Financial Sector (Collection of Data) (reporting standard) determination No. 16 of 2025
In ForceCTH
Jurisdiction
Commonwealth
Collection
legislative instrument
Plain English Summary
8/10 complexity
This instrument requires authorised deposit-taking institutions (ADIs) that use — or seek approval to use — APRA’s internal model for interest-rate risk in the banking book to submit detailed quarterly data (ARF 117.1) to APRA, including shock-scenario outputs, capital-charge breakdowns and an eight-year observation series. APRA uses the data for prudential supervision; ADIs (or their immediate parent NOHC at Level 2) must maintain audited systems, meet a 35-day filing deadline and follow the prescribed shock calibrations and reporting templates.
This Reporting Standard prescribes the data that APRA must receive from authorised deposit-taking institutions that either have APRA approval or are seeking approval to use an internal model approach for calculating interest rate risk in the banking book regulatory capital. The instrument both incorporates the Reporting Form ARF 117.1 Interest Rate Risk in the Banking Book and an Instruction Guide, and it is to be read with Prudential Standard APS 117 Capital Adequacy: Interest Rate Risk in the Banking Book (see Objective and Purpose, paras 1-1). The Standard is made under s 13 of the Financial Sector (Collection of Data) Act 2001 (Authority, para 1).
Mechanically, the Standard requires Level 1 and, where applicable, Level 2 submissions (Information required, paras 1-2). If an ADI is a subsidiary of an authorised non-operating holding company (NOHC), the immediate parent NOHC provides the Level 2 return and must comply with almost all parts of the Standard as if it were the ADI (Information required, para 2). The Standard adopts a quarterly default reporting rhythm tied to the ADI’s financial year, with APRA able to increase or reduce reporting frequency by written notice having regard to the ADI’s circumstances and requirements of the RBA or ABS (Reporting periods and due dates, paras 1-2). The default filing deadline is 35 calendar days after the end of each reporting period; APRA may extend that date by written notice (Reporting periods and due dates, paras 11-12).
The form and instructions set out concrete modelling and data requirements. ADIs must report economic value of equity (EVE) impacts and net interest income (NII) outcomes under six prescribed interest-rate shock scenarios that follow BCBS (2016) IRRBB specifications, with currency-specific calibrations (Instruction Guide, Interest rate shock scenarios). ADIs must also provide a detailed breakdown of the IRRBB capital charge across components and three repricing assumptions (Central, Shorter and Longer) and deliver an eight-year set of daily post-shock economic-value observations scaled to a one-year holding period (Instruction Guide, Tables 1-4). The Standard prescribes units (whole AUD) and foreign-exchange conversion per AASB 121 (Units of measurement).
Current sections
Direct links to the current provisions in Financial Sector (Collection of Data) (reporting standard) determination No. 16 of 2025.
This Reporting Standard sets out requirements for the provision of information to APRA relating to an authorised deposit-taking institution’s interest rate risk in the banking book regulatory capital.
It includes Reporting Form ARF 117.1 Interest Rate Risk in the Banking Book and associated instructions (all of which are attached and form part of this Reporting Standard) and should be read in conjunction with Prudential Standard APS 117 Capital Adequacy: Interest Rate Risk in the Banking Book.
Authority
This Reporting Standard is made under section 13 of the Financial Sector (Collection of Data) Act 2001.
Purpose
Information collected in Reporting Form ARF 117.1 Interest Rate Risk in the Banking Book (ARF 117.1) is used by APRA for the purpose of prudential supervision including assessing compliance with capital adequacy standards. It may also be used by the Reserve Bank of Australia (RBA) and the Australian Bureau of Statistics (ABS).
Application
This Reporting Standard applies to an authorised deposit-taking institution (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 interest rate risk in the banking book regulatory capital.
This Reporting Standard may also apply to the immediate parent non-operating holding company (NOHC) of an ADI (refer to paragraph 7).
This Reporting Standard applies for reporting periods ending on or after 1 October 2025.
Information required
An ADI to which this Reporting Standard applies must provide APRA with the information required by this Reporting Standard designated for an ADI at Level 1 for each reporting period.
If an ADI to which this Reporting Standard applies is part of a Level 2 group, the ADI must also provide APRA with the information required by this Reporting Standard designated for an ADI at Level 2 for each reporting period, unless the ADI is a subsidiary of an authorised NOHC. If the ADI is a subsidiary of an authorised NOHC, the ADI’s immediate parent NOHC must provide APRA with the information required by that form for each reporting period. In doing so, the immediate parent NOHC must comply with this Reporting Standard (other than paragraphs 6 and 13) as if it were the relevant ADI.
Method of submission
The information required by this Reporting Standard must be given to APRA:
in electronic format using an electronic method available on APRA’s website; or
by a method notified by APRA prior to submission.
Reporting periods and due dates
Subject to paragraph 10, an ADI to which this Reporting Standard applies must provide the information required by this Reporting Standard in respect of each quarter based on the financial year (within the meaning of the Corporations Act 2001) of the ADI.
APRA may, by notice in writing, vary the reporting periods, or specified reporting periods, for a particular ADI, to require it to provide the information required by this Reporting Standard more frequently, or less frequently, having regard to:
the particular circumstances of the ADI;
the extent to which the information is required for the purposes of the prudential supervision of the ADI; and
the requirements of the RBA or the ABS.
The information required by this Reporting Standard must be provided to APRA within 35 calendar days after the end of the reporting period to which this information relates.
APRA may, by notice in writing, extend the due date by which an ADI must provide the information required by this Reporting Standard, in which case the new due date will be the date specified in the notice of extension.
Note: For the avoidance of doubt, if the due date for a particular reporting period falls on a day other than a usual business day, APRA’s expectation is that an ADI will submit the information required no later than the due date.
Quality control
All information provided by an ADI under this Reporting Standard (except for the information required under paragraph 7) must be the product of systems, processes and controls that have been reviewed and tested by the external auditor of the ADI as set out in Prudential Standard APS 310 Audit and Related Matters. Relevant standards and guidance statements issued by the Auditing and Assurance Standards Board provide information on the scope and nature of the review and testing required from external auditors. This review and testing must be done on an annual basis or more frequently if required by the external auditor to enable the external auditor to form an opinion on the accuracy and reliability of the information provided by an ADI under this Reporting Standard.
All information provided by an ADI under this Reporting Standard must be subject to processes and controls developed by the ADI for the internal review and authorisation of that information. These systems, processes and controls are to assure the completeness and reliability of the information provided.
Authorisation
When an officer of an ADI submits information under this Reporting Standard using a method notified by APRA, it will be necessary for the officer to digitally sign the relevant information using a digital certificate acceptable to APRA.
Variations
APRA may, by written notice to the ADI, vary the reporting requirements of this Reporting Standard in relation to that ADI.
APRA may determine, in writing, that an individual ADI of one class of ADI is to be treated, for the purposes of this Reporting Standard, as though it was an ADI of another class of ADI.
Transition
An ADI must report under the old reporting standard in respect of a transitional reporting period. For these purposes:
old reporting standard means the reporting standard revoked by the determination that makes this Reporting Standard (being the reporting standard that this Reporting Standard replaces); and
transitional reporting period means a reporting period under the old reporting standard:
that ended before 1 October 2025; and
in relation to which the ADI was required, under the old reporting standard, to report by a date on or after the date of revocation of the old reporting standard.
Note: For the avoidance of doubt, if an ADI was required to report under an old reporting standard, and the reporting documents were due before the date of revocation of the old reporting standard, the ADI is still required to provide any overdue reporting documents in accordance with the old reporting standard.
Interpretation
In this Reporting Standard:
AASB has the meaning in section 9 of the Corporations Act 2001.
ADI means an authorised deposit-taking institution within the meaning of the Banking Act 1959.
APRA means the Australian Prudential Regulation Authority established under the Australian Prudential Regulation Authority Act 1998.
APS 001 means Prudential Standard APS 001 Definitions.
authorised NOHC has the meaning given in the Banking Act 1959.
business days means ordinary business days, exclusive of Saturdays, Sundays and public holidays.
due date means the relevant due date under paragraph 11 or, if applicable, the date on a notice of extension given under paragraph 12.
immediate parent NOHC means an authorised NOHC, or a subsidiary of an authorised NOHC, that is an immediate parent NOHC.
