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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  
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