Document ID: chunk:federal_register_of_legislation:F2023L01436:body:0:p13
Version: federal_register_of_legislation:F2023L01436
Segment Type: other
Provision Reference: 
Character Range: 35333–38073

by multiplying the adjusted exposure amount by the risk weight applicable to the counterparty or type of assets as detailed in Attachment B of APS 112. The RWE amount should be reported on an after-CRM basis.

        Item 2.1 is a derived field, calculated as the sum of column 5.

Section B: Exposures to central counterparties

Item 3 and item 4 collect data in relation to OTC derivative transactions and exchange traded derivative transactions, SFTs and long settlement transactions that are cleared with a QCCP. For the purpose of this section, a long settlement transaction must be treated as an OTC derivative transaction. An ADI must not include in this section centrally cleared transactions, including exchange traded derivative transactions, which are required to be treated as bilateral transactions under Attachment B of APS 180.

Item 5 collects data in relation to default fund contribution to a QCCP.

Item 6 collects data in relation to transactions that are cleared with a non-qualifying CCP and default fund contributions.
Item 3  In column 1, report the eligible risk weight (0%, 2%, or 4%). An ADI must report each eligible risk weight only once.

        For each of the eligible risk weights in column 1, report the notional principal amount under column 2 and trade exposures under column 3 for centrally cleared OTC derivative transactions eligible for that risk weight according to Attachment B of APS 180. An ADI must include exposures only to QCCPs here.

        Column 4 is calculated as:

        Item 3.1 is a derived field calculated as the sum of column 4.

Item 4  In column 1, report the eligible risk weight (0%, 2%, or 4%). An ADI must report each eligible risk weight only once.

        For each of the eligible risk weights in column 1, report the notional principal amount under column 2 and trade exposures under column 3 for centrally cleared SFTs eligible for that risk weight according to Attachment B of APS 180. An ADI must include exposures only to QCCPs here.

        Column 4 is calculated as:

        Item 4.1 is a derived field calculated as the sum of column 4.

Item 5  This item must be completed if the reporting ADI is a clearing member to a QCCP.

        In column 1 enter as a character string the name of the five largest QCCPs ranked by the ADI's capital requirement on default fund contribution only (i.e. excluding trade exposure). Each name should only appear once.

        Report in column 2 the KQCCP of this CCP calculated in accordance with paragraph 7 of Attachment C of APS 180.

        Report in column 3 the prefunded default fund contributions provided by the ADI to this CCP.

        Report in column 4 the total prefunded default fund contributions