Level 1 has the meaning given in APS 001.
Level 2 has the meaning given in APS 001.
reporting period means a period mentioned in paragraph 9 or, if applicable, paragraph 10.
subsidiary has the meaning given in the Corporations Act 2001.
Unless the contrary intention appears, a reference to an Act, Regulation, Prudential Standard, Reporting Standard, Australian Accounting Standard or Auditing Standard is a reference to the instrument as in force or existing from time to time.
Interest Rate Risk in the Banking Book
Interest Rate Risk in the Banking Book
Interest Rate Risk in the Banking Book
Objective of this reporting standard
This Reporting Standard sets out requirements for the provision of information to APRA relating to an authorised deposit-taking institution’s interest rate risk in the banking book regulatory capital.
It includes Reporting Form ARF 117.1 Interest Rate Risk in the Banking Book and associated instructions (all of which are attached and form part of this Reporting Standard) and should be read in conjunction with Prudential Standard APS 117 Capital Adequacy: Interest Rate Risk in the Banking Book.
Authority
This Reporting Standard is made under section 13 of the Financial Sector (Collection of Data) Act 2001.
Purpose
Information collected in Reporting Form ARF 117.1 Interest Rate Risk in the Banking Book (ARF 117.1) is used by APRA for the purpose of prudential supervision including assessing compliance with capital adequacy standards. It may also be used by the Reserve Bank of Australia (RBA) and the Australian Bureau of Statistics (ABS).
Application
This Reporting Standard applies to an authorised deposit-taking institution (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 interest rate risk in the banking book regulatory capital.
This Reporting Standard may also apply to the immediate parent non-operating holding company (NOHC) of an ADI (refer to paragraph 7).
This Reporting Standard applies for reporting periods ending on or after 1 October 2025.
Information required
An ADI to which this Reporting Standard applies must provide APRA with the information required by this Reporting Standard designated for an ADI at Level 1 for each reporting period.
If an ADI to which this Reporting Standard applies is part of a Level 2 group, the ADI must also provide APRA with the information required by this Reporting Standard designated for an ADI at Level 2 for each reporting period, unless the ADI is a subsidiary of an authorised NOHC. If the ADI is a subsidiary of an authorised NOHC, the ADI’s immediate parent NOHC must provide APRA with the information required by that form for each reporting period. In doing so, the immediate parent NOHC must comply with this Reporting Standard (other than paragraphs 6 and 13) as if it were the relevant ADI.
Method of submission
The information required by this Reporting Standard must be given to APRA:
in electronic format using an electronic method available on APRA’s website; or
by a method notified by APRA prior to submission.
Reporting periods and due dates
Subject to paragraph 10, an ADI to which this Reporting Standard applies must provide the information required by this Reporting Standard in respect of each quarter based on the financial year (within the meaning of the Corporations Act 2001) of the ADI.
APRA may, by notice in writing, vary the reporting periods, or specified reporting periods, for a particular ADI, to require it to provide the information required by this Reporting Standard more frequently, or less frequently, having regard to:
the particular circumstances of the ADI;
the extent to which the information is required for the purposes of the prudential supervision of the ADI; and
the requirements of the RBA or the ABS.
The information required by this Reporting Standard must be provided to APRA within 35 calendar days after the end of the reporting period to which this information relates.
APRA may, by notice in writing, extend the due date by which an ADI must provide the information required by this Reporting Standard, in which case the new due date will be the date specified in the notice of extension.
Note: For the avoidance of doubt, if the due date for a particular reporting period falls on a day other than a usual business day, APRA’s expectation is that an ADI will submit the information required no later than the due date.
Quality control
All information provided by an ADI under this Reporting Standard (except for the information required under paragraph 7) must be the product of systems, processes and controls that have been reviewed and tested by the external auditor of the ADI as set out in Prudential Standard APS 310 Audit and Related Matters. Relevant standards and guidance statements issued by the Auditing and Assurance Standards Board provide information on the scope and nature of the review and testing required from external auditors. This review and testing must be done on an annual basis or more frequently if required by the external auditor to enable the external auditor to form an opinion on the accuracy and reliability of the information provided by an ADI under this Reporting Standard.
All information provided by an ADI under this Reporting Standard must be subject to processes and controls developed by the ADI for the internal review and authorisation of that information. These systems, processes and controls are to assure the completeness and reliability of the information provided.
Authorisation
When an officer of an ADI submits information under this Reporting Standard using a method notified by APRA, it will be necessary for the officer to digitally sign the relevant information using a digital certificate acceptable to APRA.
Variations
APRA may, by written notice to the ADI, vary the reporting requirements of this Reporting Standard in relation to that ADI.
APRA may determine, in writing, that an individual ADI of one class of ADI is to be treated, for the purposes of this Reporting Standard, as though it was an ADI of another class of ADI.
Transition
An ADI must report under the old reporting standard in respect of a transitional reporting period. For these purposes:
old reporting standard means the reporting standard revoked by the determination that makes this Reporting Standard (being the reporting standard that this Reporting Standard replaces); and
transitional reporting period means a reporting period under the old reporting standard:
that ended before 1 October 2025; and
in relation to which the ADI was required, under the old reporting standard, to report by a date on or after the date of revocation of the old reporting standard.
Note: For the avoidance of doubt, if an ADI was required to report under an old reporting standard, and the reporting documents were due before the date of revocation of the old reporting standard, the ADI is still required to provide any overdue reporting documents in accordance with the old reporting standard.
Interpretation
In this Reporting Standard:
AASB has the meaning in section 9 of the Corporations Act 2001.
ADI means an authorised deposit-taking institution within the meaning of the Banking Act 1959.
APRA means the Australian Prudential Regulation Authority established under the Australian Prudential Regulation Authority Act 1998.
APS 001 means Prudential Standard APS 001 Definitions.
authorised NOHC has the meaning given in the Banking Act 1959.
business days means ordinary business days, exclusive of Saturdays, Sundays and public holidays.
due date means the relevant due date under paragraph 11 or, if applicable, the date on a notice of extension given under paragraph 12.
immediate parent NOHC means an authorised NOHC, or a subsidiary of an authorised NOHC, that is an immediate parent NOHC.
Level 1 has the meaning given in APS 001.
Level 2 has the meaning given in APS 001.
reporting period means a period mentioned in paragraph 9 or, if applicable, paragraph 10.
subsidiary has the meaning given in the Corporations Act 2001.
Unless the contrary intention appears, a reference to an Act, Regulation, Prudential Standard, Reporting Standard, Australian Accounting Standard or Auditing Standard is a reference to the instrument as in force or existing from time to time.
Objective of this reporting standard
Objective of this reporting standard
Objective of this reporting standard
This Reporting Standard sets out requirements for the provision of information to APRA relating to an authorised deposit-taking institution’s interest rate risk in the banking book regulatory capital.
It includes Reporting Form ARF 117.1 Interest Rate Risk in the Banking Book and associated instructions (all of which are attached and form part of this Reporting Standard) and should be read in conjunction with Prudential Standard APS 117 Capital Adequacy: Interest Rate Risk in the Banking Book.
Authority
Authority
Authority
This Reporting Standard is made under section 13 of the Financial Sector (Collection of Data) Act 2001.
Purpose
Purpose
Purpose
Information collected in Reporting Form ARF 117.1 Interest Rate Risk in the Banking Book (ARF 117.1) is used by APRA for the purpose of prudential supervision including assessing compliance with capital adequacy standards. It may also be used by the Reserve Bank of Australia (RBA) and the Australian Bureau of Statistics (ABS).
Application
Application
Application
This Reporting Standard applies to an authorised deposit-taking institution (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 interest rate risk in the banking book regulatory capital.
This Reporting Standard may also apply to the immediate parent non-operating holding company (NOHC) of an ADI (refer to paragraph 7).
This Reporting Standard applies for reporting periods ending on or after 1 October 2025.
Information required
Information required
Information required
An ADI to which this Reporting Standard applies must provide APRA with the information required by this Reporting Standard designated for an ADI at Level 1 for each reporting period.
