Other Accounting And Financial Disclosures Financial Risk Capital Adequacy Net Adjustments For Ineligible Unrealised Fair Value Gains Or Losses Amount This is the value, as at the relevant date, of any fair value gains and losses where the values do not meet the requirements for use of fair values specified in the relevant prudential standard. Financial Risk Credit Cash Collateral Amount This is the value, as at the relevant date, of regulatory capital for credit risk that are associated with cash collaterals provided by the reporting entity to collateralise its obligations under liquidity and other facilities, in accordance with the relevant prudential standards. For the purposes of calculating risk-weighted assets, cash collateral amounts (where not treated as a drawn facility), together with the undrawn portion of the relevant facility (or credit equivalent amount), may be treated as overlapping securitisation exposures under the relevant prudential standard. Cash collateral can be lodged for securitisation and resecuritisation exposures. Securitisation exposures are on-balance sheet and off-balance sheet risk positions held by a reporting entity arising from a securitisation including, but not limited to: (i) investments by the reporting entity in securities issued by a special purpose vehicle (SPV), including retention of a subordinated tranche of securities issued by an SPV; (ii) other credit enhancements, such as guarantees provided by the reporting entity; (iii) drawn and undrawn funding, underwriting, liquidity and other facilities provided by the reporting entity to a securitisation; and (iv) exposures arising from swaps and other derivative transactions with an SPV. A resecuritisation exposure is a securitisation exposure in which the risk associated with an underlying pool of exposures is tranched and at least one of the underlying exposures is a securitisation exposure. In addition, an exposure to one or more resecuritisation exposures is a resecuritisation exposure. Financial Risk Credit Exposures Liquidity Or Underwriting Or Funding Facility Excluding Revolving With Early Amortisation Amount This is the value, as at the relevant date, of securitisation (including resecuritisation) exposures relating to liquidity, underwriting or funding facilities. A liquidity, underwriting or funding facility will be considered an eligible facility when it meets the requirements as detailed in the relevant prudential standards. Financial Risk Credit Exposures Non Senior Positions Excluding Revolving Facilities With Early AmortisationProvision Amount This is the value, as at the relevant date, of credit exposures (on and off-balance sheet) arising from non-senior positions. An exposure is treated as a senior tranche if it is effectively secured by a first claim on the entire amount of the exposures in the pool. For this purpose, the reporting party does not have to take into consideration taxes and similar imposts, fees to service providers, amounts due under interest rate swaps, currency swaps or eligible servicer cash advances. A credit exposure represents an asset, liability, claim or commitment of an entity, which may be recorded on or off the balance sheet and which gives rise to credit risk. Revolving facility exposures are those exposures arising from redrawable facilities, other than exposures in the nature of redrawable home loans where the amounts likely to be redrawn are expected to be immaterial relative to the size of the pool. Only exclude those revolving facility exposures where the reporting party has transferred a pool of the revolving exposures into a securitisation that contains an early amortisation provision. Financial Risk Credit Exposures Senior Positions Excluding Revolving Facilities With Early AmortisationProvision Amount This is the value, as at the relevant date, of credit exposures (on and off-balance sheet) arising from senior positions. An exposure is treated as a senior tranche if it is effectively secured by a first claim on the entire amount of the exposures in the pool. For this purpose, the reporting party does not have to take into consideration taxes and similar imposts, fees to service providers, amounts due under interest rate swaps, currency swaps or eligible servicer cash advances. A credit exposure represents an asset, liability, claim or commitment of an entity, which may be recorded on or off the balance sheet and which gives rise to credit risk. Revolving facility exposures are those exposures arising from redrawable facilities, other than exposures in the nature of redrawable home loans where the amounts likely to be redrawn are expected to be immaterial relative to the size of the pool. Only exclude those revolving facility exposures where the reporting party has transferred a pool of the revolving exposures into a securitisation that contains an early amortisation provision. Financial Risk Credit Exposures That Do Not Meet Due Diligence Requirements Amount This is, as at the relevant date, the exposure where the reporting entity does not have the information on the underlying collateral necessary to permit exposures to be risk weighted in accordance with the relevant prudential standards Financial Risk Credit Exposures Unrated Facilities Approved by APRA Excluding Revolving With Early Amortisation Amount This is the value, as at the relevant date, of securitisation (including resecuritisation) exposures where the reporting entity, subject to a written approval from APRA, applies the approach detailed in the relevant prudential standard, to an eligible facility. The unrated facilities can not be subject to ratings-based approach (RBA),internal assessment approach (IAA) or supervisory formula (SF). Financial Risk Market Average Stressed VaR Past 60 Trading Days Amount Report the average stressed value