Table 12: Contingent loss method - Commodities

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

2. Internal model

ADIs granted APRA approval to use the internal model approach must complete Tables 13 and 14. All internal model user ADIs must also complete Tables 18 to 25 relating to stress testing where the ADI has exposure to the relevant underlying market.

ADIs are permitted to use a combination of the internal models approach and the standard methodology provided that a single approach (either internal models or the standard approach) is applied to all material exposures arising within any one risk category (refer paragraphs 35 and 36 of AGN 113.2 The Internal Model Approach (AGN 113.2)). Those ADIs using a combination of internal models and the standard methodology should complete Tables 13 and 14 for those asset classes where an internal model is applied as well as the relevant tables in the standard method section of the reporting form for those asset classes for which a capital charge is calculated using the standard method. The capital charges determined using the internal model approach and the standard approach will be reported on the Market Risk Summary Report and summed.