Document ID: chunk:federal_register_of_legislation:F2023L00288:reg:5:p27
Version: federal_register_of_legislation:F2023L00288
Segment Type: reg
Provision Reference: reg 5 (pt 27/27)
Character Range: 93896–97359

and LCDX, other than exposures to tranches of those indices.

Under 'securitisation (physicals)' include exposures to physical exposures which have credit spread risk and are securitisation exposures. For example: CLOs, CBOs, ABS, RMBS, and CMBS.

Under 'resecuritisation (physicals)' include exposures to physical exposures which have credit spread risk and are resecuritisation exposures. For example: ABS CDOs, CRE CDOs.

Under 'securitisation (derivatives, excluding credit indices)' include exposures to derivatives (not including indices) which have credit spread risk and are securitisation exposures. For example: synthetic CDOs, credit derivatives referencing synthetic CDOs.

Under 'resecuritisation (derivatives, excluding credit indices)' include exposures to derivatives (not including indices) which have credit spread risk and are resecuritisation exposures. For example: synthetic CDO-Squared

Under 'securitisation (indices)' include exposures to securitisation indices such as ABX, and exposures to tranches of indices, such as CDX or ABX index tranches.

In summing the exposure within each category, if there is a matched position in the same security (i.e. both the issuer and issue are identical), the matching positions may be offset and omitted from the calculation.
Attachment A:  Index of tables in ARF 116.0

Market risk summary table……………………………………..                ARF 116_0_SU

Standard method

  Interest rate risk
    Specific risk……………………………………….................        Table 1
    General market risk…………………………………………..                Table 2
  Equity position risk…………………………………………….                 Table 3
  Foreign exchange risk……………………………………….....              Table 4
  Commodities risk
    Simplified method……………………………………………                   Table 5
    Maturity ladder method……………………………………...              Table 6
  Options
    Simplified method……………………………………………                   Table 7
    Delta-plus method……………………………………………                   Table 8
    Contingent loss method
      Interest rates...………………………………....................  Table 9
      Equities……………………………………………….......                  Table 10
      Foreign exchange...…….………………………………...              Table 11
      Commodities…………………………………………......                  Table 12

Internal model approach

  Value-at-Risk method
    Value-at Risk results…………………………………………                Table 13
    Largest daily losses over the quarter…………………………      Table 14

Stress testing

  Yield curve scenarios……………………………………………                 Table 15
  Interest rate volatility scenarios………………………………….       Table 16
  Equity scenarios………………………………………………….                   Table 17
  Exchange rate scenarios…………………………………………                Table 18
  Gold and other precious metals scenarios……………………….     Table 19
  Base metals scenarios……………………………………………                 Table 20
  Soft commodities scenarios……………………………………...            Table 21
  Energy commodity scenarios……………………………………               Table 22
  Credit spread scenarios…………………………………………..              Table 23

    [1]  Level 1 and Level 2 are defined in accordance with Prudential Standard APS 001 Definitions.
    [2]  Refer to paragraph 6 of Reporting Standard ARS 116.0 Market Risk.
   [3]  Securitisation exposures are defined in accordance with APS 120.
    [4]  Gold is to be treated as a foreign exchange position, in accordance with APS 116.
    [5]   Refer to footnote 4.