10.1 A Bank must add any exposures to a single counterparty arising in the trading book to any other exposures to that counterparty in the banking book to calculate its total exposure to that counterparty.

10.2 Trading book positions not corresponding to concentration risk associated with the default of a single counterparty are out of the scope of the large exposure framework. As such, concentrations in commodities or currencies are not subject to the large exposures limit. Banks must nevertheless appropriately evaluate and manage concentrations in exposures to commodities and currencies.

10.3 The exposure value of straight debt instruments and equities is defined as the accounting value of the exposure.

10.4 Instruments such as swaps, futures, forwards and credit derivatives must be converted into positions following the risk-based capital requirements. Such instruments are decomposed into their individual legs; and only the legs representing exposures in scope of the large exposures framework must be considered. This implies that legs that do not entail any risk due to the default of the counterparty are not considered.

10.5 In the case of credit derivatives that represent sold protection, the exposure to the referenced name must be the amount due in case the respective referenced name triggers the instrument, minus the absolute value of the credit protection. In the case of credit-linked notes, the protection seller needs to consider positions both in the bond of the note issuer and in the underlying referenced by the note. For positions hedged by credit derivatives, see Articles 11.3 to 11.6 of this regulation.

10.6 The exposure value for options is the change in option price that would result from a default of the underlying instrument.

Hence, the exposure value of a long call option is its market value.

The exposure value of a short put option is equal to its strike price minus its market value.

The exposure value of a short call option equals a negative exposure equal to the market value.

The exposure value of a long put option equals a negative exposure equal to the strike price of the option reduced by its market value.

The resulting positions are aggregated with those from other exposures. After this aggregation, negative net exposures are set to zero.

10.7 Exposure values of a Bank's investments in transactions, such as index positions, securitisations, hedge funds or investment funds, must be calculated in accordance with the same rules as for similar instruments in the banking book. This implies that the amounts invested in such a structure may be assigned to the structure itself, defined as a counterparty distinct from the counterparties corresponding to the underlying assets or to the unknown client, following the rules described in Articles 15.1 to 15.6 of this regulation.

10.8 Covered bonds held in the trading book are subject to the general treatment for covered bonds described in Article 14 of this regulation.