Document ID: chunk:federal_register_of_legislation:F2019L01196:body:0:p8
Version: federal_register_of_legislation:F2019L01196
Segment Type: other
Provision Reference: 
Character Range: 18801–20362

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 1, less the item immediately above it in the 'Diversification benefit amount (between currencies)' row. The item in column 7 of this row is the ADI's total IRRBB Capital Requirement. A floor of zero is applied to that item.

RWA equivalent amount of the IRRBB capital requirement

Derived field calculated by multiplying the total IRRBB capital requirement by a factor of 12.5.

Alternative approach specified by APRA

This section captures the IRRBB capital requirement of an ADI, where APRA has specified in writing, an alternative approach to the calculation of the IRRBB capital requirement (refer to paragraph 13 of APS 117).

RWA equivalent amount of the IRRBB capital requirement

Report the RWA equivalent amount of the IRRBB capital requirement of the ADI, as calculated by the alternative approach specified by APRA.

    [1]  Refer to paragraph 5 of Reporting Standard ARS 117.1 Interest Rate Risk in the Banking Book (IRRBB).
   [2]  Securitisation exposures are defined in accordance with APS 120.
    [3]   As named in the ISO 4217 Currency names and code elements developed by the International Organization for Standardization (ISO) and available at https://www.iso.org/iso-4217-currency-codes.html.
    [4]   'material currency' has the meaning in Prudential Standard APS 001 Definitions.