Source: https://handbook.fca.org.uk/handbook?related-provisions-for-provision=BIPRU%205.4.58&date=2016-10-03
Timestamp: 2020-05-26 00:49:19
Document Index: 745707286

Matched Legal Cases: ['art 4', 'art 3', 'art 3', 'art 3', 'art 3', 'art 1']

Related provisions for BIPRU 5.4.58 - FCA Handbook
Related provisions for BIPRU 5.4.58
This table belongs to BIPRU 3.4.11 R.
Credit quality step to which central government is assigned
Risk weight of exposure
The effective notional value of the outstanding gross payments (including the notional amount) converted to the firm'sbase currency, multiplied by the modified duration of the debt instrument, or payment leg, respectively.
A firm must consider the extent of any dependence between the risk of the obligor with that of the collateral or collateral provider. Cases where there is a significant degree of dependence must be addressed in a conservative manner.[Note:BCD Annex VII Part 4 point 75]
A firm must have established procedures for monitoring and ensuring compliance with a documented set of policies and controls for the operation of its system for the estimation of volatility adjustments and for the integration of such estimations into its risk management process.[Note:BCD Annex VIII Part 3 point 55]
An independent review of a firm's system for the estimation of volatility adjustments must be carried out regularly in the firm's own internal auditing process. A review of the overall system for the estimation of volatility adjustments and for integration of those adjustments into the firm's risk management process must take place at least once a year and must specifically address, at a minimum:(1) the integration of estimated volatility adjustments into daily risk management;(2)
A firm must have clear and effective policies and procedures governing the control of purchased receivables, credit, and cash. In particular, written internal policies must specify all material elements of the receivables purchase programme, including the advancing rates, eligible collateral, necessary documentation, concentration limits, and the way cash receipts are to be handled. These elements must take appropriate account of all relevant and material factors, including the
BIPRU 5.6.22R 01/04/2013 RP
A firm may use empirical correlations within risk categories and across risk categories provided that it is able to satisfy the appropriate regulator that the firm's system for measuring correlations is sound and implemented with integrity.[Note: BCD Annex VIII Part 3 point 19]
BIPRU 5.6.25R 01/01/2007 RP
In calculating risk weighted exposure amounts using the master netting agreement internal models approach, a firm must use the previous business day's model output.[Note: BCD Annex VIII Part 3 point 21]
Where a firm transfers a part of the risk of a loan in one or more tranches, BIPRU 9 applies. Materiality thresholds on payments below which no payment shall be made in the event of loss are considered to be equivalent to retained first loss positions and to give rise to a tranched transfer of risk.[Note: BCD Annex VIII Part 3 point 86]
BIPRU 3.2.2R 01/01/2007 RP
The off-balance sheet items listed in the table in BIPRU 3.7.2 R must be assigned to the risk categories as indicated in that table.[Note: BCD Article 78(1) part]
[Note:BCD Annex VII Part 1 point 31 (part)]
BIPRU 13.6.35R 01/01/2007 RP
A firm must ensure that the numerator and denominator of are computed in a consistent fashion with respect to the modelling methodology, parameter specifications and portfolio composition. The approach used must be based on the firm's internal capital approach, be well-documented and be subject to independent validation. In addition, a firm must review their estimates on at least a quarterly basis, and more frequently when the composition of the portfolio varies over time. A