Prudential Regulation Authority Rulebook

1.1

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

1.2

In this Part the following definitions shall apply:

core UK group

means all counterparties that:

1. (a) are listed in a firm's core UK group permission;
2. (b) in relation to a firm, satisfy the conditions in Article 113(6) of the CRR; and
3. (c) in respect of which exposures are exempted, under Article 400(1)(f) of the CRR, from the application of Article 395(1) of the CRR.

core UK group eligible capital

means the sum of the following amounts for each member of the core UK group and the firm (the sub-group):

1. (a) for the ultimate parent undertaking of the sub-group, the amount calculated in accordance with Article 6 of the CRR (or other applicable prudential requirements);
2. (b) for any other member of the sub-group, the amount calculated in accordance with Article 6 of the CRR (or other applicable prudential requirements) less the book value of the sub-group's holdings of capital instruments in that member, to the extent not already deducted in calculations done in accordance with Article 6 of the CRR (or other applicable prudential requirements) for:
1. (i) the ultimate parent undertaking of the sub-group; or
2. (ii) any other member of the sub-group.

The deduction in (b) must be carried out separately for each type of capital instrument eligible as own funds.

core UK group permission

means a permission given by the PRA under Article 113(6) of the CRR.

exposure

has the meaning given to it in Article 389 of the CRR.

non-core large exposures group or NCLEG

means all counterparties that:

1. (a) are listed in a firm's NCLEG non-trading book permission or NCLEG trading book permission; and
2. (b) in relation to a firm, satisfy the conditions in 2.1 or 2.2.

NCLEG non-trading book exemption

means the exemption in 2.1.

NCLEG non-trading book permission

means a permission given by the PRA in respect of Article 400(2)(c) of the CRR to apply the NCLEG non-trading book exemption.

NCLEG trading book exemption

means the exemption in 2.2.

NCLEG trading book permission

means a permission given by the PRA in respect of Article 400(2)(c) of the CRR to apply the NCLEG trading book exemption.

sovereign large exposures exemption

means the exemption in 3.1.

sovereign large exposures permission

means a permission given by the PRA in respect of Article 400(2)(g) or (h) of the CRR to apply the sovereign large exposures exemption.

trading book exposure allocation

means the allocation in 2.2

1.3

Unless otherwise defined:

1. (1) any italicised expression used in this Part and in the CRR has the same meaning as in the CRR; and
2. (2) any italicised expression used in this Part and in the CRD has the same meaning as in the CRD.