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Table 6B — Impaired OTC Derivative Contracts
(Complete Table 6B as of the end of the fiscal year ending in the year preceding the filing year, referring to Schedule 40 - Derivative Contracts of the BCAR form and to the Capital Adequacy Requirements Guideline of the Guidelines.)
Replacement cost (market value)
a. Contracts held for trading purposes
(all contracts before permissible netting)
b. Contracts held for other than trading
(all contracts before permissible netting)
c. Contracts subject to permissible netting
(included in a and b above)
d. Total contracts – after permissible netting
Potential credit exposure
Credit equivalent amount
(after taking into account collateral and guarantees)
| 7.4.1 On-balance sheet assets [...] 7.4.2 Off-balance sheet Eligible servicer cash advance facilities[...] 7.4.3 Other Off-balance sheet Securitization exposures[...] 7.4.4 Off-balance sheet Direct credit substitutes[...] 7.4.5 Off-balance sheet Transaction-related contingent items[...] 7.4.6 Off-balance sheet Short-term self-liquidating trade letters of creditIndicate the amount set out in the column “Notional Amount” for Short-term self-liquidating trade letters of credit – 20% CCF, as set out in Section 1 – Leverage Ratio Calculation of the LRR. 7.4.7 Total derivative contract exposure (not covered)[...] 7.4.8 Total derivative contract exposure (covered)[...] 7.4.9 On-balance sheet Derivatives[...] 7.4.10 On-balance sheet Grandfathered securitization exposures[...] 7.4.11 Net Common Equity Tier 1 Capital (CET1 after all deductions)[...] 7.4.12 Gross Common Equity Tier 1 Capital[...] 7.4.13 Total Deduction from Additional Tier 1 Capital[...] 7.4.14 Total Deduction from Tier 2 Capital[...] 7.4.15 Eligible stage 1 and stage 2 allowance[...] 7.4.16 Excess allowance[...] 7.4.17 Direct credit substitutes – credit derivatives – Standardized Approach[...] 7.4.18 Direct credit substitutes – credit derivatives – Foundation IRB approach[...] 7.4.19 Direct credit substitutes – credit derivatives – Advanced IRB approach[...] 7.4.20 Sale and repurchase agreements – Standardized approach[...] 7.4.21 Sale and repurchase agreements – Foundation IRB approach[...] 7.4.22 Sale and repurchase agreements – Advanced IRB approach[...] 7.4.23 Stage 1 and Stage 2 allowance on balance sheet assets[...] 7.4.24 “On-balance sheet” securitization exposures[...] 7.4.25 Adjustments – measurement bases[...] 7.4.26 Adjustments – recognition basesIndicate the Adjustments to reflect differences in balance sheet exposure amounts resulting from recognition bases used for accounting purposes (settlement / trade date), as set out in Schedule 45 – Balance Sheet Coverage by Risk Type and Reconciliation to Consolidated Balance Sheet of the BCAR form.
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Industry Sector List
| Wholesale Trade [...]
Calculate the total by adding together the amounts in the columns “TC” under “Resident Loan Balances” and “Non-Resident Loan Balances” and subtracting the amount in the column “TC” under “Allowance for expected credit losses”, all as set out for “Wholesale Trade” in the Non-Mortgage Loans Report.
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Table 9
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This Reporting Form was prepared by
Certification
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