Document ID: chunk:federal_register_of_legislation:F2023L00288:reg:5:p22
Version: federal_register_of_legislation:F2023L00288
Segment Type: reg
Provision Reference: reg 5 (pt 22/27)
Character Range: 81283–83841

VaR data for each asset class and in aggregate, up to and including the last day in the quarter (refer to paragraphs 81 to 87 of Attachment C to APS 116 and paragraphs 65 to 85 of APG 116), to calculate the number of exceptions. Using this data, for each asset class and for the aggregate, an ADI should compare each day's trading outcome (profit or loss) with the corresponding VaR number. If the trading outcome on a particular day is a loss that exceeds the corresponding VaR number for that day then the result is recorded as an exception. For each asset class and the aggregate, an ADI must report the number of exceptions that occur over the 250 days.

Columns 7 & 8 - Scaling factor (VaR and stressed VaR)

The scaling factor for VaR and stressed VaR consists of a multiplication factor and a plus factor (refer to paragraph 3 of Attachment C to APS 116). A separate multiplication factor is set for VaR and stressed VaR (refer to paragraph 3 of Attachment C to APS 116 and paragraph 30 of APG 116). The multiplication factor is set for each ADI by APRA, and is subject to a minimum of three.

The plus factor is specified by APRA and relates directly to the quarterly back-testing results (refer to paragraphs 81 to 87 of Attachment C to APS 116 and paragraphs 65 to 85 of APG 116). The same plus factor applies to both VaR and stressed VaR.

Column 9 &10 - Scaled average VaR and stressed VaR

For each asset class and for the aggregate, multiply the number in column 2 Average VaR over past 60 trading days by the number in column 7 Scaling factor (VaR) to determine the scaled average VaR.

For each asset class and for the aggregate, multiply the number in column 4 Average stressed VaR over past 60 trading days by the number in column 8 Scaling factor (stressed VaR) to determine the scaled average stressed VaR.

6.  Incremental risk charge

Where the VaR measures include an estimation of the specific risk charge, report in item 6 the regulatory capital default and migration risks on trading book positions (subject to a capital charge for specific interest rate risk, with the exception of securitisation positions and nth-to-default credit derivatives) that is incremental to the risk captured by the VaR-based calculation (refer to paragraph 49 of Attachment C to APS 116).

The capital charge for incremental risk is given by the maximum of the average of the incremental risk measures over 12 weeks and the most recent incremental risk measure. The incremental risk capital charge is also captured under item 2.3 of the Market