Document ID: chunk:federal_register_of_legislation:F2023L01436:body:0:p22
Version: federal_register_of_legislation:F2023L01436
Segment Type: other
Provision Reference: 
Character Range: 61125–64091

as a separate legal entity, with a non-zero notional principal amount.

        In column 3 report the total notional principal amount of all transactions with counterparties of the same PD. Absolute values should be reported.

        In column 4 report the adjusted exposure amount of all transactions with counterparties of the same PD. 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.

        In column 5, report the exposure weighted average LGD, as a percentage rounded to two decimal places, for exposures allocated to each assigned PD in the relevant rows. Mathematically:

        where:

        LGDi = the LGD associated with the ith exposure allocated to the assigned PD.

        EADi = the EAD associated with the ith exposure allocated to the assigned PD (determined according to Attachment B of APS 113).

        In column 6 report the exposure weighted average effective maturity (M), in years rounded to one decimal place, for exposures allocated to each assigned PD in the relevant rows. Mathematically

        where:

        Mi = the maturity associated with the ith exposure allocated to the assigned PD.

        EADi = the EAD associated with the ith exposure allocated to the assigned PD (determined according to Attachment B of APS 113).

        Report the RWE amount in column 7, calculated in accordance with Attachment A of APS 113. The RWE amount should be reported on an after-CRM basis.  Report the sum of RWE for exposures allocated to each assigned PD in the relevant rows.

        Item 2.1 is a derived field, calculated as the sum of column 7 of item 2.

Item 3  Enter values for bilateral (i.e. non-centrally cleared) OTC derivative transactions subject to the supervisory slotting approach in item 3.

        Report in column 1 the supervisory slotting categories according to APS 113. An ADI must report each supervisory slotting category only once.

        For each supervisory slotting category in column 1, report the number of counterparties with the same slotting category in column 2.

        For each supervisory slotting category in column 1, report the total notional principal amount of all transactions with counterparties of the same slotting category in column 3. Absolute values should be reported.

        For each supervisory slotting category in column 1, report the replacement cost excluding all collateral in column 4. Replacement cost excluding all collateral is the sum of the total positive market value of transactions across all netting sets with counterparties of the same slotting category. Mathematically:

        where:

        Vi