Document ID: chunk:federal_register_of_legislation:F2023L01436:body:0:p10
Version: federal_register_of_legislation:F2023L01436
Segment Type: other
Provision Reference: 
Character Range: 27169–30343

dollars rounded to one decimal place for an ADI reporting category B and whole dollars with no decimal place for an ADI reporting category A.
An immediate parent NOHC must complete this form in AUD and in accordance with the same units as its subsidiary ADI.
Amounts denominated in foreign currency must be converted to AUD in accordance with AASB 121 The Effects of Changes in Foreign Exchange Rates.
Scope
The risk-weighting process used for measuring the off-balance sheet credit exposures of a locally incorporated standardised ADI that is a significant financial institution covers all or part of the off-balance sheet exposures of the ADI, including both market-related and non-market related transactions that are subject to the standardised approach to credit risk, except the following specifically excluded items:
    (a)          securitisation exposures, which are subject to the requirements of Prudential Standard APS 120 Securitisation (APS 120); and
    (b)          items subject to capital requirements under Prudential Standard APS 116 Capital Adequacy: Market Risk (APS 116). However, the trading book exposures that expose the ADI to counterparty credit risk must be included in this form.
A standardised ADI that is a significant financial institution is required to report the components of its credit valuation adjustment (CVA) risk capital charge through this form.

Specific instructions

Section A: Bilateral exposures

Item 1 and item 2 collect data in relation to OTC derivative transactions, SFTs and long settlement transactions that are not centrally cleared. For the purpose of this section, a long settlement transaction must be treated as an OTC derivative transaction. An ADI may net claims and obligations arising from market-related contracts across both the banking and trading books with a single counterparty if covered by an eligible bilateral netting agreement.

An ADI must include in Section A centrally cleared OTC derivative transactions, SFTs, long settlement transactions and exchange traded derivative transactions that are required to be treated as bilateral transactions under Attachment B of APS 180.
Item 1  Enter values for bilateral (i.e. non-centrally cleared) OTC derivative transactions using the CEM in item 1.1 to item 1.6.

        For the purpose of completing this item, examples of market-related off-balance sheet transactions include:

            (a)          interest rate contracts – single currency interest rate swaps, basis swaps, forward rate agreements, interest rate futures, interest rate options purchased and any other instruments of a similar nature;
            (b)          foreign exchange contracts (including contracts involving gold) – cross-currency swaps (including cross-currency interest rate swaps), forward foreign exchange contracts, currency futures, currency options purchased, hedge contracts and any other instruments of a similar nature;
            (c)          equity contracts – swaps, forwards, purchased options and similar derivative contracts based on individual equities or equity indices;
            (d)          precious metal contracts (other than gold) – swaps,