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

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FCA 2013/xx … … After BIPRU 12, insert the following new annex. The text is all new and is not underlined. 12 Annex 1 R Mapping of credit assessments of ECAIs to credit quality steps Credit Quality Step Fitch's assessme nts 1 AAA to AA- Moody's assessments Aaa to Aa3 S&P's assessments AAA to AA- DBRS assessments AAA to AAL Corporate Institution (includes banks) Sovereign method Credit Assessment method Maturity > 3 months Maturity 3 months or less 20% 20% 20% 20% 0% Sovereign 2 A+ to A- A1 to A3 A+ to A- AH to AL 50% 50% 50% 20% 20% 3 BBB+ to BBB- Baa1 to Baa3 BBB+ to BBB- BBBH to BBBL 100% 100% 50% 20% 50% 4 BB+ to BB- Ba1 to Ba3 BB+ to BB- BBH to BBL 100% 100% 100% 50% 100% 5 B+ to B- B1 to B3 B+ to B- BH to BL 150% 100% 100% 50% 100% 6 CCC+ and below Caa1 and below CCC+ and below CCCH and below 150% 150% 150% 150% 150% 13 The calculation of counterparty risk exposure values for financial derivatives, securities financing transactions and long settlement transactions 13.1 Application and purpose Page 52 of 57
FCA 2013/xx … 13.1.4 G Pursuant to the third paragraph of article 95(2) of the EU CRR, BIPRU 13 implements: … … 14 Capital requirements for settlement and counterparty risk 14.1 Application and purpose … 14.1.3 G Pursuant to the third paragraph of article 95(2) of the EU CRR, BIPRU 14 implements: … … BIPRU TP 1 is deleted in its entirety. The deleted text is not shown. TP 2 Capital floors for a firm using the IRB or AMA approaches approach Application 2.1 R Subject to BIPRU TP 2.2R, this section applies to a BIPRU firm that applies the IRB approach or the advanced measurement approach. 2.2 R BIPRU TP 2.30R to BIPRU TP 2.34G apply to any firm to which BIPRU 8 (Group risk - consolidation) applies and which applies the IRB approach or the advanced measurement approach on a consolidated basis. Purpose 2.3 G This Pursuant to the third paragraph of article 95(2) of the EU CRR, this section in part implements Articles 152(1) - (7) of the Banking Consolidation Directive and Article 43 of the Capital Adequacy Directive. … 2.7 G BIPRU TP 9 explains how the general principle in this section is applied to a personal investment firm. Page 53 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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FCA 2013/xx Annex C Amendments to t
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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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