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

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CP13/6 CRD IV for Investment Firms 2.12 However, CAD will be replaced by CRD IV, therefore the new definitions from CRD IV will apply from 1 January 2014. These can be found at: • ‘initial capital’ in article 4(51) of the Regulation; • ‘own funds’ in article 4(118) of the Regulation (supplemented by an EBA technical standard); and • ‘fixed overheads’ requirement in article 97 of the Regulation (supplemented by an EBA technical standard). 2.13 It is important to note that the draft legal instruments in the Appendix to this CP only contains provisions as a result of the CRD IV, therefore other changes driven by the AIFMD – e.g. the above consequential changes to the FCA Handbook – will be consulted on separately. Implications of the new framework on Common Reporting (COREP) and Financial Reporting (FINREP) 2.14 Article 99 of the CRR brings in a new EU-wide supervisory reporting framework for Financial Reporting (FINREP) and Common Reporting (COREP) that applies to IFPRU investment firms. COREP covers capital requirements, own funds and liquidity reporting whereas FINREP covers consolidated financial reporting for supervisory purposes based on International Financial Reporting Standards. The introduction of COREP and FINREP will change how IFPRU investment firms report prudential supervisory information to the FCA. COREP will apply from 1 January 2014, whereas FINREP will apply from 1 July 2014. 2.15 Article 99(5) of the CRR requires the European Banking Authority to devise Implementing Technical Standards (ITS) on supervisory reporting. These Standards contain the scope and detail on what IFPRU investment firms will have to report under COREP and FINREP including the reporting templates. The final draft ITS on supervisory reporting was published by the EBA on 26 July 2013 and it is available on the EBA website. 2.16 The Regulation and the Directive include, in other articles, further reporting obligations on IFPRU firms. Most of these reporting obligations are captured by COREP templates (for example, CRR article 100 reporting on repurchase agreements and securities lending) but some are not (for example, Pillar 2 reporting). We will request non-COREP/FINREP supervisory information (e.g. Pillar 2) through submission of FSA0xx templates. 2.17 All IFPRU investment firms will have to complete COREP templates but conceivably not all IFPRU investment firms will have to complete FINREP templates for consolidated financial reporting. IFPRU investment firms will need to refer to Article 99 of the CRR and the ITS on reporting to establish whether they are subject to FINREP, and which COREP and FINREP reporting templates apply to them. (See also Chapter 4 under the heading ‘Liquidity reporting’). Firms that do not have to complete FINREP templates will have to submit the FSA001 and FSA002 templates. Furthermore, firms that complete FINREP templates for consolidated reporting will also have to complete FSA001 and FSA002 for solo reporting. 18 July 2013 Financial Conduct Authority
CRD IV for Investment Firms CP13/6 2.18 We will cover in the Policy Statement/Consultation paper in the Autumn further detail on non- COREP supervisory information, and how SUP 16.12 of the FCA Handbook on supervisory reporting will be restructured as a result of the introduction of COREP/FINREP and the ITS on reporting. 2.19 It is important to note that: • reporting for BIPRU firms is covered in Chapter 6; and • exempt IFPRU commodities firms will continue to report using FSA reporting templates. Financial Conduct Authority July 2013 19
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FCA 2013/xx Annex A Prudential sour
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FCA 2013/xx (a) (b) deal on own acc
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FCA 2013/xx 1.1.14 G A firm also fa
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FCA 2013/xx connected with, its reg
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FCA 2013/xx 2.1 Application 2.1.1 R
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FCA 2013/xx (a) (b) (c) the nature
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FCA 2013/xx 2.2.18 R A firm must ha
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FCA 2013/xx [Note: article 83(3) of
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FCA 2013/xx (b) (c) sudden and seve
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FCA 2013/xx between each firm which
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FCA 2013/xx in a number of risk cat
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FCA 2013/xx Capital planning 2.2.73
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FCA 2013/xx approving and actioning
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FCA 2013/xx financial situations or
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FCA 2013/xx activities (IFPRU 2.2.1
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FCA 2013/xx suggested. 2.3.17 G The
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FCA 2013/xx (3) what plan is in pla
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FCA 2013/xx 2.3.35 G For a firm tha
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FCA 2013/xx that considers the poss
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FCA 2013/xx unexpected cash flows l
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FCA 2013/xx (1) a failure by a firm
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FCA 2013/xx single counterparty; (b
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FCA 2013/xx (4) that it has in plac
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FCA 2013/xx that firm. Calculation
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FCA 2013/xx 3.2.8 R A firm must dem
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FCA 2013/xx 126(2), 178(1)(b), 243(
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FCA 2013/xx (1) whether there is an
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FCA 2013/xx 4.3.8 G A significant I
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FCA 2013/xx set out but are outside
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FCA 2013/xx requirements in article
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FCA 2013/xx standards for data qual
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FCA 2013/xx Definition of default:
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FCA 2013/xx Variable scalar conside
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FCA 2013/xx Data considerations 4.3
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FCA 2013/xx (b) (c) (eg, external a
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FCA 2013/xx will allow such cures t
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FCA 2013/xx and not be based purely
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FCA 2013/xx downturn conditions, a
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FCA 2013/xx Direct estimates of EAD
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FCA 2013/xx Netting 4.3.119 G For c
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FCA 2013/xx 4.3.131 G As with all a
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FCA 2013/xx Low default portfolios
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FCA 2013/xx Other requirements 4.3.
