ARF_117_1: Interest rate risk in the banking book

Australian Business Number	Institution Name

Reporting Period	Scale Factor
Quarterly	Millions to one decimal place
Reporting Consolidation
Level 1 / Level 2

Section A: Impact of standard interest rate shock on economic value of the banking book

Currency	Description for composites of immaterial currencies	200 basis point parallel increase (excluding earnings offset)	200 basis point parallel decrease (excluding earnings offset)	200 basis point parallel increase (including earnings offset)	200 basis point parallel decrease (including earnings offset)
(1)	(2)	(3)	(4)	(5)	(6)
CS14870	CS14895	CS14871	CS14873	CS18350	CS18377
Currency code

		200 basis point parallel increase (excluding earnings offset)	200 basis point parallel decrease (excluding earnings offset)	200 basis point parallel increase (including earnings offset)	200 basis point parallel decrease (including earnings offset)
		(2)	(3)	(4)	(5)
Total		CS14872	CS14874	CS18378	CS18379

Section B: IRRBB capital requirement

1. Internal model

Table 1. Breakdown of IRRBB capital requirement

Currency	Description for composites of immaterial currencies	Repricing and yield curve risks	Basis risk	Optionality risk	Diversification benefit amount (between risks)	Embedded loss/gain amount	Total
(1)	(2)	(3)	(4)	(5)	(6)	(7)	(8)
CS14875	CS14896	CS14876	CS14879	CS14882	CS14885	CS14888	CS14890
Currency code

Table 2. Diversification benefit amount (between currencies) and total IRRBB capital requirement

	Repricing and yield curve risks	Basis risk	Optionality risk	Diversification benefit amount (between risks)	Embedded loss/gain amount	Total
	(2)	(3)	(4)	(5)	(6)	(7)
Diversification benefit amount (between currencies)	CS14877	CS14880	CS14883	CS14886		CS14891
Total IRRBB capital requirement	CS14878	CS14881	CS14884	CS14887	CS14889	CS14892
RWA equivalent amount of the IRRBB capital requirement						CS14893

2. Alternative approach specified by APRA

RWA equivalent amount of the IRRBB capital requirement						CS14894