Table 2: General market risk

The data to be entered into Table 2 should be calculated according to the methodology detailed in paragraphs 12 to 35 of AGN 113.3. These calculations should be performed and the results reported on Table 2 separately (without offsetting across currencies) for each currency in which material interest rate exposures are held and in aggregate for all currencies in which there are non-material interest rate exposures. The Prudential Standard allows the choice between three methods for the calculation of general interest rate 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. The Prudential Standard 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.

The net long and net short risk weighted positions for each time band should be reported according to the definitions of the bands in Table 2 of AGN 113.3. Offsetting of positions is allowable according to the requirements set out in paragraphs 32 to 35 of AGN 113.3.

The total general market risk charge is to be reported in the top line of the final column of Table 2 for each currency and method combination. This is the sum of the net position and vertical and horizontal disallowances (calculated in accordance with paragraphs 12 to 35 of AGN 113.3).

The total general market risk charge summed across all currencies and methods will be entered in the final row of Table 2 and will also be reported at item “A b)” in the Market Risk Summary Report.