Other Accounting And Financial Disclosures Financial Risk Credit Credit Value Adjustment Calculating Approach Text The calculation approach used in determining the credit value adjustment (CVA) risk capital charge. The valid enumerated values are: Simplified approach = The information reported is for capital adequacy purposes and has been determined under the simplified approach to calculating capital adequacy, in accordance with relevant prudential standards Standardised formula = The information reported is for capital adequacy purposes and has been determined under the standardised approach to calculating capital adequacy, in accordance with relevant prudential standards. Financial Risk Credit Credit Value Adjustment Capital Charge Amount This is the value, as at the relevant date, for the capital charge applied to the credit value adjustment (CVA) risk. It is calculated in accordance with the relevant prudential standard. Financial Risk Credit Incurred Credit Valuation Adjustment Loss Amount The adjustment for incurred credit valuation adjustment write-down in accordance with Prudential Standard APS 180 Capital Adequacy: Counterparty Credit Risk, for prudential bilateral risk exposure to counterparties which are not central counterparties (CCPs), arising from transactions which are treated as bilateral transactions for prudential regulatory purposes. Financial Risk Credit Off Balance Sheet Market Related Exposures RWE Plus Capital Charges Amount The total risk-weighted exposure (RWE) for market-related off-balance sheet credit exposures (including default risk RWE, trade exposure RWE and default fund RWE) plus 12.5 times the sum of credit valuation adjustment (CVA) capital charge and default fund capital charge, all determined in accordance with Prudential Standard APS 180 Capital Adequacy: Counterparty Credit Risk. Financial Risk Credit Weighted Average Effective Maturity Exposure Prudential Bilateral Number The exposure weighted average effective maturity in years, for prudential bilateral risk exposure to counterparties which are not central counterparties (CCPs), arising from transactions which are treated as bilateral transactions for prudential regulatory purposes. Financial Risk Credit Weighted Average LGD Exposure Prudential Bilateral Percent The weighted average loss given default (LGD) exposure as a percentage, for prudential bilateral risk exposure to counterparties which are not central counterparties (CCPs), arising from transactions which are treated as bilateral transactions for prudential regulatory purposes. Financial Risk Exposures Capital Charge Authorised Deposit Taking Institution Amount This is the value of the default fund capital requirement for the authorised deposit-taking institution (ADI). Financial Risk Exposures Capital Charge Qualifying Central Counterparty Amount This is the value of the hypothetical capital requirement of the qualifying central counterparty (QCCP) as calculated under the relevant prudential standards. This is used to calculate the default fund capital requirement for the authorised deposit-taking institution (ADI). Financial Risk Exposures Prudential Bilateral Counterparty Number The number of counterparties (not including central counterparties (CCPs)) with outstanding exposure arising from the specified transaction type which are treated as bilateral transactions for prudential regulatory purposes. Financial Risk Exposures Prudential Bilateral Transactions Amount The prudential risk exposure to counterparties which are not central counterparties (CCPs), arising from transactions which are treated as bilateral transactions for prudential regulatory purposes. This does not include trade exposures to non-qualifying central counterparties (non-QCCPs) which may arise from an authorised deposit-taking institution (ADI) guaranteeing a client transaction. Financial Risk Exposures Prudential Central Counterparty Amount The value of prudential risk exposure to central counterparties (CCPs), both qualifying and non-qualifying CCPs, which includes both the trade exposure and default fund exposure to that CCP for prudential regulatory purposes. Financial Risk Exposures Prudential Covered Counterparty Number The number of covered counterparties as defined according to Prudential Standard CPS 226 Margining and risk mitigation for non-centrally cleared derivatives. Financial Risk Prefunded Default Fund Contribution The value for prefunded default fund contribution with this central counterparty (CCP). This equates to the money already contributed by the clearing member that will be applied upon such clearing member's default, either along with or immediately following such member's initial margin, to reduce the CCP loss. It is calculated in accordance with the relevant prudential standard. Financial Risk Prefunded Default Fund Contribution Authorised Deposit Taking Institution Amount The value for prefunded default fund contribution of the authorised deposit-taking institution with this central counterparty (CCP). Financial Risk Prefunded Default Fund Contribution Qualifying Central Counterparty Amount The value for the qualifying central counterparties (QCCPs) prefunded own-resources which contributed to the default waterfall, where these are junior or pari passu to pre-funded member contributions. Financial Risk Prefunded Default Fund Contribution Total Clearing Member Amount The value for the total prefunded default fund contribution from all clearing members with this central counterparty (CCP). Financial Risk Replacement Cost Excluding Collateral Amount This is the value that represents sum across the relevant netting sets of the total market value of the transactions (if positive) for each netting set. This should not take into account any collateral. Financial Risk Replacement Cost With Eligible Collateral Amount This is the value that represents the sum across the relevant netting sets of the replacement cost for each netting set. The replacement cost is defined under the relevant prudential standards and will take into account any eligible collateral.