Document ID: chunk:federal_register_of_legislation:F2023L01436:body:0:p26
Version: federal_register_of_legislation:F2023L01436
Segment Type: other
Provision Reference: 
Character Range: 71705–74478

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 particular transaction by the relevant CCF and adjusting for the effects of any haircuts, eligible collateral and netting. Refer to Attachment G of APS 112 for SFTs not covered by an eligible netting agreement and Attachment H of APS 112 for SFTs covered by an eligible netting agreement.

        For the exposure type in column 1, report the RWE amount in column 5, calculated by multiplying the adjusted exposure amount 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 6.1 is a derived field, calculated as the sum of column 5.

Section C: Exposures to central counterparties

Item 7 and item 8 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 9 collects data in relation to default fund contribution to a QCCP.

Item 10 collects data in relation to transactions that are cleared with a non-qualifying CCP and default fund contributions.
Item 7  Enter data for OTC derivative transactions and exchange traded derivative transactions with a QCCP in item 7.

        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 derivatives only (i.e. excluding any 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 7 cannot exceed 15 rows.

        In column 2 enter 0%, 2% or 4% for exposures eligible for the respective risk weights for each CCP. 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 CCP 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