BIPRU 10.5 Limits on exposures2

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

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.

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).

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).

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

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