BANK 5.3.1 Calculating exposures

(1) Large exposure means a gross exposure to a counterparty or connected counterparties that is 10% or more of the firm's regulatory capital.

Note Regulatory capital is defined in rule 3.2.7.
(2) In this rule:

gross exposure to a counterparty or connected counterparties is the total of the following exposures:
(a) on-balance-sheet and off-balance-sheet exposures;
(b) debt securities held by the firm;
(c) equity exposures.
(3) In calculating the gross exposure, include:
(a) the outstanding balances of all loans and advances, including balances with other banks;
(b) holdings of debt or equity securities;
(c) unused off-balance-sheet commitments, whether revocable or irrevocable; and
(d) the credit equivalent amounts of all market-related transactions (calculated in accordance with rule 4.4.11, or Division 4.5.E if netting applies).
(4) However, in calculating the gross exposure, do not include:
(a) claims, equity investments and other exposures deducted from the firm's capital;
(b) exposures arising in the course of settlement of market-related contracts; and
(c) exposures that have been written off.
(5) For this Part:
(a) a banking business firm must treat an exposure as reduced (to the extent permitted by Part 4.5) by any applicable CRM technique; and
(b) a banking business firm that is part of a financial group may offset intragroup amounts due to other deposit takers within the group.
Amended by QFCRA RM/2017-2 (as from 1st April 2017).