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

CP13/6
CRD IV for Investment Firms
Permission FCA Rule (rule waiver or modification) CRR article
Own funds requirements
for commodities risk for
options and warrants on:
commodities; and
commodities derivatives
Interest rate risk on
derivative instruments
Waiver of large exposure
limits in exceptional cases
Waiver of large exposure
limits in relation to intragroup
exposures: core UK
group waivers
Waiver of large exposure
limits in relation to intragroup
exposures: non-core
group waivers
• BIPRU 7.9 applies to a firm with a CAD1 model
waiver.
• Rules waived or modified:
(a) GENPRU 2.1.52R
(b) BIPRU 7.4.1R
• CAD1 model waiver for the use of an interest
rate pre-processing model in accordance with
BIPRU 7.9.44G
• Rule waived: GENPRU 2.1.52R
• BIPRU 10.6.32R – As waived in accordance
with BIPRU 10.6.33G
• BIPRU 3.2.25R(2)
• BIPRU 10.8A
• BIPRU 10.9A
Art. 358.3
Art. 331
Art. 340
Art. 396 in relation
to the 100% large
exposure limit set
out in Art. 395(1)
Art. 113.6
Art. 400.1(f)
Art. 400.2(c) as
implemented by
IFPRU 8.2.4R–8.2.7R
(Intra-group
exposures: non-core
large exposures
group)
7.12 Firms will not be required to confirm expressly to the FCA that they continue to comply with
any relevant rules and conditions applicable to each eligible waiver referred to in Table 12.
However, as stated above, firms must be fully compliant with all such rules and conditions on
and before 31 December 2013 in order to be able to rely on the current waiver direction as the
equivalent permission under the CRR with effect from 1 January 2014. Should a firm cease to
comply at any time, they must notify the FCA immediately as per Principle 11 (Relations with
Regulators) (PRIN 11) by contacting their FCA supervisory contact.
Eligible waivers related to an advanced prudential calculation approach
7.13 Where a firm holds a waiver that relates to an advanced prudential calculation approach, it
must expressly confirm to the FCA that it complies with the relevant requirements that apply to
that approach. Table 13 shows the applicable GENPRU / BIPRU rules and the equivalent articles
in the CRR for all waivers relating to advanced prudential calculation approaches that will be
eligible for the treatment described in this chapter:
56 July 2013
Financial Conduct Authority