Document ID: chunk:federal_register_of_legislation:F2023L01436:body:0:p18
Version: federal_register_of_legislation:F2023L01436
Segment Type: other
Provision Reference: 
Character Range: 49621–53588

As a clearing member ADI: exposures eligible for a 0% risk weight
     7.2.2 As a clearing member ADI:     exposures eligible for a 2% risk weight
     7.2.3 As a clearing member ADI: exposures eligible for a 4% risk weight

  8        Securities financing transactions

Name of central counterparty  Risk weight  Notional principal amount  Trade exposure  RWE  Total collateral posted
(1)                           (2)          (3)                        (4)             (5)  (6)

                              0
                              0.02
                              0.04

     8.1       Other central counterparties

Risk weight                                          Notional principal amount  Trade exposure  RWE  Total collateral posted
(1)                                                  (2)                        (3)             (4)  (5)

0
0.02
0.04

     8.2       Total RWE for centrally cleared SFTs

  9        Default fund contribution to a qualifying central counterparty

Name of central counterparty                            K_QCCP  DF_ADI  DF_CM  DF_CCP  K_ADI
(1)                                                     (2)     (3)     (4)    (5)     (6)

     9.1       Other qualifying central counterparties
     9.2       Total QCCP default fund capital charge

  10    Trade exposure RWE and default fund contribution to a non-qualifying central counterparty

Name of central counterparty                         Trade exposure  Trade exposure RWE  Prefunded default fund contribution  Unfunded default fund contribution  Default fund RWE
(1)                                                  (2)             (3)                 (4)                                  (5)                                 (6)

     10.1   Other qualifying central counterparties
     10.2   Total

Section D: CVA risk capital charge

  11    CVA risk capital charge

                                                                               Rating grade weighting  CVA capital formula component 1  CVA capital formula component 2  CVA capital formula component 3  Derived quantity 1  Derived quantity 2
                                                                               (1)                     (2)                              (3)                              (4)                              (5)                 (6)
     11.1   CVA capital charge components, credit rating grade = 1
     11.2   CVA capital charge components, credit rating grade = 2
     11.3   CVA capital charge components, credit rating grade = 3
     11.4   CVA capital charge components, credit rating grade = 4 or unrated
     11.5   CVA capital charge components, credit rating grade = 5
     11.6   CVA capital charge components, credit rating grade = 6
     11.7   Total CVA capital charge components
     11.8   Total CVA capital charge

Section E: Summary

  12    Market related off-balance sheet exposures

     12.1   Bilateral exposures - IRB default risk RWE (including supervisory slotting)
     12.2   Bilateral exposures - Other IRB and Non-IRB default risk RWE
     12.3   CCP trade exposure RWE
     12.4   CCP default fund RWE
     12.5   CVA RWE

  13    Securities financing transaction exposures

     13.1   Total SFT trade exposure RWE
        13.1.1    Bilateral SFT - IRB RWE (including supervisory slotting)
        13.1.2    Bilateral SFT - Other IRB and Non-IRB RWE
        13.1.3    Centrally cleared SFT RWE

Reporting Form ARF 180.2

IRB – Counterparty Credit Risk and CVA Risk

Instructions

These instructions are designed to assist in the completion of Reporting Form ARF 180.2 IRB — Counterparty Credit Risk and CVA Risk. This form captures the counterparty credit risk exposures of an IRB ADI that is a significant financial institution. In completing this form, ADIs should refer to APS 180.
Terms highlighted in bold italics are defined in paragraph 18 of this Reporting Standard.
Reporting entity
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