ARF_116_0_13: Market risk table 13

Australian Business Number	Institution Name

Reporting Period	Scale Facto r
Quarterly	Millions to two decimal places
Reporting Consolidation
Level 1 / Level 2

INTERNAL MODEL METHOD

Value-at-Risk method
Value-at-Risk results

	End of quarter VaR	Average VaR over past 60 trading days	End of quarter stressed VaR	Average stressed VaR over past 60 trading days	Back-testing exceptions		Scaling factor (VaR)	Scaling factor (stressed VaR)	Scaled average VaR	Scaled average stressed VaR
	End of quarter VaR	Average VaR over past 60 trading days	End of quarter stressed VaR	Average stressed VaR over past 60 trading days	Based on actual profit & loss	Based on hypothetical profit & loss	Scaling factor (VaR)	Scaling factor (stressed VaR)	Scaled average VaR	Scaled average stressed VaR
	(1)	(2)	(3)	(4)	(5)	(6)	(7)	(8)	(9)	(10)
1. Interest rates
Either
1.1. General market risk	CS00834	CS00847	CS22326	CS22339	CS00860	CS00873	CS00886	CS22352	CS00899	CS22365
1.2. Specific risk	CS00835	CS00848	CS22327	CS22340	CS00861	CS00874	CS00887	CS22353	CS00900	CS22366
1.3. Total	CS00836	CS00849	CS22328	CS22341	CS00862	CS00875	CS00888	CS22354	CS00901	CS22367
Or
1.4. Sub-portfolio containing specific risk	CS00837	CS00850	CS22329	CS22342	CS00863	CS00876	CS00889	CS22355	CS00902	CS22368
1.5. Sub-portfolio not containing specific risk	CS00838	CS00851	CS22330	CS22343	CS00864	CS00877	CS00890	CS22356	CS00903	CS22369
2. Equities
Either
2.1. General market risk	CS00839	CS00852	CS22331	CS22344	CS00865	CS00878	CS00891	CS22357	CS00904	CS22370
2.2. Specific risk	CS00840	CS00853	CS22332	CS22345	CS00866	CS00879	CS00892	CS22358	CS00905	CS22371
2.3. Total	CS00841	CS00854	CS22333	CS22346	CS00867	CS00880	CS00893	CS22359	CS00906	CS22372
Or
2.4. Sub-portfolio containing specific risk	CS00842	CS00855	CS22334	CS22347	CS00868	CS00881	CS00894	CS22360	CS00907	CS22373
2.5. Sub-portfolio not containing specific risk	CS00843	CS00856	CS22335	CS22348	CS00869	CS00882	CS00895	CS22361	CS00908	CS22374

3. Foreign exchange	CS00844	CS00857	CS22336	CS22349	CS00870	CS00883	CS00896	CS22362	CS00909	CS22375
4. Commodities	CS00845	CS00858	CS22337	CS22350	CS00871	CS00884	CS00897	CS22363	CS00910	CS22376
5. Total	CS00846	CS00859	CS22338	CS22351	CS00872	CS00885	CS00898	CS22364	CS00911	CS22377
6. Incremental risk charge										CS16858
7. Comprehensive risk charge - correlation trading portfolio										CS22378
8. Capital charge										CS00912

Comments
CS11300