If an ADI to which this Reporting Standard applies is part of a Level 2 group, the ADI must also provide APRA with the information required by this Reporting Standard designated for an ADI at Level 2 for each reporting period, unless the ADI is a subsidiary of an authorised NOHC. If the ADI is a subsidiary of an authorised NOHC, the ADI’s immediate parent NOHC must provide APRA with the information required by that form for each reporting period. In doing so, the immediate parent NOHC must comply with this Reporting Standard (other than paragraphs 6 and 13) as if it were the relevant ADI.
Method of submission
Method of submission
Method of submission
The information required by this Reporting Standard must be given to APRA:
in electronic format using an electronic method available on APRA’s website; or
by a method notified by APRA prior to submission.
Reporting periods and due dates
Reporting periods and due dates
Reporting periods and due dates
Subject to paragraph 10, an ADI to which this Reporting Standard applies must provide the information required by this Reporting Standard in respect of each quarter based on the financial year (within the meaning of the Corporations Act 2001) of the ADI.
APRA may, by notice in writing, vary the reporting periods, or specified reporting periods, for a particular ADI, to require it to provide the information required by this Reporting Standard more frequently, or less frequently, having regard to:
the particular circumstances of the ADI;
the extent to which the information is required for the purposes of the prudential supervision of the ADI; and
the requirements of the RBA or the ABS.
The information required by this Reporting Standard must be provided to APRA within 35 calendar days after the end of the reporting period to which this information relates.
APRA may, by notice in writing, extend the due date by which an ADI must provide the information required by this Reporting Standard, in which case the new due date will be the date specified in the notice of extension.
Note: For the avoidance of doubt, if the due date for a particular reporting period falls on a day other than a usual business day, APRA’s expectation is that an ADI will submit the information required no later than the due date.
Quality control
Quality control
Quality control
All information provided by an ADI under this Reporting Standard (except for the information required under paragraph 7) must be the product of systems, processes and controls that have been reviewed and tested by the external auditor of the ADI as set out in Prudential Standard APS 310 Audit and Related Matters. Relevant standards and guidance statements issued by the Auditing and Assurance Standards Board provide information on the scope and nature of the review and testing required from external auditors. This review and testing must be done on an annual basis or more frequently if required by the external auditor to enable the external auditor to form an opinion on the accuracy and reliability of the information provided by an ADI under this Reporting Standard.
All information provided by an ADI under this Reporting Standard must be subject to processes and controls developed by the ADI for the internal review and authorisation of that information. These systems, processes and controls are to assure the completeness and reliability of the information provided.
Authorisation
Authorisation
Authorisation
When an officer of an ADI submits information under this Reporting Standard using a method notified by APRA, it will be necessary for the officer to digitally sign the relevant information using a digital certificate acceptable to APRA.
Variations
Variations
Variations
APRA may, by written notice to the ADI, vary the reporting requirements of this Reporting Standard in relation to that ADI.
APRA may determine, in writing, that an individual ADI of one class of ADI is to be treated, for the purposes of this Reporting Standard, as though it was an ADI of another class of ADI.
Transition
Transition
Transition
An ADI must report under the old reporting standard in respect of a transitional reporting period. For these purposes:
old reporting standard means the reporting standard revoked by the determination that makes this Reporting Standard (being the reporting standard that this Reporting Standard replaces); and
transitional reporting period means a reporting period under the old reporting standard:
that ended before 1 October 2025; and
in relation to which the ADI was required, under the old reporting standard, to report by a date on or after the date of revocation of the old reporting standard.
Note: For the avoidance of doubt, if an ADI was required to report under an old reporting standard, and the reporting documents were due before the date of revocation of the old reporting standard, the ADI is still required to provide any overdue reporting documents in accordance with the old reporting standard.
Interpretation
Interpretation
Interpretation
In this Reporting Standard:
AASB has the meaning in section 9 of the Corporations Act 2001.
ADI means an authorised deposit-taking institution within the meaning of the Banking Act 1959.
APRA means the Australian Prudential Regulation Authority established under the Australian Prudential Regulation Authority Act 1998.
APS 001 means Prudential Standard APS 001 Definitions.
authorised NOHC has the meaning given in the Banking Act 1959.
business days means ordinary business days, exclusive of Saturdays, Sundays and public holidays.
due date means the relevant due date under paragraph 11 or, if applicable, the date on a notice of extension given under paragraph 12.
immediate parent NOHC means an authorised NOHC, or a subsidiary of an authorised NOHC, that is an immediate parent NOHC.
Level 1 has the meaning given in APS 001.
Level 2 has the meaning given in APS 001.
reporting period means a period mentioned in paragraph 9 or, if applicable, paragraph 10.
subsidiary has the meaning given in the Corporations Act 2001.
Unless the contrary intention appears, a reference to an Act, Regulation, Prudential Standard, Reporting Standard, Australian Accounting Standard or Auditing Standard is a reference to the instrument as in force or existing from time to time.
Reporting Form ARF 117.1
Reporting Form ARF 117.1
Reporting Form ARF 117.1
Interest Rate Risk in the Banking Book
Instruction Guide
This instruction guide is designed to assist in the completion of the Interest Rate Risk in the Banking Book form (ARF 117.1). This form captures the calculation of the IRRBB Capital Charge and contains a breakdown of IRRBB capital across banking book items. 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 (APS 117).
Terms highlighted in bold italics are defined in paragraph 19 of this Reporting Standard, Prudential Standard APS 117 or the Definitions in this Instruction Guide.
General directions and notes
Reporting basis
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 charge, in accordance with APS 117.
If an ADI is a subsidiary of an authorised NOHC, the report at Level 2 is to be provided by the ADI’s immediate parent NOHC[1].
Data is to be reported as at the end of the reporting period.
Securitisation deconsolidation principle
Except as otherwise specified in these instructions, the following applies:
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):
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;
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
the underlying exposures (i.e. the pool) under such a securitisation may be excluded from the calculation of regulatory capital (refer to APS 120). However, the ADI must still hold regulatory capital for any securitisation[2] exposure 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 ARS 110.0.
Where an ADI (or a member of its Level 2 consolidated group) participates in a securitisation that does not meet APRA’s operational requirements for regulatory capital relief under APS 120, or the ADI undertakes a funding-only securitisation or synthetic securitisation, such assets are to be reported as on-balance sheet in APRA’s regulatory reporting returns.
Units of measurement
Unless otherwise specified, report all values in whole Australian dollars (AUD), with no decimal place.
Amounts denominated in foreign currency are to be converted to AUD in accordance with AASB 121 The Effects of Changes in Foreign Exchange Rates (AASB 121).
Scope
An ADI is to report in ARF 117.1 the values calculated with reference to all items in the augmented banking book, as defined in APS 117.
Definitions
Augmented banking book
Has the meaning given in APS 117.
Australian State Government or Territory Central Borrowing Authorities Securities
Has the meaning given in Reporting Standard ARS 117.0 Repricing Analysis.
Australian Government Securities (AGS)
Has the meaning given in Reporting Standard ARS 117.0 Repricing Analysis.
Book value
Has the meaning given in APS 117.
Core Deposits
Has the meaning given in APS 117.
Derivatives that are hedging AGS and semis
These are derivatives that are hedging AGS and Australian State Government or Territory Central Borrowing Authorities Securities.
Earnings Offset
Has the meaning given in APS 117.
Economic value (EV)
Has the meaning given in APS 117.
Embedded loss (ELd)
Has the meaning given in APS 117.
IRRBB capital charge
Has the meaning given in APS 117.
Optionality capital charge (OCCd)
Has the meaning given in APS 117.
Other Amount (OAAd)
Has the meaning given in APS 117.
Other market-related derivatives
Market-related derivatives that are not Derivatives that are hedging AGS and semis
Other market-related items
Market-related items that are not AGS, Australian State Government or Territory Central Borrowing Authorities Securities, Derivatives that are hedging AGS and semis or Other market-related derivatives
Other principal and interest (P&I) items
Has the meaning given in APS 117.
Net interest income (NII)
Is the difference between interest revenues and interest expenses. Interest revenues are payments received from interest-bearing assets and interest expenses are the cost of servicing interest payments.
Non-market-related Derivatives
Has the meaning given in APS 117.
Non-maturity deposits
Has the meaning given in APS 117.
Non-principal and interest (P&I) items
Has the meaning given in APS 117.
