Prudential Regulation Authority Rulebook

27.1

In accordance with 27.2, where there is exposure to a counterparty of the type mentioned in 29.1(3)(b), 40% of the business amount must be deducted from the aggregate of such exposures. The amount so arrived at is the excess concentration with a number of counterparties. Where this amount is negative, it must be taken to be zero.

27.2

For the purposes of this Chapter:

1. (1) exposure to a counterparty must be taken into account only up to the level of the permitted counterparty exposure limit for that counterparty;
2. (2) exposure to a counterparty must not be taken into account if it does not exceed 5% of the business amount; and
3. (3) exposure to a counterparty must not be taken into account if the corresponding permitted counterparty exposure limit does not exceed 5% of the business amount.