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;
