Document ID: chunk:federal_register_of_legislation:F2023L01436:body:0:p27
Version: federal_register_of_legislation:F2023L01436
Segment Type: other
Provision Reference: 
Character Range: 74247–76980

For each CCP and risk weight combination, enter the total trade exposure amount with the named CCP in column 4. The reporting ADI must calculate a trade exposure to a QCCP in accordance with Attachment B of APS 180.

        Column 5 is a derived field calculated as:

        For each counterparty named in column 1, report total exposures arising from collateral posted to the named CCP in column 6. An ADI may aggregate exposures arising from collateral posted across risk weight categories reported in column 2. Accordingly, an ADI may report the value next to any of the three risk weight categories for each named counterparty.

        The interpretation of exposures arising from collateral posted is detailed in paragraph 24 of Attachment B of APS 180.

        Item 7.1 relates to information on OTC derivative transactions and exchange traded derivative transactions with QCCPs not listed as the top five.

        In column 1 enter 0%, 2% or 4% for exposures eligible for the respective risk weights. Refer to Attachment B of APS 180 for risk weight eligibility.

        Report in column 2 the total notional principal amount of exposures eligible for the reported risk weight.

        Report in column 3 the total trade exposure amount for exposures eligible for the reported risk weight. The reporting ADI must calculate a trade exposure to a QCCP in accordance with Attachment B of APS 180.

        Column 4 is a derived field calculated as:

        In column 5, 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 7.2 column 2 is a derived field calculated as the sum of item 7 column 3 and item 7.1 column 2.

        Item 7.2 column 3 is a derived field calculated as the sum of item 7 column 4 and item 7.1 column 3.

        Item 7.2 column 4 is a derived field calculated as the sum of item 7 column 5 and item 7.1 column 4.

        Of all centrally cleared derivatives, items 7.2.1 to 7.2.3 relate to transactions where the reporting ADI is clearing as a clearing member only (i.e. excluding those clearing as a client with another clearing member).

        In column 2 enter the notional principal amount of exposures eligible for a 0% (item 7.2.1), 2% (item 7.2.2) and 4% (item 7.2.3) risk weight, respectively.

        In column 3 enter the trade exposure, detailed in Attachment B of APS 180, eligible for a 0% (item 7.2.1), 2% (item 7.2.2) and 4% (item 7.2.3) risk weight, respectively.

        Column 4 for items 7.2.1 to 7.2.3 is calculated