While determining the exposure values for the purposes of these Rules, the following specific issues will be dealt with as per the guidance provided in Appendix VI-X.12 |
i. | Definition of exposure values: |
| a. | Banking book on-balance sheet non-derivative assets; |
| b. | Banking book and trading book OTC derivatives (and any other instrument with counterparty credit risk); |
| c. | Securities financing transactions; |
| d. | Banking book ‘‘traditional" off balance sheet commitments; |
ii. | Trading Book Positions: |
| a. | Calculation of exposure value for trading book positions; |
| b. | Offsetting long and short positions in the trading book; |
iii. | Covered bonds; |
iv. | Collective investment undertakings, securitizations vehicles and other structures; |
v. | Exposures to central counterparties. |
12 See BCBS Document titled "Supervisory Framework for measuring and controlling large exposures" issued in April 2014 and FAQs issued in Sept 2016