IFPRU TP 1 GENPRU and BIPRU waivers: transitional

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

[deleted]1

5

[deleted]1

6

[deleted]1

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

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 244(2), (3) and (4)1

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 245(2), (3) and (4)1

7

[deleted]1

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

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)