Prepayment-exposed loans
A loan that has prepayments made in advance of an official due date. Prepayment is the early repayment of a loan by a borrower (in part or in full).
Post-shock EV
Has the meaning given in APS 117.
Pre-shock EV
Has the meaning given in APS 117.
Prospective IRRBB capital charge
Has the meaning given in APS 117.
Prospective IRRBB capital charge – month end 1 (ICCd1)
Has the meaning given in APS 117.
Prospective IRRBB capital charge – month end 1 (ICCd2)
Has the meaning given in APS 117.
Prospective IRRBB capital charge – month end 1 (ICCd3)
Has the meaning given in APS 117.
Rate locks
Has the meaning given in APS 117.
Repricing Assumptions – Central, Shorter and Longer
Has the meaning given in APS 117.
Instruction Guide
Instruction Guide
Instruction Guide
This instruction guide is designed to assist in the completion of the Interest Rate Risk in the Banking Book form (ARF 117.1). This form captures the calculation of the IRRBB Capital Charge and contains a breakdown of IRRBB capital across banking book items. 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 (APS 117).
Terms highlighted in bold italics are defined in paragraph 19 of this Reporting Standard, Prudential Standard APS 117 or the Definitions in this Instruction Guide.
General directions and notes
General directions and notes
Reporting Form ARF 117.1
Interest Rate Risk in the Banking Book
Instruction Guide
This instruction guide is designed to assist in the completion of the Interest Rate Risk in the Banking Book form (ARF 117.1). This form captures the calculation of the IRRBB Capital Charge and contains a breakdown of IRRBB capital across banking book items. 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 (APS 117).
Terms highlighted in bold italics are defined in paragraph 19 of this Reporting Standard, Prudential Standard APS 117 or the Definitions in this Instruction Guide.
General directions and notes
Reporting basis
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 charge, in accordance with APS 117.
If an ADI is a subsidiary of an authorised NOHC, the report at Level 2 is to be provided by the ADI’s immediate parent NOHC[1].
Data is to be reported as at the end of the reporting period.
Securitisation deconsolidation principle
Except as otherwise specified in these instructions, the following applies:
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):
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;
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
the underlying exposures (i.e. the pool) under such a securitisation may be excluded from the calculation of regulatory capital (refer to APS 120). However, the ADI must still hold regulatory capital for any securitisation[2] exposure 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 ARS 110.0.
Where an ADI (or a member of its Level 2 consolidated group) participates in a securitisation that does not meet APRA’s operational requirements for regulatory capital relief under APS 120, or the ADI undertakes a funding-only securitisation or synthetic securitisation, such assets are to be reported as on-balance sheet in APRA’s regulatory reporting returns.
Units of measurement
Unless otherwise specified, report all values in whole Australian dollars (AUD), with no decimal place.
Amounts denominated in foreign currency are to be converted to AUD in accordance with AASB 121 The Effects of Changes in Foreign Exchange Rates (AASB 121).
Scope
An ADI is to report in ARF 117.1 the values calculated with reference to all items in the augmented banking book, as defined in APS 117.
Definitions
Augmented banking book
Has the meaning given in APS 117.
Australian State Government or Territory Central Borrowing Authorities Securities
Has the meaning given in Reporting Standard ARS 117.0 Repricing Analysis.
Australian Government Securities (AGS)
Has the meaning given in Reporting Standard ARS 117.0 Repricing Analysis.
Book value
Has the meaning given in APS 117.
Core Deposits
Has the meaning given in APS 117.
Derivatives that are hedging AGS and semis
These are derivatives that are hedging AGS and Australian State Government or Territory Central Borrowing Authorities Securities.
Earnings Offset
Has the meaning given in APS 117.
Economic value (EV)
Has the meaning given in APS 117.
Embedded loss (ELd)
Has the meaning given in APS 117.
IRRBB capital charge
Has the meaning given in APS 117.
Optionality capital charge (OCCd)
Has the meaning given in APS 117.
Other Amount (OAAd)
Has the meaning given in APS 117.
Other market-related derivatives
Market-related derivatives that are not Derivatives that are hedging AGS and semis
Other market-related items
Market-related items that are not AGS, Australian State Government or Territory Central Borrowing Authorities Securities, Derivatives that are hedging AGS and semis or Other market-related derivatives
Other principal and interest (P&I) items
Has the meaning given in APS 117.
Net interest income (NII)
Is the difference between interest revenues and interest expenses. Interest revenues are payments received from interest-bearing assets and interest expenses are the cost of servicing interest payments.
Non-market-related Derivatives
Has the meaning given in APS 117.
Non-maturity deposits
Has the meaning given in APS 117.
Non-principal and interest (P&I) items
Has the meaning given in APS 117.
Prepayment-exposed loans
A loan that has prepayments made in advance of an official due date. Prepayment is the early repayment of a loan by a borrower (in part or in full).
Post-shock EV
Has the meaning given in APS 117.
Pre-shock EV
Has the meaning given in APS 117.
Prospective IRRBB capital charge
Has the meaning given in APS 117.
Prospective IRRBB capital charge – month end 1 (ICCd1)
Has the meaning given in APS 117.
Prospective IRRBB capital charge – month end 1 (ICCd2)
Has the meaning given in APS 117.
Prospective IRRBB capital charge – month end 1 (ICCd3)
Has the meaning given in APS 117.
Rate locks
Has the meaning given in APS 117.
Repricing Assumptions – Central, Shorter and Longer
Has the meaning given in APS 117.
Reporting basis
Reporting basis
Reporting basis
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 charge, in accordance with APS 117.
If an ADI is a subsidiary of an authorised NOHC, the report at Level 2 is to be provided by the ADI’s immediate parent NOHC[1].
Data is to be reported as at the end of the reporting period.
Securitisation deconsolidation principle
Securitisation deconsolidation principle
Securitisation deconsolidation principle
Except as otherwise specified in these instructions, the following applies:
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):
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;
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
the underlying exposures (i.e. the pool) under such a securitisation may be excluded from the calculation of regulatory capital (refer to APS 120). However, the ADI must still hold regulatory capital for any securitisation[2] exposure 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 ARS 110.0.
Where an ADI (or a member of its Level 2 consolidated group) participates in a securitisation that does not meet APRA’s operational requirements for regulatory capital relief under APS 120, or the ADI undertakes a funding-only securitisation or synthetic securitisation, such assets are to be reported as on-balance sheet in APRA’s regulatory reporting returns.
Units of measurement
Units of measurement
Units of measurement
Unless otherwise specified, report all values in whole Australian dollars (AUD), with no decimal place.
Amounts denominated in foreign currency are to be converted to AUD in accordance with AASB 121 The Effects of Changes in Foreign Exchange Rates (AASB 121).
Scope
Scope
Scope
An ADI is to report in ARF 117.1 the values calculated with reference to all items in the augmented banking book, as defined in APS 117.
Definitions
Definitions
Definitions
Augmented banking book
Has the meaning given in APS 117.
Australian State Government or Territory Central Borrowing Authorities Securities
Has the meaning given in Reporting Standard ARS 117.0 Repricing Analysis.
Australian Government Securities (AGS)
Has the meaning given in Reporting Standard ARS 117.0 Repricing Analysis.
Book value
Has the meaning given in APS 117.
Core Deposits
Has the meaning given in APS 117.
Derivatives that are hedging AGS and semis
These are derivatives that are hedging AGS and Australian State Government or Territory Central Borrowing Authorities Securities.
Earnings Offset
Has the meaning given in APS 117.
Economic value (EV)
Has the meaning given in APS 117.
Embedded loss (ELd)
Has the meaning given in APS 117.
IRRBB capital charge
Has the meaning given in APS 117.
Optionality capital charge (OCCd)
Has the meaning given in APS 117.
Other Amount (OAAd)
Has the meaning given in APS 117.
Other market-related derivatives
Market-related derivatives that are not Derivatives that are hedging AGS and semis
Other market-related items
Market-related items that are not AGS, Australian State Government or Territory Central Borrowing Authorities Securities, Derivatives that are hedging AGS and semis or Other market-related derivatives
Other principal and interest (P&I) items
Has the meaning given in APS 117.
Net interest income (NII)
Is the difference between interest revenues and interest expenses. Interest revenues are payments received from interest-bearing assets and interest expenses are the cost of servicing interest payments.
