PET - Plain English Taxonomy

Label:	Financial Risk Market Interest Rate Long Positions Amount
TREF ID:	DE8021
Data Type:	xbrli:monetaryItemType
Period Type:	instant
Balance Type:	debit
Business Description & Guidance:	This is the value, as at the relevant date, that relates to long positions giving rise to interest rate risk, as determined in accordance with relevant prudential standards. This item includes long positions in: - debt securities, including non-convertible preference shares and other quasi-debt securities/instruments that behave like debt (convertible bonds are to be included as debt securities if they trade like debt securities, but not if they trade like equities);- forward transactions in foreign exchange, equities and commodities; and- options that are subject to a change in value following a change in interest rates.Long positions represent positions where a rise in the value of the asset or derivative would result in a profit.

Usage

Form	Labels
ARF_116_0_1	Label: Guidance:	Standard Method - Interest Rate Risk - Non-securitisation Exposures - Long Positions All long positions forming part of the trading book in debt or other interest rate related securities, including interest rate derivatives, forward foreign exchange and quasi-debt securities that behave like debt should be reported. Refer to APS 116: Capital Adequacy Market Risk for more detail. The sum of the market values of individual positions in each issuer category should be reported for long positions. In summing the market values within each category, if there is a matched position in the same security (i.e. both the issuer and issue are identical), the matching positions may be offset and omitted from the calculation of specific interest rate risk (refer to APS 116). Specific risk is to be assessed according to the classification of issuer of the security or underlying security in the case of derivative instruments. Issuers are classified into the categories of government, qualifying and other, as defined in APS 116. Instruments with issuers in the government and qualifying categories should be further classified according to the residual term to final maturity of the security or underlying security.
ARF_116_0_2	Label: Guidance:	Standard Method - Interest Rate Exposures - General Market Risk - Net Long Risk-Weighted Positions All long positions forming part of the trading book in debt or other interest rate related securities, including interest rate derivatives, forward foreign exchange and quasi-debt securities that behave like debt (refer to APS 116), should be reported. The data to be entered should be calculated according to the methodology detailed in APS 116. These calculations should be performed and the results reported separately for each currency (without offsetting across currencies) in which material interest rate exposures are held, and in aggregate for all currencies in which interest rate exposures are not material. APS 116 allows the choice between three methods for the calculation of general market risk (the maturity, duration and pre-processing methods). The pre-processing method should only be used with APRA approval. For each currency, specify the method used in calculating the capital charge. If more than one method is being used for a currency, report the calculations for each method on a different currency and method combination table. APS 116 allows the offsetting of positions between the duration and pre-processing methods. ADIs performing such offsetting should report those positions (netted across the two methods) as pre-processing positions. The net long risk-weighted positions for each time band should be reported according to the definitions of the bands in APS 116. Offsetting of positions is permitted in accordance with the requirements set out in APS 116.

Form

Labels

ARF_116_0_1

Label:

Guidance:

Standard Method - Interest Rate Risk - Non-securitisation Exposures - Long Positions
All long positions forming part of the trading book in debt or other interest rate related securities, including interest rate derivatives, forward foreign exchange and quasi-debt securities that behave like debt should be reported. Refer to APS 116: Capital Adequacy Market Risk for more detail.

The sum of the market values of individual positions in each issuer category should be reported for long positions. In summing the market values within each category, if there is a matched position in the same security (i.e. both the issuer and issue are identical), the matching positions may be offset and omitted from the calculation of specific interest rate risk (refer to APS 116).

Specific risk is to be assessed according to the classification of issuer of the security or underlying security in the case of derivative instruments. Issuers are classified into the categories of government, qualifying and other, as defined in APS 116. Instruments with issuers in the government and qualifying categories should be further classified according to the residual term to final maturity of the security or underlying security.

ARF_116_0_2

Label:

Guidance:

Standard Method - Interest Rate Exposures - General Market Risk - Net Long Risk-Weighted Positions
All long positions forming part of the trading book in debt or other interest rate related securities, including interest rate derivatives, forward foreign exchange and quasi-debt securities that behave like debt (refer to APS 116), should be reported.

The data to be entered should be calculated according to the methodology detailed in APS 116. These calculations should be performed and the results reported separately for each currency (without offsetting across currencies) in which material interest rate exposures are held, and in aggregate for all currencies in which interest rate exposures are not material.
APS 116 allows the choice between three methods for the calculation of general market risk (the maturity, duration and pre-processing methods). The pre-processing method should only be used with APRA approval. For each currency, specify the method used in calculating the capital charge. If more than one method is being used for a currency, report the calculations for each method on a different currency and method combination table. APS 116 allows the offsetting of positions between the duration and pre-processing methods. ADIs performing such offsetting should report those positions (netted across the two methods) as pre-processing positions.

The net long risk-weighted positions for each time band should be reported according to the definitions of the bands in APS 116. Offsetting of positions is permitted in accordance with the requirements set out in APS 116.