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

CRD IV for Investment Firms
CP13/6
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?
179 BIPRU 4.3.9 FCA may allow in a firm’s IRB Permission flexibility in
the application of the required standards for data in
relation to data collected prior to 1 January 2007.
Yes
180,
181
and
182
BIPRU
4.6.29
FCA may allow a firm in its IRB Permission to use data
covering 2 years (not 5 years) for LGD and conversion
factors estimations in certain circumstances, when the
firm implements the IRB approach.
Yes
183 BIPRU
4.10.44R
FCA may allow a firm in its IRB Permission to recognise
conditional guarantees as eligible for the purposes of
assessing the effect of these guarantees in the firm’s
calculation of own LGDs.
Yes
199(6) Where specified conditions are met, the FCA shall permit
an institution to use as eligible collateral physical collateral
of a type other than those listed in art 119(2-4).
Yes
221 BIPRU
5.6.12-19R
225 BIPRU
5.4.45-47R
237 BIPRU
5.8.1R
BIPRU
5.8.2R
BIPRU
4.10.50R
243(2) BIPRU
9.4.11R
BIPRU
9.3.7R
BIPRU
9.4.1R
244(2) BIPRU
9.5.1R(6);
BCD Annex
IX part 2,
point 2a
221(1): FCA may give a direction to a firm to allow it
to use an Internal Models Approach for master netting
agreements.
221(2): FCA may permit a firm to apply an internal
models approach permission to margin lending
transactions where they are covered by an appropriate
bilateral master netting agreement.
221(4): FCA may only grant an internal models
approach permission where the applicant meets the
conditions set out in this article.
FCA may give a firm a direction to allow it to use its
own estimates of volatility adjustments to be applied
to collateral and exposures, where the firm complies
with the requirements in paragraphs (2) and (3) of this
article. This is a separate permission (own estimates of
volatility adjustments approach permission).
The FCA may specify in an IRB firm’s permission short
term exposures subject to a one-day floor rather than
a one-year floor in respect of the maturity value to be
calculated in accordance with art. 162 (Maturity).
FCA can decide whether significant credit risk has been
transferred to third parties in a traditional securitisation.
FCA can decide whether significant credit risk has been
transferred to third parties in a synthetic securitisation.
Yes
Yes
Yes
Yes
Yes
Financial Conduct Authority July 2013
81