Column number

Description

1

Initial margin collateral posted with a central counterparty

Based on the relevant requirements specified in these Regulations, this column shall reflect the relevant aggregate amount related to a clearing member’s or client’s funded collateral posted or provided to a central counterparty to mitigate the potential future exposure of the central counterparty to the clearing member arising from the possible future change in the value of their transactions, provided that, in accordance with the relevant requirements specified in these Regulations, initial margin shall exclude any relevant amount related to contributions to a central counterparty in terms of any mutualised loss sharing arrangement, that is, when a central counterparty uses initial margin to mutualise losses among the clearing members, the relevant amount shall be treated as a default fund exposure.

2

Prefunded default fund contribution

This column shall reflect the relevant aggregate amount related to any prefunded default fund contributions made by the clearing member that will be applied upon such clearing member’s default, either along with or immediately following such member’s initial margin, to reduce any central counterparty loss.

3

Trade exposure

This column shall reflect the relevant aggregate amount related to the current and potential future exposure of a clearing member or a client to a central counterparty arising from OTC derivatives, exchange traded derivatives transactions or securities financing transactions, calculated in accordance with the relevant requirements specified in these Regulations for the standardised approach or the internal model method.

4.

Risk weighted exposure

Based on the relevant requirements specified in subregulation (16), this column shall reflect the relevant calculated risk weighted exposure amount.