Document ID: chunk:federal_register_of_legislation:F2023L01436:body:0:p24
Version: federal_register_of_legislation:F2023L01436
Segment Type: other
Provision Reference: 
Character Range: 66450–69374

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.

        For each supervisory slotting category in column 1, report the adjusted exposure amount of all transactions with counterparties of the same slotting category 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 each supervisory slotting category 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 Attachment B of APS 112. The RWE amount should be reported on an after-CRM basis.

        Item 4.1 is a derived field, calculated as the sum of column 5.

Section B: Other IRB and non-IRB bilateral exposures

This section applies to any residual IRB exposures that are neither AIRB/FIRB nor supervisory slotting and those operations for which an IRB ADI that is a significant financial instution adopts the standardised approach to credit risk.

Item 5 and 6 collect data in relation to OTC derivative transactions, SFTs and long settlement transactions that are not centrally cleared. For the purpose of this section, a long settlement transaction must be treated as an OTC derivative transaction. An ADI may net claims and obligations arising from market-related contracts across both the banking and trading books with a single counterparty if covered by an eligible bilateral netting agreement.

An ADI must include in Section B centrally cleared OTC derivative transactions, SFTs, and long settlement transactions, and exchange traded derivative transactions that are required to be treated as bilateral exposures under Attachment B of APS 180.
Item 5  Enter values for bilateral (i.e. non-centrally cleared) OTC derivative transactions in item 5. An ADI should aggregate reported values by exposure type entered in column 1.

        In column 1, indicate whether the exposure uses the standardised approach 'Non-IRB' or residual IRB exposures that are neither AIRB/FIRB nor supervisory slotting 'Other IRB'.

        For the exposure type in column 1, report the number of counterparties in column 2.

        For the exposure type in column 1, report the total notional principal amount in column 3. Absolute values should be reported.

        For the exposure type in column 1, report the replacement cost excluding all collateral in column 4.