Subject to paragraphs 2 and 3, trading book exposures shall be allocated to the location of the debtor.
For trading book exposures subject to the own funds requirements under Part Three, Title IV, Chapter 5 of Regulation (EU) No 575/2013, institutions shall determine their geographical location by multiplying their aggregate risk exposure amount by the ratio below:
the own funds requirements for sub-portfolios split according to the geographical location determined according to the model provided in Chapter 5 of Title IV of Part Three of Regulation (EU) No 575/2013 to
the sum of own funds requirements determined under point (a) across all geographical locations.
Institutions, whose total trading book exposures does not exceed 2 % of their total general credit, trading book and securitisation exposures, may allocate those exposures to the United Kingdom.
Institutions shall calculate the percentage referred to in paragraph 3, both on an annual and on an ad hoc basis. An ad hoc calculation is required when an event that affects the financial or economic situation of the institution occurs.
Status: Please note you should read all Brexit changes to the FCA Handbook and BTS alongside the main FCA transitional directions. Where these directions apply the 'standstill', firms have the choice between complying with the pre-IP completion day rules, or the post-IP completion day rules. To see a full list of Handbook modules affected, please see Annex B to the main FCA transitional directions.