Large AFS exposures and accounting for OCI unrealised gains

The exposure value for the purpose of large exposures is defined in Article 389 of Regulation (EU) No 575/2013 (CRR), which refers to exposures calculated under the standardised approach, without applying risk weights or degrees of risk. The exposure value for the standardised approach is defined in Article 111 of the CRR and, unless otherwise specified, is based on the accounting value of the asset. In accordance with Q&A 716 , in case filters are applied to other comprehensive income (OCI) unrealised gains or losses in accordance with Articles 467 and 468 of the CRR, the exposure value of the related assets will need to be adjusted by the amount of the corresponding unrealised gains or losses which have been filtered out from own funds. In the example above, if 80% of unrealised gains are filtered from own funds, the corresponding amount should not be included in the exposure value. Likewise, for unrealised losses, if 80% of amounts are filtered from own funds, the corresponding amount would not be reflected in the exposure value. As the exposure value for the purpose of large exposures is based on the exposures calculated under the standardised approach, the treatment applied for the calculation of capital requirements under the standardised approach for credit risk applies by analogy to the large exposures framework.