IFPRU TP 1 GENPRU and BIPRU waivers: transitional

Application

1.1

R

IFPRU TP 1 applies to an IFPRU investment firm.

1.2

R

IFPRU TP 1 applies where immediately before 1 January 2014, a waiver given in relation to a rule listed in column A of the tables in IFPRU 1.9R (Internal model waivers) and TP 1.10R (Other waivers) has effect.

Duration of transitional

1.3

R

This section applies to each waiver in IFPRU 1.2 R, until the direction given in respect of that waiver ceases to have effect on its terms, or is revoked, whichever is the earlier.

Transitional

1.4

R

Subject to IFPRU TP 1.7R, each waiver given in relation to a FCA rule listed in column A of the tables in IFPRU TP 1.9R (Internal model waivers) and TP 1.10R (Other waivers) is treated as a permission from the FCA to the firm under the EU CRR article listed in the same row in column B of those tables.

1.5

R

Each permission under IFPRU TP 1.4R shall continue to have effect until the expiry date specified in the direction of the relevant waiver.

1.6

R

Where a waiver listed in IFPRU TP 1.9R (Internal model waivers) and TP 1.10R (Other waivers) specifies that it applies to a firm on a consolidated basis in accordance with a relevant provision in BIPRU 8 (Group risk consolidation), the permission applies to the firm on the basis of its consolidated situation in accordance with article 11 of the EU CRR (Application of requirements on a consolidated basis: general treatment).

1.7

R

A waiver listed in IFPRU TP 1.9R (Internal model waivers) only has effect in accordance with this TP where the firm has confirmed to the FCA that it materially complies with the requirements relevant to the rules listed in Column A of the table, as waived or modified by the waiver, and any conditions relevant to the application of the waiver or the firm has a remediation plan.

Interpretation

1.8

R

For the purpose of IFPRU TP 1:

(1)

"permission" includes a consent, approval or agreement conferred on the FCA as a competent authority under any EU CRR article listed in column B of the tables in IFPRU 1.9R (Internal waivers) and IFPRU TP 1.10R (Other waivers);

(2)

any expression used in IFPRU TP 1.9R (Internal model waivers) and TP 1.10R (Other waivers) which are defined in the Glossary has the meaning in the version of the Glossary in force on 31 December 2013; and

(3)

any reference to GENPRU and BIPRU is to the version in force on 31 December 2013.

Tables

1.9

R

Table on internal model waivers

Permission

Column A

FCA Rule (rule waiver or modification)

Column B

EU CRR reference

1

Internal Ratings Based (IRB) permission for credit risk

- BIPRU 4 applies to a firm with an IRB permission

- Rules waived or modified:

(a) GENPRU 2.1.51 R

(b) BIPRU 3.1.1 R

- Part Three, Title II, Chapter 3

- Art 143

- Art 178(1)(b)

(where a firm is authorised to replace 90 days with 180 days for exposures secured by residential or SME commercial real estate in the retail exposure class)

2

Eligibility of physical collateral under the IRB Approach

- BIPRU 4.10.16 R

(Where authorised by the firm's IRB permission)

Art 199(6)

3

Master netting agreement internal models approach

- BIPRU 5.6.1 R, in accordance with BIPRU 5.6.12 R

Art 221

4

Supervisory formula method for securitisation transactions

- BIPRU 9.12.3 R

- BIPRU 9.12.5 R

- BIPRU 9.12.21 R

(Where authorised by the firm's IRB permission)

Art 259(1)(b)

Art 262

5

ABCP internal assessment approach

- BIPRU 9.12.20 R

(Where authorised by the firm's IRB permission)

Art 259(3)

6

Exceptional treatment for liquidity facilities where pre-securitisation risk-weighted exposure amount cannot be calculated

- BIPRU 9.11.10 R as modified in accordance with BIPRU 9.12.28 G

(Where authorised by the firm's IRB permission)

Art 263(2)

7

Advanced Measurement Approach (AMA) permission

- BIPRU 6.5 applies to a firm with an AMA permission

- Rule waived or modified: BIPRU 6.2.1 R

- Art. 312(2)

- Part Three, Title III, Chapter 4

8

Combined use of different approaches for operational risk - AMA and Standardised Approach or Basic Indicator Approach

- BIPRU 6.2.9 R

(in accordance with BIPRU 6.2.10 G and the firm's AMA permission)

Art 314(2) and (3)

9

Permission to use internal models to calculate own funds requirements for market risk (Value at Risk)

- BIPRU 7.10 applies to a firm with a VaR model permission

- Standard market risk PRR rules as specified and waived or modified by the firm's VaR model permission waiver

- GENPRU 2.1.52 R

- Art. 363

- Part Three; Title IV; Chapter 5; Sections 2, 3 and 4

10

Permission to use internal models to calculate own fund requirements for the correlation trading portfolio

BIPRU 7.10.55T R to BIPRU 7.10.55ZA R

(Where the firm is authorised to use the all price risk measure in its VaR model permission waiver)

