PET - Plain English Taxonomy

Attribute:	CS00891
Concept:	Financial Risk Market Scaling Factor VaR Equity Positions Number
Label:	Internal Model Method - Value-at-Risk Method - Equity Positions - Scaling Factor (VaR)
Concept Guidance:	This is the scaling factor (Value at Risk(VaR))applicable for positions giving rise to equity position risk.The scaling factor consists of a multiplication factor and a plus factor, as determined in accordance with relevant prudential standards. The multiplication factor is set for each reporting party by APRA, and is subject to a minimum of three. A plus factor may also be required by APRA. This factor relates directly to back-testing results from the most recent 250 trading days prior to the relevant date.Equity positions include on and off-balance sheet exposures which are affected by changes in Equity prices. This includes holdings of, or positions in: - ordinary shares, whether voting or non-voting;- convertible securities that behave like equities;- commitments to buy or sell equity securities; and- any other instruments that exhibit market behaviour similar to equities.Back-testing represents the process of comparing the daily trading outcome (profit or loss) with the corresponding VaR number for that day.

Dimensions

Dimension	Member	Description
MarketRiskTypeDimension	(GeneralMarketRisk)	This dimension categorises information reported based on the type of market risk (e.g. specific risk, general market risk) the reporting party is exposed to, as determined in accordance with relevant prudential standards. The information reported relates to exposures which are subject to general market risk. General market risk represents the risk of loss owing to changes in the general level of market prices or interest rates. It arises from positions in interest rate, equities, foreign exchange and commodities.

Dimension

Member

Description

MarketRiskTypeDimension

(GeneralMarketRisk)

This dimension categorises information reported based on the type of market risk (e.g. specific risk, general market risk) the reporting party is exposed to, as determined in accordance with relevant prudential standards.
The information reported relates to exposures which are subject to general market risk.     General market risk represents the risk of loss owing to changes in the general level of market prices or interest rates. It arises from positions in interest rate, equities, foreign exchange and commodities.