| ARF_116_0_2: Market risk table 2 | ||||
| Australian Business Number | Institution Name | |||
| Reporting Period | Scale Factor | |||
| Quarterly | Millions to two decimal places | |||
| Reporting Consolidation | ||||
| Level 1 / Level 2 | ||||
| STANDARD METHOD | ||||
| Interest rate risk | ||||
| General market risk | ||||
| Currency | Note: Enter total general market risk charge in the top | |||
| Currency code | line only of the last column | |||
| Method | ||||
| Maturity | ||||
| Duration | ||||
| Pre-processing | ||||
| Time bands | Net risk-weighted positions | |||
| Coupon 3% or more | Coupon < 3% or Duration method | Long | Short | Total general market risk charge |
| (1) | (2) | (3) | ||
| 1m or less | 1m or less | |||
| Over 1m up to 3m | Over 1m up to 3m | |||
| Over 3m up to 6m | Over 3m up to 6m | |||
| Over 6m up to 12m | Over 6m up to 12m | |||
| Over 1yr up to 2yr | Over 1.0yr up to 1.9yr | |||
| Over 2yr up to 3yr | Over 1.9yr up to 2.8yr | |||
| Over 3yr up to 4yr | Over 2.8yr up to 3.6yr | |||
| Over 4yr up to 5yr | Over 3.6yr up to 4.3yr | |||
| Over 5yr up to 7yr | Over 4.3yr up to 5.7yr | |||
| Over 7yr up to 10yr | Over 5.7yr up to 7.3yr | |||
| Over 10yr up to 15yr | Over 7.3yr up to 9.3yr | |||
| Over 15yr up to 20yr | Over 9.3yr up to 10.6yr | |||
| Over 20yr | Over 10.6yr up to 12yr | |||
| Over 12yr up to 20yr | ||||
| Over 20yr | ||||
| Total capital charge across all currencies | ||||
| Comments | ||||
