This chapter describes the value of exposures to counterparties used in the large exposures framework, including those for which a specific treatment is deemed necessary.

Version effective as of 01 Jan 2023

Reflects changes in market risk requirements published January 2017 and the revised implementation date announced on 27 March 2020.

General measurement principles

30.1 The exposure values a bank must consider in order to identify large exposures to a counterparty are all those exposures defined under the risk-based capital framework. It must consider both on- and off-balance sheet exposures included in either the banking or trading book and instruments with counterparty credit risk under the risk-based capital framework.

30.2 An exposure amount to a counterparty that is deducted from capital must not be added to other exposures to that counterparty for the purpose of the large exposure limit. [This general approach does not apply where an exposure is 1,250% risk-weighted. When this is the case, this exposure must be added to any other exposures to the same counterparty and the sum is subject to the large exposure limit, except if this exposure is specifically exempted for other reasons.]

Definition of exposure value

30.3 The exposure value must be defined as the accounting value of the exposure. [Net of specific provisions and value adjustments.] As an alternative, a bank may consider the exposure value gross of specific provisions and value adjustments