Document ID: chunk:federal_register_of_legislation:F2019L01196:body:0:p4
Version: federal_register_of_legislation:F2019L01196
Segment Type: other
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Character Range: 8120–11147

Regulation Authority Act 1998.

    authorised NOHC has the meaning given in the Banking Act 1959.

    immediate parent NOHC means an authorised NOHC, or a subsidiary of an authorised NOHC, that is an immediate parent NOHC within the meaning of paragraph 21(b) of Prudential Standard APS 110 Capital Adequacy (APS 110).

    Level 1 has the meaning in Prudential Standard APS 001 Definitions (APS 001).

    Level 2 has the meaning in APS 001.

    reporting period means a period mentioned in paragraph 8 or, if applicable, the period on a notice given under paragraph 9.

    subsidiary has the meaning in the Corporations Act 2001.

Reporting Form ARF 117.1

Interest Rate Risk in the Banking Book (IRRBB)

Instruction Guide

This instruction guide is designed to assist in the completion of the Interest Rate Risk in the Banking Book (IRRBB) form.  This form captures the capital requirement for interest rate risk in the banking book.  In completing this form, authorised deposit-taking institutions (ADIs) should refer to Prudential Standard APS 117 Capital Adequacy: Interest Rate Risk in the Banking Book (Advanced ADIs) (APS 117).

Terms highlighted in bold italics are defined in paragraph 17 of this Reporting Standard.

General directions and notes

Reporting entity

This form is to be completed at Level 1 and Level 2 by each ADI that has APRA's approval or is seeking APRA's approval to use an internal model approach for the calculation of the ADI's IRRBB capital requirement, in accordance with APS 117.

If an ADI is a subsidiary of an authorised non-operating holding company (NOHC), the report at Level 2 is to be provided by the ADI's immediate parent NOHC.[1]

Securitisation deconsolidation principle

Except as otherwise specified in these instructions, the following applies:

     1. Where an ADI (or a member of its Level 2 consolidated group) participates in a securitisation that meets APRA's operational requirements for regulatory capital relief under Prudential Standard APS 120 Securitisation (APS 120):

       (a)          special purpose vehicles (SPVs) holding securitised assets may be treated as non-consolidated independent third parties for regulatory reporting purposes, irrespective of whether the SPVs (or their assets) are consolidated for accounting purposes;

       (b)          the assets, liabilities, revenues and expenses of the relevant SPVs may be excluded from the ADI's reported amounts in APRA's regulatory reporting returns; and

       (c)          the underlying exposures (i.e. the pool) under such a securitisation may be excluded from the calculation of the ADI's regulatory capital (refer to APS 120). However, the ADI must still hold regulatory capital for the securitisation exposures[2] that it retains or acquires, and such exposures are to be reported in Reporting Form ARF 120.1 Securitisation – Regulatory Capital. The risk-weighted assets (RWA) relating to such securitisation exposures must also be reported in Reporting Form