Document ID: chunk:federal_register_of_legislation:F2023L00288:reg:5:p19
Version: federal_register_of_legislation:F2023L00288
Segment Type: reg
Provision Reference: reg 5 (pt 19/27)
Character Range: 74139–76645

under items 1 to 4 Interest rates, Equities, Foreign exchange and Commodities respectively.

Column 1 - End of quarter VaR

Report the VaR number calculated for each asset class for the last day in the reporting period.

Column 2 - Average VaR over past 60 trading days

For each asset class, calculate the average daily 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).

Column 3 - End of quarter stressed VaR

Report the stressed VaR number calculated for each asset class for the last day in the reporting period.

Column 4 - Average stressed VaR over past 60 trading days

For each asset class, calculate the average daily 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).

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, 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, 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, the result is recorded as an exception. An ADI must report for each asset class, the number of exceptions that occur over the 250 days.

Column 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