Document ID: chunk:federal_register_of_legislation:F2024L01075:body:0:p10
Version: federal_register_of_legislation:F2024L01075
Segment Type: other
Provision Reference: 
Character Range: 25467–31340

Common Equity Tier 1 Capital (CET1).
 5.          An ADI must treat references to the Standardised Approach (SEC-SA) as the Supervisory Formula Approach as set out in Attachment C to APS 120.
 6.          Securitisation exposures of an ADI's overseas banking subsidiary that is prudentially regulated by a prescribed New Zealand authority must be disclosed as part of their New Zealand credit RWA.

Market risk
 1.          An ADI is not required to comply with the market risk disclosures requirements set out in the BCBS Standard. An ADI must instead disclose the items set out in Table 1 and Table 2 to the extent applicable on a semi-annual basis.
Table 1: Market risk – disclosures for ADIs using the standard method
Qualitative disclosures   (a)  An ADI must describe its market risk management objectives and policies, including:
                                   •               strategies and processes;
                                   •               the structure and organisation of the relevant risk management function;
                                   •               the scope and nature of risk reporting and/or measurement systems;
                                   •               policies for hedging and/or mitigating risk and strategies and processes for monitoring the continuing effectiveness of hedges/mitigants; and
                                   •               portfolios covered by the standard method.
Quantitative disclosures  (b)  The capital requirements (in terms of risk-weighted assets) for:
                                   •               interest rate risk;
                                   •               equity position risk;
                                   •               foreign exchange risk; and
                                   •               commodity risk.

Table 2: Market risk – disclosures for ADIs using the internal models approach (IMA) for trading portfolios
Qualitative disclosures   (a)                                                                                                                                                                                                                                                                                              An ADI must describe its market risk management objectives and policies, including:
                                                                                                                                                                                                                                                                                                                               •               strategies and processes;
                                                                                                                                                                                                                                                                                                                               •               the structure and organisation of the relevant risk management function;
                                                                                                                                                                                                                                                                                                                               •               the scope and nature of risk reporting and/or measurement systems;
                                                                                                                                                                                                                                                                                                                               •               policies for hedging and/or mitigating risk and strategies and processes for monitoring the continuing effectiveness of hedges/mitigants; and
                                                                                                                                                                                                                                                                                                                               •               portfolios covered by the IMA.
                                                                                                                                                                                                                                                                                                                           In addition, a discussion of the extent of, and methodologies for, compliance with the prudential requirements for prudent valuation practices for positions held in the trading book contained in Attachment A of APS 111.
(b)                       The discussion must include an articulation of the soundness standards on which the ADI's internal capital adequacy assessment is based. It must also include a description of the methodologies used to achieve a capital adequacy assessment that is consistent with the soundness standards.
(c)                       For each portfolio covered by the IMA:
                              •               the characteristics of the models used;
                              •               a description of stress testing applied to the portfolio; and
                              •               a description of the approach used for back-testing/validating the accuracy and consistency of the internal models and modelling processes.
(d)                       The scope of acceptance by APRA.
(e)                       For the incremental risk capital charge and the comprehensive risk capital charge the methodologies used and the risks measured through the use