Document ID: chunk:federal_register_of_legislation:F2023L00288:reg:5:p8
Version: federal_register_of_legislation:F2023L00288
Segment Type: reg
Provision Reference: reg 5 (pt 8/27)
Character Range: 46564–49251

choice between three methods for the calculation of general market risk (the maturity, duration and pre-processing methods).  The pre-processing method should only be used with APRA approval. For each currency, specify the method used in calculating the capital charge.  If more than one method is being used for a currency, report the calculations for each method on a different currency and method combination table. APS 116 allows the offsetting of positions between the duration and pre-processing methods.  ADIs performing such offsetting should report those positions (netted across the two methods) as pre-processing positions.

Columns 1 & 2 - Net long and short risk-weighted positions

The net long and net short risk-weighted positions for each time band should be reported according to the definitions of the bands in Table 6 of Attachment B to APS 116. Offsetting of positions is permitted in accordance with the requirements set out in paragraphs 38 to 41 of Attachment B to APS 116.

Column 3 - Total general market risk charge

The total general market risk charge is to be reported in the top line of column 3 for each currency and method combination. This is the sum of the net position and vertical and horizontal disallowances (calculated in accordance with paragraphs 20 to 41 of Attachment B to APS 116 and paragraphs 9 to 15 of APG 116).

Row - Total capital charge across all currencies

Derived field that sums up column 3 Total general market risk charge across all currencies and methods.  This charge will also be captured under item 1.1.2 of the Market risk summary table.

Table 3: Equity position risk

Positions are to be reported on a market‑by‑market basis, with calculations for each national market in which the ADI holds equities to be reported in a separate line.  Equities with listings in more than one market should be reported as positions in the market of their primary listing.

An 'equity position' is the net of short and long exposures to an individual company.  Specific risk is assessed as the sum of the net short or long exposure to individual companies irrespective of sign.

Column 1 - Positions attracting 8 % specific risk charge

The capital charge for specific risk is equal to 8 per cent of the gross position (i.e. the sum of the absolute value of all long equity positions and of all short equity positions). The gross value of all positions subject to a 8 per cent specific risk charge is to be reported in column 1 Positions attracting 8% specific risk charge.

Column 2 - Positions attracting 2% specific risk charge

Positions eligible for a 2 per cent specific risk capital charge are set out in paragraphs 50