Source: https://handbook.fca.org.uk/handbook?related-provisions-for-provision=BIPRU%209.9.2&date=2011-04-29
Timestamp: 2020-02-28 10:34:57
Document Index: 620014563

Matched Legal Cases: ['art 1', 'art 1', 'art 1', 'art 1', 'art 1', 'art 3', 'art 3', 'art 3', 'art 1', 'art 3', 'art 3', 'art 3', 'art 3', 'art 3', 'art 1']

Related provisions for BIPRU 9.9.2 - FCA Handbook
Related provisions for BIPRU 9.9.2
BIPRU 3.4.2R 01/01/2007 RP
Subject to BIPRU 3.4.4 R, exposures to central governments and central banks for which a credit assessment by a nominated ECAI is available must be assigned a risk weight according to the table in BIPRU 3.4.3 R in accordance with the assignment by the FSA in accordance with the Capital Requirements Regulations 2006 of the credit assessments of eligible ECAIs to six steps in a credit quality assessment scale.[Note: BCD Annex VI Part 1 point 2]
BIPRU 3.4.34R 31/12/2010 RP
Exposures to institutions with a residual maturity of more than three months 6for which a credit assessment by a nominated ECAI is available must be assigned a risk weight according to the table in BIPRU 3.4.35 R in accordance with the assignment by the FSA in accordance with the Capital Requirements Regulations 2006 of the credit assessments of eligible ECAIs to six steps in a credit quality assessment scale.[Note: BCD Annex VI Part 1 point 29]
BIPRU 3.4.37R 31/12/2010 RP
Exposures to an institution with a residual maturity of three months or less 6for which a credit assessment by a nominated ECAI is available must be assigned a risk weight according to the table in BIPRU 3.4.38 R in accordance with the assignment by the FSA in accordance with the Capital Requirements Regulations 2006 of the credit assessments of eligible ECAIs to six steps in a credit quality assessment scale.[Note: BCD Annex VI Part 1 point 31]
BIPRU 3.4.50R 01/01/2007 RP
Exposures for which a credit assessment by a nominated ECAI is available must be assigned a risk weight according to the table in BIPRU 3.4.51 R in accordance with the assignment by the FSA in accordance with the Capital Requirements Regulations 2006 of the credit assessments of eligible ECAIs to six steps in a credit quality assessment scale.[Note: BCD Annex VI Part 1 point 41]
BIPRU 3.4.112R 31/12/2010 RP
Exposures to institutions where BIPRU 3.4.34 R to BIPRU 3.4.39 R apply, and exposures to corporates6 for which a short-term credit assessment by a nominated ECAI is available must be assigned a risk weight according to the table in BIPRU 3.4.113 R in accordance with the mapping by the FSA in accordance with the Capital Requirements Regulations 2006 of the credit assessments of eligible ECAIs to six steps in a credit quality assessment scale.[Note: BCD Annex VI Part 1 point 73
BIPRU 3.6.2R 01/01/2007 RP
Where the FSA's recognition of an ECAI is not limited to its solicited credit assessments, a firm may use an unsolicited credit assessment of an eligible ECAI for the calculation of a firm'srisk weighted exposure amounts.[Note: BCD Article 83(2)]
BIPRU 3.6.6R 01/01/2007 RP
A firm which decides to use the credit assessments produced by an eligible ECAI must use them in a continuous and consistent way over time.[Note: BCD Annex VI Part 3 point 3]
BIPRU 3.6.7R 01/01/2007 RP
A firm can only use ECAIs' credit assessments that take into account all amounts both in principal and in interest owed to it.[Note: BCD Annex VI Part 3 point 4]
BIPRU 3.6.10R 01/01/2007 RP
If more than two credit assessments are available from nominated ECAIs for a rated item, the two assessments generating the two lowest risk weights must be referred to. If the two lowest risk weights are different, the higher risk weight must be assigned. If the two lowest risk weights are the same, that risk weight must be assigned.[Note: BCD Annex VI Part 3 point 7]
BIPRU 5.4.5R 01/01/2007 RP
In relation to BIPRU 5.4.2 R (2) to (5):(1) where a security has two credit assessments by eligible ECAIs, the less favourable assessment must be deemed to apply;(2) in cases where a security has more than two credit assessments by eligible ECAIs:(a) the two most favourable assessments must be deemed to apply; or(b) if the two most favourable credit assessments are different, the less favourable of the two must be deemed to apply.[Note:BCD Annex VIII Part 1 point 10]
When debt securities have a credit assessment from an eligible ECAI equivalent to investment grade or better, a firm may calculate a volatility estimate for each category of security.[Note:BCD Annex VIII Part 3 point 43]
For debt securities having a credit assessment from an eligible ECAI equivalent to below investment grade and for other eligible collateral the volatility adjustments must be calculated for each individual item.[Note:BCD Annex VIII Part 3 point 45]
Subject to BIPRU 9.8.5 R and BIPRU 9.8.6 R, a firm must not use an ECAI's credit assessments for its positions in some tranches and another ECAI's credit assessments for its positions in other tranches within the same structure that may or may not be rated by the first ECAI.[Note:BCD Annex IX Part 3 point 4]
Where a position has two credit assessments by nominated ECAIs, the firm must use the less favourable credit assessment.[Note:BCD Annex IX Part 3 point 5]
Where a position has more than two credit assessments by nominated ECAIs, the two most favourable credit assessments must be used. If the two most favourable assessments are different, the least favourable of the two must be used.[Note:BCD Annex IX Part 3 point 6]
BIPRU 9.12.11R 01/01/2007 RP
Table: Positions other than ones with short-term credit assessmentsThis table belongs to BIPRU 9.12.10 RCredit Quality Step (CQS)Risk weightABCCQS 17%12%20%CQS 28%15%25%CQS 310%18%35%CQS 412%20%CQS 520%35%CQS 635%50%CQS 760%75%CQS 8100%CQS 9250%CQS 10425%CQS 11650%Below CQS 111250%[Note: For mapping of the credit quality step to the credit assessments of eligible ECAIs, referto: www.fsa.gov.uk/pubs/international/ecais_securitisation.pdf ]
BIPRU 3.3.1R 01/01/2007 RP
An external credit assessment may be used to determine the risk weight of an exposure in accordance with BIPRU 3.2.20 R to BIPRU 3.2.26 R only if the ECAI which provides it is recognised by the FSA as an eligible ECAI for the purposes of the standardised approach to credit risk.[Note: BCD Article 81(1)]
BIPRU 3.3.7G 01/01/2007 RP
Under Regulation 22(3) of the Capital Requirements Regulations 2006 the FSA is obliged to determine, taking into account the requirements set out in Schedule 2 to the Capital Requirements Regulations 2006, with which of the credit quality steps set out in Part 1 of Annex VI of the Banking Consolidation Directive the relevant credit assessments of an eligible ECAI are to be associated. Those determinations should be objective and consistent.
BIPRU 9.7.2R 01/01/2007 RP
(1) A firm may not use a credit assessment of an eligible ECAI to determine the risk weight of a securitisation position in accordance with BIPRU 9.9 unless it complies with the principles of credibility and transparency as elaborated in (2) to (4).(2) There must be no mismatch between the types of payments reflected in the credit assessment and the types of payment to which the firm is entitled under the contract giving rise to the securitisation position in question.(3) The
BIPRU 7.2.49R 01/01/2007 RP