BIPRU 10 Annex 1 Treatment of exposures under the integrated groups regime for concentration risk

No UK Integrated Group and no Wider Integrated Group

Situation

Exposure from / to

Summary of the available modifications

1

Intra group exposures but no UKIG or WIG in place

The firm is not subject to an integrated groups treatment of large exposures. The normal large exposure limits (BIPRU 10.5) apply to connected exposures of the firm at the solo level. (This assumes that no other large exposure exemptions are utilised.)

Although a firm's exposures to connected counterparties may not qualify for an integrated groups treatment, they may still qualify for a treasury and intra-group securities financing transaction concession (BIPRU 10.7).

UK Integrated Group established but no Wider Integrated Group in place

Situation

Exposure from / to

Summary of the available modifications

2

UKIG firm to another UKIG firm (they are members of the same UKIG)

(No WIG in place)

Exposures between members of a firm's UKIG are exempt from the large exposure limits. This means that the 25%, 800%, 500% and 600% limits are disapplied and that the exposures are not included in the notional CNCOM. (BIPRU 10.8.8 G)

3

UKIG firm to an undertaking within its residual block

(no WIG in place)1

In situation 3, there is a UKIG and a residual block. But no WIG has been established.

The UKIG's exposures to undertakings within its residual block are exempt from the normal large exposures limits at the solo level. Instead, the total of the UKIG's exposures to its residual block is subject to the following limits (BIPRU 10.8.6 R -BIPRU 10.8.7 R):

• BIPRU 10.5.6 R (25% non-trading book limit);
• BIPRU 10.5.11 R (trading book limits) other than BIPRU 10.5.11 R (2) (CNCOM);
• BIPRU 10.5.12 R (500% limit for excess trading book exposures1) with the deletion of the time limit set out in BIPRU 10.5.12 R; and
• BIPRU 10.7 (Treasury concession and intra group securities financing transactions).

The capital resources to which the limits apply are those of the UKIG, rather than those of the solo firm (BIPRU 10.8.6 R (3) and BIPRU 10.8.13 R).

BIPRU 10.7 (Treasury concession and intra-group securities financing transactions) may be applied to exposures of the UKIG to its residual block if the requisite conditions are satisfied.

In respect of the treasury concession (BIPRU 10.7.1 R BIPRU 10.7.3 G), the UKIG's exposures to undertakings within its residual block may be exempt from the 25 % limit, subject to a maximum of 50% of the capital resources of the UKIG. These exempt exposures would also be exempt for the purposes of calculating the notional CNCOM. Any exposure that meets the treasury concession conditions but is above the 50% limit would not be exempt from the large exposure limits. They would not be exempt from the notional CNCOM. The UKIG exposures that were eligible for a treasury concession, but which, together with other such exposures, exceeded the 50% limit are not exempt and are treated as other exposures of the UKIG and remain subject to the 25% limit.

4

A firm in the residual block to another undertaking in the residual block

Not within the scope of the preferential large exposure treatments.

5

A firm in the residual block to an undertaking which is a member of the UKIG

UK Integrated Group in place, Wider Integrated Group waiver granted

Situation

Exposure from / to

Summary of the available modifications

6

UKIG firm to another UKIG member (within the same UKIG)

(WIG in place)

exposures between members of a firm's UKIG are exempt from the large exposure limits (BIPRU 10.9.8 R). (The modifications available are the same as those noted for Situation 2.)

7

UKIG firm to an undertaking in its WIG

(WIG in place)

In situation 7 there is a UKIG, WIG (comprising diverse blocks agreed under the WIG waiver) and a residual block.

The aggregate exposure of the UKIG to each individual diverse block within the WIG is subject to the following limits (BIPRU 10.9.8 R BIPRU 10.9.9 R9R):

• BIPRU 10.5.6 R (25% non-trading book limit;);
• BIPRU 10.5.11 R (trading book limits) other that BIPRU 10.5.11 R (2) (CNCOM);
• BIPRU 10.5.12 R (500% limit for excess trading book exposures) with the deletion of the time limit set out in BIPRU 10.5.12 R; and
• BIPRU 10.7 (Treasury concession and intra-group securities financing transactions).

The capital resources to which these limits apply are those of the UKIG, rather than those of the solo firm (BIPRU 10.9.8 R (3) and BIPRU 10.9.13 R).

BIPRU 10.7 (Treasury concession and intra-group securities financing transactions) may also be applied to the exposures of the UKIG to each of its diverse blocks within the WIG if the requisite conditions are satisfied.

In respect of the treasury concession (BIPRU 10.7.1 R BIPRU 10.7.6 R6), where there is a WIG, the UKIG's exposures to each individual diverse block may be exempt from the 25% limit up to a maximum amount of 50% of the capital resources of the UKIG. Exempt exposures are also exempt for the purpose of calculating the notional CNCOM for each diverse block. The UKIG exposures to the individual diverse blocks that were eligible for the treasury concession, but which together with other such exposures exceed the 50% limit, are not exempt and are treated as otheor exposures of the UKIG and remain subject to the 25% limit.

8

UKIG firm to a undertaking within its residual block

(WIG in place)

In situation 8, there is a UKIG, WIG (comprising diverse blocks agreed under the WIG waiver) and residual block.

The UKIG's exposures to members of its residual block are exempt from the normal large exposures limits at the solo level. Instead, the total of the UKIG's exposures to the residual block is subject to the following limits (BIPRU 10.9.8 R BIPRU 10.9.11 G)

• BIPRU 10.5.6 R (25 % non-trading book limit);
• BIPRU 10.5.11 R (trading book limits) other than BIPRU 10.5.11 R (2) (CNCOM);
• BIPRU 10.5.12 R (500% limit for excess trading book exposures) with the deletion of the time limit set out in BIPRU 10.5.12 R; and
• BIPRU 10.7 (Treasury concession and intragroup securities financing transactions).

The capital resources to which these limits apply are those of the UKIG, rather than those of the solo firm (BIPRU 10.9.8 R and BIPRU 10.9.13 R).

BIPRU 10.7 (Treasury concession and intra-group securities financing transactions may also be applied to exposures of the UKIG to its residual block if the requisite conditions are satisfied.

In respect of the treasury concession (BIPRU 10.7.1 R BIPRU 10.7.6 R), where, subject to meeting the treasury concession conditions, the UKIG's exposures to undertakings within its residual block may be exempt from the 25% limit, subject to a maximum of 50% of the capital resources of the UKIG. These exempt exposures would also be exempt for the purposes of calculating the notional CNCOM. Any exposure that meets the treasury concession conditions but is above the 50% limit would not be exempt from the large exposure limits. They would not be exempt from the notional CNCOM. UKIG exposures that were eligible for a treasury concession, but which, together with other such exposures, exceeded the 50% limit are not exempt and are treated as other exposures of the UKIG and remain subject to the 25% limit.

9

WIG firm to an undertaking in the UKIG

Not within the scope of the preferential large exposure treatments.

10

WIG firm to another undertaking in the same WIG

(either within the same diverse block or between diverse blocks)

11

WIG firm to an undertaking within the residual block

12

A firm within the residual block to an undertaking within the UKIG

13

A firm within the residual block to an undertaking within the WIG

14

A firm within the residual block to an undertaking in the residual block

This table assumes that BIPRU TP 17 and BIPRU TP 18 have not been applied.