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 Tier 1 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 Tier 1 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.