at risk (VaR), calculated over the most recent 60 trading days prior to and including the relevant date, for positions giving rise to market risk, as determined in accordance with relevant prudential standards. Stressed VaR, like VaR is a technique used to estimate the likelihood of losses in a portfolio based on analysis of historical price movements and volatilities, over a specified observation period. For the stressed VaR however, the model inputs are calibrated to historical data from a one year observation period of significant market stress relevant to the portfolio being simulated. Financial Risk Market Average Stressed VaR Past 60 Trading Days Commodity Positions Amount This is the value, as at the relevant date, of the average stressed value at risk (VaR), calculated over the most recent 60 trading days prior to and including the relevant date, for positions giving rise to commodities risk, as determined in accordance with relevant prudential standards. Commodity positions include both on and off-balance sheet exposures which are affected by changes in commodity prices. This includes holdings of, or positions in: - commodity forwards; - commodity futures; - commodity swaps; - and other applicable commodity instruments (e.g. commodity options). Stressed VaR, like VaR is a technique used to estimate the likelihood of losses in a portfolio based on analysis of historical price movements and volatilities, over a specified observation period. For the stressed VaR however, the model inputs are calibrated to historical data from a one year observation period of significant market stress relevant to the portfolio being simulated. Financial Risk Market Average Stressed VaR Past 60 Trading Days Equity Positions Amount This is the value, as at the relevant date, of the stressed Value at Risk (VaR) calculated over the most recent 60 trading days prior to and including the relevant date, for positions giving rise to market risk. Equity positions include both on and off-balance sheet exposures which are affected by changes in equity price. This includes holdings of, or positions in: - ordinary shares, whether voting or non-voting; - convertible securities that behave like equities; - commitments to buy or sell equity securities; and - any other instruments that exhibit market behaviour similar to equities. Stressed VaR, like VaR is a technique used to estimate the likelihood of losses in a portfolio based on analysis of historical price movements and volatilities, over a specified observation period. For the stressed VaR however, the model inputs are calibrated to historical data from a one year observation period of significant market stress relevant to the portfolio being simulated. Financial Risk Market Average Stressed VaR Past 60 Trading Days Foreign Exchange Positions Amount This is the value, as at the relevant date, of the average stressed value at risk (VaR), calculated over the most recent 60 trading days prior to and including the relevant date, for positions giving rise to foreign exchange risk, as determined in accordance with relevant prudential standards. Foreign exchange positions include on and off-balance sheet exposures which are affected by changes in foreign exchange rates. This includes holdings of, or positions in: (a) the net spot position, i.e. all asset items less all liability items, including accrued interest and other accrued income and accrued expenses, denominated in the currency in question; (b) the net forward position, i.e. all amounts to be received less all amounts to be paid under forward foreign exchange transactions, including currency futures, the principal on currency swaps not included in the spot position, and interest rate transactions such as futures and swaps denominated in a foreign currency; This amount should represent the value of positions at current spot market exchange rates or using net present values; (c) guarantees (and similar instruments) that are certain to be called and likely to be irrecoverable; and (d) any other item representing a profit or loss in foreign currencies. For the purposes of this item: - include unearned but expected future interest and anticipated expenses if the amounts are certain and the reporting party has hedged them; and - exclude structural positions, where permitted by the relevant prudential standards. Stressed VaR, like VaR is a technique used to estimate the likelihood of losses in a portfolio based on analysis of historical price movements and volatilities, over a specified observation period. For the stressed VaR however, the model inputs are calibrated to historical data from a one year observation period of significant market stress relevant to the portfolio being simulated. Financial Risk Market Average Stressed VaR Past 60 Trading Days Interest Rate Positions Amount This is the value, as at the relevant date, of the average stressed value at risk (VaR), calculated over the most recent 60 trading days prior to and including the relevant date, for positions giving rise to interest rate risk. Interest rate positions include both on and off-balance sheet exposures which are affected by changes in interest rates. This includes holdings of, or positions in: - debt securities, including non-convertible preference shares and other quasi-debt securities/instruments that behave like debt (convertible bonds are to be included as debt securities if they trade like debt securities, but not if they trade like equities); - forward transactions in foreign exchange, equities and commodities; and - options that are subject to a change in value following a change in interest rates. Stressed VaR, like VaR is a technique used to estimate the likelihood of losses in a portfolio based on analysis of historical price movements and volatilities, over a specified observation period. For