Document ID: chunk:federal_register_of_legislation:F2024L01518:body:0:p12
Version: federal_register_of_legislation:F2024L01518
Segment Type: other
Provision Reference: 
Character Range: 31323–34586

overseas deposit-taking institution.
 1.              For the Value-at-Risk (VaR) for specific risk, the incremental risk charge and the comprehensive risk measurement charge included in calculating the ADI-specific countercyclical capital buffer, an ADI must consult with APRA to develop an approach that would translate these charges into individual instrument risk-weights that would then be allocated to the geographic location of the specific counterparties that make up the charge.

Attachment D – Leverage ratio
 1.              An ADI must calculate its leverage ratio as follows:
Leverage ratio =  Tier 1 Capital

Exposure Measure

where:
 1.           Tier 1 Capital is determined in accordance with APS 111; and
 2.           the exposure measure is determined in accordance with this Attachment and is calculated as the sum of:[13]
         1.             on-balance sheet exposures;
         2.          non-market related off-balance sheet exposures;
         3.        derivative exposures; and
         4.         securities financing transaction (SFT) exposures.
 1.              Unless otherwise specified in this Attachment, an ADI must follow Australian Accounting Standards in calculating its exposure measure, subject to the following:
         1.           physical or financial collateral, guarantees or other credit risk mitigation techniques must not be taken into account by an ADI to reduce the exposure measure;
         2.           netting of assets and liabilities is not permitted; and
         3.           securitisation exposures which meet the operational requirements for regulatory capital relief, as set out in APS 120, may be excluded from the exposure measure. All other securitisation exposures, including funding-only and synthetic securitisations, must be included in the exposure measure.
 2.              APRA may temporarily exclude central bank reserves from the leverage ratio exposure measure in exceptional macroeconomic circumstances. If APRA excludes central bank reserves, it may increase the minimum leverage ratio requirement commensurately to offset the impact of the exclusion. In the event that APRA excludes central bank reserves from the calculation of the exposure measure, an ADI must publicly disclose the impact of the exclusion, as well as its leverage ratio calculated without the benefit of the exclusion.

On-balance sheet exposures
 1.              For the purpose of calculating on-balance sheet assets, an ADI must include all balance sheet assets, including any on-balance sheet collateral for derivatives and SFTs, but excluding on-balance sheet derivatives and SFTs covered by paragraphs 16 to 45 of this Attachment.
 2.              Balance sheet assets deducted from Common Equity Tier 1 Capital and Additional Tier 1 Capital for the purposes of regulatory adjustments under APS 111 may be deducted from the exposure measure.
 3.              Liability items must not be deducted from the exposure measure, including any gains and losses on fair value liabilities, or accounting value adjustments on derivative liabilities due to changes in an ADI's own credit risk.
 4.              On-balance sheet assets may be included in the exposure measure at their accounting values net of any