ARF_117_1: Interest rate risk in the banking book
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Australian Business Number
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Institution Name
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Reporting Period
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Scale Factor
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Quarterly
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Millions to one decimal place
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Reporting Consolidation
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Level 1 / Level 2
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Section A: Impact of standard interest rate shock on economic value of
the banking book
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Currency
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Description for composites of immaterial currencies
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200 basis point parallel increase
(excluding earnings offset)
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200 basis point parallel decrease (excluding earnings offset)
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200 basis point parallel increase
(including earnings offset)
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200 basis point parallel decrease (including earnings offset)
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(1)
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(2)
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(3)
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(4)
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(5)
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(6)
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Currency code
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200 basis point parallel increase
(excluding earnings offset)
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200 basis point parallel decrease (excluding earnings offset)
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200 basis point parallel increase
(including earnings offset)
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200 basis point parallel decrease (including earnings offset)
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(2)
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(3)
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(4)
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(5)
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Total
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Section B: IRRBB capital requirement
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1. Internal model
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Table 1. Breakdown of IRRBB capital requirement
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Currency
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Description for composites of immaterial currencies
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Repricing and yield curve risks
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Basis risk
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Optionality risk
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Diversification benefit amount (between risks)
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Embedded loss/gain amount
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Total
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(1)
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(2)
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(3)
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(4)
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(5)
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(6)
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(7)
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(8)
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Currency code
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Table 2. Diversification benefit amount (between currencies) and total
IRRBB capital requirement
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Repricing and yield curve risks
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Basis risk
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Optionality risk
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Diversification benefit amount (between risks)
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Embedded loss/gain amount
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Total
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(2)
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(3)
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(4)
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(5)
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(6)
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(7)
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Diversification benefit amount (between currencies)
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Total IRRBB capital requirement
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RWA equivalent amount of the IRRBB capital requirement
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2. Alternative approach specified by APRA
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RWA equivalent amount of the IRRBB capital requirement
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