Document ID: chunk:federal_register_of_legislation:F2023L01436:body:0:p31
Version: federal_register_of_legislation:F2023L01436
Segment Type: other
Provision Reference: 
Character Range: 84109–86733

grade, report the sum of the following calculation being the sum of all index exposures (i.e. summed over all ind's) mapped to that credit rating grade:

         Where Mind, Dind, and Bind  are as defined in paragraph 16 of Attachment A of APS 180.

         Column 4 CVA capital formula component 3:

            (i)       An ADI without 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 (i.e. summed over all i's) with that credit rating grade:

            (ii)    An ADI with 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 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 11.7 column 5 – Total CVA capital charge components:

         Derived fields calculated as the sum of values in column 5 from rows 11.1 to 11.6.

         Item 11.7 column 6 – Total CVA capital charge components:

         Derived field calculated as the square root of the sum of the square of values in column 6 from rows 11.1 to 11.6.

         Item 11.8 column 6 – Total CVA capital charge:

         Derived field calculated from row 11.7 as :

Section E: Summary
Item 12  Item 12.1 is a derived field equal to the sum of item 1.1 and item 3.1.

         Item 12.2 is a derived field equal to the value of item 5.1.

         Item 12.3 is a derived field equal to the sum of item 7.2 column 4 and item 10.2 column 3.

         Item 12.4 is a derived field equal to the sum of item 10.2 column 6 and 12.5 multiplied by item 9.2.

         Item 12.5 is a derived field equal to the value of 12.5 multiplied by item 11.8.

Item 13  Item 13.1 is a derived field equal to the sum of items 13.1.1 to 13.1.3.

         Item 13.1.1 is a derived field equal to the sum of item 2.1 and 4.1.

         Item 13.1.2 is a derived field equal to the value of item 6.1.

         Item 13.1.3 is a derived field equal to the value of item 8.2.

[1]  Pursuant to section 227B of