Source: https://handbook.fca.org.uk/handbook/BIPRU/9/?section=bipru%209.1&view=instrument
Timestamp: 2019-10-22 03:41:30
Document Index: 127313549

Matched Legal Cases: ['art 2', 'art 2', 'art 2', 'art 2', 'art 2', 'art 3', 'art 4', 'art 4', 'art 4', 'art 4', 'art 4', 'art 4', 'art 4', 'art 4', 'art 4', 'art 4', 'art 4', 'art 4', 'art 4', 'art 4', 'art 4', 'art 4', 'art 4', 'art 4', 'art 4']

BIPRU 9.1.1 R 01/01/2014 RP
1 BIPRU 9.1 applies to a BIPRU firm.3
BIPRU 9.1.2 G 01/01/2014 RP
BIPRU 9.1.3 R 01/01/2007 RP
BIPRU 9.1.4 G 01/01/2007 RP
BIPRU 9.1.5 G 01/04/2013 RP
BIPRU 9.1.6 R 31/12/2010 RP
BIPRU 9.1.7 G 01/01/2007 RP
BIPRU 9.1.8 G 01/04/2013 RP
BIPRU 9.1.8A G 01/04/2013 RP
The frequency and extent of the stress testing should be determined by the materiality of the firm'ssecuritisation activities and off-balance sheet exposures.2
BIPRU 9.1.9 G 01/08/2016 RP
requirements for investors,3originators and sponsors of securitisations of non-trading bookexposures;
the requirements that investors, originators and sponsors of securitisations in the trading book will have to meet (BIPRU 9.3.1AR, BIPRU 9.3.15R to BIPRU 9.3.20R and6BIPRU 9.6.1A R46).3
BIPRU 9.1.10 G 01/01/2007 RP
BIPRU 9.2.1 R 01/01/2007 RP
BIPRU 9.3.1 R 01/01/2007 RP
[Note:BCD Article 95]
BIPRU 9.3.1A R 01/01/2014
BIPRU 9.3.3 G 31/12/2010
BIPRU 9.3.4 G 31/12/2010
BIPRU 9.3.5 G 31/12/2010
BIPRU 9.3.6 G 01/01/2007 RP
BIPRU 9.3.7 R 31/12/2010 RP
BIPRU 9.3.8 R 01/04/2013 RP
BIPRU 9.3.9 G 01/04/2013 RP
BIPRU 9.3.10 G 31/12/2010 RP
BIPRU 9.3.11 D 31/12/2010 RP
BIPRU 9.3.12 G 01/04/2013 RP
1 BIPRU 1.3.10 G sets out the appropriate regulator's approach to the granting of waivers. The conditions in BIPRU 9.3.11D are minimum requirements. Satisfaction of those does not automatically mean the appropriate regulator will grant the relevant waiver. The appropriate regulator will in addition also apply the tests in section 138A (Modification or waiver of rules) of the Act.
BIPRU 9.3.13 G 01/04/2013 RP
BIPRU 9.3.14 G 31/12/2010 RP
BIPRU 9.3.21 G 01/04/2013 RP
BIPRU 9.3.22 G 01/04/2013 RP
BIPRU 9.4.1 R 31/12/2010 RP
BIPRU 9.4.2 R 01/01/2007 RP
BIPRU 9.4.3 R 01/01/2007 RP
BIPRU 9.4.4 G 01/01/2007 RP
BIPRU 9.4.5 R 01/01/2007 RP
BIPRU 9.4.6 R 01/01/2007 RP
BIPRU 9.4.7 R 01/01/2007 RP
BIPRU 9.4.8 R 01/01/2007 RP
the clean-up call option may only be exercised when 10% or less of the original value of the exposuressecuritised remains unamortised; and
BIPRU 9.4.9 R 01/01/2007 RP
BIPRU 9.4.10 R 01/01/2007 RP
BIPRU 9.4.11 R 31/12/2010 RP
BIPRU 9.4.12 R 01/04/2013 RP
BIPRU 9.4.13 G 01/04/2013 RP
BIPRU 9.4.14 G 31/12/2010 RP
BIPRU 9.4.15 D 31/12/2010 RP
2[Note:BCD, Annex IX, Part 2, Point 1, paragraph 1c]
BIPRU 9.4.16 G 01/04/2013 RP
2 BIPRU 1.3.10 G sets out the appropriate regulator's approach to the granting of waivers. The conditions in BIPRU 9.4.15D are minimum requirements. Satisfaction of those does not automatically mean the appropriate regulator will grant the relevant waiver. The appropriate regulator will in addition also apply the tests in section 138A (Modification or waiver of rules) of the Act.
