Column number

Description

1

Replacement cost: OTC derivative instruments - unmargined transactions

In respect of unmargined transactions in OTC derivative instruments, this column shall reflect the relevant loss amount that would occur if a counterparty were to default and all relevant transactions were to be closed out immediately.

2

Potential future exposure - add on: OTC derivative instruments: unmargined transactions

In respect of unmargined transactions in OTC derivative instruments, this column shall reflect the potential increase in exposure over a one-year time horizon from the relevant reporting date.

3

Replacement cost: OTC derivative instruments - margined transactions

In respect of margined transactions in OTC derivative instruments, this column shall reflect the relevant loss amount that would occur if a counterparty were to default, assuming that the closeout and replacement of transactions occur instantaneously.

4

Potential future exposure - add on: OTC derivative instruments: margined transactions

In respect of margined transactions in OTC derivative instruments, this column shall reflect the potential change in value of the relevant trades between the last exchange of collateral before default and replacement of the trades in the market, that is the margin period of risk.

5

Credit exposure value

In the absence of an eligible master netting agreement, this column shall reflect the current value of all relevant credit exposures arising from securities financing transactions, after the effect of any relevant haircut has been taken into consideration.

6

Collateral value

In the absence of an eligible master netting agreement, this column shall reflect the current value of eligible financial collateral obtained by the reporting bank in respect of all relevant securities financing transactions, after the effect of any relevant haircut has been taken into consideration.

7

Netting benefit

This column shall reflect the aggregate amount of all relevant netting benefits arising from eligible master netting agreements taken into consideration in the calculation of the reporting bank’s relevant adjusted credit exposure amount arising from securities financing transactions.

8

Effective expected positive exposure

Based on the relevant requirements specified in subregulation (19)(a), this column shall reflect the relevant required effective expected positive exposure amount related to OTC derivative instruments.

9

Stressed effective expected positive exposure

Based on the relevant requirements specified in, amongst others, subregulations (15) and (19) of these Regulations, this column shall reflect the relevant required effective expected positive exposure amount related to OTC derivative instruments in terms of a stressed scenario.

10

Effective expected positive exposure

Based on the relevant requirements specified in subregulation (19)(a), this column shall reflect the relevant required effective expected positive exposure amount related to securities financing transactions.

11

Stressed effective expected positive exposure

Based on the relevant requirements specified in, amongst others, subregulations (15) and (19) of these Regulations, this column shall reflect the relevant required effective expected positive exposure amount related to securities financing transactions in terms of a stressed scenario.

12

Exposure amount: OTC derivative instruments – unmargined transactions

This column shall reflect the relevant required exposure or EAD amount in respect of unmargined transactions in OTC derivative instruments, calculated in terms of the relevant requirements specified in these Regulations for the standardised approach or the internal model method, which amount shall be net of any relevant incurred CVA loss amount.

13

Exposure amount: OTC derivative instruments – margined transactions

This column shall reflect the relevant required exposure or EAD amount in respect of margined transactions in OTC derivative instruments, calculated in terms of the relevant requirements specified in these Regulations for the standardised approach or the internal model method, which amount shall be net of any relevant incurred CVA loss amount.

14

Exposure amount - securities financing transactions

This column shall reflect the relevant required exposure or EAD amount for securities financing transactions, calculated in terms of the relevant requirements specified in these Regulations for the standardised approach or the internal model method, which amount shall be net of any relevant incurred CVA loss amount.

15

Default risk - OTC derivative instruments – unmargined transactions

This column shall reflect the relevant required risk weighted exposure amount in respect of unmargined transactions in OTC derivative instruments, calculated in terms of the relevant requirements specified in these Regulations for the standardised approach or the internal model method, which amount shall be net of any relevant incurred CVA loss amount.

16

Default risk - OTC derivative instruments – margined transactions

This column shall reflect the relevant required risk weighted exposure amount in respect of margined transactions in OTC derivative instruments, calculated in terms of the relevant requirements specified in these Regulations for the standardised approach or the internal model method, which amount shall be net of any relevant incurred CVA loss amount.

17

Default risk - securities financing transactions

This column shall reflect the relevant required risk weighted exposure amount for securities financing transactions, calculated in terms of the relevant requirements specified in these Regulations for the standardised approach or the internal model method, which amount shall be net of any relevant incurred CVA loss amount.

18

Standardised approach for CVA

Based on the relevant requirements specified in subregulation (15), this column shall reflect the relevant required risk weighted exposure amount for CVA risk, calculated in terms of the standardised approach, provided that, when required by the Authority, this column shall include any relevant amount related to CVA loss exposures arising from securities financing transactions.

19

Advanced approach for CVA

Based on the relevant requirements specified in subregulation (19), this column shall reflect the relevant required risk weighted exposure amount for CVA risk, calculated in terms of the advanced approach, provided that, when required by the Authority, this column shall include any relevant amount related to CVA loss exposures arising from securities financing transactions.

20

Total risk weighted exposure

This column shall reflect the relevant required aggregate amount of risk weighted exposure for counterparty credit risk, including any relevant amount of risk weighted exposure—