Document ID: chunk:federal_register_of_legislation:F2023L01436:body:0:p8
Version: federal_register_of_legislation:F2023L01436
Segment Type: other
Provision Reference: 
Character Range: 19334–23637

year to 5 years
        1.1.3        Residual maturity > 5 years
        1.1.4        Contracts with residual maturity > 1 year that are subject to a CCF floor
        1.1.5        Contracts with multiple exchanges of principal
        1.1.6        Counterparty credit risk
        1.1.7        Total

     1.2       Foreign exchange and gold contracts
        1.2.1        Residual maturity 1 year or less
        1.2.2        Residual maturity > 1 year to 5 years
        1.2.3        Residual maturity > 5 years
        1.2.4        Contracts with multiple exchanges of principal
        1.2.5        Counterparty credit risk
        1.2.6        Total

     1.3       Equity contracts
        1.3.1        Residual maturity 1 year or less
        1.3.2        Residual maturity > 1 year to 5 years
        1.3.3        Residual maturity > 5 years
        1.3.4        Contracts with multiple exchanges of principal
        1.3.5        Counterparty credit risk
        1.3.6        Total

     1.4       Precious metal contracts (other than gold)
        1.4.1        Residual maturity 1 year or less
        1.4.2        Residual maturity > 1 year to 5 years
        1.4.3        Residual maturity > 5 years
        1.4.4        Contracts with multiple exchanges of principal
        1.4.5        Counterparty credit risk
        1.4.6        Total

     1.5       Other commodity contracts (other than precious metals)
        1.5.1        Residual maturity 1 year or less
        1.5.2        Residual maturity > 1 year to 5 years
        1.5.3        Residual maturity > 5 years
        1.5.4        Contracts with multiple exchanges of principal
        1.5.5        Counterparty credit risk
        1.5.6        Total

     1.6       Other market-related contracts
        1.6.1        Residual maturity 1 year or less
        1.6.2        Residual maturity > 1 year to 5 years
        1.6.3        Residual maturity > 5 years
        1.6.4        Contracts with multiple exchanges of principal
        1.6.5        Counterparty credit risk
        1.6.6        Total

     1.7       Total RWE for bilateral derivative exposures

  2        Securities financing transactions

Credit rating grade                          Number of counterparties  Notional principal amount  Adjusted exposure amount  RWE
(1)                                          (2)                       (3)                        (4)                       (5)

Credit rating grade 1
Credit rating grade 2
Credit rating grade 3
Credit rating grade 4
Credit rating grade 5
Credit rating grade 6
Unrated

     2.1       Total RWE for bilateral SFTs

Section B: Exposures to central counterparties

  3        Derivative exposures

Risk weight                                                 Notional principal amount  Trade exposure  RWE
(1)                                                         (2)                        (3)             (4)

0
0.02
0.04

     3.1       Total RWE for centrally cleared derivatives

  4        Securities financing transactions

Risk weight                                          Notional principal amount  Trade exposure  RWE
(1)                                                  (2)                        (3)             (4)

0
0.02
0.04

     4.1       Total RWE for centrally cleared SFTs

  5        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)

     5.1       Other qualifying central counterparties
     5.2       Total QCCP default fund capital charge

  6        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)

     6.1       Other non-qualifying central counterparties
     6.2       Total

Section C: CVA risk capital charge

  7        CVA risk capital