BIPRU 9.4.17 G 01/04/2013 RP
BIPRU 9.4.18 G 31/12/2010 RP
BIPRU 9.5.1 R 01/04/2013 RP
[Note:BCD Annex IX Part 2 point 2]
[Note:BCD, Annex IX, Part 2, Point 2, paragraph 2a]
BIPRU 9.5.1A G 31/12/2010 RP
BIPRU 9.5.1B D 31/12/2010 RP
BIPRU 9.5.1C G 01/04/2013 RP
1 BIPRU 1.3.10 G sets out the appropriate regulator approach to the granting of waivers. The conditions in BIPRU 9.5.1BD are minimum requirements. Satisfaction of those does not automatically mean the appropriate regulator will grant the relevant waiver. The appropriate regulator will in addition also apply the tests in section 138A (Modification or waiver of rules) of the Act.
BIPRU 9.5.1D G 01/04/2013 RP
BIPRU 9.5.1E G 31/12/2010 RP
BIPRU 9.5.1F G 01/04/2013 RP
BIPRU 9.5.2 R 01/01/2007 RP
BIPRU 9.5.3 R -BIPRU 9.5.8 R apply to the calculation by an originator of risk weighted exposure amounts for exposuressecuritised in a synthetic securitisation.
BIPRU 9.5.3 R 01/01/2007 RP
[Note:BCD Annex IX Part 2 point 3 and point 4 (part)]
BIPRU 9.5.4 R 01/01/2007 RP
BIPRU 9.5.5 R 01/01/2007 RP
BIPRU 9.5.6 R -BIPRU 9.5.8 R apply to the treatment of maturity mismatches in a synthetic securitisation.
BIPRU 9.5.6 R 01/01/2007 RP
BIPRU 9.5.7 R 01/01/2007 RP
BIPRU 9.5.8 R 01/01/2007 RP
[Note:BCD Annex IX Part 2 point 7]
BIPRU 9.6.1 R 31/12/2011 RP
BIPRU 9.6.1A R 31/12/2011 RP
BIPRU 9.6.2 R 31/12/2011 RP
BIPRU 9.6.3 G 01/04/2013 RP
BIPRU 9.6.4 G 01/04/2013 RP
BIPRU 9.6.5 G 01/01/2007 RP
BIPRU 9.6.6 G 01/01/2007 RP
the firm'scapital resources and capital resources requirement are adjusted at the time of the securitisation on the basis that the firm has provided support to the maximum degree possible, whether by an immediate deduction from capital or appropriate risk weighting.
BIPRU 9.6.7 G 01/01/2007 RP
no adjustment to the firm'scapital resources or capital resources requirement is required, as a firm should not in any case reflect future margin income in its income or capital resources.
