Document ID: chunk:federal_register_of_legislation:F2023L01599:reg:6:p32
Version: federal_register_of_legislation:F2023L01599
Segment Type: reg
Provision Reference: reg 6 (pt 32/35)
Character Range: 110449–113217

must consistently use either the counterparty-by-counterparty approach or the aggregate approach to calculate the NGR and must inform APRA of which approach it intends to use.

Risk-weighted amount
18.         With respect to the netted exposures determined in paragraphs 12 to 17 of this Attachment, an ADI must assign the relevant risk weight applicable to a counterparty, or if eligible, the risk weight of a guarantor or collateral to the CEA. Counterparty risk weightings for OTC derivative transactions will not be subject to any specific ceiling.
19.         For the purposes of paragraph 23 of Attachment G of APS 112, potential future exposure is PFCEadj as determined in paragraph 12 of this Attachment.
[1]  A reference obligation will typically also be a deliverable obligation unless otherwise excluded.
[2]  For the purposes of this Prudential Standard, long settlement transactions must be treated as OTC derivatives transactions.
[3]  prescribed New Zealand authority has the meaning given in subsection 5(1) of the Banking Act.
[4]  For the avoidance of doubt, an IRB ADI that has IRB approval for a portion of its exposures must determine the risk weights for exposures subject to the standardised approach to credit risk in accordance with APS 112, as required under APS 113.
[5] Refer to subsection 11AF(2) of the Banking Act.
[6]  The total exposure amount for bilateral SFTs must be calculated by adding together the exposure amount for each SFT not covered by an eligible netting agreement (refer to Attachment G of APS 112) and the exposure amount for all SFTs covered by an eligible netting agreement (refer to Attachment H of APS 112).
[7]  No adjustment to CVA should be included for SFTs.
[8]  For the avoidance of doubt, an IRB ADI that has IRB approval for a portion of its exposures must determine the risk weights for exposures subject to the standardised approach to credit risk in accordance with APS 112, as required under APS 113.
[9]  D is the supervisory discount factor based on an interest rate of five per cent per annum and term to maturity of M years, and e (≈2.71828) is the base of the natural logarithm.
[10]  This approach also applies for the  KCVA calculations in paragraphs 16(b) and 16(c) of this Attachment.
[11]  For contributions to prepaid default funds covering settlement risk-only products, the applicable risk weight is zero per cent.
[12]  The remaining maturity (Mi) of an unmargined transaction is subject to a floor of 10 business days. as per paragraph 48(a) of Attachment D.
[13]  Trade exposure includes any posted collateral but excludes any default fund contributions. Refer to paragraph 8(ee) for the complete definition of trade exposure.
[14]  To the extent that the rules referenced in Attachment