5.5. Treatment of Specific Measurement Issues
| No: 1651/67 | Date(g): 8/9/2019 | Date(h): 9/1/1441 |
Effective from Oct 01 2019 - Sep 30 2019
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| 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 (available at https://www.bis.org/publ/bcbs283.pdf) and FAQs (available at https://www.bis.org/bcbs/publ/d384.pdf) issued in Sept 2016