Document ID: chunk:federal_register_of_legislation:F2023L01436:body:0:p16
Version: federal_register_of_legislation:F2023L01436
Segment Type: other
Provision Reference: 
Character Range: 42745–45520

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 rating grade:

        Where Mi, Di, Exposureitotal, Mihedge, Dihedge and Bi are as defined in paragraph 16 of Attachment A of APS 180.

        Note that the amount in column 4 is an AUD amount, and so should be entered in units according to the class of ADI, as set out under the reporting basis and units of measurement of these reporting instructions.

        Column 5 Derived quantity 1, calculated from columns 1, 2, and 3 as:

        Column 6 Derived quantity 2, calculated from columns 1 and 4 as:

        Item 7.8 column 5 – Total CVA capital charge components:

        Derived field calculated as the sum of values in column 5 from rows 7.2 to 7.7.

        Item 7.8 column 6 – Total CVA capital charge components:

        Derived field calculated as the square root of the sum of the square of values in derived quantity 2 (column 6) from rows 7.2 to 7.7.

        Item 7.9 column 6 – Total CVA capital charge (standardised formula):

        Derived field calculated from row 7.8 as:

        Item 7.10 column 6 – Total CVA RWE (simplified approach):

        Derived field equal to the value of item 1.7 (bilateral exposures).

        Item 7.11 column 6 – Total CVA RWE:

        Derived field calculated from items 7.9 (column 6) and 7.10 (column 6) depending on whether 'standardised formula' or 'simplified approach' is selected in 7.1.

        If 'standardised formula' then calculated as 12.5 multiplied by item 7.9 (column 6)

        If 'simplified approach' then calculated as item 7.10 (column 6)

Section D: Summary
Item 8  Item 8.1 is a derived field equal to the value of item 1.7.

        Item 8.2 is a derived field equal to the sum of item 3.1 and item 6.2 column 3.

        Item 8.3 is a derived field equal to the sum of item 6.2 column 6 and 12.5 multiplied by item 5.2.

        Item 8.4 is a derived field equal to the value of item 7.11.

Item 9  Item 9.1 is a derived field equal to the sum of items 9.1.1 to 9.1.2.

        Item 9.1.1 is a derived field equal to the value of item 2.1.

        Item 9.1.2 is a derived field equal to the value of item 4.1.

  ARF_180_2: IRB - Counterparty Credit Risk and CVA Risk

Australian Business Number  Institution Name

Reporting Period            Scale Factor
                            Millions to one decimal place
Reporting Consolidation
Level 1 / Level 2

Section A: IRB bilateral exposures

  1        Derivative exposures - AIRB or FIRB

PD %  Number of counterparties  Notional principal amount  Replacement cost excluding all collateral