Measuring Exposure to Counterparties and Issuers
When calculating an
Exposure, an Authorised Firmmust include accrued interest and dividends due.
Authorised Firmmust not offset Non-Trading Bookand Trading Book Exposures.
A net short position is not an
Exposurefor the purposes of Concentration Risk.
PIB A4.11.14(1) Subject to (2), the value of an
Authorised Firm's Exposureto a Counterparty, whether in its Non-Trading Bookor its Trading Book, is the amount at risk calculated in accordance with PIB chapter 4.(2) For the purposes of calculating the value of an Authorised Firm's Exposure to a Counterparty under (1), the CCF factors taken into account under PIB A4.2 are subject to a minimum floor of 10%.