Intra-group exposures: Transitional provisions for core UK group and large exposuresBIPRU TP 34 Large exposures: General transitional provisionsBIPRU TP 35 AIFMDBIPRU Sch 1 Record keeping requirementsBIPRU Sch 2 Notification and reporting requirementsBIPRU Sch 3 Fees and other requirement paymentsBIPRU Sch 4 Powers exercisedBIPRU Sch 5 Rights of action for damagesBIPRU Sch 6 Rules than can be waived
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Status: In force
Version date: 31 March 2013 - onwards

BIPRU 5.5.6

Where it is not possible for a firm to meet the condition set out in BIPRU 5.5.5 R (7), because the insurance relationship ends before the loan relationship expires, the firm must ensure that the amount deriving from the insurance contract serves the firm as security until the end of the duration of the credit agreement.

[Note: BCD Annex VIII Part 2 point 13 (part)]

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