Document ID: chunk:federal_register_of_legislation:F2023L01436:body:0:p11
Version: federal_register_of_legislation:F2023L01436
Segment Type: other
Provision Reference: 
Character Range: 30025–33057

options purchased, hedge contracts and any other instruments of a similar nature;
            (c)          equity contracts – swaps, forwards, purchased options and similar derivative contracts based on individual equities or equity indices;
            (d)          precious metal contracts (other than gold) – swaps, forwards, purchased options and similar derivative contracts based on precious metals such as silver, platinum and palladium;
            (e)          other commodity contracts (other than precious metals) – swaps, forwards, purchased options and similar derivative contracts based on energy contracts, agricultural contracts, base metals (such as aluminium, copper and zinc) and any other non-precious metal commodity contracts; and
            (f)           other market-related contracts – other contracts covering other items that give rise to credit risk, including credit derivatives. Credit derivative transactions in the trading book are classified as market-related off-balance sheet transactions.

        Item 1.1.4 Contracts with residual maturity > 1 year that are subject to a CCF floor.

        For contracts that are structured to settle outstanding exposures following specified payment dates and where the terms are reset such that the mark-to-market value of the contract is zero on these specified dates, the residual maturity should be set equal to the time until the next reset date. In the case of interest rate contracts with these features with a remaining maturity of more than one year, the CCF to be applied is subject to a floor of 0.5 per cent even if there are reset dates of a shorter maturity. Such interest rate contracts are to be reported in this item.

        Items 1.1.5, 1.2.4, 1.3.4, 1.4.4, 1.5.4 & 1.6.4 Contracts with multiple exchanges of principal

        For contracts with multiple exchanges of principal, the CCFs are to be multiplied by the number of remaining payments (i.e. exchanges of principal) still to be made under the contract.

        Items 1.1.6, 1.2.5, 1.3.5, 1.4.5, 1.5.5 & 1.6.5 Counterparty credit risk

        An ADI must use the potential future exposure add-on factors in the calculation of the counterparty credit risk charge for single name credit default swaps and single name total-rate-of-return swaps in the trading book, as detailed in Attachment E of APS 180.

        Item 1.7 is a derived field calculated as the sum of all the totals in items 1.1 to 1.6.

        Report the notional principal amount for margined contracts in column 1, where a margined contract is one where there is exchange of variation margin with zero threshold. Where a transaction does not meet these conditions, or where it is unclear as to whether a transaction meets these conditions, the transaction must be treated as unmargined. Bilateral transactions with a one-way margining agreement in favour of an ADI's counterparty (that is, where an ADI posts, but does not collect, variation margin) must be treated as unmargined transactions.

        Report