Document ID: chunk:federal_register_of_legislation:F2023L00288:reg:5:p5
Version: federal_register_of_legislation:F2023L00288
Segment Type: reg
Provision Reference: reg 5 (pt 5/27)
Character Range: 38907–41678

assessed according to the classification of issuer of the security or underlying security in the case of derivative instruments. Issuers are classified into the categories of government, qualifying and other, as defined in paragraphs 6 to 10 of Attachment B to APS 116. Instruments with issuers in the government and qualifying categories should be further classified according to the residual term to final maturity of the security or underlying security.

Column 4 - Specific risk-weight

The specific risk-weights applicable to each category are detailed in Table 1 of Attachment B to APS 116.

Column 5 - Capital charge

Derived field calculated as column 3 Gross market value multiplied by column 4 Specific risk-weight.

2. Securitisation exposures

Refer to APS 120 for the definition of 'securitisation exposure'.

In item 2.7, include securitisation exposures that do not meet the due diligence requirements in paragraph 11 in Attachment B to APS 116.

Do not include securitisation exposures that do not meet the due diligence requirements in items 2.1 to 2.6.

Columns 1 & 2 - Short and long positions

The sum of the market values of individual securitisation positions in each issuer category should be reported in columns 1 and 2 for short and long positions, respectively. In summing the market values within each category, if there is a matched position in the same security (i.e. both the issuer and issue are identical), the matching positions may be offset and omitted from the calculation of specific interest rate risk (refer to paragraphs 5, 35, 36 and 38 to 41 of Attachment B to APS 116).

Columns 3 & 4 - Capital charge (short and long positions)

Specific risk-weights applicable to securitisation exposures are set 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.

3. Resecuritisation exposures

Refer to APS 120 for the definition of 'resecuritisation exposure'.

In item 3.7, include resecuritisation exposures that do not meet the due diligence requirements in paragraph 11 in Attachment B to APS 116.

Do not include resecuritisation exposures that do not meet the due diligence requirements in items 3.1 to 3.6.

Columns 1 & 2 - Short and long positions

The sum of the market values of individual resecuritisation positions in each issuer category should be reported in columns 1