Document ID: chunk:federal_register_of_legislation:F2023L00288:front:0:p5
Version: federal_register_of_legislation:F2023L00288
Segment Type: other
Provision Reference: 
Character Range: 10905–15216

- simplified method (from Table 7)
    1.3.3.  Foreign exchange options - delta-plus method (from Table 8)
    1.3.4.  Foreign exchange options - contingent loss method (Total from table 11)
    1.3.5.  Total foreign exchange risk

  1.4.  Commodities risk
    1.4.1.  Simplified method (Total from Table 5)
    1.4.2.  Maturity ladder method (Total from Table 6)
    1.4.3.  Commodity options - simplified method (from Table 7)
    1.4.4.  Commodity options - delta-plus method (from Table 8)
    1.4.5.  Commodity options - contingent loss method (Total from Table 12)
    1.4.6.  Total commodities risk

2.                   Internal model
  1.1.  VaR capital charge (from Table 13)
  1.2.  Stressed VaR capital charge (from Table 13)
  1.3.  Incremental risk capital charge (from Table 13)
  1.4.  Comprehensive risk capital charge - correlation trading portfolio (from Table 13)

3.                   Total market risk capital charge

Comments

ARF_116_0_1: Market risk table 1

Australian Business Number  Institution Name

Reporting Period            Scale Factor
                            Millions to two decimal places
Reporting Consolidation
Level 1 / Level 2

STANDARD METHOD

Interest rate risk - Special risk

                                                                                            Position  Gross market value  Specific risk-weight  Capital charge
                                                                                            Short     Long
                                                                                            (1)       (2)                 (3)                   (4)             (5)
         1. Risk category (non-securitisation exposures)
         1.1.  Government, rated AAA to AA-
         1.2.  Government, rated A+ to BBB-, residual term to maturity 6 months or less
         1.3.  Government, rated A+ to BBB-, residual term to maturity 6 to 24 months
         1.4.  Government, rated A+ to BBB-, residual term to maturity exceeding 24 months
         1.5.  Government, rated BB+ to B-
         1.6.  Government, rated below B-
         1.7.  Government, unrated
         1.8.  Qualifying residual term to maturity 6 months or less
         1.9.  Qualifying residual term to maturity 6 to 24 months
         1.10.  Qualifying residual term to maturity exceeding 24 months
         1.11.  Other, rated BB+ to BB-
         1.12.  Other, rated below BB-
         1.13.  Other, unrated
         1.14.  Subtotal - specific risk capital charge (non-securitisation exposures)

                                                                                          Position  Capital charge short position  Capital charge long position
                                                                                          Short     Long
                                                                                          (1)       (2)                            (3)                           (4)
         2.  Risk category (securitisation exposures)
         2.1.  Rated AAA to AA- (long term ratings) or A-1/P-1 (short term ratings)
         2.2.  Rated A+ to A- (long term ratings) or A-2/P-2 (short term ratings)
         2.3.  Rated BBB+ to BBB- (long term ratings) or A-3/P-3 (short term ratings)
         2.4.  Rated BB+ to BB- (long term ratings)
         2.5.  Rated below BB- (long term ratings) or below A-3/P-3 (short term ratings)
         2.6.  Unrated
         2.7.  Rated or unrated that do not meet due diligence requirements
         2.8.  Subtotal - specific risk capital charge (securitisation exposures)

                                                                                          Position  Capital charge short position  Capital charge long position
                                                                                          Short     Long
                                                                                          (1)       (2)                            (3)                           (4)
         3.  Risk category (resecuritisation exposures)
         3.1.  Rated AAA to AA- (long term ratings) or A-1/P-1 (short term ratings)
         3.2.  Rated A+ to A- (long term ratings) or A-2/P-2 (short term ratings)
         3.3.  Rated BBB+ to BBB- (long