PET - Plain English Taxonomy

ARF_116_0_1: Market risk table 1
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 - Special risk
Position Gross market value Specific risk-weight Capital charge
Short Long
(1) (2) (3) (4) (5)
1. Risk category (non-securitisation exposures)        
1.1. Government, rated AAA to AA-  
1.2. Government, rated A+ to BBB-, residual term to maturity 6 months or less
1.3. Government, rated A+ to BBB-, residual term to maturity 6 to 24 months
1.4. Government, rated A+ to BBB-, residual term to maturity exceeding 24 months
1.5. Government, rated BB+ to B-
1.6. Government, rated below B-
1.7. Government, unrated
1.8. Qualifying residual term to maturity 6 months or less
1.9. Qualifying residual term to maturity 6 to 24 months
1.10. Qualifying residual term to maturity exceeding 24 months
1.11. Other, rated BB+ to BB-
1.12. Other, rated below BB-
1.13. Other, unrated
1.14. Subtotal - specific risk capital charge (non-securitisation exposures)  
Position Capital charge short position Capital charge long position  
Short Long
(1) (2) (3) (4)
2. Risk category (securitisation exposures)        
2.1. Rated AAA to AA- (long term ratings) or A-1/P-1 (short term ratings)
2.2. Rated A+ to A- (long term ratings) or A-2/P-2 (short term ratings)
2.3. Rated BBB+ to BBB- (long term ratings) or A-3/P-3 (short term ratings)
2.4. Rated BB+ to BB- (long term ratings)
2.5. Rated below BB- (long term ratings) or below A-3/P-3 (short term ratings)
2.6. Unrated
2.7. Rated or unrated that do not meet due diligence requirements
2.8. Subtotal - specific risk capital charge (securitisation exposures)  
Position Capital charge short position Capital charge long position  
Short Long
(1) (2) (3) (4)
3. Risk category (resecuritisation exposures)        
3.1. Rated AAA to AA- (long term ratings) or A-1/P-1 (short term ratings)
3.2. Rated A+ to A- (long term ratings) or A-2/P-2 (short term ratings)
3.3. Rated BBB+ to BBB- (long term ratings) or A-3/P-3 (short term ratings)
3.4. Rated BB+ to BB- (long term ratings)
3.5. Rated below BB- (long term ratings) or below A-3/P-3 (short term ratings)
3.6. Unrated
3.7. Rated or unrated that do not meet due diligence requirements
3.8. Subtotal - specific risk capital charge (resecuritisation exposures)  
Position Capital charge short position Capital charge long position Capital charge
Short Long
(1) (2) (3) (4) (5)
4. Risk category (correlation trading portfolio)        
4.1. Securitisation exposures - rated AAA to AA- or A-1/P-1
4.2. Securitisation exposures - rated A+ to A- or A-2/P-2
4.3. Securitisation exposures - rated BBB+ to BBB- or A-3/P-3
4.4. Securitisation exposures - rated BB+ to BB-
4.5. Securitisation exposures - rated below BB- or below A-3/P-3
4.6. Securitisation exposures - unrated
4.7. Securitisation exposures that do not meet due diligence requirements
4.8. N-th to default credit derivatives
4.9. Other positions used for hedging the correlation trading portfolio
4.10. Sum of specific risk capital charge for short and long positions    
4.11. Subtotal - specific risk capital charge (correlation trading portfolio)  
 
5. Total capital charge  
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