Document ID: chunk:federal_register_of_legislation:F2023L01599:front:0:p7
Version: federal_register_of_legislation:F2023L01599
Segment Type: other
Provision Reference: 
Character Range: 16530–19587

risk, calculated as the sum of any applicable:
(i)            risk-weighted credit exposures for counterparty credit default risk ('default risk RWE');
(ii)         risk-weighted credit exposures for counterparty credit default risk arising from trade exposure to a CCP ('trade exposure RWE'); and
(iii)       risk-weighted credit exposure arising from a default fund contribution to a non-qualifying CCP ('default fund RWE');
(b)          any applicable credit valuation adjustment (CVA) risk capital charge; and
(c)          any applicable default fund capital charge for any default fund contribution to a QCCP.
14.         For all centrally cleared transactions, an ADI must apply the risk management requirements in paragraphs 30 to 39 of Attachment B.

Risk-weighting approach
15.         For the purposes of determining the risk-weighted credit exposures for counterparty credit risk, this paragraph must be read in conjunction with APS 112 and, for an IRB ADI, Prudential Standard APS 113 Capital Adequacy: Internal Ratings-based Approach to Credit Risk (APS 113). Risk weights must be determined in the following manner:
(a)          an IRB ADI must determine the risk weights for bilateral transactions in accordance with APS 113;[4]
(b)          a standardised ADI must determine the risk weights for bilateral transactions in accordance with APS 112;
(c)          an ADI must determine the risk weights for trade exposures with a CCP in accordance with Attachment B of this Prudential Standard.; and
(d)          an ADI must determine the risk weights for default fund exposures with a non-qualifying CCP in accordance with Attachment B of this Prudential Standard.
16.         APRA may determine a higher or lower risk weight for a particular exposure of an ADI where APRA considers that the ADI has not risk weighted the exposure appropriately.

Historical rate rollovers
17.         An ADI must not enter into market-related contracts at off-market prices other than historical rate rollovers on foreign exchange contracts. An ADI must have a policy framework in place agreed to by APRA that sets out its systems and controls for approving and monitoring these rollovers and adequately restricts the ADI's capacity to enter into such contracts. Transactions outside of the agreed framework must be discussed with APRA to determine their appropriate treatment.

Adjustments and exclusions
18.         APRA may adjust or exclude a specific prudential requirement in this Prudential Standard in relation to one or more specified ADIs or authorised NOHCs.[5]

Previous exercise of discretion
19.         An ADI must contact APRA if it seeks to place reliance, for the purposes of complying with this Prudential Standard, on a previous exemption or other exercise of discretion by APRA under a previous version of this Prudential Standard or APS 112.

Attachment A — Counterparty credit risk requirements for bilateral transactions
     1. This Attachment applies to OTC derivative transactions, SFTs and long settlement transactions that are not