BANK 3.4.5 How to calculate total exposure measure — general

(1) A banking business firm's total exposure measure is the sum of:
(a) on-balance-sheet exposures (except on-balance-sheet derivatives exposures and SFT exposures) (see rule 3.4.7);
(b) its derivatives exposures (see rules 3.4.12 to 3.4.17);
(c) its SFT exposures (see rules 3.4.18 and 3.4.19); and
(d) its off-balance-sheet exposures (see rule 3.4.20).

SFT exposures are exposures from securities financing transactions such as repurchase agreements, reverse repurchase agreements, security lending and borrowing, and margin lending contracts, where the value of the contracts depends on the market valuation of securities and the contracts are typically subject to margin agreements.
(2) When a banking business firm is calculating its total exposure measure, it must follow the accounting standard that the firm normally uses, except that:
(a) on-balance-sheet, non-derivatives exposures must be included net of specific provisions or accounting valuation adjustments;
(b) except as specified otherwise in this Part, the firm must not take account of physical or financial collateral, guarantees or other credit risk mitigation techniques; and
(c) loans and deposits must not be netted.
Note For the permitted accounting standards, see rule 2.1.6.
Inserted by QFCRA RM/2019-6 (as from 1st January 2020).