Document ID: chunk:federal_register_of_legislation:F2023L01436:body:0:p21
Version: federal_register_of_legislation:F2023L01436
Segment Type: other
Provision Reference: 
Character Range: 58557–61392

interest rate, foreign exchange, credit, equity and commodity derivatives potential future exposure. Mathematically:

        where:

        mi = the multiplier as defined in paragraph 13 of Attachment D of APS 180 for the ith netting set.

        AddOnia = the add-on factor for asset class  as defined in paragraph 14 and 15 of Attachment D of APS 180 for the ith netting set.

        C = the set containing all netting sets of counterparties of the same PD.

        Column 11 is a derived field, calculated from columns 6 to 10 as:

        Column 12 is a derived field, calculated from columns 5 and 11 as:

        In column 13, report the sum of the adjustment for incurred CVA write-down, detailed in paragraph 10 of Attachment A of APS 180, for counterparties of the same PD.

        In column 14, 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 using the standardised approach for measuring counterparty credit risk exposures (SA-CCR)).

        In column 15 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 using the SA-CCR).

        Report the RWE amount in column 16, 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 1.1 is a derived field, calculated as the sum of column 16.

Item 2  Enter values for bilateral (i.e. non-centrally cleared) SFTs subject to the AIRB or FIRB approach in item 2.

        In column 1 report the assigned PD, as a percentage rounded to two decimal places, of each obligor grade. Where PDs are bucketed and there are multiple assigned PDs within a bucket, ADIs are to report the exposure weighted average PD of the bucket.

        A PD of 100 per cent is to be assigned to all defaulted exposures.

        Report in column 2 the total number (count) of counterparties of the same PD, each 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