Document ID: chunk:federal_register_of_legislation:F2019L01196:body:0:p7
Version: federal_register_of_legislation:F2019L01196
Segment Type: other
Provision Reference: 
Character Range: 16136–19049

Column 1. Currency

Refer to section A, column 1 of this instruction guide for the instructions on currency.

Column 2. Description for composites of immaterial currencies

Refer to section A, column 2 of this instruction guide for the instructions on description for composites of immaterial currencies.

Column 3. Repricing and yield curve risks

Report the IRRBB capital requirement for repricing and yield curve risks for each relevant currency (refer to paragraphs 11 to 18 of Attachment B to APS 117).

Column 4. Basis risk

Except where an ADI has written approval from APRA to exclude basis risk from its IRRBB capital requirement (refer to paragraphs 24 to 26 of APS 117), the ADI is to report the capital requirement for basis risk for each relevant currency (refer to Attachment B to APS 117).

Column 5. Optionality risk

Except where an ADI has written approval from APRA to exclude optionality risk from its IRRBB capital requirement (refer to paragraphs 24 to 26 of APS 117), the ADI is to report the capital requirement for optionality risk for each relevant currency (refer to Attachment B to APS 117).

Column 6. Diversification benefit amount (between risks)

Report the amount resulting from assumed diversification benefits between repricing and yield curve risks, basis risk and optionality risk for each relevant currency (refer to Attachment B to APS 117).

Column 7. Embedded loss/gain amount

Report the embedded loss amount as a positive amount or the embedded gain amount as a negative amount, for each relevant currency (refer to paragraph 28 of APS 117 and paragraph 24 of Attachment B to APS 117).

Column 8. Total

Derived field that is the IRRBB capital requirement for each relevant currency. This calculation is the result of deducting the reported diversification benefit amount (between risks, as reported in Column 6), from the sum of the other components of the IRRBB capital requirement (repricing and yield curve risks, basis risk, optionality risk and embedded loss/gain amount, as reported in Columns 3, 4, 5 and 7) for the relevant currency.

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

This table captures the diversification benefit amount (between currencies) and an ADI's total IRRBB capital requirement.

Diversification benefit amount (between currencies)

Report the amount resulting from the assumed diversification benefit between currencies for the repricing and yield curve risks, basis risk, optionality risk and diversification benefit (between risks).  For the calculation of the total IRRBB capital requirement, the reported diversification benefit amount (between currencies) will be deducted from the sum of the capital requirement across currencies.

Total IRRBB capital requirement

Row of derived fields, each of which is the sum of all the items in the corresponding column of Table