Non-market-related Derivatives
Has the meaning given in APS 117.
Non-maturity deposits
Has the meaning given in APS 117.
Non-principal and interest (P&I) items
Has the meaning given in APS 117.
Prepayment-exposed loans
A loan that has prepayments made in advance of an official due date. Prepayment is the early repayment of a loan by a borrower (in part or in full).
Post-shock EV
Has the meaning given in APS 117.
Pre-shock EV
Has the meaning given in APS 117.
Prospective IRRBB capital charge
Has the meaning given in APS 117.
Prospective IRRBB capital charge – month end 1 (ICCd1)
Has the meaning given in APS 117.
Prospective IRRBB capital charge – month end 1 (ICCd2)
Has the meaning given in APS 117.
Prospective IRRBB capital charge – month end 1 (ICCd3)
Has the meaning given in APS 117.
Rate locks
Has the meaning given in APS 117.
Repricing Assumptions – Central, Shorter and Longer
Has the meaning given in APS 117.
Specific instructions
Specific instructions
Specific instructions
Interest rate shock scenarios
The six prescribed interest rate shocks scenarios are defined in Basel Committee on Banking Supervision (BCBS) (2016) Interest Rate Risk in the Banking Book[3]. These include:
Parallel shock up;
Parallel shock down;
Steepener shock (short rates down and long rates up);
Flattener shock (short rates up and long rates down);
For New-Zealand dollar exposures (NZD), ADIs are to use the same calibration as AUD.
For each currency, the following parameterisations of the six interest rate shock scenarios are to be applied:
Parallel shock for currency : a constant parallel shock up or down across all time buckets.
Rotational shocks for currency View image in the official source: rotational shocks to the term structure (i.e. steepener and flattener shocks) of the interest rates whereby both the long and short rates are shocked and the shift in interest rates at each tenor midpoint is obtained by:
The six prescribed interest rate shocks scenarios are defined in Basel Committee on Banking Supervision (BCBS) (2016) Interest Rate Risk in the Banking Book[3]. These include:
Parallel shock up;
Parallel shock down;
Steepener shock (short rates down and long rates up);
Flattener shock (short rates up and long rates down);
For New-Zealand dollar exposures (NZD), ADIs are to use the same calibration as AUD.
For each currency, the following parameterisations of the six interest rate shock scenarios are to be applied:
Parallel shock for currency : a constant parallel shock up or down across all time buckets.
Rotational shocks for currency View image in the official source: rotational shocks to the term structure (i.e. steepener and flattener shocks) of the interest rates whereby both the long and short rates are shocked and the shift in interest rates at each tenor midpoint is obtained by:
Table 1.1 captures the material currency code(s), reported in Table 1.2, into which any immaterial currencies have been combined.
Table 1.2: Interest rate shock scenarios on economic value of the banking book and net interest income
Table 1.2 captures the impact of six interest rate shock scenarios on an ADI’s economic value of equity (EVE) and net interest income (NII) across reported currencies. ADIs are required to report values separately when ‘including’ and ‘excluding’ the earnings offset.
Data fields required to be reported are listed below. They are shown sequentially in the column order that they will appear in the reported data set. Each row of the table must be a unique combination of Currency, Interest Rate shock scenario, and Earnings Offset (columns 1-3). Constraints on the data that can be reported for each field have also been provided.
Name
Valid values
Description
1
Currency
Applicable three-letter currency code
Report the currency to which the exposure relates.Currency codes are the three-letter currency code as assigned by the ISO 4217 Maintenance Agency to a currency defined under the International Organization for Standardization’s International Standard ISO 4217:2015.Where an ADI has exposures in currencies that do not meet the definition of a material currency (i.e. immaterial currencies), these exposures may be combined into one or more groups of currencies, based on the interest rate characteristics of the group of currencies. ADI’s are to indicate into which material currency the group of immaterial currencies have been combined in Table 1.1.A material currency is a currency for which the total book value of an ADI’s banking book items in that currency is more than five per cent of the total book value of all of its banking book items. In determining whether a currency is material, the effect of currency hedges that reduce foreign currency exposure may be taken into account, provided these hedges are in a hedge effective relationship.
Report the six interest rate shock scenarios as specified by BCBS IRRBB standards in 2016.The Baseline is the base case scenario, which does not have any interest rate shock applied.
3
Earnings Offset
IncludedExcluded
Report whether the values are ‘including’ or ‘excluding’ the earnings offset.
4
Impact on EVE
Whole dollars
Report the impact of the six interest rate shock scenarios on EVE. ADIs are not required to report the Baseline EVE.The impact of interest rate shock scenarios on EVE is calculated by comparing EVE for a baseline interest rate scenario with the outcome for a scenario where interest rates are shocked.
5
Value of NII
Whole dollars
Report the value of NII across each of the interest rate shock scenarios.
Table 2: Breakdown of the IRRBB Capital Charge
Table 2 captures an ADI’s IRRBB capital charge calculation. ADIs are to report a breakdown of the IRRBB capital charge across IRRBB components and repricing assumptions, as detailed within APS 117.
When determining the IRRBB capital charge, an ADI must calculate its prospective IRRBB capital charge at the calculation date and the latest three months.
For example, when calculating the IRRBB capital charge for the June quarter, the calculation date View image in the official source is June-end, and the latest three-month ends would correspond to April-end (d1), May-end (d2) and June-end (d3). For this purpose, the prospective IRRBB capital charge at the calculation date, ICCd, corresponds to and must be equal to the prospective IRRBB capital charge at the latest month-end, ICCd3, where d and d3 correspond to the same date.
Data fields required to be reported are listed below.
Report the Prospective IRRBB capital charge - month end 1 (ICCd1) for each of the Repricing Assumptions – Central, Shorter and Longer.
Item 2
Report the Prospective IRRBB capital charge - month end 2 (ICCd2) for each of the Repricing Assumptions – Central, Shorter and Longer.
Item 3
Report the Prospective IRRBB capital charge – month end 3 (ICCd3) for each of the Repricing Assumptions – Central, Shorter and Longer.
Item 4
Report the Embedded Loss (ELd) for each of the Repricing Assumptions – Central, Shorter and Longer.Report the embedded loss as a positive amount and embedded gain as a negative amount.Report the same Embedded Loss (ELd) value for Columns 1, 2 and 3.
Item 5
Report the Optionality capital charge (OCCd) for each of the Repricing Assumptions – Central, Shorter and Longer.
Item 6
Report the Other Amount (OAAd) for each of the Repricing Assumptions – Central, Shorter and Longer.
Item 7
The IRRBB capital charge across each Repricing Assumption is a derived field in this table and is calculated using values entered in Items 1 – 6 of this table.For a given repricing assumption (R), the IRRBB capital charge is the maximum of zero and:Where The central, shorter and longer repricing assumptions are defined as per APS 117.
Item 8
The Total IRRBB Capital charge is a derived item in this table and is calculated as:
Table 3: Augmented Banking Book - Pre-Shock EV and Embedded loss
Table 3 captures the pre-shock economic value, book value and embedded loss of an ADI’s banking book items in the augmented banking book.
Column 1
Pre-Shock EV
Report the pre-shock economic value of each listed Banking Book item.Pre-Shock EV is to be calculated as per the methodology in APS 117, consistent with a one-year holding period.
Column 2
Book Value
Report the Book Value of each listed Banking Book item.
Column 3
Embedded Loss
This is a derived field in this table and will be automatically calculated as:
Banking Book Items
Items 1-13
Report the values in columns 1 and 2 for the banking book items as below:Earnings OffsetAustralian Government SecuritiesAustralian State Government or Territory Central Borrowing Authorities SecuritiesDerivatives that are hedging AGS and semisOther market-related DerivativesOther market-related itemsNon-principal and interest (P&I) itemsNon-maturity depositsNon-market-related DerivativesOther P&I itemsRate locksPrepayment-exposed loansCore Deposits
Table 4 captures daily post-shock economic values across banking book items within the eight-year observation period defined in APS 117.
For each of the observations within the eight-year observation period, ADIs are required to report the observation period start and end dates and post-shock economic values across a breakdown of items within the augmented banking book and across different repricing assumptions.
