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?
354(6) Transitional discretion until end 2017 where the FCA
may allow 0% own funds requirements in relation to
pairs of currencies that are demonstrably perfectly
positively correlated.
Yes
363(1) BIPRU
7.10.1R
to BIPRU
7.10.17G
366(4) BIPRU
7.10.106G
The FCA shall grant a VaR permission to a firm that
complies with the requirements in sections 2, 3 and 4
of this article.
Article 366(4) states that the FCA can use its discretion
to limit the VaR multiplier add-on resulting from
backtesting exceptions under hypothetical changes,
where the number of backtesting exceptions under
actual changes does not result from deficiencies in a
firm’s internal model.
Yes
Yes
367(1)
(b)
BIPRU
7.10.39 R
to BIPRU
7.10.45G,
BIPRU
7.10.53 R
to BIPRU
7.10.55G,
BIPRU
7.10.68 G
This Article requires a firm to justify to the FCA the
exclusion from its risk management model of a risk
factor incorporated into its pricing model.
Yes
373 BIPRU
7.10.55B R
FCA to grant permission before firms are allowed to
include listed equity positions in their Incremental Risk
Charge (IRC) model.
Yes
377(1)-
(4)
BIPRU
7.10.55T R
to BIPRU
7.10.55YR
FCA shall grant a firm with a VaR permission an
additional authorisation to use an internal model to
calculate market risk of positions in the correlation
trading portfolio.
Yes
380 BIPRU
14.4.7G
FCA may waive the capital requirements relating to
settlement risk if a system wide failure of a settlement
or clearing occurs until the situation is rectified.
Yes
382 An institution can include securities financing
transactions in the calculation of own funds required
if the FCA determines that the institution’s CVA risk
exposures arising from those transactions are material.
Yes
395(1) BIPRU
10.5.6R,
BIPRR
10.5.7G,
BIPRU
10.6.32R
396(1) BIPRU
10.6.33G
FCA may set a lower limit than €150 million or 25% of
an institutions eligible capital.
FCA may waive on a case by case basis compliance
with the Large Exposures limits. A waiver would be
permitted in under certain circumstances and for a
‘limited period of time’ for the firm to bring itself into
compliance with the Large Exposure limit.
No
Yes
86 July 2013
Financial Conduct Authority