Document ID: chunk:federal_register_of_legislation:F2023L00407:body:0:p13
Version: federal_register_of_legislation:F2023L00407
Segment Type: other
Provision Reference: 
Character Range: 39891–42730

total of columns 4, 5, 6 and 7, being the total exposure for the counterparty, before CRM.

          Column 9 is derived as the ratio of column 8 to Tier 1 Capital reported in item 7.

Item 4.1  Item 4.1 is derived as the total of the twenty largest exposures and all large exposures, before CRM.

          Columns 4, 5, 6, 7 and 8 of item 4.1 are derived as the sum of columns 4, 5, 6, 7 and 8 of item 4 respectively.

          Column 9 of item 4.1 is derived as the ratio of column 8 of item 4.1 to Tier 1 Capital reported in item 7.

Item 5    Report in item 5 details of each group of connected counterparties reported in Item 4 that were not reported in item 1. Each counterparty within each group of connected counterparties reported in item 4 should be reported on a separate row in item 5, unless it was already reported in item 1.

          In column 1, report the group counterparty name for each counterparty within each group of connected counterparties reported in item 4.

          In column 2, report the connection between the counterparty and the group of connected counterparties.

          In column 3, report the counterparty name of each counterparty within each group of connected counterparties reported in item 4.

Section C: Excluded exposures

Item 6    Report all excluded exposures exceeding or equal to ten per cent of Tier 1 Capital that are sovereigns held as HQLA, to QCCPs relating to clearing activities, and settlement exposures as at the end of the reporting period. If the excluded exposure to a counterparty relates to more than one exclusion category, report the excluded exposure under a separate row in item 6 with the relevant counterparty and all relevant exclusion categories.

          Do not group exposures into groups of connected counterparties. Do not include any other type of excluded exposure.

          In column 1, report the counterparty name of the counterparty for each excluded exposure.

          In column 2, report the Legal Entity Identifier of the counterparty for each excluded exposure if the counterparty has one. Otherwise, report N/A if the counterparty has no Legal Entity Identifier.

          In column 3, report the counterparty sector of the counterparty for each excluded exposure.

          In column 4, report the exclusion category for each excluded exposure.

          In column 5, report the on-balance sheet exposures relating to the book value of all loans and advances to the counterparty for each excluded exposure, including any accrued income associated with the excluded exposure (e.g. interest, dividends).

          In column 6, report the on-balance sheet exposures not relating to loans and advances to the counterparty for each excluded exposure.

          In column 7, report the non-market related, off-balance sheet exposures