Document ID: chunk:federal_register_of_legislation:F2023L01436:body:0:p9
Version: federal_register_of_legislation:F2023L01436
Segment Type: other
Provision Reference: 
Character Range: 23146–27393

counterparty                                Trade exposure  Trade exposure RWE  Prefunded default fund contribution  Unfunded default fund contribution  Default fund RWE
(1)                                                         (2)             (3)                 (4)                                  (5)                                 (6)

     6.1       Other non-qualifying central counterparties
     6.2       Total

Section C: CVA risk capital charge

  7        CVA risk capital charge

                                                                                                                                                                                                                                 Approach
     7.1       Approach for calculating CVA risk capital charge
                                                                                                                                                                                                                                 Simplified approach
                                                                                                                                                                                                                                 Standardised formula

                                                                                  Rating grade weighting  CVA capital formula component 1  CVA capital formula component 2  CVA capital formula component 3  Derived quantity 1  Derived quantity 2
                                                                                  (1)                     (2)                              (3)                              (4)                              (5)                 (6)
     7.2       CVA capital charge components, credit rating grade = 1
     7.3       CVA capital charge components, credit rating grade = 2
     7.4       CVA capital charge components, credit rating grade = 3
     7.5       CVA capital charge components, credit rating grade = 4 or unrated
     7.6       CVA capital charge components, credit rating grade = 5
     7.7       CVA capital charge components, credit rating grade = 6
     7.8       Total CVA capital charge components
     7.9       Total CVA capital charge (standardised formula)
     7.10   Total CVA RWE (simplified approach)
     7.11   Total CVA RWE

Section D: Summary

  8        Market related off-balance sheet exposures

     8.1       Bilateral exposures - default risk RWE
     8.2      CCP trade exposure RWE
     8.3      CCP default fund RWE
     8.4       CVA RWE

  9        Securities financing transaction exposures

     9.1       Total SFT trade exposure RWE
        9.1.1        Bilateral SFT RWE
        9.1.2        Centrally cleared SFT RWE

Reporting Form ARF 180.1

Standardised – Counterparty Credit Risk and CVA Risk

Instructions

These instructions are designed to assist in the completion of Reporting Form ARF 180.1 Standardised – Counterparty Credit Risk and CVA Risk. This form captures the counterparty credit risk exposures of a standardised ADI that is a significant financial institution. In completing this form, ADIs should refer to APS 180.

Terms highlighted in bold italics are defined in paragraph 18 of this Reporting Standard.
Reporting entity
This form must be completed at Level 1 and Level 2 by each locally incorporated standardised ADI that is a significant financial institution.
If an ADI that is a significant financial institution is a subsidiary of an authorised NOHC, the report at Level 2 must be submitted by the ADI's immediate parent NOHC.
Reporting basis and units of measurement
Report all items on ARF 180.1 in accordance with Australian Accounting Standards unless otherwise specified.
Complete items on ARF 180.1 excluding exposures held by New Zealand subsidiaries as at the last day of the stated reporting period (i.e. the relevant quarter).
All items must be reported in Australian dollars (AUD) and in millions of dollars rounded to one decimal place for an ADI reporting category B and whole dollars with no decimal place for an ADI reporting category A.
An immediate parent NOHC must complete this form in AUD and in accordance with the