Document ID: chunk:federal_register_of_legislation:F2023L01436:body:0:p15
Version: federal_register_of_legislation:F2023L01436
Segment Type: other
Provision Reference: 
Character Range: 40242–42975

5 as

        Item 6.2 column 3 is a derived field calculated as the sum of item 6 column 3 and item 6.1 column 3.
        Item 6.2 column 6 is a derived field calculated as the sum of item 6 column 6 and item 6.1 column 6.

Section C: CVA risk capital charge

Item 7 collects data in relation to CVA risk capital charge. Report all applicable CVA risk capital charge in this item.
Item 7  Item 7.1 Approach for calculating the CVA risk capital charge

        An ADI that has permission from APRA to calculate its CVA risk capital charge using the simplified approach should input 'simplified approach', otherwise it should input 'standardised formula'. An ADI using the simplified approach must report zeroes in rows 7.2 to 7.7.

        Items 7.2 to 7.7 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 (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 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 credit default swap (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 of APS 180.

        Column 4 CVA capital formula component 3

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

        For each credit rating grade report the square root of the sum of the squares of 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 square root of the sum of the squares of the values , summed over all counterparties (summed over all i's) with that credit