PRU APP4 CREDIT RISK
- PRU A4.1 Credit Risk systems and controls
- PRU A4.2 Credit conversion factors (CCFs) for calculating Exposures
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PRU A4.3 Collateral calculations and haircuts
- Core market participants
- Calculation of E* for collateralised transactions other than OTC Derivative transactions and long settlement transactions
- Standard supervisory haircuts
- Own-estimate haircuts
- Requirements for use of own-estimate haircuts
- Minimum holding periods, remargining or revaluation conditions
- Recognition of eligible financial Collateral under FCSA
- PRU A4.4 Qualifying Securities Financing Transactions (SFTs)
- PRU A4.5 Requirements for use of VaR models
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PRU A4.6 Credit RWA — Unsettled Transactions, free deliveries and OTC Derivatives
- Guidance
- PRU A4.6.1
- PRU A4.6.2
- PRU A4.6.3
- PRU A4.6.4
- Unsettled Transactions
- Free delivery transactions
- Derivatives and long settlement transactions – Standardised Approach to Counterparty Credit Risk (SA-CCR)
- Netting Sets
- Calculation of RC for unmargined transactions
- Net Independent Collateral Amount
- Calculation Of RC For Margined Transactions
- Potential Future Exposure
- General Steps For Calculating The Add-On
- Formulae And Parameters Common To All Asset Classes
- Supervisory Delta Adjustment: δi
- Time Risk Horizons – Unmargined Transactions
- Time Risk Horizons – Margined Transactions
- Supervisory factors, correlation and supervisory option volatilities
- Trade Level Adjusted Notional – Interest Rate (di (IR)) And Credit Derivatives (di (Credit))
- Add - On For Interest Rate Derivatives
- Add - On For Credit Derivatives
- Trade Level Adjusted Notional – Foreign Exchange Derivatives
- Add - On For Foreign Exchange Derivatives
- Trade Level Adjusted Notional – Equity And Commodity Derivatives
- Add - On For Equity Derivatives
- Add - On For Commodity Derivatives
- PRU A4.7 Credit RWA — repurchase agreements, reverse repurchase agreements, similar transactions and other deferred settlements
- PRU A4.8 Credit RWA — other Trading Book transactions
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PRU A4.9 Exposures to central counterparties
- PRU A4.9.1
- PRU A4.9.2
- Trade Exposure Of A Clearing Member To A Qualifying Central Counterparty
- Trade Exposure Of A Clearing Member To A Non - QCCP
- Credit default products
- Trade Exposure Of A Clearing Member To A Client
- Trade Exposure Of A Client To A Clearing Member
- Trade Exposures In An Indirect Clearing Arrangement
- Treatment Of Posted Collateral
- Calculation Of Credit RWA In Relation To Prefunded Contributions To The Default Fund Of A QCCP
- Prefunded Contributions To The Default Fund Of A QCCP
- Prefunded And Unfunded Contributions To The Default Fund Of A Non - QCCP
- Cap On Total Credit RWA With Regard To QCCPs
- PRU A4.10 Securitisation
- PRU A4.11 Large Exposures
- PRU A4.12 The Simplified Approach for Category 2 and 3A Firms