BIPRU 9.6.8 G 01/01/2007 RP
BIPRU 9.7.1 R 01/01/2007 RP
BIPRU 9.7.2 R 31/12/2011 RP
BIPRU 9.7.2A G 31/12/2011 RP
BIPRU 9.7.3 G 01/01/2007 RP
BIPRU 9.7.4 G 31/12/2011 RP
BIPRU 9.8.1 R 01/01/2007 RP
BIPRU 9.8.2 R 01/01/2007 RP
BIPRU 9.8.3 R 01/01/2007 RP
BIPRU 9.8.4 R 01/01/2007 RP
BIPRU 9.8.5 R 01/01/2007 RP
BIPRU 9.8.6 R 01/01/2007 RP
BIPRU 9.8.7 R 01/01/2007 RP
[Note:BCD Annex IX Part 3 point 7]
BIPRU 9.9.1 R 01/01/2007 RP
BIPRU 9.9.2 R 01/01/2007 RP
BIPRU 9.9.3 R 01/01/2007 RP
[Note:BCD Article 96(2)]
BIPRU 9.9.4 R 01/01/2007 RP
[Note:BCD Annex IX Part 4 point 2]
BIPRU 9.9.5 R 01/01/2007 RP
BIPRU 9.9.6 R 01/01/2007 RP
BIPRU 9.9.7 R 01/01/2007 RP
BIPRU 9.9.8 R 31/12/2011 RP
[Note:BCD Annex IX Part 4 point 5]
BIPRU 9.9.9 R 01/01/2007 RP
BIPRU 9.9.10 G 31/12/2011 RP
BIPRU 9.10.1 R 01/01/2007 RP
BIPRU 9.10.2 R 01/01/2007 RP
BIPRU 9.10.3 R 01/01/2007 RP
BIPRU 9.10.4 R 01/01/2007 RP
BIPRU 9.10.5 R 01/01/2007 RP
BIPRU 9.10.6 R 01/01/2007 RP
BIPRU 9.10.7 R 01/01/2007 RP
[Note:BCD Annex IX Part 4 point 75(a) and (c)]
BIPRU 9.11.1 R 31/12/2011 RP
BIPRU 9.11.2 R 01/04/2013 RP
Securitisation positions 2
2 Resecuritisation positions
BIPRU 9.11.3 R 31/12/2011
BIPRU 9.11.4 R 01/01/2007 RP
BIPRU 9.11.5 R 01/01/2007 RP
BIPRU 9.11.6 R 01/01/2007 RP
A firm having an unratedsecuritisation position may apply the treatment set out in this paragraph for calculating the risk weighted exposure amount for that position provided the composition of the pool of exposuressecuritised is known at all times.
[Note:BCD Annex IX Part 4 points 9 and 10]
BIPRU 9.11.7 G 01/01/2007 RP
This provision contains guidance on the requirement in BIPRU 9.11.6 R (1) that the composition of the pool of exposuressecuritised must be known at all times.
BIPRU 9.11.8 R 01/01/2007 RP
[Note:BCD Annex IX Part 4 point 11]
BIPRU 9.11.9 R 01/01/2007 RP
[Note:BCD Annex IX Part 4 point 12]
BIPRU 9.11.10 R 31/12/2010 RP
[Note:BCD Annex IX Part 4 point 13]
BIPRU 9.11.11 R 31/12/2010
BIPRU 9.11.12 R 01/01/2007 RP
BIPRU 9.11.13 R 01/01/2007 RP
BIPRU 9.12.1 R 01/01/2007 RP
BIPRU 9.12.2 R 01/01/2007 RP
BIPRU 9.12.3 R 01/01/2007 RP
BIPRU 9.12.4 G 01/01/2007 RP
BIPRU 9.12.5 R 01/01/2007 RP
BIPRU 9.12.6 R 01/01/2007 RP
BIPRU 9.12.7 R 01/01/2007 RP
the reference positions must be subordinate in all respects to the unratedsecuritisation position;
[Note:BCD Annex IX Part 4 point 42]
BIPRU 9.12.8 R 01/01/2007 RP
BIPRU 9.12.9 R 01/01/2007 RP
BIPRU 9.12.10 R 31/12/2011 RP
BIPRU 9.12.11 R 01/04/2013 RP
BIPRU 9.12.12 R 31/12/2011
BIPRU 9.12.13 R 31/12/2011 RP
for resecuritisation positions, the weightings in column E must be applied unless the resecuritisation position is in the most senior tranche of the resecuritisation and none of the underlying exposures were themselves resecuritisationexposures, in which case column D must be applied.4
BIPRU 9.12.14 R 01/01/2007 RP
BIPRU 9.12.15 G 01/01/2007 RP
BIPRU 9.12.16 R 31/12/2010
BIPRU 9.12.17 R 31/12/2011 RP
BIPRU 9.12.18 R 31/12/2011
BIPRU 9.12.19 R 31/12/2011
BIPRU 9.12.20 R 01/04/2013 RP
a firm'sIRB permission allows it to use this treatment; and
If a firm'sIRB permission permits this, a firm need not comply with the requirement for the assessment methodology of the ECAI to be publicly available where it can demonstrate that due to the specific features of the securitisation for example its unique structure - there is as yet no publicly available ECAI assessment methodology.
