Document ID: chunk:federal_register_of_legislation:F2023L01436:body:0:p17
Version: federal_register_of_legislation:F2023L01436
Segment Type: other
Provision Reference: 
Character Range: 45201–49868

Period            Scale Factor
                            Millions to one decimal place
Reporting Consolidation
Level 1 / Level 2

Section A: IRB bilateral exposures

  1        Derivative exposures - AIRB or FIRB

PD %  Number of counterparties  Notional principal amount  Replacement cost excluding all collateral  Replacement cost with eligible collateral  Scaled IR AddOn  Scaled FX AddOn  Scaled CR AddOn
(1)   (2)                       (3)                        (4)                                        (5)                                        (6)              (7)              (8)

PD %                      Scaled EQ AddOn  Scaled CMDTY AddOn  Potential future exposure  EAD   Incurred CVA loss  Weighted average LGD  Weighted average maturity  RWE
(1)                       (9)              (10)                (11)                       (12)  (13)               (14)                  (15)                       (16)

     1.1       Total RWE

  2        Securities financing transactions - AIRB or FIRB

PD %                      Number of counterparties  Notional principal amount  Adjusted exposure amount  Weighted average LGD  Weighted average maturity  RWE
(1)                       (2)                       (3)                        (4)                       (5)                   (6)                        (7)

     2.1       Total RWE

  3        Derivative exposures - supervisory slotting

Slotting category  Number of counterparties  Notional principal amount  Replacement cost excluding all collateral  Replacement cost with eligible collateral  Scaled IR AddOn  Scaled FX AddOn  Scaled CR AddOn
(1)                (2)                       (3)                        (4)                                        (5)                                        (6)              (7)              (8)

Strong
Good
Satisfactory
Weak
Default

Slotting category         Scaled EQ AddOn  Scaled CMDTY AddOn  Potential future exposure  EAD   Incurred CVA loss  RWE
(1)                       (9)              (10)                (11)                       (12)  (13)               (14)

Strong
Good
Satisfactory
Weak
Default

     3.1       Total RWE

  4        Securities financing transactions - supervisory slotting

Slotting category         Number of counterparties  Notional principal amount  Adjusted exposure amount  RWE
(1)                       (2)                       (3)                        (4)                       (5)

Strong
Good
Satisfactory
Weak
Default

     4.1       Total RWE

Section B: Other IRB and non-IRB bilateral exposures

  5        Derivative exposures

Exposure type  Number of counterparties  Notional principal amount  Replacement cost excluding all collateral  Replacement cost with eligible collateral  Scaled IR AddOn  Scaled FX AddOn  Scaled CR AddOn
(1)            (2)                       (3)                        (4)                                        (5)                                        (6)              (7)              (8)

Other IRB
Non-IRB

Exposure type   Scaled EQ AddOn  Scaled CMDTY AddOn  Potential future exposure  EAD   Incurred CVA loss  RWE
(1)             (9)              (10)                (11)                       (12)  (13)               (14)

Other IRB
Non-IRB

5.1  Total RWE

  6        Securities financing transactions

Exposure type      Number of counterparties  Notional principal amount  Adjusted exposure amount  RWE
(1)                (2)                       (3)                        (4)                       (5)

Other IRB
Non-IRB

   6.1  Total RWE

Section C: Exposures to central counterparties

  7        Derivative exposures

Name of central counterparty  Risk weight  Notional principal amount  Trade exposure  RWE  Total collateral posted
(1)                           (2)          (3)                        (4)             (5)  (6)

                              0
                              0.02
                              0.04

     7.1      Other central counterparties

Risk weight                                                                        Notional principal amount  Trade exposure  RWE  Total collateral posted
(1)                                                                                (2)                        (3)             (4)  (5)

0
0.02
0.04

     7.2       Total RWE for centrally cleared       derivatives
        7.2.1   As a clearing member ADI: exposures eligible for a 0% risk weight
     7.2.2 As a clearing member ADI:     exposures eligible for a 2% risk weight
     7.2.3 As a clearing member ADI: exposures eligible for a 4% risk weight

  8        Securities