PET - Plain English Taxonomy

Label:	Financial Risk Market Interest Rate Positions Amount
TREF ID:	DE8111
Data Type:	xbrli:monetaryItemType
Period Type:	instant
Balance Type:	debit
Business Description & Guidance:	This is the value, as at the relevant date, in relation to positions giving rise to interest rate risk, as determined in accordance with relevant prudential standards.This item includes holdings of, or 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.

Usage

Form	Labels
ARF_116_0_1	Label: Guidance:	Standard Method - Interest Rate Risk - Non-securitisation Exposures All 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 specific risk-weights applicable to each category are detailed in APS 116.
ARF_116_0_2	Label: Guidance:	Standard Method - Interest Rate Exposures - General Market Risk All 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 total capital requirement for interest rate risk consists of charges for specific risk, general market risk, and interest rate-sensitive options risks. The data to be entered into Table 2 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 total general market risk charge is to be reported for each currency and method combination. This is the sum of the net position and vertical and horizontal disallowances (calculated in accordance with APS 116 and APG 116).

Form

Labels

ARF_116_0_1

Label:

Guidance:

Standard Method - Interest Rate Risk  - Non-securitisation Exposures
All 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 specific risk-weights applicable to each category are detailed in APS 116.

ARF_116_0_2

Label:

Guidance:

Standard Method - Interest Rate Exposures - General Market Risk
All 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 total capital requirement for interest rate risk consists of charges for specific risk, general market risk, and interest rate-sensitive options risks.

The data to be entered into Table 2 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 total general market risk charge is to be reported for each currency and method combination. This is the sum of the net position and vertical and horizontal disallowances (calculated in accordance with APS 116 and APG 116).