Document ID: chunk:federal_register_of_legislation:F2023L00288:front:0:p7
Version: federal_register_of_legislation:F2023L00288
Segment Type: other
Provision Reference: 
Character Range: 18704–22631

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 Number  Institution Name

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

STANDARD METHOD

Commodities risk
Simplified method

Commodity                                    Total short position  Total long position  Capital charge (15% of net open position + 3% of the gross position)
                                             (1)                   (2)                  (3)

Total capital charge across all commodities

Comments

ARF_116_0_6: Market risk table 6

Australian Business Number  Institution Name

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

STANDARD METHOD

Commodities risk
Maturity ladder method

           0 - 1 month    1 - 3 months    3 - 6 months   6 - 12 months   1 - 2 years    2 - 3 years     Over 3 years
Commodity  Long position  Short position  Long position  Short position  Long position  Short position  Long position  Short position  Long position  Short position  Long position  Short position  Long position  Short position  Total capital charge
           (1.1)          (1.2)           (2.1)          (2.2)           (3.1)          (3.2)           (4.1)          (4.2)           (5.1)          (5.2)           (6.1)          (6.2)           (7.1)          (7.2)           (8)

Total capital charge across all commodities

Comments

ARF_116_0_7: Market risk table 7

Australian Business Number  Institution Name

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

STANDARD METHOD

OPTIONS
Simplified method

Report the capital charge for each category.

                                           Interest rates  Equities  Foreign exchange  Commodities
                                           (1)             (2)       (3)               (4)
 1.                 Position
  1.1.  Purchased put & long underlying
  1.2.  Purchased call & short underlying
  1.3.  Purchased put
  1.4.  Purchased call
  1.5.  Total capital charge

Comments

ARF_116_0_8: Market risk table 8

Australian Business Number  Institution Name

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

STANDARD METHOD

OPTIONS
Delta-plus method

Report the capital charge for each category.

                              Interest rates  Equities  Foreign exchange  Commodities
                              (1)             (2)       (3)               (4)
 1. Position
  1.1.  Gamma impact
  1.2.  Vega impact
  1.3.  Total capital charge

Comments

ARF_116_0_9: Market risk table 9

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
Interest rate options

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

Time bands
Coupon 3% or more  Coupon < 3% or Duration method  Maximum loss  Total 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