Document ID: chunk:federal_register_of_legislation:F2023L01436:body:0:p12
Version: federal_register_of_legislation:F2023L01436
Segment Type: other
Provision Reference: 
Character Range: 32776–35564

conditions, the transaction must be treated as unmargined. Bilateral transactions with a one-way margining agreement in favour of an ADI's counterparty (that is, where an ADI posts, but does not collect, variation margin) must be treated as unmargined transactions.

        Report the notional principal amount for unmargined contracts in column 2, where unmargined contracts are defined above.

        Column 3 is a derived field equal to the CCF for the relevant contract type and residual maturity, as set out in Table 8 of Attachment E of APS 180.

        Derive or report the potential future exposure amount in column 4. The potential future exposure is derived according to Attachment E of APS 180.

        Report the current exposure amount in column 5.

        Derive or report the credit equivalent amount in column 6. Credit equivalent amount is derived according to Attachment E of APS 180.

        Report the risk-weighted exposure (RWE) amount in column 7, calculated by multiplying the CEA of a transaction by the risk weight applicable to the counterparty or type of assets as detailed in Attachment A of APS 112. The RWE amount should be reported on an after-credit risk mitigation (CRM) basis.

Item 2  Enter values for bilateral (i.e. non-centrally cleared) SFTs in item 2.

        Report in column 1 the long term credit rating grades according to Attachment F of APS 112. An ADI must report each long term credit rating grade only once.

        For each of the long term credit rating grades in column 1, report the number of counterparties of the same credit rating grade in column 2.

        For each of the long term credit rating grades in column 1, report the total notional principal amount of all transactions with counterparties of the same credit rating grade in column 3. Absolute values should be reported.

        For each of the long term credit rating grades in column 1, report the adjusted exposure amount of all transactions with counterparties of the same credit rating grade in column 4. The adjusted exposure amount is calculated by multiplying the notional principal amount of a particular transaction by the relevant CCF and adjusting for the effects of any haircuts, eligible collateral and netting. Refer to Attachment G of APS 112 for SFTs not covered by an eligible bilateral netting agreement and Attachment H of APS 112 for SFTs covered by an eligible bilateral netting agreement.

        For each of the long term credit rating grades in column 1, report the RWE amount in column 5, calculated by multiplying the adjusted exposure amount by the risk weight applicable to the counterparty or type of assets as detailed in Attachment B of APS 112. The RWE amount should be reported on an after-CRM basis.

        Item 2.1 is a