Table 9: Contingent loss method - interest rate options

A different scenario matrix must be established for each time band and by each currency (refer to paragraphs 104 to 109 of Guidance Note AGN 113.3 The Standard Method). ADIs that have obtained APRA approval to do so, may base the calculation on a minimum of six sets of time bands.

Specific Instructions

1. For each currency, select the method used in calculating the capital charge.

2. Report the maximum loss figure obtained from the scenario matrix constructed for each time band in each currency.

3. Sum each column to obtain a maximum loss figure for all time bands by each currency. Reported this figure in the top line of the final column for each currency.

4. The total maximum loss in each currency will be summed to obtain a total capital charge. This figure will also be entered in item “A e)” on the Market Risk Summary Report.

Table 10: Contingent loss method – equity options

Report the maximum loss figure obtained from the scenario matrix constructed for each national market (see paragraphs 104 to 109 of Guidance Note AGN 113.3 The Standard Method). The column will be summed to obtain a total capital charge. This figure will also be entered in item “B d)” on the Market Risk Summary Report.