Related provisions for BIPRU 13.6.4
1 - 4 of 4 items.
(1) A reference in the Handbook to a provision of the CCR internal model method, in relation to a firm:(a) excludes any provision of the CCR internal model method set out in the Handbook which is not applied to that firm by its CCR internal model method permission;(b) includes any additional provision contained in the CCR internal model method permission; and(c) takes into account any other amendments made to the provisions in the Handbook relating to the CCR internal model
If permitted by its CCR internal model method permission, and subject to its terms, a firm may carry out the implementation of the CCR internal model method sequentially across different transaction types; and during this period the firm may use the CCR mark to market method or the CCR standardised method.[Note: BCD Annex III Part 6 point 2]
After the initial period following the granting of its CCR internal model method permission, as referred to in BIPRU 13.6.13 R, a firm should extend the use of the CCR internal model method to cover any new business within a product category covered by its CCR internal model method permission. Subject to BIPRU 13.6.10 R to BIPRU 13.6.13 R, the firm should do so within a reasonable period of time. If the firm decides to exclude any business on, for example, the basis of materiality,
In principle, the use of different measures of exposure within the CCR internal model method is possible within the same product category, including on a permanent basis. The appropriate regulator may allow a firm, through the CCR internal model method permission, to use a more conservative measure of exposure that is less risk sensitive (for instance a measure based on conservative haircuts) for certain parts of the business if justified on a cost-benefit basis. However, a firm
The appropriate regulator may, through the CCR internal model method permission, require a firm to apply a multiplier to the measures of exposures coming out of a less risk-sensitive approach to calculating exposures as referred to in BIPRU 13.6.15 G where the appropriate regulator considers this to be appropriate due to the complexity of the business or the nature of the risks involved.
Subject to BIPRU 13.6.10 R to BIPRU 13.6.16 G, a firm that has a CCR internal model method permission must not use the CCR mark to market method or the CCR standardised method for transactions within the scope of the firm'sCCR internal model method permission.[Note: BCD Annex III Part 6 point 4 (part)]