Document ID: chunk:federal_register_of_legislation:F2019L01196:body:0:p6
Version: federal_register_of_legislation:F2019L01196
Segment Type: other
Provision Reference: 
Character Range: 13496–16388

alphabetic ISO code[3] of each material currency[4] in which    an ADI has exposures from the dropdown list.  Where an ADI has exposures in currencies that do not meet the definition of material currency (i.e. immaterial currencies), these exposures may be grouped into one or more composites of currencies, based on the interest rate characteristics of the group of currencies (refer to Attachment B to APS 117).  To report such composites of currencies, select "OTH" (for "other") from the dropdown list and refer to column 2 description for composites of immaterial currencies below for further details.

Column 2. Description for composites of immaterial currencies

Where an ADI has selected "OTH" for a composite of immaterial currencies under column 1 currency, the ADI must provide a self-explanatory description for the composite (e.g. "Eastern Europe", "South-East Asia", "Pacific Islands").  This field is limited to 80 characters.

Column 3. 200 basis point parallel increase (excluding earnings offset)

Report the impact of a 200 basis point parallel increase in the yield curve of each relevant currency on the EVBB, without taking into account the earnings offset.

Column 4. 200 basis point parallel decrease (excluding earnings offset)

Report the impact of a 200 basis point parallel decrease in the yield curve of each relevant currency on the EVBB, without taking into account the earnings offset.

Column 5. 200 basis point parallel increase (including earnings offset)

Report the impact of a 200 basis point parallel increase in the yield curve of each relevant currency on the EVBB, after taking into account the earnings offset.

Column 6. 200 basis point parallel decrease (including earnings offset)

Report the impact of a 200 basis point parallel decrease in the yield curve of each relevant currency on the EVBB, after taking into account the earnings offset.

Total

Derived fields that sum up the impact of a 200 basis point increase and decrease, excluding and including earnings offset, in the yield curves across all the currencies on the EVBB.

Section B: IRRBB capital requirement

The IRRBB capital requirement of an ADI is to be calculated in accordance with the requirements set out in APS 117.

Internal model

Table 1. Breakdown of IRRBB capital requirement

This table captures the breakdown of the IRRBB capital requirement into repricing and yield curve risks, basis risk, optionality risk, diversification benefit amount (between risks) and embedded loss/gain amount, as calculated by an ADI's internal model.  Results for each currency are to be reported in a separate row.

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