Data fields required to be reported are listed below. They are shown sequentially in the column order that they will appear in the reported data set. Each row of the table must be a unique combination of Start Date, End Date, Repricing Assumptions, and Banking Book item (columns 1-4). Constraints on the data that can be reported for each field have also been provided.
Name
Valid values
Description
1
Start date
Date values (dd/mm/yyyy)
Report the first observation date in the respective ten-business day holding period shock within the eight-year observation period, as defined in APS 117.Observation dates are to be entered using DD/MM/YYYY format.
2
End date
Date values (dd/mm/yyyy)
Report the last observation date in the respective ten-business day holding period shock within the eight-year observation period, as defined in APS 117.Observation dates are to be entered using DD/MM/YYYY format.
3
Repricing Assumptions
CentralShorterLonger
Report the repricing assumption used. The central, shorter and longer repricing assumptions are defined as per APS 117.
4
Banking Book item
Earnings OffsetAustralian Government SecuritiesAustralian State Government or Territory Central Borrowing Authorities SecuritiesDerivatives that are hedging AGS and semisOther market-related DerivativesOther market-related itemsNon-principal and interest (P&I) itemsNon-maturity depositsNon-market-related DerivativesOther P&I itemsRate locksPrepayment-exposed loansCore Deposits
Report the banking book item to which the post-shock economic value relates.
5
Post-Shock EV
Whole dollars
Report the post-shock economic value of each listed Banking Book item.The Post-Shock EV is to be calculated as per the methodology in APS 117. The ten-business day shock scenarios are to be scaled up to one-year holding period equivalents, consistent with APS 117.
Table 5: Breakdown of the IRRBB component – Other Amount (OAAd), Capital Overlays
Table 5 captures a breakdown of the Other Amount (OAAd) IRRBB capital component, which includes a split across an ADI’s APRA-imposed and bank-applied overlays within the reporting period.
Data fields required to be reported are listed below. They are shown sequentially in the column order that they will appear in the reported data set. Constraints on the data that can be reported for each field have also been provided.
Name
Valid values
Description
1
Type
APRA-imposedBank-applied
Report the type of capital overlay.‘APRA-imposed’ capital overlay means an overlay that APRA has imposed to an ADI’s internal model. This can occur, although is not limited to, when APRA considers the ADI is not appropriately capitalising, measuring, monitoring or controlling its level of IRRBB risk, in addition to gaps in an ADI’s model governance framework.‘Bank-applied’ capital overlay means an overlay that an ADI has imposed proactively through its own internal monitoring. These overlays are not subject to APRA approval.
2
Start date
Date values (dd/mm/yyyy)
Report the start date when the capital overlay was implemented by the ADI, for the purposes of the IRRBB capital calculation.Dates of implementation are to be entered using DD/MM/YYYY format.
3
Style
FixedVariable
Report the style of capital overlay.‘Fixed’ capital overlay means that the capital overlay is a fixed amount that does not change in size quarter-to-quarter. ‘Variable’ capital overlay means that the capital overlay does change in size quarter-to-quarter.
4
Name
Free text
Report the name of the capital overlay.Maximum character length string is 100 characters.
5
Description
Free text
Report the description of the capital overlay.Maximum character length string is 400 characters.
6
Value
Whole dollars
Report the value of the capital overlay.The value of the capital overlay is to be undiversified with the other components within the IRRBB calculation, including the Prospective IRRBB capital charge - month end 1 (ICCd1), Prospective IRRBB capital charge - month end 2 (ICCd2), Prospective IRRBB capital charge - month end 3 (ICCd3), Embedded loss (ELd) and Optionality capital charge (OCCd) components.
7
Status
NewActiveRevoked
Report the status of the capital overlay.A ‘New’ status means that the capital overlay was imposed within the reporting period. An ‘Active’ status means that the capital overlay was in effect during the reporting period although did not come into effect within the reporting period. A ‘Revoked’ status means that the capital overlay is no-longer in effect and has been ceased within the IRRBB capital calculation.If a capital overlay has a ‘New’ status within a given reporting period and is in effect in the subsequent reporting period, then the overlay would be reported as ‘Active’ in the subsequent reporting period.
8
Date revoked
Date values (dd/mm/yyyy)
Report the date the capital overlay was revoked by the ADI, for the purposes of the IRRBB capital calculation. This date must be within the reporting period.This field is only required to be completed if the status is ‘Revoked’. ADI’s are to leave this field blank for ‘New’ and ‘Active’ overlays.If the capital overlay has been revoked within a given reporting period, the ADI is not required to report the capital overlay in subsequent reporting periods.Dates of revocation are to be entered using DD/MM/YYYY format.
Table 6: IRRBB model changes
Table 6 captures an ADI’s list of model changes within a given reporting period. This encompasses all model changes that were implemented by the ADI within a given reporting period and is not limited to model changes that required APRA-approval.
Data fields required to be reported are listed below. They are shown sequentially in the column order that they will appear in the reported data set. Constraints on the data that can be reported for each field have also been provided.
Name
Valid values
Description
1
Start date
Date values (dd/mm/yyyy)
Report the start date when the model change was implemented by the ADI and incorporated in the IRRBB capital calculation.Dates of change are to be entered using DD/MM/YYYY format.
2
Description
Free text
Report the description of the model change.Maximum character length string is 400 characters.
3
Value
Whole dollars
Report the value of the model change capital impact.
4
Quantitatively material
YesNo
Report whether the model change is quantitatively material, based on the ADI’s assessment of materiality.
5
Qualitatively material
YesNo
Report whether the model change is qualitatively material, based on the ADI’s assessment of materiality.
6
APRA approval
YesNo
Report whether the model change was approved by APRA prior to being implemented by the ADI.
Table 1.1: Immaterial currencies
Table 1.1: Immaterial currencies
Table 1.1: Immaterial currencies
Table 1.1 captures the material currency code(s), reported in Table 1.2, into which any immaterial currencies have been combined.
Table 1.2: Interest rate shock scenarios
Table 1.2: Interest rate shock scenarios on economic value of the banking book and net interest income
Table 1.2: Interest rate shock scenarios on economic value of the banking book and net interest income
Table 1.2 captures the impact of six interest rate shock scenarios on an ADI’s economic value of equity (EVE) and net interest income (NII) across reported currencies. ADIs are required to report values separately when ‘including’ and ‘excluding’ the earnings offset.
Data fields required to be reported are listed below. They are shown sequentially in the column order that they will appear in the reported data set. Each row of the table must be a unique combination of Currency, Interest Rate shock scenario, and Earnings Offset (columns 1-3). Constraints on the data that can be reported for each field have also been provided.
Name
Valid values
Description
1
Currency
Applicable three-letter currency code
Report the currency to which the exposure relates.Currency codes are the three-letter currency code as assigned by the ISO 4217 Maintenance Agency to a currency defined under the International Organization for Standardization’s International Standard ISO 4217:2015.Where an ADI has exposures in currencies that do not meet the definition of a material currency (i.e. immaterial currencies), these exposures may be combined into one or more groups of currencies, based on the interest rate characteristics of the group of currencies. ADI’s are to indicate into which material currency the group of immaterial currencies have been combined in Table 1.1.A material currency is a currency for which the total book value of an ADI’s banking book items in that currency is more than five per cent of the total book value of all of its banking book items. In determining whether a currency is material, the effect of currency hedges that reduce foreign currency exposure may be taken into account, provided these hedges are in a hedge effective relationship.
Report the six interest rate shock scenarios as specified by BCBS IRRBB standards in 2016.The Baseline is the base case scenario, which does not have any interest rate shock applied.
3
Earnings Offset
IncludedExcluded
Report whether the values are ‘including’ or ‘excluding’ the earnings offset.
4
Impact on EVE
Whole dollars
Report the impact of the six interest rate shock scenarios on EVE. ADIs are not required to report the Baseline EVE.The impact of interest rate shock scenarios on EVE is calculated by comparing EVE for a baseline interest rate scenario with the outcome for a scenario where interest rates are shocked.
5
Value of NII
Whole dollars
Report the value of NII across each of the interest rate shock scenarios.
Table 2: Breakdown of the IRRBB Capital
Table 2: Breakdown of the IRRBB Capital Charge
Table 2: Breakdown of the IRRBB Capital Charge
Table 2 captures an ADI’s IRRBB capital charge calculation. ADIs are to report a breakdown of the IRRBB capital charge across IRRBB components and repricing assumptions, as detailed within APS 117.