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FCA 2013/xx 4.4.4 G A firm should n
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FCA 2013/xx significant risk transf
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FCA 2013/xx risk transfer notificat
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FCA 2013/xx EU CRR) should be revie
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FCA 2013/xx being recognised or the
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FCA 2013/xx with traded debt instru
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FCA 2013/xx Duration of the credit
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FCA 2013/xx Track record and financ
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FCA 2013/xx Pledge of assets, takin
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FCA 2013/xx complete and stabilised
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FCA 2013/xx properties are diversif
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FCA 2013/xx assets are highly liqui
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FCA 2013/xx market asset when it co
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FCA 2013/xx Financial strength of t
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FCA 2013/xx (f) (g) The effect of t
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FCA 2013/xx (2) contains the rule t
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FCA 2013/xx 6.1.8 G The pricing mod
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FCA 2013/xx 6.2.3 G Futures, forwar
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FCA 2013/xx 6.2.11 G This table bel
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FCA 2013/xx (b) (c) equal to a frac
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FCA 2013/xx demonstrate this by hav
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FCA 2013/xx shifts for both VaR and
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FCA 2013/xx individual basis if it
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FCA 2013/xx material practical or l
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FCA 2013/xx the financial situation
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FCA 2013/xx consolidated situation
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FCA 2013/xx applications against ar
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FCA 2013/xx Calculation of counterc
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FCA 2013/xx connection with common
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FCA 2013/xx “Qn” indicates the
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FCA 2013/xx [9.7 Exemptions 9.7.1 G
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FCA 2013/xx Permission 1 Internal R
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FCA 2013/xx consolidated basis for
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FCA 2013/xx 15 Own funds requiremen
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FCA 2013/xx 3.4 R For the purposes
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FCA 2013/xx (4) 40% for the period
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FCA 2013/xx (3) 0.6 during the peri
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FCA 2013/xx IFPRU 9.3 (Countercycli
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FCA 2013/xx 3.2.6R enter into a con
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FCA 2013/xx group members in excess
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FCA 2013/xx FCA to grant a waiver t
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FCA 2013/xx consolidated basis cons
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FCA 2013/xx that is not excluded un
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FCA 2013/xx third country countercy
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FCA 2013/xx purpose of BIPRU 10 (La
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FCA 2013/xx (ii) any private or pub
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FCA 2013/xx EEA prudential sectoral
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FCA 2013/xx financial instrument (1
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FCA 2013/xx (2) (in accordance with
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FCA 2013/xx basis under Article 73(
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FCA 2013/xx (3) (in BIPRU 12 (Liqui
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FCA 2013/xx 2.3 (Supervisory review
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FCA 2013/xx Annex C Amendments to t
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FCA 2013/xx CAPITAL REQUIREMENTS DI
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FCA 2013/xx 1.3 Valuation … … P
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FCA 2013/xx … Calculation of the
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FCA 2013/xx The table in GENPRU 2.1
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FCA 2013/xx ... … 2.2.220R; GENPR
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FCA 2013/xx … Limits on the use o
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FCA 2013/xx Core tier one capital:
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FCA 2013/xx Disclosure: Operational
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FCA 2013/XX current and future risk
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[Note: article 91(3) of the CRD] FC
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PART A: INTRODUCTION & INTERPRETATI
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Table 1: Glossary of terms defined
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PART C: LEVELS PROCESS FOR DIVIDING
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solo Remuneration Code firm. (2) Wh
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Disapplication of certain remunerat
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(5) Sub-paragraph (6) applies where
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APPENDIX 1: SUPPLEMENTAL GUIDANCE O
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This document has no legal effect a
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GENERAL GUIDANCE ON PROPORTIONALITY
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PART A: INTRODUCTION & INTERPRETATI
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Table 1: Defined expression group G
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proportionality rule. Part-year Rem
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(d) The rule on guaranteed variable
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APPENDIX 1: PILLAR 3 DISCLOSURE REQ
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CP13/6 - CRD IV for Investment Firms - Financial Conduct Authority

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