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

FCA 2013/xx
exposures or positions that are included in the benchmark portfolios;
and
(2) an explanation of the methodologies used to produce those
calculations in (1).
[Note: article 78(1) of CRD]
4.3.2 G A firm must submit the results of the calculations referred to in IFPRU
4.3.1R(1), in line with the template developed by EBA in accordance with
article 78(8) of CRD, to the FCA and to EBA.
4.3.3 R Where the FCA has chosen to develop specific portfolios in accordance with
article 78(2) of CRD, a firm must report the results of the calculations
separately from the results of the calculations for EBA portfolios.
[Note: article 78(2) of CRD]
Internal ratings based (IRB) approach: risk quantification
4.3.4 G In article 178(1)(b) of the EU CRR (Default of an obligor), the reference to 90
days may be read as a reference to 180 days for:
(1) exposures secured by residential or SME commercial real estate in the
retail exposure class; and
(2) exposures to public sector entities.
4.3.5 G The treatment in IFPRU 4.3.4G will be considered as part of the FCA’s
assessment of the firm’s IRB approach.
4.3.6 R For the purposes of article 178(2)(d) of the EU CRR, a credit obligation is
material if:
(1) in relation to a retail exposure:
(a)
(b)
where a firm applies the definition of default at the level of an
individual credit facility, the amount of the credit obligation
exceeds £100;
where a firm applies the definition of default in relation to the
total obligations of a borrower, the amount of the total
obligations of the borrower to the firm exceed £100; and
(2) in all other cases, the amount of the credit obligation exceeds £1,000.
Guidance on IRB approach
4.3.7 G Responsibility for ensuring that internal models are appropriately
conservative and that approaches are compliant with the EU CRR rests with
the firm itself.
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