Document ID: chunk:federal_register_of_legislation:F2023L00288:front:0:p6
Version: federal_register_of_legislation:F2023L00288
Segment Type: other
Provision Reference: 
Character Range: 14890–18987

(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 term ratings) or A-3/P-3 (short term ratings)
         3.4.  Rated BB+ to BB- (long term ratings)
         3.5.  Rated below BB- (long term ratings) or below A-3/P-3 (short term ratings)
         3.6.  Unrated
         3.7.  Rated or unrated that do not meet due diligence requirements
         3.8.  Subtotal - specific risk capital charge (resecuritisation exposures)

                                                                                         Position  Capital charge short position  Capital charge long position  Capital charge
                                                                                         Short     Long
                                                                                         (1)       (2)                            (3)                           (4)             (5)
         4.  Risk category (correlation trading portfolio)
         4.1.  Securitisation exposures - rated AAA to AA- or A-1/P-1
         4.2.  Securitisation exposures - rated A+ to A- or A-2/P-2
         4.3.  Securitisation exposures - rated BBB+ to BBB- or A-3/P-3
         4.4.  Securitisation exposures - rated BB+ to BB-
         4.5.  Securitisation exposures - rated below BB- or below A-3/P-3
         4.6.  Securitisation exposures - unrated
         4.7.  Securitisation exposures that do not meet due diligence requirements
         4.8.  N-th to default credit derivatives
         4.9.  Other positions used for hedging the correlation trading portfolio
         4.10.  Sum of specific risk capital charge for short and long positions
         4.11.  Subtotal - specific risk capital charge (correlation trading portfolio)

         5.  Total capital charge

Comments

ARF_116_0_2: Market risk table 2

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
General market risk

Currency     Note: Enter total general market risk charge in the top
             line only of the last column
Method

Time bands         Net risk-weighted positions
Coupon 3% or more  Coupon < 3% or Duration method  Long  Short  Total general market risk charge
                                                   (1)   (2)    (3)

Total capital charge across all currencies

Comments

ARF_116_0_3: Market risk table 3

Australian Business Number  Institution Name

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

STANDARD METHOD

Equity position risk

                                           Gross positions for specific risk
Country                                    8% Specific risk charge            2% Specific risk charge  Total specific risk charge  Net  positions for general market risk  General market risk charge  Total market risk charge
                                           (1)                                (2)                      (3)                         (4)                                     (5)                         (6)

Total capital charge across all countries

Comments

ARF_116_0_4: Market risk table 4

Australian Business Number  Institution Name

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

STANDARD METHOD

Foreign exchange risk

Currency  Net open position
          (1)

        1. Higher of aggregate net short/long open positions
         2.  Gold
         3.  Capital charge (8% of the sum of the absolute values of items 1 and 2)

Comments

ARF_116_0_5: Market risk table 5

Australian Business