Document ID: chunk:federal_register_of_legislation:F2024L01074:body:0:p23
Version: federal_register_of_legislation:F2024L01074
Segment Type: other
Provision Reference: 
Character Range: 62508–65372

or its external credit rating. If the lower value is used, an ADI must have sufficient line monitoring and management procedures to support using the lower value for Regulatory Capital purposes.
 3.          Where an ADI has given a commitment to provide an off-balance sheet exposure, it may apply the lower of the CCFs applicable to the commitment and the off-balance sheet exposure.
 4.          An ADI must apply the CCFs as specified in Attachment C to APS 112 when calculating EAD, with the exception of:
        1.           non-revolving retail exposures categorised as other commitments in accordance with Attachment C to APS 112, for which the CCF is 100 per cent; and
        2.           revolving retail exposures, excluding exposures subject to a CCF of 100 per cent in Attachment C to APS 112, for which the ADI may use its own estimates of EAD.
 5.          When only the drawn balances of revolving facilities have been securitised, an ADI must ensure that it continues to hold capital against the undrawn balances associated with the securitised exposure.

Revolving retail exposures
 1.          Where an ADI uses its own estimates of EAD for revolving retail exposures, EAD for each exposure that is used as an input to the risk-weight function and the calculation of EL must not be less than the sum of:
        1.           the on-balance sheet amount; and
        2.           50 per cent of the off-balance sheet exposure using the applicable CCF in Attachment C to APS 112.
 2.          To the extent that foreign exchange and interest rate commitments exist within an ADI's retail IRB asset class, the ADI is not permitted to use its internal estimates of EAD for those commitments and must instead apply the CCFs as specified in Attachment C to APS 112.

Off-balance sheet exposures that expose an ADI to counterparty credit risk
 1.          For off-balance sheet exposures that expose an ADI to counterparty credit risk, including over-the-counter (OTC) derivatives (as defined in APS 112), exchange-traded derivatives, and long settlement transactions, the ADI must calculate EAD according to the requirements set out in APS 180. For the purpose of calculating the credit valuation adjustment risk capital formula weights, as detailed in APS 180, an ADI may use internal ratings for counterparties without an external rating grade if the ADI has a documented conservative and consistent process that maps each of its internal ratings for counterparties without an external rating grade into the equivalent long-term credit rating grade to use internal ratings.

Effective maturity
 1.          For corporate, sovereign and financial institution exposures, an ADI must calculate M for each facility. Subject to paragraph 42 of this Attachment, M is the greater of one year and the remaining maturity in years as defined in paragraph 41