Table 2: General market risk

The data to be entered into Table 2 should be calculated according to the methodology detailed in paragraphs 20 to 41 of Attachment B to APS 116. These calculations should be performed and the results reported in Table 2 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.