Prudential Regulation Authority Rulebook

1.1

This Part applies to every firm that is a CRR firm.

1.2

In this Part the following definitions shall apply:

exposure

has the meaning given to it in Article 389 of the CRR.

non-core large exposures group or NCLEG

means all counterparties that:

1. (a) are listed in a firm's NCLEG non-trading book permission or NCLEG trading book permission; and
2. (b) in relation to a firm, satisfy the conditions in 2.1 or 2.2.

NCLEG non-trading book exemption

means the exemption in 2.1.

NCLEG non-trading book permission

means a permission given by the PRA in respect of Article 400(2)(c) of the CRR to apply the NCLEG non-trading book exemption.

NCLEG trading book exemption

means the exemption in 2.2.

NCLEG trading book permission

means a permission given by the PRA in respect of Article 400(2)(c) of the CRR to apply the NCLEG trading book exemption.

resolution exemption

means the exemption in 2.4

resolution exposure

means an exposure to resolution liabilities that ensures that losses can be absorbed and passed from the firm to its resolution entity.

resolution liabilities

means liabilities that meet the following criteria:

1. (a) the instrument that creates the liabilities must be issued and fully paid up;
2. (b) the liabilities are not secured or guaranteed by, the firm, its parent undertaking or any subsidiaries of the firm or its parent undertaking;
3. (c) the liabilities have a minimum effective remaining maturity of one year (where liabilities include an incentive to redeem, the maturity date shall, for the purposes of determining eligibility, be considered to be the date at which the incentive arises);
4. (d) the liabilities do not depend on derivatives for their value (put or call options will not in and of themselves be sufficient to disqualify a liability for this purpose absent any other dependency on derivatives);
5. (e) the liabilities are not subject to contractual set-off or netting arrangements;
6. (f) the liabilities are able to absorb losses and recapitalise the issuer of the liability, such as through being written down and/or converted to equity, without the use of stabilisation or resolution powers at the level of the issuer of the liability;
7. (g) the liabilities are subordinated to the operating liabilities of the issuer; and
8. (h) the liabilities do not take the form of equity.

sovereign large exposures exemption

means the exemption in 3.1.

sovereign large exposures permission

means a permission given by the PRA in respect of Article 400(2)(g) or (h) of the CRR to apply the sovereign large exposures exemption.

trading book exposure allocation

means the allocation in 2.2

1.3

Unless otherwise defined:

1. (1) any italicised expression used in this Part and in the CRR has the same meaning as in the CRR; and
2. (2) any italicised expression used in this Part and in the CRD has the same meaning as in the CRD.