Art 377

1.10

R

Table on other waivers and requirements

Permission

Column A

FCA Rule (rule waiver or modification)

Column B

EU CRR Reference

1

Individual consolidation method

- BIPRU 2.1.7 R (Solo consolidation waivers)

Art 9

2

Derogation to the application of own funds requirements on a consolidated basis for groups of investment firms

- BIPRU 8.4 applies to a firm with an investment firm consolidation waiver

- Rules waived:

(a) BIPRU 8.2.1 R

(b) BIPRU 8.2.2 R

(c) BIPRU 8.3.1 R

(d) BIPRU 8.3.2 R

Art 15

Art 17

3

Entities excluded from the scope of prudential consolidation

- BIPRU 8.5.9 R

- BIPRU 8.5.10 R

Art 19(2)

4

Permission to revert to the use of a less sophisticated approach for credit risk

- BIPRU 4.2.23 R (as modified in accordance with BIPRU 4.2.25 G)

- BIPRU 4.2.24 R (as modified in accordance with BIPRU 4.2.25 G)

Art 149

5

Traditional securitisation - recognition of significant risk transfer

- BIPRU 9.4.11 R

- BIPRU 9.4.12 R

(subject to conditions in BIPRU 9.4.15 D)

Art 243(2), (3), (4) and (5)

6

Synthetic securitisation -recognition of significant risk transfer

- BIPRU 9.5.1 R (6) and (7)

(subject to conditions in BIPRU 9.5.1B D)

Art 244(2), (3), (4) and (5)

7

Securitisations of revolving exposures with early amortisation provisions -similar transactions

- BIPRU 9.3.11 D

- BIPRU 9.13.13 R

- BIPRU 9.13.14 R

- BIPRU 9.13.15 R

- BIPRU 9.13.16 R

- BIPRU 9.13.17 R

(subject to conditions in BIPRU 9.13.18 G)

Art 256(7)

8

Permission to revert to the use of a less sophisticated approach for operational risk

- BIPRU 6.2.5 R (as modified in accordance with BIPRU 6.2.6 G)

- BIPRU 6.2.7 R (as modified in accordance with BIPRU 6.2.8 G)

Art 313

9

Combined use of different approaches for operational risk -Standardised Approach and Basic Indicator Approach

- BIPRU 6.2.12 R (as modified in accordance with BIPRU 6.2.13 G)

Art 314(4)

10

Waiver of the three-year average for calculating the own funds requirement under the Basic Indicator Approach for operational risk

- BIPRU 6.3.2 R (as modified in accordance with BIPRU 6.3.9 G)

Art. 315

11

Waiver of the three-year average for calculating the own funds requirement under the Standardised Approach for operational risk

- BIPRU 6.4.5 R (as modified in accordance with BIPRU 6.4.8 G)

Art. 317(4)

12

Own funds requirements for position risk for options and warrants on:

(a) interest rates;

(b) debt instruments;

(c) equities;

(d) equity indices;

(e) financial futures;

(f) swaps; and

(g) foreign currencies

- BIPRU 7.9 applies to a firm with a CAD1 model waiver.

- Rules waived or modified:

(a) GENPRU 2.1.52 R

(b) BIPRU 7.6.1 R

Art 329

13

Own funds requirements for commodities risk for options and warrants on:

(a) commodities; and

(b) commodities derivatives

- BIPRU 7.9 applies to a firm with a CAD1 model waiver.

- Rules waived or modified:

(a) GENPRU 2.1.52 R

(b) BIPRU 7.4.1 R

Art 358(3)

14

Interest rate risk on derivative instruments

- CAD 1 model waiver for the use of an interest rate pre-processing model in line with BIPRU 7.9.44 G

- Rule waived: GENPRU 2.1.52 R

Art 331

Art 340

15

Waiver of 100% large exposure limits where the €150 million limit applies

- BIPRU 10.6.32 R (as waived in accordance with BIPRU 10.6.33 G)

- SUP 15.3.11 R

Art 396 in relation to the 100% large exposure limit set out in Art 395(1)

16

Waiver of large exposure limits in relation to intra-group exposures: core group waivers

- BIPRU 3.2.25 R (2)

- BIPRU 10.8A

Art 113(6)

Art 400(1)(f)

17

Waiver of large exposure limits in relation to intra-group exposures: non-core group waivers

- BIPRU 10.9A

Art 400(2)(c), as implemented by IFPRU 8.2.4R to 8.2.13R (Intra-group exposures: non-core large exposures group)

1.11

G

The requirement imposed in relation to a FCA rule listed in column A of the table in IFPRU 1.12G (Requirements) is treated as imposed under the EU CRR article listed in the same row in column B of the table.

1.12

G

Table on requirements

Requirement

Column A

FCA Rule

Column B

EU CRR Reference

1

Methods of prudential consolidation -art. 12(1) relationship

- BIPRU 8.5.6 R (2)

Art 18(3)

2

Methods of prudential consolidation- Significant influence or single management relationship

- BIPRU 8.5.6 R (2) - "Article 134 relationship"

Art 18(6)