| ARF_116_0_SU: Market risk summary table | ||
| Australian Business Number | Institution Name | |
| Reporting Period | Scale Factor | |
| Quarterly | Millions to two decimal places | |
| Reporting Consolidation | ||
| Level 1 / Level 2 | ||
| MARKET RISK SUMMARY REPORT | ||
| 1. Standard method | ||
| 1.1. Interest rate risk | ||
| 1.1.1. Specific risk (Total from Table 1) | ||
| 1.1.2. General market risk (Total from Table 2) | ||
| 1.1.3. Interest rate options - simplified method (from Table 7) | ||
| 1.1.4. Interest rate options - delta-plus method (from Table 8) | ||
| 1.1.5. Interest rate options - contingent loss method (Total from Table 9) | ||
| 1.1.6. Total interest rate risk | ||
| 1.2. Equity position risk | ||
| 1.2.1. Equity position risk (Total from Table 3) | ||
| 1.2.2. Equity options - simplified method (from Table 7) | ||
| 1.2.3. Equity options - delta-plus method (from Table 8) | ||
| 1.2.4. Equity options - contingent loss method (Total from Table 10) | ||
| 1.2.5. Total equity position risk | ||
| 1.3. Foreign exchange risk | ||
| 1.3.1. Foreign exchange risk (Total from Table 4) | ||
| 1.3.2. Foreign exchange options - simplified method (from Table 7) | ||
| 1.3.3. Foreign exchange options - delta-plus method (from Table 8) | ||
| 1.3.4. Foreign exchange options - contingent loss method (Total from table 11) | ||
| 1.3.5. Total foreign exchange risk | ||
| 1.4. Commodities risk | ||
| 1.4.1. Simplified method (Total from Table 5) | ||
| 1.4.2. Maturity ladder method (Total from Table 6) | ||
| 1.4.3. Commodity options - simplified method (from Table 7) | ||
| 1.4.4. Commodity options - delta-plus method (from Table 8) | ||
| 1.4.5. Commodity options - contingent loss method (Total from Table 12) | ||
| 1.4.6. Total commodities risk | ||
| 2. Internal model | ||
| 2.1. VaR capital charge (from Table 13) | ||
| 2.2. Stressed VaR capital charge (from Table 13) | ||
| 2.3. Incremental risk capital charge (from Table 13) | ||
| 2.4. Comprehensive risk capital charge - correlation trading portfolio (from Table 13) | ||
| 3. Total market risk capital charge | ||
| Comments | ||
