CP13/6 - CRD IV for Investment Firms - Financial Conduct Authority

FCA 2013/xx
(1) whether there is an absence of external credit assessment of such CIU
from an ECAI recognised under article 130 of the EU CRR (Items
representing securitisation positions) and where such CIU has specific
features (such as high levels of leverage or lack of transparency) that
prevent it from meeting the eligibility criteria in article 128(3) of the
EU CRR (Items associated with particular high risk); or
(2) whether the units or shares in such CIU are illiquid and are being held
with a view to their long-term sale or realisation.
4.2.12 G The FCA expects a firm to consider exposures arising out of a venture capital
business (whether the firm itself carries on the venture capital business or not)
to be associated with particularly high risk. For these purposes, the FCA
defines “venture capital business” as not only investing in venture capital
firms but also including the business of carrying on any of:
(1) advising on investments, managing investments, arranging (bringing
about) deals in investments in or making arrangements with a view to
transactions in investments in venture capital investments;
(2) advising on investments or managing investments in relation to
portfolios, or establishing, operating or winding up a collective
investment scheme, where the portfolios or collective investment
schemes (apart from funds awaiting investment) invest only in venture
capital investments;
(3) any custody activities provided in connection with the activities in (1)
or (2); and
(4) any related ancillary activities.
Mapping of ECAIs credit assessments
4.2.13 G Until such time as the European Commission adopts implementing technical
standards drafted by the European Supervisory Authorities Joint Committee
to specify for all ECAIs the relevant credit assessments of the ECAI that
correspond to credit quality steps, the FCA expects a firm to continue to have
regard to the table mapping the credit assessments of certain ECAIs to credit
quality steps produced in accordance with regulation 22(3) of the Capital
Requirements Regulations 2006.
4.3 Internal ratings based approach
Supervisory benchmarking of internal approaches for calculating own funds
requirements
4.3.1 R Except for operational risk, a firm permitted to use internal approaches for
the calculation of risk weighted exposure amounts or own fund requirements
must report annually to the FCA:
(1) the results of the calculations of its internal approaches for its
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