Document ID: chunk:federal_register_of_legislation:F2023L00288:reg:5:p15
Version: federal_register_of_legislation:F2023L00288
Segment Type: reg
Provision Reference: reg 5 (pt 15/27)
Character Range: 64303–67105

an internal model approach and the standard methodology provided that a single approach (either an internal model approach or the standard method) is applied to all material exposures arising within any one risk category (refer to paragraphs 22 to 24 of APS 116). Those ADIs using a combination of the internal model approach and the standard methodology must complete:

       (a)          Tables 13 and 14 of ARF 116.0 for those asset classes where an internal model is applied; and

       (b)          the relevant tables in the standard method section (Tables 1 to 12) of the reporting form for those asset classes for which a capital charge is calculated using the standard method.

The capital charges determined using the internal model approach and the standard method will be reported on the Market risk summary table and summed up for the calculation of the total market risk capital charge.

Specific risk

Where the internal models of an ADI do not cover specific risk on interest rate related instruments and equities (refer to paragraph 4 of Attachment C to APS 116), the ADI must complete Table 1 (for specific risk on interest rate instruments) and Table 3 (for specific risk on equity positions) in the standard method section of the reporting form.

An ADI that has APRA's approval to use an internal model to calculate the specific risk capital charge (refer to paragraphs 43 to 80 of Attachment C to APS 116) may adopt one of the following two approaches to reporting their Value-at-Risk (VaR) and stressed VaR:

    (a)          general market risk and specific risk:

       (i)            if the ADI has the capacity to separately report specific risk and general market risk amounts, these amounts are to be reported under items 1.1 to 1.3 and items 2.1 to 2.3 of Table 13 for the interest rates and equities categories, respectively; or

       (ii)         if the ADI is not able to separately report specific risk and general market risk amounts, then total interest rate risk and total equity risk may be reported under items 1.3 and 2.3 respectively, using one of the three methods outlined in the Total market risk section below; or

    (b)          sub-portfolio containing/not containing specific risk:

       (i)            if the ADI is calculating the specific risk modelling surcharge by separating the specific risk portion of the VaR and stressed VaR measure from the model's estimate of general market risk, then the specific and general market risk amounts are to be reported separately under items 1.1 to 1.3 and items 2.1 to 2.3 of Table 13; or

       (ii)         if the ADI is calculating the specific risk modelling surcharge by identifying sub-portfolios that contain specific risk, the ADI is to report the VaR and stressed VaR amounts for