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Application provision

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

1

Application and Definitions

1.1

01/01/2014

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

1.2

01/01/2014

In this Part the following definitions shall apply:

CRR permission

means a permission given to a firm by the PRA under any CRR Article listed in column B of the Tables in Schedules 1 and 2 in the exercise of the discretion afforded to it as a competent authority.

Waiver

means a direction waiving or modifying a rule given by the PRA under section 138A (waiver or modification of rules) FSMA.

1.3

01/01/2014

Unless otherwise defined, any italicised expression used in this Part and in the CRR has the same meaning as in the CRR.

2

Waivers Transitional Provisions

2.1

01/10/2015

  1. (1) This rule applies where, immediately before 1 January 2014, a waiver given in relation to a rule listed in column A of the Tables in Schedules 1 and 2 and any condition relevant to the application of that waiver has effect.
  2. (2) Subject to paragraph (5), each waiver given in relation to a PRA rule listed in column A of the Tables in Schedules 1 and 2 is treated as a CRR permission given by the PRA to the firm under the CRR Article listed in the same row in column B of the Table.
  3. (3) Each CRR permission given in accordance with paragraph (2) shall continue to have effect until the expiry date specified in the waiver.
  4. (4) Where a waiver listed in Schedules 1 and 2 specifies that it applies to a firm on a consolidated basis in accordance with a relevant provision in BIPRU 8, the CRR permission shall apply to the firm on the basis of its consolidated situation in accordance with Article 11 of the CRR.
  5. (5) Paragraphs (1) to (4) only have effect in relation to a waiver listed in Schedule 1 where the firm has confirmed to the PRA 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.
  6. (6) Any condition relevant to the application of the waiver shall have effect on 1 January 2014 until the expiry date specified in the waiver.
  7. (7) A waiver listed in row 1 of the Table in Schedule 2 (individual consolidation method) only includes a deemed waiver under the PRA's prudential sourcebook for Banks, Building Societies and Investment Firms transitional provision 22.3R where a firm has confirmed to the PRA that the solo consolidation minimum standards are met with respect to the relevant subsidiary undertaking.

2.2

01/01/2014

  1. (1) This rule applies where, immediately before 1 January 2014, a waiver given in relation to a rule in the PRA’s supervision manual listed in column A of the Table in Schedule 3 has effect.
  2. (2) Each waiver given in relation to a rule  in the PRA's supervision manual listed in column A of the Table in Schedule 3 is to be treated as a waiver given by the PRA to the firm under the SUP rule listed in the same row in column B of the Table.

Schedules

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