Document ID: chunk:federal_register_of_legislation:F2023L01436:body:0:p29
Version: federal_register_of_legislation:F2023L01436
Segment Type: other
Provision Reference: 
Character Range: 79236–81892

report total exposures arising from collateral posted to CCPs not listed as the top five. An ADI may aggregate exposures arising from collateral posted across risk weight categories reported in column 1. Accordingly, an ADI may report the value next to any of the three risk weight categories.

        Item 8.2 is a derived field calculated as the sum of item 8 column 5 and item 8.1 column 4.

Item 9  This item must be completed if the reporting ADI is a clearing member to a QCCP.

        In column 1 enter as a character string the name of the five largest QCCPs ranked by the ADI's capital requirement on default fund contribution only (i.e. excluding trade exposure). Each name should only appear once.

        Report in column 2 the KQCCP of this CCP calculated in accordance with paragraph 7 of Attachment C of APS 180.

        Report in column 3 the prefunded default fund contributions provided by the ADI to this CCP.

        Report in column 4 the total prefunded default fund contributions from all clearing members of this CCP.

        Report in column 5 the prefunded own resources of this CCP that are contributed to the default water fall, where these are junior or pari passu to prefunded member contributions.

        If columns 2 to 5 are populated, column 6 is calculated from columns 2 to 5 as follows:

        If, due to jurisdictional differences in the implementation schedule of SA-CCR, columns 2 to 5 cannot be populated, report the default fund capital charge in column 6 directly and leave columns 2 to 5 blank.

        Report in item 9.1 the total KADI for counterparties not listed as the top five.

        Item 9.2 is a derived field calculated as the sum of item 9 column 6 and item 9.1 column 6.

Item 10  In column 1 enter as a character string the name of the five largest non- QCCP exposures, ranked by the ADI's total capital requirement with this CCP (i.e. including both the trade exposure amount and default fund exposure). Each name should only appear once.

         Report in column 2 the trade exposure with this CCP and any exposure to the ADI's clients, calculated in accordance with Attachment A of APS 180. For item 10.1, report the total trade exposure amount of exposures with CCPs not listed as the top five.

         Report in column 3 the total RWE calculated by multiplying the trade exposure by the risk weight applicable to the counterparty or type of assets as detailed in Attachment B of APS 112. An ADI must apply the standardised risk-weighting methodology of APS 112 regardless of whether the ADI has approval to use an IRB approach to credit risk under APS 113. For item 10.1,