ARF_116_0_9: Market risk table 9
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Australian Business Number
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Institution Name
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Reporting Period
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Scale Factor
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Quarterly
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Millions to two decimal places
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Reporting Consolidation
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Level 1 / Level 2
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STANDARD METHOD
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Contingent loss method
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Interest rate options
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Currency
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Note: Enter total general market risk charge in the top
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Currency code
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line only of the last column
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Method
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Maturity
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Duration
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Time bands
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Coupon 3% or more
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Coupon < 3% or Duration method
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Maximum loss
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Total general market risk charge
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(1)
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(2)
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1m or less
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1m or less
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3m or less
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Up to 3m
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6m or less
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Up to 6m
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Over 1m & up to 3m
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Over 1m & up to 3m
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Over 1m & up to 6m
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Over 1m & up to 6m
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Over 1m & up to 12m
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Over 1m & up to 12m
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Over 3m & up to 6m
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Over 3m & up to 6m
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Over 3m & up to 12m
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Over 3m & up to 12m
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Over 3m & up to 2yr
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Over 3m & up to 1.9yr
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Over 6m & up to 12m
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Over 6m & up to 12m
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Over 6m & up to 2yr
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Over 6m & up to 1.9yr
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Over 6m & up to 3yr
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Over 6m & up to 2.8yr
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Over 1yr & up to 2yr
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Over 1yr & up to 1.9yr
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Over 1yr & up to 3yr
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Over 1yr & up to 2.8yr
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Over 1yr & up to 4yr
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Over 1yr & up to 3.6yr
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Over 2yr & up to 3yr
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Over 1.9yr & up to 2.8yr
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Over 2yr & up to 4yr
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Over 1.9yr & up to 3.6yr
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Over 2yr & up to 5yr
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Over 1.9yr & up to 4.3yr
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Over 3yr & up to 4yr
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Over 2.8yr & up to 3.6yr
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Over 3yr & up to 5yr
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Over 2.8yr & up to 4.3yr
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Over 3yr & up to 7yr
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Over 2.8yr & up to 5.7yr
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Over 4yr & up to 5yr
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Over 3.6yr & up to 4.3yr
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Over 4yr & up to 7yr
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Over 3.6yr & up to 5.7yr
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Over 4yr & up to 10yr
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Over 3.6yr & up to 7.3yr
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Over 5yr & up to 7yr
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Over 4.3yr & up to 5.7yr
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Over 5yr & up to 10yr
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Over 4.3yr & up to 7.3yr
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Over 5yr & up to 15yr
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Over 4.3yr & up to 9.3yr
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Over 7yr & up to 10yr
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Over 5.7yr & up to 7.3yr
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Over 7yr & up to 15yr
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Over 5.7yr & up to 9.3yr
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Over 7yr & up to 20yr
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Over 5.7yr & up to 10.6yr
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Over 10yr & up to 15yr
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Over 7.3yr & up to 9.3yr
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Over 10yr & up to 20yr
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Over 7.3yr & up to 10.6yr
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Over 10yr
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Over 7.3yr & up to 12yr
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Over 15yr & up to 20yr
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Over 9.3yr & up to 10.6yr
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Over 15yr
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Over 9.3yr & up to 12yr
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Over 20yr
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Over 9.3yr & up to 20yr
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Over 10.6yr & up to 12yr
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Over 10.6yr & up to 20yr
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Over 10.6yr
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Over 12yr & up to 20yr
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Over 12yr
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Over 20yr
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Total capital charge across all currencies
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Comments
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