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Application provision

1.1 This Part applies to every firm that is a CRR firm.

01/01/2014

Schedule 1

Internal model waivers

 CRR PermissionColumn A

PRA/FCA Rule
(rule waiver or modification)
Column B

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 2.1.51R

(b) BIPRU 3.1.1R
- Part Three, Title II, Chapter 3

- Art. 143

- Art. 178.1(b) (where a firm is authorised by its IRB waiver to use a 180 days definition of default for exposures secured by residential real estate in the retail exposure class, as well as for exposures to public sector entities)
2 Eligibility of physical collateral under the IRB Approach - BIPRU 4.10.16R
(Where authorised by the firm's IRB permission)
Art. 199.6
3 Master netting agreement internal models approach - BIPRU 5.6.1R in accordance with BIPRU 5.6.12R Art. 221
4 Supervisory formula method for securitisation transactions - BIPRU 9.12.3R
- BIPRU 9.12.5R
- BIPRU 9.12.21R
(Where authorised by the firm's IRB permission)
Art. 259.1(b)
Art. 262
5 ABCP internal assessment approach - BIPRU 9.12.20R
(Where authorised by the firm's IRB permission)
Art. 259.3
6 Exceptional treatment for liquidity facilities where pre-securitisation RWEA cannot be calculated - BIPRU 9.11.10R as modified in accordance with BIPRU 9.12.28G

(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 6.2.1R
- 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 6.2.9R
(in accordance with BIPRU 6.2.10G and the firm's AMA permission)
Art. 314,
par. 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 2.1.52R
- 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

 

01/01/2014

Schedule 2

Other Waivers and Requirements

 CRR PermissionColumn A

PRA/FCA Rule
(rule waiver or modification)
Column B

CRR Reference
1 Individual consolidation method
BIPRU 2.1.7R 
(Solo consolidation waivers)

Art. 9
2
Application of requirements of 
Part Five (exposures to 
transferred credit risk) on a 
consolidated basis 

BIPRU 9.15.16A R
Art. 14.3
3
Entities excluded from the scope
of prudential consolidation

BIPRU 8.5.9R
BIPRU 8.5.10R

Art. 19.2
4
Permission to revert to the use
of a less sophisticated approach
for credit risk
BIPRU 4.2.23R (as modified in
accordance with BIPRU 4.2.25G)
 
BIPRU 4.2.24R (as modified in
accordance with BIPRU 4.2.25G)

Art. 149
5
Traditional securitisation –
recognition of significant risk
transfer
BIPRU 9.4.11R 
BIPRU 9.4.12R 
(subject to conditions in 
BIPRU 9.4.15D)

Art. 243
par. 2, 3, 4 and 5
6
Synthetic securitisation –
recognition of significant risk
transfer

BIPRU 9.5.1R (6) and(7)
(subject to conditions in
BIPRU 9.5.1B D)

Art. 244,
par. 2, 3, 4 and 5
7
Securitisations of revolving
exposures with early
amortisation provisions – similar
transactions 
BIPRU 9.13.11R
BIPRU 9.13.13R
BIPRU 9.13.14R
BIPRU 9.13.15R
BIPRU 9.13.16R
BIPRU 9.13.17R
(subject to conditions in 
BIPRU 9.13.18G)

Art. 256.7
8
Permission to revert to the use
of a less sophisticated approach
for operational risk
BIPRU 6.2.5R (as modified in
accordance with BIPRU 6.2.6G)

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

Art. 313
9
Combined use of different
approaches for operational risk 
– standardised approach and
basic indicator approach

BIPRU 6.2.12R (as modified in
accordance with BIPRU 6.2.13G)
Art. 314.4
10
Waiver of the 3 year average for
calculating the own funds
requirement under the basic
indicator approach for
operational risk

BIPRU 6.3.2R (as modified in
accordance with BIPRU 6.3.9G)
Art. 315
11
Waiver of the 3 year average for
calculating the own funds
requirement under the
standardised approach for
operational risk

BIPRU 6.4.5R (as modified in
accordance with BIPRU 6.4.8G)
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 2.1.52R
(b) BIPRU 7.6.1R
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 2.1.52R
(b) BIPRU 7.4.1R

Art. 358.3
14
Interest rate risk on derivative
instruments
CAD1 model waiver for the use of an
interest rate pre-processing model in
accordance with BIPRU 7.9.44G

Rule waived: GENPRU 2.1.52R

Art. 331
Art. 340
15
Waiver of 100% large exposure
limit where the €150 million limit
applies
BIPRU 10.6.32R – As waived in
accordance with BIPRU 10.6.33G

SUP 15.3.11R
- 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 3.2.25R(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
rule 2 at Annex
I of the PRA
Rulebook CRR
Firms 
Instrument 2013

18
Waiver of large exposure limits
in relation to sovereign
exposures
BIPRU 10.6.34R as waived in
accordance with BIPRU 10.6.37G
- Art. 400.2(g)
and (h) as
implemented
by rule 3 at
Annex I of the
PRA Rulebook
CRR Firms
Instrument 2013

 

 

01/01/2014

Schedule 3

Waivers in Supervision Manual (SUP) 16

Column A

SUP 16 rule as in force until 31 December 2013
Column B

SUP 16 rule as in force from 1 January 2014
  SUP 16.12.11R SUP 16.12.11B R
  SUP 16.12.12. R SUP 16.12.12A R
  SUP 16.12.15 R SUP 16.12.15B R
  SUP 16.12.16 R SUP 16.12.16A R
  SUP 16.12.22A R SUP 16.12.22C R
  SUP 16.12.25A R SUP 16.12.25C R
  SUP 16.12.26 R SUP 16.12.26A R