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BIPRU 10.5 Limits on exposures2

Definition of large exposure

BIPRU 10.5.1R

A large exposure of a firm means its total exposure to a counterparty, connected counterparties or a group of connected clients, whether in the firm's non-trading book or trading book or both, which in aggregate equals or exceeds 10% of the firm's capital resources.

[Note: BCD Article 108]2

Definition of capital resources

BIPRU 10.5.2R

A firm must calculate its capital resources for the purposes of this chapter in accordance with GENPRU 2.2 (Capital resources) and BIPRU 10.5.3 R to BIPRU 10.5.5 R.

BIPRU 10.5.3R

Subject to BIPRU 10.5.4 R, for the purposes of this chapter, a firm's capital resources mean capital resources calculated at stage (N) of the calculation in the capital resources table (Total tier one capital plus tier two capital after deductions).

BIPRU 10.5.4R

For the purposes of monitoring against the trading book limits and charge regime, as set out in BIPRU 10.10A.2 R to BIPRU 10.10A.11R (Intra-group exposures: Trading book limits)2, and calculating a firm's CNCOM, a firm's capital resources may include tier three capital resources, in which case a firm's capital resources mean capital resources calculated at stage (T) of the capital resources table (Total capital after deductions).

2
BIPRU 10.5.5R

A firm must not take into account the following items:

  1. (1)

    surplus provisions (see GENPRU 2.2.190 R to GENPRU 2.2.193 R); or

  2. (2)

    expected loss amounts and other negative amounts (see GENPRU 2.2.236 R); or

  3. (3)

    securitisation positions (see GENPRU 2.2.237 R).

    [Note: BCD Article 66(3)]2

22Large exposure limits

BIPRU 10.5.6R

A firm must ensure that the total amount of its exposures to the following does not exceed 25% of its capital resources (as determined under BIPRU 10.5.2 R, BIPRU 10.5.3 R and BIPRU 10.5.5 R):

  1. (1)

    a counterparty; or

  2. (2)

    a group of connected clients; or

  3. (3)

    its connected counterparties.2

[Note: BCD Article 111(1) first paragraph]

BIPRU 10.5.7G

If a connected counterparty is also a member of a group of connected clients the limit in BIPRU 10.5.6 R covers the aggregate of the total amount of the firm's exposures to its connected counterparties and of the total amount of its exposures to that group of connected clients.

BIPRU 10.5.8R

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BIPRU 10.5.9R

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BIPRU 10.5.10G

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BIPRU 10.5.11R

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BIPRU 10.5.12R

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BIPRU 10.5.13R

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BIPRU 10.5.14R

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BIPRU 10.5.15G

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BIPRU 10.5.16G

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BIPRU 10.5.17R

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BIPRU 10.5.18R

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BIPRU 10.5.19G

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BIPRU 10.5.20R

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BIPRU 10.5.21R

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BIPRU 10.5.22R
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BIPRU 10.5.23G

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BIPRU 10.5.24G

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