Prudential Regulation Authority Rulebook

5.1

This Chapter applies only to firms that are CRR firms and are, or are controlled by, a G-SII or an O-SII.

5.2

In 5.6 and 5.7, a reference to an exposure to multiple counterparties means the sum of the exposures to the individual counterparties.

5.3

A firm which is a UK parent institution must comply with this Chapter on the basis of its consolidated situation.

5.4

The changes to this rule are effective from 23:00 on 31/12/2020.

A firm controlled by a UK parent institution or a UK parent financial holding company or a UK parent mixed financial holding company must comply with this Chapter on the basis of the consolidated situation of that parent institution or holding company.

5.5

A firm to which 5.3 and 5.4 do not apply must comply with this Chapter on an individual basis.

5.6

The reduced limit in 5.7 does not apply unless a firm meets each of the following conditions on the applicable basis determined in accordance with 5.3 to 5.5:

1. (1) The sum of the firm’s exposures to all French NFCs is greater than €2 billion:
2. (2) The firm has a qualifying exposure to a French NFC or a group of connected French NFCs, but considering, in the case of a group of connected French NFCs the ultimate parent of which is outside France, only exposures to the French NFCs in the group as required to be reported in templates C 28.00 and C 29.00 of Annex VIII to the Supervisory Reporting ITS; and
3. (3) The firm has an exposure meeting the conditions in (2) which is greater than 5% of its eligible capital, after taking into account the effect of the credit risk mitigation techniques and exemptions in accordance with Article 399 to 403 of the CRR.

5.7

The limit on exposures as a proportion of capital referred to in Article 395(1) of the CRR is reduced to 5% in respect of a qualifying exposure to a highly indebted French NFC or a highly indebted group of connected French NFCs.