the stressed VaR however, the model inputs are calibrated to historical data from a one year observation period of significant market stress relevant to the portfolio being simulated. Financial Risk Market Capital Charge Standard Method Interest Rate Risk Amount This is the value, as at the relevant date, of total traded market risk, foreign exchange and commodities capital requirement (TFC capital requirement). It is calculated as the sum of the standard method charges for each asset class plus any charge reported under the internal model approach. Specifically, it is the sum of the subtotals from the specific risk capital charge for non-securitisation exposures and the correlation trading portfolio, plus the sum of: a) The capital charges (long positions) for securitisation and resecuritisation exposures; and b) The capital charges (short positions) for securitisation and resecuritisation exposures. Financial Risk Market Comprehensive Risk Charge Correlation Trading Portfolio Amount This is the value, as at the relevant date, of the capital charge for the reporting entity’s correlation trading portfolio as determined by the comprehensive approach, in accordance with relevant prudential standards. The comprehensive approach is an internal model approach that captures all price risks related to correlation trading portfolios. Financial Risk Market Incremental Risk Charge Amount This is the value, as at the relevant date, of the regulatory capital default and migration risk on trading book positions that is incremental to the risk captured by the Value at Risk (VaR) based calculation of the reporting party. This item is to be reported where the VaR measures include an estimation of the specific risk charge, and is to be determined in accordance with relevant prudential standards Financial Risk Market Long Credit Exposures Credit Indices Amount This is the value, as at the relevant date, of the effect on long positions in credit indices exposures, due to movements in the current credit spreads and market prices as specified in the credit spread scenarios. This represents the change in value of these positions given stress testing scenarios applied. All trading book positions which have credit spread risk (including, but not limited to: corporate bonds, floating rate notes, credit derivatives, credit indices, and securitisations) must be included in the credit spread stress test portfolio revaluations. Many products with credit spread risk will have been priced at a spread over a relevant benchmark. Financial Risk Market Long Credit Exposures Derivatives Excluding Credit Indices Amount This is the value, as at the relevant date, of the effect on long positions in derivative exposures, excluding credit indices, due to movements in the current credit spreads and market prices as specified in the credit spread scenarios. This represents the change in value of these positions given stress testing scenarios applied. All trading book positions which have credit spread risk (including, but not limited to: corporate bonds, floating rate notes, credit derivatives, credit indices, and securitisations) must be included in the credit spread stress test portfolio revaluations. Many products with credit spread risk will have been priced at a spread over a relevant benchmark. Financial Risk Market Long Credit Exposures Physicals Amount This is the value, as at the relevant date, of the effect on long positions in physical (or non-derivative) exposures, due to movements in the current credit spreads and market prices as specified in the credit spread scenarios. This represents the change in value of these positions given stress testing scenarios applied. All trading book positions which have credit spread risk (including, but not limited to: corporate bonds, floating rate notes, credit derivatives, credit indices, and securitisations) must be included in the credit spread stress test portfolio revaluations. Many products with credit spread risk will have been priced at a spread over a relevant benchmark. Financial Risk Market Nth To Default Credit Derivatives Long Position Amount This is the value, as at the relevant date, of long positions in nth-to-default credit derivatives, calculated in accordance to the relevant prudential standards. An nth-to-default credit derivative is a contract where the payoff is based on the nth asset to default in a basket of underlying reference instruments. Once the nth default occurs the transaction terminates and is settled. Long positions represent positions where a rise in the value of the asset or derivative would result in a profit. Financial Risk Market Nth To Default Credit Derivatives Short Position Amount This is the value, as at the relevant date, of short positions in nth-to-default credit derivatives, calculated in accordance to the relevant prudential standards. An nth-to-default credit derivative is a contract where the payoff is based on the nth asset to default in a basket of underlying reference instruments. Once the nth default occurs the transaction terminates and is settled. Short positions represent positions where a fall in the value of the asset or derivative would result in a profit. Financial Risk Market Other Positions For Hedging The Correlation Trading Portfolio Long Position Amount This is the value, as at the relevant date, of long positions used for hedging the correlation trading portfolio which are neither securitisation exposures nor nth-to-default credit derivatives Correlation trading is a strategy in which traders or investors take both long and short positions in credit correlation products such as synthetic CDOs and basket credit derivatives. Exposures reported under this category require special approval from APRA. Long positions represent positions where a rise in the value of the asset or