Document ID: chunk:federal_register_of_legislation:F2023L01436:body:0:p25
Version: federal_register_of_legislation:F2023L01436
Segment Type: other
Provision Reference: 
Character Range: 69119–71965

column 2.

        For the exposure type in column 1, report the total notional principal amount in column 3. Absolute values should be reported.

        For the exposure type 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. Mathematically:

        where:

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

        C = netting sets.

        For the exposure type in column 1, report the replacement cost with eligible collateral in column 5. Replacement cost with eligible collateral is the sum of replacement costs across all netting sets. 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 = netting sets.

        For the exposure type in column 1, report under columns 6, 7, 8, 9 and 10, respectively, interest rate, foreign exchange, credit, equity and commodity derivatives potential future exposure add-ons. 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 paragraphs 14 and 15 of Attachment D of APS 180 for the ith netting set.

        C = netting sets.

        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 the exposure type in column 1, report the RWE amount in column 14, calculated by multiplying EAD by the risk weight applicable to the counterparty or type of assets as detailed in APS 112 or APS 113. The RWE amount should be reported on an after-CRM basis.

        Item 5.1 is a derived field, calculated as the sum of column 14.

Item 6  Enter values for bilateral (i.e. non-centrally cleared) SFTs in item 6. An ADI should aggregate reported values by exposure type entered in column 1.

        In column 1 indicate whether the exposure uses the standardised approach 'Non-IRB' or residual IRB exposures that are neither AIRB/FIRB nor supervisory slotting 'Other IRB'.

        For the exposure type in column 1, report the number of counterparties in column 2.

        For the exposure type in column 1, report the total notional principal amount in column 3. Absolute values should be reported.

        For the exposure type in column 1, report the adjusted exposure amount in column 4. The adjusted exposure amount is calculated by multiplying the notional principal amount of a