Document ID: chunk:federal_register_of_legislation:F2023L00288:reg:5:p1
Version: federal_register_of_legislation:F2023L00288
Segment Type: reg
Provision Reference: reg 5 (pt 1/27)
Character Range: 25667–30032

5

Comments

ARF_116_0_15: Market risk table 15

Australian Business Number  Institution Name

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

STRESS TESTING

Yield curve scenarios

                        Change in yield (%)
                        Cash                 90 days  180 days  1 year  3 years  5 years  10 years  15 years
Yield curve scenario 1  +20                  +20      +20       +20     +20      +20      +20       +20
Yield curve scenario 2  -20                  -20      -20       -20     -20      -20      -20       -20

Currency  Yield curve scenario 1  Yield curve scenario 2
          (1)                     (2)

Comments

ARF_116_0_16: Market risk table 16

Australian Business Number  Institution Name

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

STRESS TESTING

Interest rate volatility scenarios

          Change in implied volatility (%)
          Volatility scenario 1             Volatility scenario 2
Currency  +250                              -75
          (1)                               (2)

Comments

ARF_116_0_17: Market risk table 17

Australian Business Number  Institution Name

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

STRESS TESTING

Equity scenarios

National market

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

Comments

ARF_116_0_18: Market risk table 18

Australian Business Number  Institution Name

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

STRESS TESTING

Exchange rate scenarios

Currency

                     Change in implied volatility (%)
Change in price (%)  +100                              0    -50
                     (1)                               (2)  (3)

Comments

ARF_116_0_19: Market risk table 19

Australian Business Number  Institution Name

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

STRESS TESTING

Gold and other precious metal scenarios

Precious metal

                     Change in implied volatility (%)
Change in price (%)  +100                              0    -50
                     (1)                               (2)  (3)

Comments

ARF_116_0_20: Market risk table 20

Australian Business Number  Institution Name

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

STRESS TESTING

Base metals scenarios

Base metal

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

Comments

ARF_116_0_21: Market risk table 21

Australian Business Number  Institution Name

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

STRESS TESTING

Soft commodities scenarios

Soft commodity

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

Comments

ARF_116_0_22: Market risk table 22

Australian Business Number  Institution Name

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

STRESS 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