Question G1: For certain capital calculations in the past, exchange rate contracts with an original maturity of 14 calendar days or less were excluded from certain capital requirements. Is that applicable for the CCR Standards?
No, all in-scope exchange rate contracts must be included, regardless of original or remaining maturity.

Question G2: A single hedging set might include derivatives on underlying rates, prices, or entities that span different Basel categories (e.g. corporates, financials, sovereigns); do these need to be calculated separately in order to compute and report RWA in the format required by the reporting template?
No, the risk-weight, and the category for reporting in the Central Bank’s template, depends on the nature of the counterparty, not the nature of the underlying reference asset. The counterparty for any netting set will fall into one and only one category for risk weighting and for reporting.

Question G3: For a variable notional swap, how should the average notional be calculated?
Use the time-weighted average notional in the CCR calculations.

Question G4: Should the current spot rate be used to compute adjusted notional?
Yes, the current spot rate should be used.

Question G5: Bank ask in case of calculating discounted counterparty exposure is a double count and will inflate CVA Capital charge given SA-CCR EAD already factors in maturity adjustment while computing adjusted notional which is product of trade notional & supervisory duration?
The use of the discount factor in the CVA capital charge does not result in double counting. While there is superficial similarity between the supervisory duration (SD) adjustment in SA-CCR and the discount factor (DF) in CVA, they are actually capturing different aspects of risk exposure. The use of SD in SA-CCR adjusts the notional amount of the derivatives to reflect its sensitivity to changes in interest rates, since longer-term derivatives are more sensitive to rate changes than are shorter-term derivatives. In contrast, the use of DF in the CVA calculation reflects the fact that a bank is exposed to CVA risk not only during the first year of a derivative contract, but over the life of the contract; the DF term recognizes the present value of the exposure over the life of the contract. Thus, these two factors, although they have similar functional forms and therefore appear somewhat similar, are not in fact duplicative.