Document ID: chunk:federal_register_of_legislation:F2023L00288:reg:5:p23
Version: federal_register_of_legislation:F2023L00288
Segment Type: reg
Provision Reference: reg 5 (pt 23/27)
Character Range: 83607–86294

for incremental risk is given by the maximum of the average of the incremental risk measures over 12 weeks and the most recent incremental risk measure. The incremental risk capital charge is also captured under item 2.3 of the Market risk summary table.

7.  Comprehensive risk charge – correlation trading portfolio

Where an ADI has approval from APRA to adopt the comprehensive risk approach under paragraph 77 of Attachment C to APS 116, it may report in item 7 the specific risk capital requirement for its correlation trading portfolio as the maximum of the capital charge according to the internally developed approach and 8 per cent of the specific risk capital charge according to the standardised measurement approach. The internally developed approach must capture not only incremental default and migration risks, but all price risks associated with the correlation trading portfolio (refer to paragraphs 77 to 79 of Attachment C to APS 116).

The capital charge for comprehensive risk is given by the maximum of the average of the comprehensive risk measures over 12 weeks and the most recent comprehensive risk measure. The comprehensive risk capital charge is also captured under item 2.4 of the Market risk summary table.

8.  Capital charge

The capital charge is based on method one and hence only item 5 Total needs to be considered. The capital charge, using method one, is the larger of column 1 End of quarter VaR and column 9 Scaled average VaR plus the larger of column 3 End of quarter stressed VaR and column 10 Scaled average stressed VaR plus the Incremental risk charge (item 6) plus the Comprehensive risk charge (item 7).

The capital charge calculated under the VaR method is also captured under item 2.1 of the Market risk summary table. The charge calculated under the stress VaR method is captured under item 2.2 of the Market risk summary table.

Table 14: Largest daily losses over the quarter

Report the five largest daily losses experienced by the total trading book over the reporting period.  Report the losses in order of magnitude with the largest loss in row 1, the second largest loss in row 2, and so forth. Report the dates corresponding to each of the losses in column 2. Report the corresponding VaR number for each loss in column 3 (i.e. the 99 per cent one-day VaR number calculated as at the previous business day).

Table 15: Yield curve scenarios

All positions forming part of the trading book in debt or other interest rate related securities must be included in the stress test calculations. Using the scenarios set out in Table 15, separate stress test results should be presented (in a separate row) for positions in