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

CRD IV for Investment Firms
CP13/6
Table 13: Eligible waivers related to an advanced prudential calculation approach
Permission – Model
waivers FCA Rule (rule waiver or modification) CRR article
Internal Ratings Based (IRB)
permission for credit risk
Eligibility of physical
collateral under the IRB
Approach
Master netting agreement
internal models approach
Supervisory formula
method for securitisation
transactions
ABCP internal assessment
approach
Exceptional treatment
for liquidity facilities
where pre-securitisation
Risk Weight Exposure
Amount (RWEA) cannot be
calculated
Advanced Measurement
Approach (AMA)
permission
Combined use of different
approaches for operational
risk – AMA and
standardised approach or
basic indicator approach
Permission to use internal
models to calculate own
funds requirements for
market risk (Value at Risk)
Permission to use internal
models to calculate own
fund requirements for
the correlation trading
portfolio
• BIPRU 4 applies to a firm with an IRB permission
• Rules waived or modified:
(a) GENPRU 2.1.51R
(b) BIPRU 3.1.1R
• BIPRU 4.10.16R (Where authorised by the firm’s IRB
permission)
• Part Three,
Title II,
Chapter 3
• Art. 143
• Art. 178.1(b)
Art. 199.6
• BIPRU 5.6.1R in accordance with BIPRU 5.6.12R Art. 221
• BIPRU 9.12.3R
• BIPRU 9.12.5R
• BIPRU 9.12.21R (Where authorised by the firm’s IRB
permission)
• BIPRU 9.12.20R (Where authorised by the firm’s IRB
permission)
• BIPRU 9.11.10R as modified in accordance with
BIPRU 9.12.28G (Where authorised by the firm’s
IRB permission)
• BIPRU 6.5 applies to a firm with an AMA
permission
• Rule waived or modified: BIPRU 6.2.1R
• BIPRU 6.2.9R (in accordance with BIPRU 6.2.10G
and the firm’s AMA permission)
• BIPRU 7.10 applies to a firm with a VaR model
permission
• Standard market risk PRR rules as specified and
waived or modified by the firm’s VaR model
permission waiver
• GENPRU 2.1.52R
• BIPRU 7.10.55T R to BIPRU 7.10 55ZA R
(Where the firm is authorised to use the all price risk
measure in its VaR model permission waiver)
Art. 259.1(b)
Art. 262
Art. 259.3
Art. 263.2
• Art. 312.2
• Part Three,
Title III,
Chapter 4
Art. 314,
par. 2 and 3
• Art. 363
• Part Three;
Title IV;
Chapter 5;
Sections 2, 3
and 4
Art. 377
Financial Conduct Authority July 2013
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