derivative would result in a profit. Financial Risk Market Other Positions For Hedging The Correlation Trading Portfolio Short Position Amount This is the value, as at the relevant date, of short positions used for hedging the correlation trading portfolio which are neither securitisation exposures nor nth-to-default credit derivatives Correlation trading is a strategy in which traders or investors take both long and short positions in credit correlation products such as synthetic CDOs and basket credit derivatives. Exposures reported under this category require special approval from APRA. Short positions represent positions where a fall in the value of the asset or derivative would result in a profit. Financial Risk Market Scaled Average Stressed VaR Commodity Excluding Gold Position Amount This is the value, as at the relevant date, for the average stressed Value at Risk (VaR) for positions giving rise to commodities risk, as determined in accordance with relevant prudential standards. This represents the average VaR, calculated over the most recent 60 trading days prior to and including the relevant date, multiplied by the scaling factor applicable. Commodity positions include both on and off-balance sheet exposures which are affected by changes in commodity prices. This includes holdings of, or positions in: - commodity forwards; - commodity futures; - commodity swaps; and - other applicable commodity instruments (e.g. commodity options). Stressed VaR, like VaR is a technique used to estimate the likelihood of losses in a portfolio based on analysis of historical price movements and volatilities, over a specified observation period. For the stressed VaR however, the model inputs are calibrated to historical data from a one year observation period of significant market stress relevant to the portfolio being simulated. Financial Risk Market Scaled Average Stressed VaR Foreign Exchange Positions Amount This is the value, as at the relevant date, for the average stressed Value at Risk (VaR) for positions giving rise to foreign exchange risk. This represents the average VaR, calculated over the most recent 60 trading days prior to and including the relevant date, multiplied by the scaling factor applicable. Foreign exchange positions include on and off-balance sheet exposures which are affected by changes in foreign exchange rates. This includes holdings of, or positions in: (a) the net spot position, i.e. all asset items less all liability items, including accrued interest and other accrued income and accrued expenses, denominated in the currency in question; (b) the net forward position, i.e. all amounts to be received less all amounts to be paid under forward foreign exchange transactions, including currency futures, the principal on currency swaps not included in the spot position, and interest rate transactions such as futures and swaps denominated in a foreign currency; This amount should represent the value of positions at current spot market exchange rates or using net present values; (c) guarantees (and similar instruments) that are certain to be called and likely to be irrecoverable; and (d) any other item representing a profit or loss in foreign currencies. For the purposes of this item: - include unearned but expected future interest and anticipated expenses if the amounts are certain and the reporting party has hedged them; and - exclude structural positions, where permitted by the relevant prudential standards. Stressed VaR, like VaR is a technique used to estimate the likelihood of losses in a portfolio based on analysis of historical price movements and volatilities, over a specified observation period. For the stressed VaR however, the model inputs are calibrated to historical data from a one year observation period of significant market stress relevant to the portfolio being simulated. Financial Risk Market Scaled Average Stressed VaR Past 60 Trading Days Equity Positions Amount This is the value, as at the relevant date, for the average stressed Value at Risk (VaR) for positions giving rise to equity position risk, as determined in accordance with relevant prudential standards. This represents the average VaR, calculated over the most recent 60 trading days prior to and including the relevant date, multiplied by the scaling factor applicable. Equity positions include on and off-balance sheet exposures which are affected by changes in Equity prices. This includes holdings of, or positions in: - ordinary shares, whether voting or non-voting; - convertible securities that behave like equities; - commitments to buy or sell equity securities; and - any other instruments that exhibit market behaviour similar to equities. Stressed VaR, like VaR is a technique used to estimate the likelihood of losses in a portfolio based on analysis of historical price movements and volatilities, over a specified observation period. For the stressed VaR however, the model inputs are calibrated to historical data from a one year observation period of significant market stress relevant to the portfolio being simulated. Financial Risk Market Scaled Average Stressed VaR Past 60 Trading Days Interest Rate Positions Amount This is the value, as at the relevant date, for the average stressed Value at Risk (VaR) for positions giving rise to interest rate risk. This represents the average VaR, calculated over the most recent 60 trading days prior to and including the relevant date, multiplied by the scaling factor applicable. Interest rate positions include both on and off-balance sheet exposures which are affected by changes in interest rates. This includes holdings of, or positions in: - debt securities, including non-convertible preference shares and other quasi-debt securities/instruments that behave like debt (convertible bonds are to be included as debt