Advanced approaches
Waivers relevant to firms planning to adopt an advanced prudential calculation approach.
Firms should note the guidance in BIPRU 8.7.6 G, which states that advanced prudential calculation approaches may only be used for consolidated capital requirements if the waiver explicitly permits it. The information below about how and when firms should apply for these waivers applies equally to applications to use an advanced prudential calculation approach in consolidated calculations.
| Waivers | Rule reference | Description/comments (please refer to the rule for the precise details) |
| AMA permission | BIPRU 6.2.4 G and BIPRU 1.3.2 G |
For firms wishing to receive permission to use an operational risk model. |
| IRB permission | BIPRU 4 |
IRB permission For firms wishing to receive permission to use a credit risk model. |
| CCR internal model method permission | BIPRU 13.6 |
For firms wishing to receive permission to use a counterparty credit risk model. |
| CAD 1 permission | BIPRU 7.9 |
Firms wishing to apply for CAD1 model permissions should follow the guidance set out in BIPRU 7.9.9 G |
| VaR model permission | BIPRU 7.10 |
Firms wishing to apply for VaR model permission should follow the guidance set out in BIPRU 7.10.10 G |
| Master netting agreement internal models permission | BIPRU 5.6.13 G |
Apply using the normal FSA waiver application procedures. |
| Article 129 permissions | ||
|---|---|---|
| Article 129 Permission | BIPRU 1.3.3 G and BIPRU 1.3.4 G |
The Article 129 procedure allows an EEA parent institution and its subsidiaries to apply for permission to use IRB, AMA, CCR internal model method, or VaR model approaches without making separate applications to the competent authority of each EEA state where members of the group are authorised. Application details are set out in BIPRU 1.3.14 D to BIPRU 1.3.18 D. An Article 129 permission is not a waiver. It is a new process we are using to allow the use of advanced approaches. |
