Document ID: chunk:federal_register_of_legislation:F2023L01436:body:0:p28
Version: federal_register_of_legislation:F2023L01436
Segment Type: other
Provision Reference: 
Character Range: 76731–79485

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 as

        where

Item 8  Enter data for SFTs with a QCCP in item 8.

        In column 1 enter as a character string the name of the five largest QCCPs ranked by the ADI's capital requirement on trade exposure only, for centrally cleared SFTs only (i.e. excluding default fund capital charge).

        An ADI can report the same counterparty name in column 1 up to three times for exposures eligible for a 0%, 2% or 4% risk weight. That is, item 8 cannot exceed 15 rows.

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

        For each counterparty and risk weight combination, report the total notional principal amount of exposures with the named CCP in column 3.

        For each counterparty 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 8.1 relates to information on SFTs with QCCPs not listed as the top five.

        In column 1 enter 0%, 2% or 4% per cent 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