We present new PAC-Bayesian generalisation bounds for learning problems with unbounded loss functions. This extends the relevance and applicability of the PAC-Bayes learning framework, where most of the existing literature focuses on supervised learning problems where the loss function is bounded (typically assumed to take values in the interval [0;1]). In order to relax this assumption, we propose a new notion called the \emph{special boundedness condition}, which effectively allows the range of the loss to depend on each predictor. Based on this new notion we derive a novel PAC-Bayesian generalisation bound for unbounded loss functions, and we instantiate it on a linear regression problem. To make our theory usable by the largest audience possible, we include discussions on actual computation, practicality and limitations of our assumptions.