Table 14: Largest daily losses over the quarter

Enter the five largest daily losses experienced by the total trading book over the reporting period. Enter the losses in order of magnitude with the largest loss in row 1, the second largest loss in row 2, etc. Enter the dates corresponding to each of the losses in the second column. Enter the corresponding VaR number for each loss in the third column (i.e. the 99% one-day VaR number calculated as at the previous business day).

Internal limits method

ADIs whose market risk measurement techniques are consistent with those required for the contingent loss method or the internal models approach may use their internal scenario-based (contingent loss) limits or VaR limits, subject to APRA approval, as the basis for calculating a capital charge for general market risk. An ADI granted approval to use the internal limits method should complete Table 15. The ADI should also complete either Table 16 or Table 17 depending on whether or not aggregate end-of-day exposure (across all asset classes) exceeded the corresponding internal limit on any day during the reporting period. In addition, ADIs using the internal limits method need to perform stress tests as set out in paragraphs 23 to 31 of AGN 113.2 and hence should also complete Tables 18 to 25. Note also that the limits approach may only be used to assess general market risk; specific risk charges on interest rate and equity instruments must be calculated separately using the standard method and reported in Tables 1 and 3 as appropriate.