| ARF_116_0_1: Market risk table 1 | |||||
| Australian Business Number | Institution Name | ||||
| Reporting Period | Scale Factor | ||||
| Quarterly | Millions to two decimal places | ||||
| Reporting Consolidation | |||||
| Level 1 / Level 2 | |||||
| STANDARD METHOD | |||||
| Interest rate risk - Special risk | |||||
| Position | Gross market value | Specific risk-weight | Capital charge | ||
| Short | Long | ||||
| (1) | (2) | (3) | (4) | (5) | |
| 1. Risk category (non-securitisation exposures) | |||||
| 1.1. Government, rated AAA to AA- | |||||
| 1.2. Government, rated A+ to BBB-, residual term to maturity 6 months or less | |||||
| 1.3. Government, rated A+ to BBB-, residual term to maturity 6 to 24 months | |||||
| 1.4. Government, rated A+ to BBB-, residual term to maturity exceeding 24 months | |||||
| 1.5. Government, rated BB+ to B- | |||||
| 1.6. Government, rated below B- | |||||
| 1.7. Government, unrated | |||||
| 1.8. Qualifying residual term to maturity 6 months or less | |||||
| 1.9. Qualifying residual term to maturity 6 to 24 months | |||||
| 1.10. Qualifying residual term to maturity exceeding 24 months | |||||
| 1.11. Other, rated BB+ to BB- | |||||
| 1.12. Other, rated below BB- | |||||
| 1.13. Other, unrated | |||||
| 1.14. Subtotal - specific risk capital charge (non-securitisation exposures) | |||||
| Position | Capital charge short position | Capital charge long position | |||
| Short | Long | ||||
| (1) | (2) | (3) | (4) | ||
| 2. Risk category (securitisation exposures) | |||||
| 2.1. Rated AAA to AA- (long term ratings) or A-1/P-1 (short term ratings) | |||||
| 2.2. Rated A+ to A- (long term ratings) or A-2/P-2 (short term ratings) | |||||
| 2.3. Rated BBB+ to BBB- (long term ratings) or A-3/P-3 (short term ratings) | |||||
| 2.4. Rated BB+ to BB- (long term ratings) | |||||
| 2.5. Rated below BB- (long term ratings) or below A-3/P-3 (short term ratings) | |||||
| 2.6. Unrated | |||||
| 2.7. Rated or unrated that do not meet due diligence requirements | |||||
| 2.8. Subtotal - specific risk capital charge (securitisation exposures) | |||||
| Position | Capital charge short position | Capital charge long position | |||
| Short | Long | ||||
| (1) | (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 | |||||
