Document ID: chunk:federal_register_of_legislation:F2023L01436:body:0:p23
Version: federal_register_of_legislation:F2023L01436
Segment Type: other
Provision Reference: 
Character Range: 63803–66717

report the replacement cost excluding all collateral in column 4. Replacement cost excluding all collateral is the sum of the total positive market value of transactions across all netting sets with counterparties of the same slotting category. Mathematically:

        where:

        Vi = the total current market value of all transactions within netting set i.

        C = all netting sets of counterparties of the same slotting category.

        For each supervisory slotting category in column 1, report the replacement cost with eligible collateral in column 5. Replacement cost with eligible collateral is the sum of replacement costs across all netting sets with counterparties of the same slotting category. Mathematically:

        where:

        RCi = the replacement cost for margined or unmargined netting set i, detailed in paragraphs 8 to 10 of Attachment D of APS 180.

        C = all netting sets of counterparties of the same slotting category.

        For each supervisory slotting category in column 1, report under columns 6,  7, 8, 9 and 10, respectively, interest rate, foreign exchange, credit, equity and commodity derivatives potential future exposure add-ons. Mathematically:

        where:

        mi = the multiplier as defined in paragraph 13 of Attachment D of APS 180 for the ith netting set.

        AddOnia = the add-on factor for asset class a as defined in paragraphs 14 and 15 of Attachment D of APS 180 for the ith netting set.

        C = the set containing all netting sets of counterparties of the same slotting category.

        Column 11 is a derived field, calculated from columns 6 to 10 as

        Column 12 is a derived field, calculated from columns 5 and 11 as

        In column 13, report the sum of the adjustment for incurred CVA write-down, detailed in paragraph 10 of Attachment A of APS 180, for counterparties of the same slotting category.

        For each supervisory slotting category in column 1, report the RWE amount in column 14, calculated by multiplying EAD 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 3.1 is a derived field, calculated as the sum of column 14.

Item 4  Enter values for bilateral (i.e. non-centrally cleared) SFTs subject to the supervisory slotting approach in item 4.

        Report in column 1 the supervisory slotting categories in accordance with APS 113. An ADI must report each slotting category only once.

        For each supervisory slotting category in column 1, report the number of counterparties with the same slotting category in column 2.

        For each supervisory slotting category in column 1, report the total notional principal amount of all transactions with counterparties of the same slotting category in column 3. Absolute values should be reported.