I am in a in-path

["Hotmail \(ArbolOne\)" <ArbolOne at hotmail dot ca>]

I am in a in-path. I wrote a class that handles exceptions,
namespace abc{
   class Exception{...}; // This is my very large Exception class
}

The way I'd like to use this class is by creating a smart pointer to it in 
each newly created class, i.e.
namespace abc{
   class m_class0000001{
       private:
       std::shared_ptr<abc::Exception> apex;
       public:
       m_class(){apex.reset(new abc::Exception());}
       m_method(){
           apex->setException(...);
           throw apex;
         }
   };
}
auto apex = std::make_shared<abc::Exception>();
int main() {
   try {
       auto obj = std::make_shared<abc::m_class0000001>();
       obj->m_method();
   } catch(std::shared_ptr<abc::Exception>& e) {
       e->DisplaySomething();
   }
   return 0;
}
But this can be very expensive, since this possibly-very-large class will be 
created in thousands of classes.
On the other hand, I could create the object when or where the exception 
occurs, like this:
namespace abc{
   class m_class0000001{
       private:
       ...
       public:
       m_class(){}
       m_method(){
           ... /* I don't even know if this is possible */
                   auto obj = std::make_shared<abc::Exception>();
           apex->setException(...);
           throw apex;
         }
   };
}
This creates another problem, what if the exception is std::mem_alloc, I 
would ran out of memory, thus I wouldn't be able to create another object.

I know, I know, this is not a C++ question, but, as I said, I am in a 
in-path, I don't know what to do in this case.
Any help would be most appreciated.