Document ID: chunk:federal_register_of_legislation:F2023L00288:reg:5:p9
Version: federal_register_of_legislation:F2023L00288
Segment Type: reg
Provision Reference: reg 5 (pt 9/27)
Character Range: 49015–51634

charge is to be reported in column 1 Positions attracting 8% specific risk charge.

Column 2 - Positions attracting 2% specific risk charge

Positions eligible for a 2 per cent specific risk capital charge are set out in paragraphs 50 to 55 of Attachment B to APS 116. The gross value of all positions subject to a 2 per cent specific risk charge is to be reported in column 2 Positions attracting 2% specific risk charge.

Column 3 - Total specific risk charge

Derived field that calculates the total specific risk charge for each market as the sum of 8 per cent of column 1and 2 per cent of column 2.

    Column 4 - Net positions for general market risk

Report the net position in each market in column 4.  The net position in each equity market is calculated as the difference between the sum of the long positions and the sum of the short positions.  An overall net short position in a market should be indicated by a negative sign.

Column 5 - General market risk charge

Derived field that calculates the general market risk charge for each market as 8 per cent of the absolute value of the net position reported in column 4.

Column 6 - Total market risk charge

Derived field that calculates the total market risk charge for each market as the sum of the value of column 3 Total specific risk charge and the value of column 5 General market risk charge.

Row – Total capital charge across all countries

Derived field that sums up column 6 Total market risk charge across all markets.  This charge will also be captured under item 1.2.1 of the Market risk summary table.

Table 4: Foreign exchange risk

For each foreign currency in which the ADI has positions, report separately the AUD equivalent of the net open position in that currency.

The net open position in a particular currency is to be calculated in accordance with paragraphs 58 to 62 of Attachment B to APS 116. In calculating the net open position in each currency:

    (a)          Include all transactions contracted as at the reporting date (i.e. both traded and non-traded positions) excluding any structural positions; and

    (b)          Forward positions should be valued at current spot market exchange rates or using net present values.

1. Higher of aggregate net short/long open positions

Report the larger of the sum of the net long positions or the sum of the net short positions under this item.

2. Gold

Report the Australian dollar equivalent of the net open position in gold (including sign) under this item. This should be calculated in the same way as the net open positions in foreign currencies.