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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

29/06/2018

  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 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.
  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.
  5. (3) With respect to the application of requirements laid down in Part Four of the CRR on a consolidated basis, a firm may treat  the total amount of exposures that are exempt in accordance with an NCLEG non-trading book permission on an individual basis as exempt from the limit in Article 395(1) of the CRR on a consolidated basis.

Additional Notes


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

NCLEG trading book exemption

2.2

29/06/2018

  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 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) [deleted.]
  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.
  7. (6) With respect to the application of requirements laid down in Part Four of the CRR on a consolidated basis, a firm may treat the amount of exposures that are exempt in accordance with an NCLEG trading book permission on an individual basis as exempt from the limit in Article 395(1) of the CRR on a consolidated basis.

Additional Notes


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

Notifications and reporting

2.3

29/06/2018

  1. (1) A firm with a core UK group permission and an NCLEG trading book permission and/or an NCLEG non-trading book permission must give the PRA written notice whenever the firm
    1. (a) [deleted] 
    2. (b) becomes aware that the total amount of exposures from the core UK group (including the firm) to a particular member of the firm's NCLEG are likely to exceed, or have exceeded, 25% of the eligible capital of the PRA-regulated firm with the largest eligible capital base in the core UK group;
    3. (c) becomes aware that the total exposures from the members of its core UK group (which are not firms) to the firm's NCLEG are likely to exceed, or have exceeded 25% of the eligible capital of the PRA-regulated firm with the largest eligible capital base in the core UK group.
  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) [deleted.]

2.4

29/06/2018

A firm must exclude from the limit in Article 395(1) of the CRR resolution exposures to:

  1. (1) its parent undertaking;
  2. (2) other subsidiaries of that parent undertaking; or
  3. (3) its own subsidiaries,

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.   

Additional Notes


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