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?
282(6) BIPRU
13.5.9R
BIPRU
13.5.10R
283 BIPRU
13.6.7R;
BIPRU
13.6.8R;
BIPRU
13.6.9G;
BIPRU
13.6.13R;
BIPRU
13.6.17
R; BIPRU
13.6.19G;
BIPRU
13.6.20R;
284(4) BIPRU
13.6.24R
BIPRU
13.6.25R
BIPRU
13.6.31R
284(9) BIPRU
13.6.33R
BIPRU
13.6.34R
For (i) transactions with a non-linear risk profile or for
payment legs and transactions with debt instruments as
underlying for which the instrument cannot determine
delta or the modified duration and (ii) where the
firm has a market risk model permission; the FCA
may determine the size of the risk positions and the
applicable Counterparty Credit Risk Multiplier or require
the institution to use the mark to market method.
Where the FCA is satisfied that the relevant conditions
are met, it shall grant permission for a firm to use
an internal model for counterparty credit risk capital
calculations.
FCA may require a firm to use a higher alpha (in
addition to FCA having the discretion to grant
permission for own estimates of alpha in art 284(9).
FCA may allow a firm to use its own estimates of alpha.
This will be specified in the firm’s IMM permission.
Yes
Yes
Yes
Yes
285(1)-
(2)
BIPRU
13.6.38R
BIPRU
13.6.40R
FCA may allow a firm to use its own model of Expected
Exposure (EE) in Calculation of effective EE in art.
284(5) only where the model captures the effects of
margining. This permission will be specified in the firm’s
IMM permission.
Yes
292(3) Express requirement on firms to demonstrate to the
satisfaction of the FCA at least quarterly that the stress
period used for the calculation under this paragraph
coincides with a period of increased credit default swap
or other spreads for a representative selection of its
counterparties with traded credit spreads.
292(5) The FCA may require a firm to adjust the stress
calibration for Effective Expected Positive Exposure
if the exposures of the firm’s benchmarks deviate
substantially from each other.
Yes
Yes
295 BIPRU
13.7.6R to
13.7.10R
FCA may only recognise as risk reducing those
contractual netting agreements meeting the
requirements set out in this article.
Yes
Financial Conduct Authority July 2013
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