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