Table 4: Foreign exchange risk

For each foreign currency in which the ADI has positions, report separately the Australian dollar equivalent of the net open position in that currency.

The net open position in a particular currency should be calculated in accordance with paragraphs 57 to 67 of AGN 113.3. In calculating the net open position in each currency:

• include all transactions contracted as at the reporting date (i.e. both traded and non-traded positions) excluding any structural positions; and
• forward positions should be valued at current spot market exchange rates or using net present values.

Report the larger of the sum of the net long positions or the sum of the net short positions at box (1).

Report the Australian dollar equivalent of the net open position in gold (including sign) at box (2). This should be calculated in the same way as for foreign currencies. Gold positions (in Australian dollar equivalent amounts) may be segmented into a gold exposure and a USD exposure.

The capital charge will be calculated as 8 per cent of the sum of the absolute values of items 1 and 2. This will also be reported at item “C a)” on the Market Risk Summary Report.