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Middle office question : setting up counterparty exposure limits

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Hi all,

I’m actually working on a little project and for those already in the business (back office, middle office or front office), I was wondering how your team was setting up counterparty exposure limits for a specific fund.

Let’s say that I’ve 4 counterparties (Goldman, BAML, CIBC and BNP Paribas). I’ve a fund invested mostly in Governments bonds. What’s the best way to cap the maximum possible exposure to a specified counterparty ? What’s the best way to get a specific amount as a limit (example: maximum possible exposure for Goldman Sachs for this specific fund should be 1 millions).

Thanks in advance !
 
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