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

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FCA 2013/xx 12.4 Stress testing and contingency funding 12.4.-2 R … [Note: annex V paragraph 18 of the Banking Consolidation Directive article 86(7) of CRD] Stress testing 12.4.-1 R A firm must consider alternative scenarios on liquidity positions and on risk mitigants and must review regularly the assumptions underlying decisions concerning the funding position at least annually. For these purposes, alternative scenarios must address, in particular, off-balance sheet items and other contingent liabilities, including those of securitisation special purpose entities (SSPEs) or other special purpose entities, as referred to in the EU CRR, in relation to which the firm acts as sponsor or provides material liquidity support. … [Note: annex V paragraph 19 of the Banking Consolidation Directive article 86(8) of CRD] 12.4.5A R A firm must consider the potential impact of institution-specific, marketwide and combined alternative scenarios. Different time horizons periods and varying degrees of stressed conditions must be considered. … 12.4.10 R … [Note: annex V paragraph 20 of the Banking Consolidation Directive article 86(9) of CRD] Contingency funding plans [Note: annex V paragraph 21 of the Banking Consolidation Directive article 86(10) of CRD] 12.4.11 R In order to deal with liquidity crisis, a A firm must have in place contingency liquidity recovery plans setting out adequate strategies and proper implementation measures in order to address possible liquidity shortfalls, including in relation to branches established in another EEA State. Those plans must be regularly tested at least annually, updated on the basis of the outcome of the alternative scenarios set out in BIPRU 12.4.-1R, and be reported to and approved by the firm’s governing body, so that internal policies and processes can be adjusted accordingly. A firm must take the necessary operational steps in advance to ensure that liquidity recovery plans can be implemented immediately. [Note: annex V paragraph 22 of the Banking Consolidation Directive article Page 50 of 57
FCA 2013/xx 86(11) (part) of CRD] … 12.7 Liquidity assets buffer … 12.7.4 R For the purpose of BIPRU 12.7.3R, a firm may not include a debt security unless: (1) the central government or central bank in question has been assessed by at least two eligible ECAIs as having a credit rating associated with credit quality step in the credit quality assessment scale published by the appropriate regulator for the purpose of BIPRU 3 (The Standardised Approach: mapping of the ECAIs credit assessments to credit quality steps (Long term mapping)) credit quality step 1 in the table set out in BIPRU 12 Annex 1R (Mapping of credit assessments of ECAIs to credit quality steps); and … 12.7.6 R For the purpose of BIPRU 12.7.5R, a firm may not include reserves held at a central bank unless: (1) the central bank in question has been assessed by at least two eligible ECAIs as having a credit rating associated with credit quality step in the credit quality assessment scale published by the appropriate regulator for the purpose of BIPRU 3 (The Standardised Approach: mapping of the ECAIs credit assessments to credit quality steps (Long term mapping)) credit quality step 1 in the table set out in BIPRU 12 Annex 1R (Mapping of credit assessments of ECAIs to credit quality steps); and … 12.7.6A R For the purpose of BIPRU 12.7.2R(2), a firm may not include securities issues by a designated multilateral development bank unless: (1) the designated multilateral development bank in question has been assessed by at least two eligible ECAIs as having a credit rating associated with credit quality step in the credit quality assessment scale published by the appropriate regulator for the purpose of BIPRU 3 (The Standardised Approach: mapping of the ECAIs' credit assessments to credit quality steps (Long term mapping)) credit quality step 1 in credit quality step 1 in the table set out in BIPRU 12 Annex 1R (Mapping of credit assessments of ECAIs to credit quality steps); and Page 51 of 57
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Financial Conduct Authority Consult
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We are asking for comments on this
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CP13/6 CRD IV for Investment Firms
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CRD IV for Investment Firms CP13/6
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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 losses because its inco
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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 (b) provide the resolut
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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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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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