securities if they trade like debt securities, but not if they trade like equities); - forward transactions in foreign exchange, equities and commodities; and - options that are subject to a change in value following a change in interest rates. Stressed VaR, like VaR is a technique used to estimate the likelihood of losses in a portfolio based on analysis of historical price movements and volatilities, over a specified observation period. For the stressed VaR however, the model inputs are calibrated to historical data from a one year observation period of significant market stress relevant to the portfolio being simulated. Financial Risk Market Scaling Factor Foreign Exchange VaR Positions Number This is the scaling factor (Value at Risk (VaR)) applicable, for positions giving rise to foreign exchange risk, as determined in accordance with relevant prudential standards.The scaling factor consists of a multiplication factor and a plus factor, as determined in accordance with relevant prudential standards. The multiplication factor is set for each reporting party by APRA, and is subject to a minimum of three. A plus factor may also be required by APRA. This factor relates directly to back-testing results from the most recent 250 trading days prior to the relevant date.Foreign exchange positions include on and off-balance sheet exposures which are affected by changes in foreign exchange rates. This includes holdings of, or positions in:(a) the net spot position, i.e. all asset items less all liability items, including accrued interest and other accrued income and accrued expenses, denominated in the currency in question; (b) the net forward position, i.e. all amounts to be received less all amounts to be paid under forward foreign exchange transactions, including currency futures, the principal on currency swaps not included in the spot position, and interest rate transactions such as futures and swaps denominated in a foreign currency; This amount should represent the value of positions at current spot market exchange rates or using net present values;(c) guarantees (and similar instruments) that are certain to be called and likely to be irrecoverable; and (d) any other item representing a profit or loss in foreign currencies.For the purposes of this item:- include unearned but expected future interest and anticipated expenses if the amounts are certain and the reporting party has hedged them; and- exclude structural positions, where permitted by the relevant prudential standards.Back-testing represents the process of comparing the daily trading outcome (profit or loss) with the corresponding VaR number for that day. Financial Risk Market Scaling Factor Stressed VaR Number Report the scaling factor Stressed Value at Risk (VaR) applicable. The scaling factor (stressed VaR) consists of a multiplication factor and a plus factor, as determined in accordance with relevant prudential standards. The multiplication factor is set for each reporting party by APRA, and is subject to a minimum of three. A plus factor may also be required by APRA. This factor relates directly to back-testing results from the most recent 250 trading days prior to the relevant date. Back-testing represents the process of comparing the daily trading outcome (profit or loss) with the corresponding stressed VaR number for that day. Financial Risk Market Scaling Factor Stressed VaR Commodity Positions Number This is, as at the relevant date, the scaling factor for the stressed Value at Risk (VaR) applicable, for positions giving rise to market risk. Stressed VaR, like VaR is a technique used to estimate the likelihood of losses in a portfolio based on analysis of historical price movements and volatilities, over a specified observation period. For the stressed VaR however, the model inputs are calibrated to historical data from a one year observation period of significant market stress relevant to the portfolio being simulated. The scaling factor consists of a multiplication factor and a plus factor, as determined in accordance with relevant prudential standards. The multiplication factor is set for each reporting party by APRA, and is subject to a minimum of three. A plus factor may also be required by APRA. This factor relates directly to back-testing results from the most recent 250 trading days prior to the relevant date. Commodity positions include both on and off-balance sheet exposures which are affected by changes in commodity prices. This includes holdings of, or positions in: - commodity forwards; - commodity futures; - commodity swaps; and - other applicable commodity instruments (e.g. commodity options) Back-testing represents the process of comparing the daily trading outcome (profit or loss) with the corresponding stressed VaR number for that day. Financial Risk Market Scaling Factor Stressed VaR Equity Positions Number This is, as at the relevant date, the scaling factor for the stressed Value at Risk (VaR) applicable, for positions giving rise to market risk. Stressed VaR, like VaR is a technique used to estimate the likelihood of losses in a portfolio based on analysis of historical price movements and volatilities, over a specified observation period. For the stressed VaR however, the model inputs are calibrated to historical data from a one year observation period of significant market stress relevant to the portfolio being simulated. The scaling factor consists of a multiplication factor and a plus factor, as determined in accordance with relevant prudential standards. The multiplication factor is set for each reporting party by APRA, and is subject to a minimum of three. A plus factor may also be required by APRA. This factor relates directly to back-testing results from the most recent 250 trading days prior to the relevant date. Equity positions include on and