Financial Sector (Collection of Data) (reporting standard) determination No. 4 of 2006 - Reporting Standard ARS 113.0 - Market Risk
Positions attracting 2 per cent specificPositions attracting 2 per cent specific risk charge
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Positions attracting 2 per cent specific risk charge
Positions eligible for a 2 per cent specific risk capital charge are set out in paragraphs 47 and 49 to 53 of AGN 113.3. The gross value of all positions subject to a 2 per cent specific risk charge is to be reported in the fourth column: “Positions attracting 2% specific risk”.
Total specific risk charge
The total specific risk charge is the sum of 8 per cent of column 1, plus 4 per cent of column 2, plus 2 per cent of column 3. This amount is to be reported in the fifth column: “Total Specific Risk Charge”.
Net positions for general market risk
The net position in each market is to be reported in column 6. The net position in each equity market is calculated as the difference between the sum of the long positions and the sum of the short positions. An overall net short position in a market should be indicated by a negative sign.
General market risk charge
The general market risk charge for each market, to be reported in column 7, is 8 per cent of the absolute value of the net position.