Policies—Concentration risk policy

(2) A Bank’s concentration risk policy must set limits for acceptable concentrations of risk, consistent with the Bank’s risk tolerance, risk profile and capital. The limits must be made known to, and must be understood by, all relevant staff.

(3) The policy must ensure that:

• (a) the Bank’s information systems identify exposures creating risk concentrations and large exposures to single counterparties or connected counterparties, aggregate those exposures and facilitate their management; and
• (b) all significant such concentrations and exposures are reviewed regularly and reported to the Bank’s Governing Body or senior management.

Relation to stress-testing

(4) When carrying out stress-testing or review of stress scenarios, a Bank must take into account significant risk concentrations and large exposures, and the effects of changes in market conditions and risk factors on them.