off-balance sheet exposures which are affected by changes in Equity prices. This includes holdings of, or positions in: - ordinary shares, whether voting or non-voting; - convertible securities that behave like equities; - commitments to buy or sell equity securities; and - any other instruments that exhibit market behaviour similar to equities. Back-testing represents the process of comparing the daily trading outcome (profit or loss) with the corresponding stressed VaR number for that day. Financial Risk Market Scaling Factor Stressed VaR Foreign Exchange Positions Number This is, as at the relevant date, the scaling factor for the stressed Value at Risk (VaR) applicable, for positions giving rise to market risk. Stressed VaR, like VaR is a technique used to estimate the likelihood of losses in a portfolio based on analysis of historical price movements and volatilities, over a specified observation period. For the stressed VaR however, the model inputs are calibrated to historical data from a one year observation period of significant market stress relevant to the portfolio being simulated. The scaling factor consists of a multiplication factor and a plus factor, as determined in accordance with relevant prudential standards. The multiplication factor is set for each reporting party by APRA, and is subject to a minimum of three. A plus factor may also be required by APRA. This factor relates directly to back-testing results from the most recent 250 trading days prior to the relevant date. Foreign exchange positions include on and off-balance sheet exposures which are affected by changes in foreign exchange rates. This includes holdings of, or positions in: (a) the net spot position, i.e. all asset items less all liability items, including accrued interest and other accrued income and accrued expenses, denominated in the currency in question; (b) the net forward position, i.e. all amounts to be received less all amounts to be paid under forward foreign exchange transactions, including currency futures, the principal on currency swaps not included in the spot position, and interest rate transactions such as futures and swaps denominated in a foreign currency; This amount should represent the value of positions at current spot market exchange rates or using net present values; (c) guarantees (and similar instruments) that are certain to be called and likely to be irrecoverable; and (d) any other item representing a profit or loss in foreign currencies. Back-testing represents the process of comparing the daily trading outcome (profit or loss) with the corresponding stressed VaR number for that day. Financial Risk Market Scaling Factor Stressed VaR Interest Rate Positions Number This is, as at the relevant date, the scaling factor for the stressed Value at Risk (VaR) applicable, for positions giving rise to market risk. Stressed VaR, like VaR is a technique used to estimate the likelihood of losses in a portfolio based on analysis of historical price movements and volatilities, over a specified observation period. For the stressed VaR however, the model inputs are calibrated to historical data from a one year observation period of significant market stress relevant to the portfolio being simulated. The scaling factor consists of a multiplication factor and a plus factor, as determined in accordance with relevant prudential standards. The multiplication factor is set for each reporting party by APRA, and is subject to a minimum of three. A plus factor may also be required by APRA. This factor relates directly to back-testing results from the most recent 250 trading days prior to the relevant date. Interest rate positions include both on and off-balance sheet exposures which are affected by changes in interest rates. This includes holdings of, or positions in: - debt securities, including non-convertible preference shares and other quasi-debt securities/instruments that behave like debt (convertible bonds are to be included as debt securities if they trade like debt securities, but not if they trade like equities); - forward transactions in foreign exchange, equities and commodities; and - options that are subject to a change in value following a change in interest rates. Back-testing represents the process of comparing the daily trading outcome (profit or loss) with the corresponding stressed VaR number for that day. Financial Risk Market Scaling Factor VaR Number This is the scaling factor (Value at Risk(VaR)) applicable.The scaling factor consists of a multiplication factor and a plus factor, as determined in accordance with relevant prudential standards. The multiplication factor is set for each reporting party by APRA, and is subject to a minimum of three. A plus factor may also be required by APRA. This factor relates directly to back-testing results from the most recent 250 trading days prior to the relevant date.Back-testing represents the process of comparing the daily trading outcome (profit or loss) with the corresponding VaR number for that day. Financial Risk Market Scaling Factor VaR Commodity Positions Number This is the scaling factor (Value at Risk (VaR)) applicable, for positions giving rise to commodities risk, as determined in accordance with relevant prudential standards.The scaling factor consists of a multiplication factor and a plus factor, as determined in accordance with relevant prudential standards. The multiplication factor is set for each reporting party by APRA, and is subject to a minimum of three. A plus factor may also be required by APRA. This factor relates directly to back-testing results from the most recent 250 trading days prior to the relevant date.Commodity positions include both on and off-balance sheet exposures which are affected by changes in commodity prices. This includes holdings of, or positions in: - commodity forwards; - commodity futures; - commodity swaps; and - other applicable commodity instruments (e.g. commodity options). Back-testing represents the process of comparing the daily trading outcome (profit or loss) with the corresponding VaR number for that day. Financial Risk Market Scaling Factor VaR Equity Positions Number This is the scaling factor (Value at Risk(VaR))applicable for positions giving rise to equity position risk.The scaling factor consists of a multiplication factor and a plus factor, as determined in accordance with relevant prudential standards. The multiplication factor is set for each reporting party by APRA, and is subject to a minimum of three. A plus factor may also be required by APRA. This factor relates directly to back-testing results from the most recent 250 trading days prior to the relevant date.Equity positions include on and off-balance sheet exposures which are affected by changes in Equity prices. This includes holdings of, or positions in: - ordinary shares, whether voting or non-voting; - convertible securities that behave like equities; - commitments to buy or sell equity securities; and - any other instruments that exhibit market behaviour similar to equities. Back-testing represents the process of comparing the daily trading outcome (profit or loss) with the corresponding VaR number for that day. Financial Risk Market Scaling Factor VaR Interest Rate Positions Number This is the scaling factor (Value at Risk(VaR)) applicable, for positions giving rise to interest rate risk.The scaling factor consists of a multiplication factor and a plus factor, as determined in accordance with relevant prudential standards. The multiplication factor is set for each reporting party by APRA, and is subject to a minimum of three. A plus factor may also be required by APRA. This factor relates directly to back-testing results from the most recent 250 trading days prior to the relevant date.Interest rate positions include both on and off-balance sheet exposures which are affected by changes in interest rates. This includes holdings of, or positions in: - debt securities, including non-convertible preference shares and other quasi-debt securities/instruments that behave like debt (convertible bonds are to be included as debt securities if they trade like debt securities, but not if they trade like equities); - forward transactions in foreign exchange, equities and commodities; and - options that are subject to a change in value following a change in interest rates.Back-testing represents the process of comparing the daily trading outcome (profit or loss) with the corresponding VaR number for that day. Financial Risk Market Short Credit Exposures Credit Indices Amount This is the value, as at the relevant date, of the effect on short positions in credit indices exposures, due to movements in the current credit spreads and market prices as specified in the credit spread scenarios. This represents the change in value of these positions given stress testing scenarios applied. All trading book positions which have credit spread risk (including, but not limited to: corporate bonds, floating rate notes, credit derivatives, credit indices, and securitisations) must be included in the credit spread stress test portfolio revaluations. Many products with credit spread risk will have been priced at a spread over a relevant benchmark. Financial Risk Market Short Credit Exposures Derivatives Excluding Credit Indices Amount This is the value, as at the relevant date, of the effect on short positions in derivative exposures, excluding credit indices, due to movements in the current credit spreads and market prices as specified in the credit spread scenarios. This represents the change in value of these positions given stress testing scenarios applied. All trading book positions which have credit spread risk (including, but not limited to: corporate bonds, floating rate notes, credit derivatives, credit indices, and securitisations) must be included in the credit spread stress test portfolio revaluations. Many products with credit spread risk will have been priced at a spread over a relevant benchmark. Financial Risk Market Short Credit Exposures Physicals Amount This is the value, as at the relevant date, of the effect on short positions in physical (or non-derivative) exposures, due to movements in the current credit spreads and market prices as specified in the credit spread scenarios. This represents the change in value of these positions given stress testing scenarios applied. All trading book positions which have credit spread risk (including, but not limited to: corporate bonds, floating rate notes, credit derivatives, credit indices, and securitisations) must be included in the credit spread stress test portfolio revaluations. Many products with credit spread risk will have been priced at a spread over a relevant benchmark. Financial Risk Market Stressed VaR Amount This is the value, as at the relevant date, of the Stressed Value at Risk (VaR) that would be generated if the market factors with the greatest influence on trading losses were experiencing a period of stress. Stressed VaR, like VaR is a technique used to estimate the likelihood of losses in a portfolio based on analysis of historical price movements and volatilities, over a specified observation period. For the stressed VaR however, the model inputs are calibrated to historical data from a one year observation period of significant market stress relevant to the portfolio being simulated. Financial Risk Market Stressed VaR Capital Charge Amount This is the value, calculated as at the relevant date, of the Stressed Value at Risk (VaR) method capital requirement, as determined in accordance with relevant prudential standards. The capital requirement is the larger of 'End