[Note:BCD Annex IX Part 4 points 43 and 44]
BIPRU 9.12.21 R 31/12/2011 RP
BIPRU 9.12.22 R 31/12/2011 RP
N is the effective number of exposures calculated in accordance with BIPRU 9.12.17 R - BIPRU 9.12.18 R. In the case of resecuritisations, the firm must look at the number of securitisationexposures in the pool and not the number of underlying exposures in original pools from which the underlying securitisationexposures stem.4
[Note:BCD Annex IX Part 4 point 53 (part)]
BIPRU 9.12.23 R 01/01/2007 RP
Under the supervisory formula method, if the exposure value of the largest securitisedexposure, C1, is no more than 3% of the sum of the exposure values of the securitisedexposures, then for the purposes of the supervisory formula method the firm may set LGD equal 50% and N equal to either:
Cm is the ratio of the sum of the exposure values of the largest 'm' exposures to the sum of the exposure values of the exposuressecuritised. The level of m may be set by the firm.
BIPRU 9.12.24 G 01/04/2013 RP
BIPRU 9.12.25 R 01/01/2007 RP
BIPRU 9.12.26 R 31/12/2010
BIPRU 9.12.27 R 01/01/2007 RP
BIPRU 9.12.28 G 01/04/2013 RP
When it is not practical for the firm to calculate the risk weighted exposure amounts for the securitised exposures as if they had not been securitised and the position does not qualify for the ABCP internal assessment approach, a firm may apply to the appropriate regulator for a variation of its IRB permission under which, on an exceptional basis, it may temporarily apply the method in (2) for the calculation of risk weighted exposure amounts for an unratedsecuritisation position in the form of a liquidity facility that meets the conditions to be a liquidity facility set out in BIPRU 9.11.10 R.
[Note:BCD Annex IX Part 4 points 58 and 59]
BIPRU 9.13.1 R 01/01/2007 RP
BIPRU 9.13.2 R 01/01/2007 RP
BIPRU 9.13.3 R 01/01/2007 RP
BIPRU 9.13.4 R 01/01/2007 RP
[Note:BCD Annex IX Part 4 point 19]
BIPRU 9.13.5 R 01/01/2007 RP
BIPRU 9.13.6 R 01/01/2007 RP
[Note:BCD Annex IX Part 4 points 69 and 70]
BIPRU 9.13.7 R 01/01/2007 RP
BIPRU 9.13.8 R 01/01/2007 RP
[Note:BCD Annex IX Part 4 point 21]
BIPRU 9.13.9 R 01/01/2007 RP
[Note:BCD Annex IX Part 4 point 22]
BIPRU 9.13.10 R 01/01/2007 RP
BIPRU 9.13.11 R 01/01/2007 RP
[Note:BCD Annex IX Part 4 point 24]
BIPRU 9.13.12 R 01/01/2007 RP
[Note:BCD Annex IX Part 4 point 25]
BIPRU 9.13.13 R 01/01/2007 RP
BIPRU 9.13.14 R 01/01/2007 RP
BIPRU 9.13.15 R 01/01/2007 RP
BIPRU 9.13.16 R 01/01/2007 RP
BIPRU 9.13.17 R 01/01/2007 RP
[Note:BCD Annex IX Part 4 point 29]
BIPRU 9.13.18 G 01/04/2013 RP
[Note:BCD Annex IX Part 4 point 30]
BIPRU 9.13.19 R 01/01/2007 RP
BIPRU 9.13.20 R 01/01/2007 RP
BIPRU 9.13.21 R 01/01/2007 RP
BIPRU 9.14.1 R 01/01/2007 RP
BIPRU 9.14.2 R 01/01/2007 RP
BIPRU 9.14.3 R 01/01/2007 RP
BIPRU 9.14.4 R 01/01/2007 RP
BIPRU 9.14.5 R 01/01/2007 RP
BIPRU 9.14.6 R 01/01/2007 RP
BIPRU 9.14.7 R 01/01/2007 RP
BIPRU 9.14.8 R BIPRU 9.14.10 R apply where risk weighted exposure amounts are calculated using the supervisory formula method where there is full credit protection.
BIPRU 9.14.8 R 01/01/2007 RP
BIPRU 9.14.9 R 01/01/2007 RP
BIPRU 9.14.10 R 01/01/2007 RP
BIPRU 9.14.11 R 01/01/2007 RP
BIPRU 9.14.12 R BIPRU 9.14.13 R apply where risk weighted exposure amounts are calculated using the supervisory formula method where there is partial protection.
BIPRU 9.14.12 R 01/01/2007 RP
BIPRU 9.14.13 R 01/01/2007 RP