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). In the case of equity exposures, the current fair value as shown in the books of the bank must be taken as the measure of exposure.
Amended: July 2011
Amended: January 2011
October 2007
