ARF_116_0_8: Market risk table 8

Australian Business Number	Institution Name

Reporting Period	Scale Factor
Quarterly	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	CS00505	CS00506	CS00507	CS00508
1.2. Vega impact	CS00509	CS00510	CS00511	CS00512
1.3. Total capital charge	CS00513	CS00514	CS00515	CS00516

Comments
CS11300