Financial Sector (Collection of Data) (reporting standard) determination No. 1 of 2012 - ARS 116.0 - Market Risk
Table 9: Contingent loss method - IntereTable 9: Contingent loss method - Interest rate options
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Table 9: Contingent loss method - Interest rate options
A different scenario matrix must be established for each time band and in each currency (refer to paragraphs 89 to 95 of Attachment B to APS 116). ADIs that have approval from APRA to do so, may base the calculation on a minimum of six sets of time bands.
An ADI should report in Table 9 as follows:
(a) select the relevant currency;
(b) for each currency, select the method used in calculating the capital charge;
(c) report the maximum loss figure obtained from the scenario matrix constructed for each time band in each currency;
(d) sum each column to obtain a maximum loss figure for all time bands by each currency. Report this figure in the top line of column 2 Total general market risk charge, for each currency.