Document ID: chunk:federal_register_of_legislation:F2023L00288:reg:5:p2
Version: federal_register_of_legislation:F2023L00288
Segment Type: reg
Provision Reference: reg 5 (pt 2/27)
Character Range: 29599–33816

TESTING

Energy commodity scenarios

Energy commodity

                     Change in implied volatility (%)
Change in price (%)  +200                              0    -75
                     (1)                               (2)  (3)

Comments

ARF_116_0_23: Market risk table 23

Australian Business Number  Institution Name

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

STRESS TESTING

Credit spread scenarios

                                                                                    External rating category
 1. Long credit exposures (exposures for which credit deterioration causes a loss)  Investment grade          Sub investment grade or unrated
                                                                                    Credit spread +100%       Price -10%                       Price -10%
Price shock                                                                         (1)                       (2)                              (3)
  1.1.  Non-securitisation (physicals)
  1.2.  Non-securitisation (derivatives, excluding credit indices)
  1.3.  Non-securitisation credit indices
  1.4.  Securitisation (physicals)
  1.5.  Resecuritisation (physicals)
  1.6.  Securitisation (derivatives, excluding credit indices)
  1.7.  Resecuritisation (derivatives, excluding credit indices)
  1.8.  Securitisation (indices)

                                                                                   External rating category
2.  Short credit exposures (exposures for which credit improvement causes a loss)  Investment grade          Sub investment grade or unrated
                                                                                   Credit spread -50%        Price +5%                        Price +5%
Price shock                                                                        (1)                       (2)                              (3)
  2.1.  Non-securitisation (physicals)
  2.2.  Non-securitisation (derivatives, excluding credit indices)
  2.3.  Non-securitisation credit indices
  2.4.  Securitisation (physicals)
  2.5.   Resecuritisation (physicals)
  2.6.  Securitisation (derivatives, excluding credit indices)
  2.7.  Resecuritisation (derivatives, excluding credit indices)
  2.8.  Securitisation (indices)

Comments

Reporting Form ARF 116.0

Market Risk

Instruction Guide

This instruction guide is designed to assist in the completion of the series of Market Risk reporting forms. These forms measure an authorised deposit-taking institution's (ADI's) exposure to market risk arising from positions allocated to the trading book and all foreign exchange and commodity risks. In completing these forms, ADIs should refer to Prudential Standard APS 116 Capital Adequacy: Market Risk (APS 116) and Prudential Practice Guide APG 116 Market Risk (APG 116).

General directions and notes

Reporting entity

This form is to be completed at Level 1 and Level 2[1] by all ADIs, with the exception of:

       (a)          foreign ADIs; and

       (b)          ADIs that:

           (i)            do not conduct trading book activity and do not have any foreign exchange or commodity positions; and

           (ii)         have included a statement to this effect in their description of their risk management systems;  and that statement also outlines the arrangements in place to ensure that trading book activity does not take place.

If an ADI is a subsidiary of an authorised non-operating holding company (NOHC), the report at Level 2 is to be provided by the ADI's immediate parent NOHC.[2]

Securitisation deconsolidation principle

Except as otherwise specified in these instructions, the following applies:

   1. Where an ADI (or a member of its Level 2 consolidated group) participates in a securitisation that meets APRA's operational requirements for regulatory capital relief under Prudential Standard APS 120  Securitisation (APS 120):

       (a)          special purpose vehicles (SPVs) holding securitised assets may be treated as non-consolidated independent third parties for regulatory reporting