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?
244(4) BIPRU
9.5.1BD;
BIPRU
9.5.1CG;
BIPRU
9.5.1DG;
BIPRU
9.4.1EG;
BCD Annex
IX part 2,
point 2c
256(7) BIPRU
9.13.18 G
FCA shall grant permission for firms to use Significant
Risk Transfer if certain criteria are met.
FCA may give a firm a direction to allow it to apply
paragraph 6 to securitisations subject to an early
amortisation provision. The firm must comply with the
conditions in this paragraph.
Yes
Yes
259(1)
(b)
BIPRU
9.12.2
RBIPRU
9.12.3
RBIPRU
9.12.6 R
FCA can give non-originator firms permission to use
their IRB model to calculate certain inputs (Probability
of Default (PD), LGD, exposure value) in the Supervisory
Formula where the IRB model meets the criteria to
model those inputs.
Yes
259(1)
(b)
BIPRU
9.12.5R
FCA may allow a firm to use the Internal Assessment
Approach (IAA) in relation to unrated positions in an
Asset-Backed Commercial Paper (ABCP) programme.
Yes
259(1)
(e)
FCA can allow firms to apply Articles 253 and 254 to
an unrated position which is not commercial paper in
an ABCP programme, provided that it falls within the
scope of the (IAA).
Yes
259(3) BIPRU
9.12.20 R
259(5) BIPRU
9.12.20 R
262(2) BIPRU
9.14.3R
BIPRU
9.12.21R to
9.12.23R
BIPRU
9.12.24G
BIPRU
9.12.25R
BIPRU
9.12.27R
263(2) BIPRU
9.12.28G
The FCA shall grant permission for a firm to use IAA
where certain conditions are met.
Firms with permission to use IAA can only revert to the
use of other methods without the prior permission of
the FCA.
For securitisations in which materially all securitised
exposures are retail exposures, institutions may, subject
to permission by the FCA, use the Supervisory
Formula Method using the simplifications h=0 and v=0,
provided that the effective number of exposures is not
low and that the exposures are not highly concentrated.
FCA may give a direction to a firm to allow it to apply
the treatment in paragraph (3) to an unrated position
that is a liquidity facility where this does not qualify for
the IAA.
Yes
Yes
Yes
Yes
82 July 2013
Financial Conduct Authority