Document ID: chunk:federal_register_of_legislation:F2023L01436:body:0:p30
Version: federal_register_of_legislation:F2023L01436
Segment Type: other
Provision Reference: 
Character Range: 81669–84346

as detailed in Attachment B of APS 112. An ADI must apply the standardised risk-weighting methodology of APS 112 regardless of whether the ADI has approval to use an IRB approach to credit risk under APS 113. For item 10.1, report the total trade exposure RWE with CCPs not listed as the top five.

         Columns 4 to 6 must be completed if an ADI is a clearing member to a non- QCCP.

         Report in column 4 the value of prefunded default fund contributions with this CCP. For item 10.1, report the total prefunded default fund contributions with CCPs not listed as the top five.

         Report in column 5 the value of the proportion (specified by APRA) of unfunded default fund contribution with this CCP. For item 10.1, report the total unfunded default fund contribution with CCPs not listed as the top five.

         Column 6 is a derived field, calculated from columns 4 and 5 as:
         Item 10.2 column 3 is a derived field calculated as the sum of item 10 column 3 and item 10.1 column 3.
         Item 10.2 column 6 is a derived field calculated as the sum of item 10 column 6 and item 10.1 column 6.

Section D: CVA risk capital charge

Item 11 collects data in relation to CVA risk capital charge. Report all applicable CVA risk capital charge in this item.
Item 11  Items 11.1 to 11.6 correspond to long term credit rating grades according to Attachment F of APS 112.

         Column 2 CVA capital formula component 1:

            (i)       An ADI without eligible CVA hedges according to Attachment A of APS 180:

         For each credit rating grade report the values , summed over all counterparties (i.e. summed over all i's) with that credit rating grade:

            (ii)     An ADI with eligible CVA hedges according to Attachment A of APS 180:

         For each credit rating grade report the values  summed over all counterparties (i.e. summed over all i's) with that credit rating grade:

         Where Mi, Di, Exposureitotal, Mihedge, Dihedge and Bi are as defined in paragraph 16 of Attachment A of APS 180. The CVA charge imposed on a clearing member ADI for transacting with a CCP on behalf of its clients must also be included.

         Note that for multiple netting sets, the amount is to be summed over all netting sets.

         Column 3 CVA capital formula component 2:

         To be completed by an ADI with eligible CDS index hedges; otherwise left blank. For each credit rating grade, report the sum of the following calculation being the sum of all index exposures (i.e. summed over all ind's) mapped to that credit rating grade:

         Where Mind, Dind, and Bind  are as defined in paragraph 16 of Attachment A