Document ID: chunk:federal_register_of_legislation:F2023L00288:reg:5:p7
Version: federal_register_of_legislation:F2023L00288
Segment Type: reg
Provision Reference: reg 5 (pt 7/27)
Character Range: 43932–46837

out in paragraphs 11, 12 and 13 and Tables 2, 3, 4 and 5 of Attachment B to APS 116. An ADI may apply different specific risk-weights in accordance with paragraphs 11 and 14 of Attachment B to APS 116. The capital charge is calculated as the position multiplied by the specific risk-weight. An ADI is permitted to limit the capital charge for an individual securitisation position to the maximum possible loss in accordance with the requirements of paragraph 19 of Attachment B to APS 116.

Paragraph 17 of Attachment D to APS 116 details the capital treatment for nth-to-default credit derivatives. Any other positions used to hedge the correlation trading portfolio such as single name credit default swaps, credit indices or index tranches should be treated in a manner consistent with Attachment B and Attachment D to APS 116.

Column 5 - Capital charge

Derived field calculated as the maximum of the sum of column 3 Capital charge short position and the sum of column 4 Capital charge long position. Both of these are derived fields under item 4.10 of the table.

5. Total capital charge

The sum of the subtotals from the specific risk capital charge for non-securitisation exposures (item 1.14) and the correlation trading portfolio (item 4.11), plus the sum of:

    (a)          the capital charges (long positions) for securitisation and resecuritisation exposures; and

    (b)          the capital charges (short positions) for securitisation and resecuritisation exposures.

In accordance with paragraph 18 of Attachment B to APS 116 an ADI may until 31 December 2013 apply the following alternative calculation for the total capital charge:

The sum of the subtotals from the specific risk capital charge for non-securitisation exposures and the correlation trading portfolio, plus the maximum of:

    (a)          the sum of the capital charges (long positions) for securitisation and resecuritisation exposures; and

    (b)          the sum of the capital charges (short positions) for securitisation and resecuritisation exposures.

This charge will also be captured under item 1.1.1 of the Market risk summary table.

Table 2: General market risk

The data to be entered into Table 2 should be calculated according to the methodology detailed in paragraphs 20 to 41 of Attachment B to APS 116. These calculations should be performed and the results reported in Table 2 separately for each currency (without offsetting across currencies) in which material interest rate exposures are held, and in aggregate for all currencies in which interest rate exposures are not material.

APS 116 allows the choice between three methods for the calculation of general market risk (the maturity, duration and pre-processing methods).  The pre-processing method should only be used with APRA approval. For each currency, specify the method used in calculating the capital charge.  If