of Period Stressed VaR' and 'Scaled Average Stressed VaR' across asset classes plus the 'Incremental Default Risk Charge'. Stressed VaR, like VaR is a technique used to estimate the likelihood of losses in a portfolio based on analysis of historical price movements and volatilities, over a specified observation period. For the stressed VaR however, the model inputs are calibrated to historical data from a one year observation period of significant market stress relevant to the portfolio being simulated. Scaled average Stressed VaR represents the average Stressed VaR, calculated over the most recent 60 trading days prior to and including the relevant date, multiplied by the scaling factor applicable. Financial Risk Market Stressed VaR Commodities Positions Amount This is the value, as at the relevant date, of the stressed value at risk (VaR), calculated as at the relevant date, for positions giving rise to commodities risk, as determined in accordance with relevant prudential standards. Commodity positions include both on and off-balance sheet exposures which are affected by changes in commodity prices. This includes holdings of, or positions in: - commodity forwards; - commodity futures; - commodity swaps; and - other applicable commodity instruments (e.g. commodity options). Stressed VaR, like VaR is a technique used to estimate the likelihood of losses in a portfolio based on analysis of historical price movements and volatilities, over a specified observation period. For the stressed VaR however, the model inputs are calibrated to historical data from a one year observation period of significant market stress relevant to the portfolio being simulated. Financial Risk Market Stressed VaR Equity Positions Amount This is the value, as at the relevant date, of the stressed value at risk (VaR) for positions giving rise to equity risk, as determined in accordance with relevant prudential standards. Equity positions include both on and off-balance sheet exposures which are affected by changes in equity price. This includes holdings of, or positions in: - ordinary shares, whether voting or non-voting; - convertible securities that behave like equities; - commitments to buy or sell equity securities; and - any other instruments that exhibit market behaviour similar to equities. Stressed VaR, like VaR is a technique used to estimate the likelihood of losses in a portfolio based on analysis of historical price movements and volatilities, over a specified observation period. For the stressed VaR however, the model inputs are calibrated to historical data from a one year observation period of significant market stress relevant to the portfolio being simulated. Financial Risk Market Stressed VaR Foreign Exchange Positions Amount This is the value, as at the relevant date, of the stressed value at risk (VaR), calculated as at the relevant date, for positions giving rise to foreign exchange risk, as determined in accordance with relevant prudential standards. Foreign exchange positions include on and off-balance sheet exposures which are affected by changes in foreign exchange rates. This includes holdings of, or positions in: (a) the net spot position, i.e. all asset items less all liability items, including accrued interest and other accrued income and accrued expenses, denominated in the currency in question; (b) the net forward position, i.e. all amounts to be received less all amounts to be paid under forward foreign exchange transactions, including currency futures, the principal on currency swaps not included in the spot position, and interest rate transactions such as futures and swaps denominated in a foreign currency; This amount should represent the value of positions at current spot market exchange rates or using net present values; (c) guarantees (and similar instruments) that are certain to be called and likely to be irrecoverable; and (d) any other item representing a profit or loss in foreign currencies. For the purposes of this item: - include unearned but expected future interest and anticipated expenses if the amounts are certain and the reporting party has hedged them; and - exclude structural positions where permitted by the relevant prudential standards. Stressed VaR, like VaR is a technique used to estimate the likelihood of losses in a portfolio based on analysis of historical price movements and volatilities, over a specified observation period. For the stressed VaR however, the model inputs are calibrated to historical data from a one year observation period of significant market stress relevant to the portfolio being simulated. Financial Risk Market Stressed VaR Interest Rate Positions Amount This is the value, as at the relevant date, of the stressed value at risk (VaR) for positions giving rise to interest rate risk, as determined in accordance with relevant prudential standards. Interest rate positions include both on and off-balance sheet exposures which are affected by changes in interest rates. This includes holdings of, or positions in: - debt securities, including non-convertible preference shares and other quasi-debt securities/instruments that behave like debt (convertible bonds are to be included as debt securities if they trade like debt securities, but not if they trade like equities); - forward transactions in foreign exchange, equities and commodities; and - options that are subject to a change in value following a change in interest rates. Stressed VaR, like VaR is a technique used to estimate the likelihood of losses in a portfolio based on analysis of historical price movements and volatilities, over a specified observation period. For the stressed VaR however, the model inputs are calibrated to historical data from a one year observation period of significant market stress relevant to the portfolio being simulated.