PET - Plain English Taxonomy

Label:	Financial Risk Market Options Foreign Exchange Amount
TREF ID:	DE8115
Data Type:	xbrli:monetaryItemType
Period Type:	instant
Balance Type:	debit
Business Description & Guidance:	This is the value, as at the relevant date, of foreign exchange (including gold) options, as determined in accordance with relevant prudential standards.A foreign exchange contract is any contract that transfers the foreign exchange rate risk of an underlying asset from one party to another.An option provides the purchasing entity with the right but not the obligation to buy or sell a specific amount of the underlying asset at a pre-agreed price, on or before a specific future date.

Usage

Form	Labels
ARF_116_0_11	Label: Guidance:	Standard Method - Contingent Loss Method - Foreign Exchange Options The capital charge on this item is the maximum loss figure obtained from the scenario matrix constructed for each currency pair (refer to APS 116). Maximum loss is calculated by specifying a fixed range of changes in the option portfolio's risk factors (i.e. underlying price and volatility) and calculating changes in the value of the option portfolio at various points along this matrix. The maximum loss is determined as being the largest loss within the matrix.
ARF_116_0_8	Label: Guidance:	Standard Method - Options - Delta-plus Method - Capital Charge - Foreign Exchange Options An ADI that has approval from APRA to use the delta-plus method must report this item. ADIs using this method must first calculate the delta-equivalent position of each option. The delta-equivalent position is calculated by multiplying the market value of the underlying position by the absolute value of the delta calculated on that position. Gamma impact: Where applicable, ADIs must calculate the gamma impact of each option as detailed in APS 116. Vega impact: Where applicable, ADIs must calculate the vega impact of each option as detailed in APS 116. Total capital charge: Total capital charge is a derived field that sums up the gamma impact and the vega impact.

Form

Labels

ARF_116_0_11

Label:

Guidance:

Standard Method - Contingent Loss Method - Foreign Exchange Options
The capital charge on this item is the maximum loss figure obtained from the scenario matrix constructed for each currency pair (refer to APS 116).

Maximum loss is calculated by specifying a fixed range of changes in the option portfolio's risk factors (i.e. underlying price and volatility) and calculating changes in the value of the option portfolio at various points along this matrix. The maximum loss is determined as being the largest loss within the matrix.

ARF_116_0_8

Label:

Guidance:

Standard Method - Options - Delta-plus Method - Capital Charge - Foreign Exchange Options
An ADI that has approval from APRA to use the delta-plus method must report this item.

ADIs using this method must first calculate the delta-equivalent position of each option. The delta-equivalent position is calculated by multiplying the market value of the underlying position by the absolute value of the delta calculated on that position.

Gamma impact:
Where applicable, ADIs must calculate the gamma impact of each option as detailed in APS 116.

Vega impact:
Where applicable, ADIs must calculate the vega impact of each option as detailed in APS 116.

Total capital charge:
Total capital charge is a derived field that sums up the gamma impact and the vega impact.