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

CP13/6
CRD IV for Investment Firms
CRR
article
FCA
Handbook
reference –
if existing
discretion
Area of national discretion
Does the
FCA intend
to exercise
the relevant
discretion from
1 January 2014?
162 BIPRU
4.4.67R,
BIPRU
4.4.81R,
BIPRU
4.6.54R
Further criteria for IRB permissions:
162(1) - for Foundation IRB firms, the FCA may give a
direction to a firm to use a specified Maturity for each
exposure among those set out in art. 162(2)
162(2)(h) - FCA may give a firm using an internal
model to calculate credit valuation adjustment (CVA)
authorisation to use its own estimate of effective credit
duration as maturity (M).
162(2)(i) - A firm, with an IMM Permission and a
specific market risk internal model permission for
traded debt instruments shall set M to 1 in the formula
laid out in Art 153(1), provided that the firm can
demonstrate to the FCA that its internal model for
specific risk associated with traded debt positions under
Art 383 contains effects of rating migrations.
Yes
164
and
199
BIPRU
4.6.54R
164(2) - FCA may decide whether unfunded credit
protection is eligible in support of an individual
exposure or pool of exposures.
164(5) - FCA must assess periodically and, at least,
annually whether the minimum Loss Given Default
(LGD) set out in paragraph (4) for exposures secured by
residential and commercial real estate are appropriate.
The FCA may increase these minima on the basis of
financial stability considerations.
Yes (we will
publish this data
at a later date)
166(8) BIPRU
4.4.37R -
9(a) first
paragraph,
(b), (c) and
(d), BIPRU
4.6.44R
- 9(a) last
paragraph,
BIPRU
4.8.29R
- 9(c) last
paragraph,
BIPRU
4.4.45R -
9 (e)
170(4) BIPRU
4.6.11R
178 BIPRU
4.3.57
Permission to use own estimates of conversion factors
(art. 166(8)(e)): an advanced IRB firm may use its own
estimates of conversion factors across the different
product types listed in subparagraph (a) to (d) of art.
166(8) with the prior consent of the FCA.
FCA may exempt a firm from the obligation to include
‘delinquency’ as a risk driver for assigning exposures
to grade or pools, provided that delinquency is not
material for a given exposure.
Under the IRB approach, this article defines a period
of 90 days past due as a default, with the possibility of
this period being extended to 180 days for exposures
secured by residential or retail SME CRE, as well as
exposures to PSEs should the FCA deem appropriate.
Yes
Yes
Yes
80 July 2013
Financial Conduct Authority