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Application provision

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

NCLEG non-trading book exemption

2.1

01/01/2014

  1. (1) A firm with an NCLEG non-trading book permission may (in accordance with that permission) exempt, from the application of Article 395(1) of the CRR, non-trading book exposures, including participations or other kinds of holdings, incurred by the firm to members of its NCLEG that are:
    1. (a) its parent undertaking;
    2. (b) other subsidiaries of that parent undertaking; or
    3. (c) its own subsidiaries,
  2.       in so far as those undertakings are covered by the supervision on a consolidated basis to which the firm itself is subject, in accordance with the CRR, Directive 2002/87/EC or with equivalent standards in force in a third country. 
  3. (2) A firm may only use the NCLEG non-trading book exemption where:
    1. (a) the total amount of non-trading book exposures (whether or not exempted from Article 395(1) of the CRR) from the firm to its NCLEG does not exceed 100% of the firm's eligible capital; or
    2. (b) (if the firm has a core UK group permission) the total amount of non-trading book exposures (whether or not exempted from Article 395(1) of the CRR) from its core UK group (and the firm) to its NCLEG does not exceed 100% of the core UK group eligible capital.
  4.       A firm may calculate the total amount of such exposures after taking into account the effect of credit risk mitigation in accordance with Articles 399 to 403 of the CRR.

Additional Notes


[Note: Art 400(2)(c) of the CRR]

NCLEG trading book exemption

2.2

01/01/2014

  1. (1) A firm with an NCLEG trading book permission may (in accordance with that permission) exempt, from the application of Article 395(1) of the CRRtrading book exposures up to its trading book exposure allocation, including participations or other kinds of holdings, incurred by the firm to members of its NCLEG that are: 
    1. (a) its parent undertaking
    2. (b) other subsidiaries of that parent undertaking; or 
    3. (c) its own subsidiaries
  2.       in so far as those undertakings are covered by the supervision on a consolidated basis to which the firm itself is subject, in accordance with the CRR, Directive 2002/87/EC or with equivalent standards in force in a third country;
  3. (2) The trading book exposure allocation for a firm that does not have a core UK group permission is 100% of the firm's eligible capital less the total amount of non-trading book exposures (whether or not exempted from Article 395(1) of the CRR) from the firm to its NCLEG.
  4. (3) The trading book exposure allocation for a firm (F) that has a core UK group permission is equal to RxTTBE where: 
    1. (a) R is F's trading book exposures to its NCLEG divided by the total trading book exposures of the core UK group (and F) to F's NCLEG; and 
    2. (b) TTBE is 100% of F's core UK group eligible capital less the total amount of non-trading book exposures (whether or not exempted from Article 395(1) of the CRR) from the core UK group (and F) to F's NCLEG.
  5. (4) A firm may calculate its trading book exposure allocation after taking into account the effect of credit risk mitigation in accordance with Articles 399 to 403 of the CRR.
  6. (5) A firm must allocate the trading book exposures it has to its NCLEG to its trading book exposure allocation in ascending order of specific-risk requirements in Part Three, Title IV, Chapter 2 and/or requirements in Article 299 and Part Three, Title V of the CRR.

Additional Notes


[Note: Art 400(2)(c) of the CRR]

Notifications and reporting

2.3

01/01/2014

  1. (1) A firm with a core UK group permission and an NCLEG trading book permission or an NCLEG non-trading book permission must give the PRA written notice whenever the firm
    1. (a) intends, or becomes aware that a member of its core UK group intends, for the total amount of exposures from the core UK group (and the firm) to a particular member of the firm's NCLEG to exceed 25% of its core UK group eligible capital
    2. (b) becomes aware that the total amount of exposures from the core UK group (and the firm) to a particular member of the firm's NCLEG are likely to exceed, or have exceeded, 25% of its core UK group eligible capital;
  2. (2) The written notice required under (1) must contain the following: 
    1. (a) details of the size and the expected duration of the relevant exposures; and 
    2. (b) an explanation of the reason for those exposures.
  3. (3) A firm with a core UK group permission and an NCLEG trading book permission or an NCLEG non-trading book permission must submit FSA018 in accordance with SUP 16.12.