Article 273b Non-Compliance with the Conditions for Using Simplified Methods for Calculating the Exposure Value of Derivatives | Prudential Regulation Authority Handbook & Rulebook
Prudential Regulation Authority Rulebook

Prudential Regulation Authority Rulebook

Part

Counterparty Credit Risk (CRR)

Article

Article 273b Non-Compliance with the Conditions for Using Simplified Methods for Calculating the Exposure Value of Derivatives

Printed on: 03/07/2025

Rulebook at: 11/05/2022


Article 273b Non-Compliance with the Conditions for Using Simplified Methods for Calculating the Exposure Value of Derivatives

1.

An institution that no longer meets one or more of the conditions set out in Article 273a(1) or (2) shall immediately notify the competent authority thereof.

  • 01/01/2022

2.

An institution shall cease to calculate the exposure values of its derivative positions in accordance with Section 4 or 5, as applicable, within six months of one of the following occurring:

  1. (a) the institution does not meet the conditions set out in point (a) of Article 273a(1) or (2), as applicable, or the conditions set out in point (b) of Article 273a(1) or (2), as applicable, for three consecutive months;
  2. (b) the institution does not meet the conditions set out in point (a) of Article 273a(1) or (2), as applicable, or the conditions set out in point (b) of Article 273a(1) or (2), as applicable, for more than six of the preceding 12 months.
  • 01/01/2022

3.

Where an institution has ceased to calculate the exposure values of its derivative positions in accordance with Section 4 or 5, as applicable, it shall only be permitted to resume calculating the exposure value of its derivative positions as set out in Section 4 or 5 where it demonstrates to the competent authority that all the conditions set out in Article 273a(1) or (2) have been met for an uninterrupted period of one year.

[Note: This is a permission under section 144G and 192XC of FSMA to which Part 8 of the Capital Requirements Regulations applies]

  • 01/01/2022