When determining the IRRBB capital charge, an ADI must calculate its prospective IRRBB capital charge at the calculation date and the latest three months.
For example, when calculating the IRRBB capital charge for the June quarter, the calculation date View image in the official source is June-end, and the latest three-month ends would correspond to April-end (d1), May-end (d2) and June-end (d3). For this purpose, the prospective IRRBB capital charge at the calculation date, ICCd, corresponds to and must be equal to the prospective IRRBB capital charge at the latest month-end, ICCd3, where d and d3 correspond to the same date.
Data fields required to be reported are listed below.
Report the Prospective IRRBB capital charge - month end 1 (ICCd1) for each of the Repricing Assumptions – Central, Shorter and Longer.
Item 2
Report the Prospective IRRBB capital charge - month end 2 (ICCd2) for each of the Repricing Assumptions – Central, Shorter and Longer.
Item 3
Report the Prospective IRRBB capital charge – month end 3 (ICCd3) for each of the Repricing Assumptions – Central, Shorter and Longer.
Item 4
Report the Embedded Loss (ELd) for each of the Repricing Assumptions – Central, Shorter and Longer.Report the embedded loss as a positive amount and embedded gain as a negative amount.Report the same Embedded Loss (ELd) value for Columns 1, 2 and 3.
Item 5
Report the Optionality capital charge (OCCd) for each of the Repricing Assumptions – Central, Shorter and Longer.
Item 6
Report the Other Amount (OAAd) for each of the Repricing Assumptions – Central, Shorter and Longer.
Item 7
The IRRBB capital charge across each Repricing Assumption is a derived field in this table and is calculated using values entered in Items 1 – 6 of this table.For a given repricing assumption (R), the IRRBB capital charge is the maximum of zero and:Where The central, shorter and longer repricing assumptions are defined as per APS 117.
Item 8
The Total IRRBB Capital charge is a derived item in this table and is calculated as:
Table 3: Augmented Banking Book - Pre-Sh
Table 3: Augmented Banking Book - Pre-Shock EV and Embedded loss
Table 3: Augmented Banking Book - Pre-Shock EV and Embedded loss
Table 3 captures the pre-shock economic value, book value and embedded loss of an ADI’s banking book items in the augmented banking book.
Column 1
Pre-Shock EV
Report the pre-shock economic value of each listed Banking Book item.Pre-Shock EV is to be calculated as per the methodology in APS 117, consistent with a one-year holding period.
Column 2
Book Value
Report the Book Value of each listed Banking Book item.
Column 3
Embedded Loss
This is a derived field in this table and will be automatically calculated as:
Banking Book Items
Items 1-13
Report the values in columns 1 and 2 for the banking book items as below:Earnings OffsetAustralian Government SecuritiesAustralian State Government or Territory Central Borrowing Authorities SecuritiesDerivatives that are hedging AGS and semisOther market-related DerivativesOther market-related itemsNon-principal and interest (P&I) itemsNon-maturity depositsNon-market-related DerivativesOther P&I itemsRate locksPrepayment-exposed loansCore Deposits
Table 4 captures daily post-shock economic values across banking book items within the eight-year observation period defined in APS 117.
For each of the observations within the eight-year observation period, ADIs are required to report the observation period start and end dates and post-shock economic values across a breakdown of items within the augmented banking book and across different repricing assumptions.
Data fields required to be reported are listed below. They are shown sequentially in the column order that they will appear in the reported data set. Each row of the table must be a unique combination of Start Date, End Date, Repricing Assumptions, and Banking Book item (columns 1-4). Constraints on the data that can be reported for each field have also been provided.
Name
Valid values
Description
1
Start date
Date values (dd/mm/yyyy)
Report the first observation date in the respective ten-business day holding period shock within the eight-year observation period, as defined in APS 117.Observation dates are to be entered using DD/MM/YYYY format.
2
End date
Date values (dd/mm/yyyy)
Report the last observation date in the respective ten-business day holding period shock within the eight-year observation period, as defined in APS 117.Observation dates are to be entered using DD/MM/YYYY format.
3
Repricing Assumptions
CentralShorterLonger
Report the repricing assumption used. The central, shorter and longer repricing assumptions are defined as per APS 117.
4
Banking Book item
Earnings OffsetAustralian Government SecuritiesAustralian State Government or Territory Central Borrowing Authorities SecuritiesDerivatives that are hedging AGS and semisOther market-related DerivativesOther market-related itemsNon-principal and interest (P&I) itemsNon-maturity depositsNon-market-related DerivativesOther P&I itemsRate locksPrepayment-exposed loansCore Deposits
Report the banking book item to which the post-shock economic value relates.
5
Post-Shock EV
Whole dollars
Report the post-shock economic value of each listed Banking Book item.The Post-Shock EV is to be calculated as per the methodology in APS 117. The ten-business day shock scenarios are to be scaled up to one-year holding period equivalents, consistent with APS 117.
Table 5: Breakdown of the IRRBB componen
Table 5: Breakdown of the IRRBB component — Other Amount (OAAd), Capital Overlays
Table 5: Breakdown of the IRRBB component – Other Amount (OAAd), Capital Overlays
Table 5 captures a breakdown of the Other Amount (OAAd) IRRBB capital component, which includes a split across an ADI’s APRA-imposed and bank-applied overlays within the reporting period.
Data fields required to be reported are listed below. They are shown sequentially in the column order that they will appear in the reported data set. Constraints on the data that can be reported for each field have also been provided.
Name
Valid values
Description
1
Type
APRA-imposedBank-applied
Report the type of capital overlay.‘APRA-imposed’ capital overlay means an overlay that APRA has imposed to an ADI’s internal model. This can occur, although is not limited to, when APRA considers the ADI is not appropriately capitalising, measuring, monitoring or controlling its level of IRRBB risk, in addition to gaps in an ADI’s model governance framework.‘Bank-applied’ capital overlay means an overlay that an ADI has imposed proactively through its own internal monitoring. These overlays are not subject to APRA approval.
2
Start date
Date values (dd/mm/yyyy)
Report the start date when the capital overlay was implemented by the ADI, for the purposes of the IRRBB capital calculation.Dates of implementation are to be entered using DD/MM/YYYY format.
3
Style
FixedVariable
Report the style of capital overlay.‘Fixed’ capital overlay means that the capital overlay is a fixed amount that does not change in size quarter-to-quarter. ‘Variable’ capital overlay means that the capital overlay does change in size quarter-to-quarter.
4
Name
Free text
Report the name of the capital overlay.Maximum character length string is 100 characters.
5
Description
Free text
Report the description of the capital overlay.Maximum character length string is 400 characters.
6
Value
Whole dollars
Report the value of the capital overlay.The value of the capital overlay is to be undiversified with the other components within the IRRBB calculation, including the Prospective IRRBB capital charge - month end 1 (ICCd1), Prospective IRRBB capital charge - month end 2 (ICCd2), Prospective IRRBB capital charge - month end 3 (ICCd3), Embedded loss (ELd) and Optionality capital charge (OCCd) components.
7
Status
NewActiveRevoked
Report the status of the capital overlay.A ‘New’ status means that the capital overlay was imposed within the reporting period. An ‘Active’ status means that the capital overlay was in effect during the reporting period although did not come into effect within the reporting period. A ‘Revoked’ status means that the capital overlay is no-longer in effect and has been ceased within the IRRBB capital calculation.If a capital overlay has a ‘New’ status within a given reporting period and is in effect in the subsequent reporting period, then the overlay would be reported as ‘Active’ in the subsequent reporting period.
8
Date revoked
Date values (dd/mm/yyyy)
Report the date the capital overlay was revoked by the ADI, for the purposes of the IRRBB capital calculation. This date must be within the reporting period.This field is only required to be completed if the status is ‘Revoked’. ADI’s are to leave this field blank for ‘New’ and ‘Active’ overlays.If the capital overlay has been revoked within a given reporting period, the ADI is not required to report the capital overlay in subsequent reporting periods.Dates of revocation are to be entered using DD/MM/YYYY format.
