Document ID: chunk:federal_register_of_legislation:F2023L00288:reg:5:p14
Version: federal_register_of_legislation:F2023L00288
Segment Type: reg
Provision Reference: reg 5 (pt 14/27)
Character Range: 61760–64553

in calculating the capital charge;

       (c)          report the maximum loss figure obtained from the scenario matrix constructed      for each time band in each currency;

       (d)          sum each column to obtain a maximum loss figure for all time bands by each currency. Report this figure in the top line of column 2 Total general market risk charge, for each currency.

Row - Total capital charge across all currencies

Derived field that sums up column 2 Total general market risk charge for each currency. This charge will also be captured under item 1.1.5 of the Market risk summary table.

Table 10: Contingent loss method – Equity options

Select the relevant countries and report the corresponding maximum loss figure obtained from the scenario matrix constructed for each national market in column 1 (refer to paragraphs 89 to 95 of Attachment B to APS 116).

Row - Total capital charge across all countries

Derived field that sums up column 1 Maximum loss to obtain a total capital charge across all countries. This charge will also be captured under item 1.2.4 of the Market risk summary table.

Table 11: Contingent loss method - Foreign exchange options

Select the relevant currencies and report the corresponding maximum loss figure obtained from the scenario matrix constructed for each currency pair and gold[5] in column 1 (refer to paragraphs 89 to 95 of Attachment B to APS 116).

Row – Total capital charge across all currency pairs

Derived field that sums up column 1 Maximum loss to obtain a total capital charge across all currency pairs. This charge will also be captured under item 1.3.4 of the Market risk summary table.

Table 12: Contingent loss method – Commodity options

Report the maximum loss figure obtained from the scenario matrix constructed for each commodity in column 1 (refer to paragraphs 89 to 95 of Attachment B to APS 116).

Row – Total capital charge across all commodities

Derived field that sums up column 1 Maximum loss to obtain a total capital charge across all commodities. This charge will also be captured under item 1.4.5 of the Market risk summary table.

     2.                      INTERNAL MODEL

An ADI for which APRA has approved the use of the internal model approach must complete:

       (a)          Tables 13 and 14; and

       (b)          Tables 18 to 23 relating to stress testing, where the ADI has exposure to the relevant underlying market.

Mixed approaches

In accordance with APS 116, an ADI is permitted to use a combination of an internal model approach and the standard methodology provided that a single approach (either an internal model approach or the standard method) is applied to all material exposures arising within any one risk category (refer to paragraphs 22 to 24