Application Provision
1
Application and Definitions
- 01/01/2014
- Legal Instruments that change this rule 1.1
1.2
In this Part the following definitions shall apply:
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.
means a direction waiving or modifying a rule given by the PRA under section 138A (waiver or modification of rules) FSMA.
- 01/01/2014
- Legal Instruments that change this rule 1.2
1.3
- 01/01/2014
- Legal Instruments that change this rule 1.3
Export chapter as
2
Waivers Transitional Provisions
2.1
- (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) 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) Each CRR permission given in accordance with paragraph (2) shall continue to have effect until the expiry date specified in the waiver.
- (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) 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) 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) 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
- (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) 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.
- 01/01/2014
- Legal Instruments that change this rule 2.2
Schedules
Schedule 1
Internal model waivers
| CRR Permission | Column 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 |
Schedule 2
Other Waivers and Requirements
| CRR Permission | Column 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
|
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 |