Document ID: chunk:federal_register_of_legislation:F2023L00288:front:0:p8
Version: federal_register_of_legislation:F2023L00288
Segment Type: other
Provision Reference: 
Character Range: 22241–25666

general market risk charge
                                                   (1)           (2)

Total capital charge across all currencies

Comments

ARF_116_0_10: Market risk table 10

Australian Business Number  Institution Name

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

STANDARD METHOD

Contingent loss method
Equity options

Country  Maximum loss
         (1)

Total capital charge across all countries

Comments

ARF_116_0_11: Market risk table 11

Australian Business Number  Institution Name

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

STANDARD METHOD

Contingent loss method
Foreign exchange options

Currency pair
Currency 1     Currency 2  Maximum loss
                           (1)

Total capital charge across all currency pairs

Comments

ARF_116_0_12: Market risk table 12

Australian Business Number  Institution Name

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

STANDARD METHOD

Contingent loss method
Commodity options

Commodity  Maximum loss
           (1)

Total capital charge across all commodities

Comments

ARF_116_0_13: Market risk table 13

Australian Business Number  Institution Name

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

INTERNAL MODEL METHOD

Value-at-Risk method
Value-at-Risk results

                                                               End of quarter VaR             Average VaR over past 60 trading days  End of quarter stressed VaR  Average stressed VaR over past 60 trading days  Back-testing exceptions  Scaling factor (VaR)  Scaling factor (stressed VaR)  Scaled average VaR  Scaled average stressed VaR
                                                               Based on actual profit & loss  Based on hypothetical profit & loss
                                                               (1)                            (2)                                    (3)                          (4)                                             (5)                      (6)                   (7)                            (8)                 (9)                          (10)
 1. Interest rates
  Either
  1.1.  General market risk
  1.2.  Specific risk
  1.3.  Total
  Or
  1.4.  Sub-portfolio containing specific risk
  1.5.  Sub-portfolio not containing specific risk
2.  Equities
  Either
  2.1.  General market risk
  2.2.  Specific risk
  2.3.  Total
  Or
  2.4.  Sub-portfolio containing specific risk
  2.5.  Sub-portfolio not containing specific risk

3.  Foreign exchange
4.  Commodities
5.  Total
6.  Incremental risk charge
7.  Comprehensive risk charge - correlation trading portfolio
8.  Capital charge

Comments

ARF_116_0_14: Market risk table 14

Australian Business Number  Institution Name

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

INTERNAL MODEL METHOD

Value-at-risk method
Largest daily losses over the quarter

                         Loss  Date  VaR
                         (1)   (2)   (3)
1
2
3
4