Document ID: chunk:federal_register_of_legislation:F2024L01519:body:0:p10
Version: federal_register_of_legislation:F2024L01519
Segment Type: other
Provision Reference: 
Character Range: 27357–30375

hedge remaining the same for the life of the assets or other items.

     1.          A structural position includes:

        1.           any position arising from an instrument which qualifies as capital of the ADI under Prudential Standard APS 111 Capital Adequacy: Measurement of Capital (APS 111); or

        2.           any position entered into in relation to the net investment in a self‑sustaining subsidiary, the accounting consequence of which is to reduce or eliminate what would otherwise be a movement in the foreign currency translation reserve; or

        3.           investments in overseas subsidiaries or associates that are fully deducted from an institution's capital for capital adequacy purposes under APS 111.

Attachment B

The standard method

     1.              The standard method comprises a range of alternative methodologies an ADI may use to calculate the market risks arising from its trading activities. The capital requirement under the standard method is the sum of the capital charges calculated in accordance with this Attachment and, for credit derivatives, Attachment D.

     2.              Unless required to do otherwise by APRA:

             1.           an ADI that has market-related activities in Australia and offshore branches (offshore Level 1 sites) and manages those market-related activities centrally may, for the purposes of calculating its Level 1 TFC capital requirement, report short and long positions in exactly the same instrument within any of those sites on a net basis, regardless of where they are booked; and

             2.           an ADI that has market-related activities in Australia and offshore Level 2 sites (offshore branches or offshore subsidiaries) and manages those market-related activities centrally may, for the purposes of calculating its Level 2 TFC capital requirement, report short and long positions in exactly the same instrument within any of those sites on a net basis, regardless of where they are booked;

subject to the following conditions:
        1.           positions taken in an offshore site may only be netted or offset against positions taken in Australia or in other offshore sites if the position-taking of that offshore site is monitored by the ADI's Australian office on a daily basis;

        2.           positions taken in an offshore site must not be netted or offset against positions taken in Australia or in other offshore sites where there are obstacles to the quick repatriation of profits from that offshore site or from offshore transactions taken by the ADI itself; and

        3.           positions taken in an offshore site must not be netted or offset against positions taken in Australia or in other offshore sites where there are legal and procedural difficulties in carrying out the timely management of risks on a consolidated basis.

Where the conditions (c) to (e) do not allow for positions in an offshore site to be netted or offset, an ADI must calculate the