Document ID: chunk:federal_register_of_legislation:F2024L01075:body:0:p11
Version: federal_register_of_legislation:F2024L01075
Segment Type: other
Provision Reference: 
Character Range: 31039–35838

accuracy and consistency of the internal models and modelling processes.
(d)                       The scope of acceptance by APRA.
(e)                       For the incremental risk capital charge and the comprehensive risk capital charge the methodologies used and the risks measured through the use of internal models. The qualitative description must include:
                              •               the approach used by the ADI to determine liquidity horizons;
                              •               the methodologies used to achieve a capital assessment that is consistent with the required soundness standard; and
                              •               the approaches used in the validation of the models.
Quantitative disclosures  (f)                                                                                                                                                                                                                                                                                              For trading portfolios under the IMA:
                                                                                                                                                                                                                                                                                                                               •               the high, mean and low value-at-risk (VaR) values over the reporting period and period end;
                                                                                                                                                                                                                                                                                                                               •               the high, mean and low stressed VaR values over the reporting period and period-end;
                                                                                                                                                                                                                                                                                                                               •               the high, mean and low incremental and comprehensive risk capital charges over the reporting period and period-end; and
                                                                                                                                                                                                                                                                                                                               •               a comparison of VaR estimates with actual gains/losses experienced by the ADI, with analysis of important 'outliers' identified in back-test results.

Credit valuation adjustment risk
 1.          An ADI must only complete the credit valuation adjustment (CVA) risk qualitative disclosure requirements set out in the BCBS Standard, and disclose its total CVA risk capital charge at quarter end.

Operational risk
 1.          An ADI must also disclose any additional capital requirements imposed by APRA under Prudential Standard APS 115 Capital Adequacy: Standardised Measurement Approach to Operational Risk when making disclosures relating to operational risk regulatory capital requirements. This must involve including an additional line-item titled 'Other regulatory capital charges' as part of an ADI's minimum required operational risk capital disclosure template.

Interest rate risk in the banking book
 1.          An ADI must convert all references to 'non-maturity deposits' in the BCBS Standard to 'core deposits' within the meaning of Prudential Standard APS 117 Interest Rate Risk in the Banking Book.

Macroprudential supervisory measures
 1.          An ADI that is required by APRA to disclose templates relating to G-SIB indicators must do so annually using the ADI's financial year-end data.[6]

Leverage ratio
 1.          An ADI is not required to disclose its leverage ratio buffers, unless specifically required by APRA.
 2.          A reference to the 'Basel III leverage ratio' in the BCBS standard means the leverage ratio as defined and calculated in Prudential Standard APS 110 Capital Adequacy (APS 110).
 3.          An ADI must disclose the amounts of adjusted gross securities financing transaction assets based on an average of daily values over the disclosure period. The average of daily values may be calculated as a best estimate, provided that this is undertaken on a consistent and prudent basis, with appropriate supporting governance and procedures.
 4.          An ADI is not required to disclose the BCBS template relating to the