Document ID: chunk:federal_register_of_legislation:F2023L01436:body:0:p20
Version: federal_register_of_legislation:F2023L01436
Segment Type: other
Provision Reference: 
Character Range: 55931–58838

settlement transactions that are subject to the AIRB or FIRB approach and are not centrally cleared. Items 3 and 4 collect data in relation to OTC derivative transactions, SFTs and long settlement transactions that are subject to the supervisory slotting approach and are not centrally cleared.

For the purpose of this section, a long settlement transaction must be treated as an OTC derivative transaction. An ADI may net claims and obligations arising from market-related contracts across both the banking and trading books with a single counterparty if covered by an eligible bilateral netting agreement.

An ADI must include in Section A centrally cleared OTC derivative transactions, SFTs, long settlement transactions, and exchange traded derivative transactions that are required to be treated as bilateral exposures under Attachment B of APS 180.
Item 1  Enter values for bilateral (i.e. non-centrally cleared) OTC derivative transactions subject to the AIRB or FIRB approach in item 1.

        In column 1 report the assigned probability of default (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.

        For each PD in column 1, report the replacement cost excluding all collateral in column 4. Replacement cost excluding all collateral is the sum of the total positive market value of transactions across all netting sets with counterparties of the same PD. Mathematically:

        where:

        Vi = the total current market value of all transactions within netting set i.

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

        Report the replacement cost with eligible collateral in column 5. For each PD, report the sum of replacement costs across all netting sets with counterparties of the same PD. Mathematically:

        where:

        RCi = the replacement cost for margined or unmargined netting set i, detailed in paragraphs 8 to 10 of Attachment D of APS 180.

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

        Report under column 6, column 7, column 8, column 9, column 10, respectively, 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