Custom print

CM-5.3.3

Past version: Effective from 01 Oct 2007 to 31 Dec 2010
To view other versions open the versions tab on the right

Large exposures are calculated using the sum of the nominal amounts before the application of risk weighting and credit conversion factors for:

(a) on-balance sheet claims;
(b) guarantees and other contingent claims; and
(c) potential claims in the case of undrawn facilities.

The amount at risk from derivative contracts is taken to be the credit equivalent amount calculated based on the guidelines for the prudential returns (see Module CA).

October 07