Document ID: chunk:federal_register_of_legislation:F2023L00288:reg:5:p21
Version: federal_register_of_legislation:F2023L00288
Segment Type: reg
Provision Reference: reg 5 (pt 21/27)
Character Range: 78906–81475

the comprehensive risk measures over 12 weeks and the most recent comprehensive risk measure. The comprehensive risk capital charge is also captured under item 2.4 of the Market risk summary table.

8.  Capital charge

The capital charge, using method two, is the larger of column 1 End of quarter VaR and column 9 Scaled average VaR plus the larger of column 3 End of quarter stressed VaR and column 10 Scaled average stressed VaR plus the Incremental risk charge (item 6) plus the Comprehensive risk charge (item 7).

The capital charge calculated under the VaR method is also captured under item 2.1 of the Market risk summary table. The charge calculated under the stress VaR method is captured under item 2.2 of the Market risk summary table.

Method three

An ADI using method three is to report numbers under items 1 to 5 Interest rates, Equities, Foreign exchange, Commodities and Total respectively.

Column 1 - End of quarter VaR

Report the VaR number calculated across all asset classes and the VaR numbers calculated for each asset class for the last day in the reporting period.

Column 2 - Average VaR over past 60 trading days

Calculate the average daily total VaR measure for the 60 trading days, up to and including the last day of the quarter (i.e. the end of quarter VaR number should be included in the calculation) for each asset class and across all asset classes (i.e. for the total VaR).

Column 3 - End of quarter stressed VaR

Report the stressed VaR number calculated across all asset classes and the stressed VaR numbers calculated for each asset class for the last day in the reporting period.

Column 4 - Average stressed VaR over past 60 trading days

Calculate the average daily total stressed VaR measure for the 60 trading days, up to and including the last day of the quarter (i.e. the end of quarter VaR number should be included in the calculation) for each asset class and across all asset classes (i.e. for the total stressed VaR).

Columns 5 & 6 - Back-testing exceptions

An ADI using an internal model must perform back-tests using both actual and hypothetical trading outcomes (refer to paragraph 82 of Attachment C to APS 116).  The results of back-testing on both an actual and a hypothetical basis must be reported in columns 5 and 6 respectively.

An ADI must use the most recent 250 days of profit and loss and 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