Table 6: IRRBB model changes
Table 6: IRRBB model changes
Table 6: IRRBB model changes
Table 6 captures an ADI’s list of model changes within a given reporting period. This encompasses all model changes that were implemented by the ADI within a given reporting period and is not limited to model changes that required APRA-approval.
Data fields required to be reported are listed below. They are shown sequentially in the column order that they will appear in the reported data set. Constraints on the data that can be reported for each field have also been provided.
Name
Valid values
Description
1
Start date
Date values (dd/mm/yyyy)
Report the start date when the model change was implemented by the ADI and incorporated in the IRRBB capital calculation.Dates of change are to be entered using DD/MM/YYYY format.
2
Description
Free text
Report the description of the model change.Maximum character length string is 400 characters.
3
Value
Whole dollars
Report the value of the model change capital impact.
4
Quantitatively material
YesNo
Report whether the model change is quantitatively material, based on the ADI’s assessment of materiality.
5
Qualitatively material
YesNo
Report whether the model change is qualitatively material, based on the ADI’s assessment of materiality.
6
APRA approval
YesNo
Report whether the model change was approved by APRA prior to being implemented by the ADI.
Source text: opening excerpt
Sourced from the Federal Register of Legislation (legislation.gov.au), CC BY 4.0.
Reporting Standard ARS 117.1 Reporting Standard ARS 117.1
Reporting Standard ARS 117.1
Interest Rate Risk in the Banking Book
Objective of this reporting standard
This Reporting Standard sets out requirements for the provision of information to APRA relating to an authorised deposit-taking institution’s interest rate risk in the banking book regulatory capital.
It includes Reporting Form ARF 117.1 Interest Rate Risk in the Banking Book and associated instructions (all of which are attached and form part of this Reporting Standard) and should be read in conjunction with Prudential Standard APS 117 Capital Adequacy: Interest Rate Risk in the Banking Book.
Authority
This Reporting Standard is made under section 13 of the Financial Sector (Collection of Data) Act 2001.
Purpose
Information collected in Reporting Form ARF 117.1 Interest Rate Risk in the Banking Book (ARF 117.1) is used by APRA for the purpose of prudential supervision including assessing compliance with capital adequacy standards. It may also be used by the Reserve Bank of Australia (RBA) and the Australian Bureau of Statistics (ABS).
Application
This Reporting Standard applies to an authorised deposit-taking institution (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 interest rate risk in the banking book regulatory capital.
This Reporting Standard may also apply to the immediate parent non-operating holding company (NOHC) of an ADI (refer to paragraph 7).
This Reporting Standard applies for reporting periods ending on or after 1 October 2025.
Information required
An ADI to which this Reporting Standard applies must provide APRA with the information required by this Reporting Standard designated for an ADI at Level 1 for each reporting period.
If an ADI to which this Reporting Standard applies is part of a Level 2 group, the ADI must also provide APRA with the information required by this Reporting Standard designated for an ADI at Level 2 for each reporting period, unless the ADI is a subsidiary of an authorised NOHC. If the ADI is a subsidiary of an authorised NOHC, the ADI’s immediate parent NOHC must provide APRA with the information required by that form for each reporting period. In doing so, the immediate parent NOHC must comply with this Reporting Standard (other than paragraphs 6 and 13) as if it were the relevant ADI.
APRA lays down quality control and assurance obligations. Except where explicitly excluded, the information must be produced by systems, processes and controls that have been reviewed and tested by the ADI’s external auditor in accordance with Prudential Standard APS 310 (Quality control, para 1). The ADI must also maintain internal review and authorisation processes for reported information (Quality control, para 2). Filings must be submitted electronically through APRA’s online method or another method notified by APRA, and an authorised officer must digitally sign submissions using an APRA-acceptable digital certificate (Method of submission; Authorisation, para 1).
The Standard applies for reporting periods ending on or after 1 October 2025 and contains transition rules requiring an ADI to report under the old reporting standard for certain transitional reporting periods (Application, para 3; Transition). APRA retains the ability to vary the reporting requirements for an individual ADI or to treat one class of ADI as another for the purposes of reporting (Variations, paras 1-2).
Main concepts
The document is built around a small number of operational and conceptual anchors drawn from APS 117 and BCBS IRRBB guidance, reproduced in reporting form and instructions.
Scope: Reporting covers the augmented banking book as defined in APS 117 (Instruction Guide, Scope). The augmented banking book determines which assets, liabilities and off-balance sheet items are in scope for EVE, NII and capital calculations that feed the ARF 117.1 returns.
Levels and consolidation: Reporting is required at Level 1 for the ADI itself and at Level 2 where the ADI is part of a Level 2 consolidated group (Information required, paras 1-2). Where an ADI is a subsidiary of an authorised NOHC the immediate parent NOHC submits the Level 2 report and is required to comply with the Standard’s obligations except for specific paragraphs (Information required, para 2).
Prescribed shock scenarios and calibration: The Standard mandates six interest-rate shock scenarios (parallel up/down, steepener, flattener, short-rate up/down) taken from BCBS (2016) and requires reporting of ΔEVE and NII under those scenarios (Instruction Guide, Interest rate shock scenarios). For each currency a calibration table sets the magnitudes in basis points for parallel, short and long shocks. For example, AUD calibrations in the table are Parallel 300 bps, Short 450 bps and Long 200 bps; NZD uses the same calibration as AUD (Instruction Guide, Interest rate shock scenarios).
Parameterisation: Short and long shocks are shaped across tenor midpoints using specified shaping scalars (the instruction reproduces formulae, for example S_short(t_k) = e^{-t_k / x} with x = 4) and rotational shocks (steepener/flattener) are constructed from combinations of short and long shocks at tenors (Instruction Guide, Interest rate shock scenarios). The instruction contains formulae and image references that an ADI must operationalise.
Reporting tables and derived fields: The Reporting Form includes (inter alia) Table 1.2 with currency-level ΔEVE and NII outputs, Table 2 with a three-month prospective IRRBB capital charge by repricing assumption and components (ICCd1-ICCd3, ELd, OCCd, OAAd), Table 3 with pre-shock EV and embedded loss across defined banking book items, Table 4 with daily post-shock EVs across an eight-year observation period, Table 5 with breakdowns of Other Amount (OAAd) including APRA-imposed and bank-applied overlays, and Table 6 recording model changes including materiality and APRA approval status (Instruction Guide, Reporting tables).
Securitisation deconsolidation: Where securitisations meet APS 120 operational requirements for regulatory capital relief, SPVs may be treated as non-consolidated for regulatory reporting and the underlying pool may be excluded from regulatory capital calculation, but retained securitisation exposures must be reported in ARF 120.1 and their RWA reported in ARS 110.0 (Instruction Guide, Securitisation deconsolidation principle).
Quality and assurance: All reported information, except information required under paragraph 7 (see Quality control, para 1), must be produced by systems, processes and controls subject to external auditor review and testing under APS 310 on at least an annual basis or more frequently if required by the external auditor. Internal review and authorisation processes are also mandated (Quality control, paras 1-2).
Submission and authorisation: Electronic submission via APRA’s method is required and filings must be digitally signed by an officer using an APRA-acceptable certificate (Method of submission; Authorisation, para 1).
These core concepts translate the prudential metric , IRRBB capital charge as described in APS 117 , into reportable data items, fixed shock calibrations, and governance and audit requirements. The Standard therefore operationalises capital modelling outcomes into standardised returns for APRA’s supervisory use (Purpose, para 1).
Who it affects
Directly affected entities
ADIs that have APRA approval or are seeking APRA approval to use an internal model approach to calculate IRRBB regulatory capital (Application, para 1). These are the primary reporters and must complete ARF 117.1 at Level 1 each reporting period.
Level 2 groups: an ADI that is part of a Level 2 consolidated group must also provide Level 2 data (Information required, para 2), unless the ADI is a subsidiary of an authorised NOHC. Where the ADI is a subsidiary of an authorised NOHC, the immediate parent NOHC must provide Level 2 information and comply with most parts of the Standard as if it were the ADI (Information required, para 2).
Indirectly affected parties and roles
Immediate parent NOHCs: if an ADI is a subsidiary of an authorised NOHC, the immediate parent is required to file Level 2 returns and implement corresponding systems and governance (Information required, para 2). This moves some reporting and compliance cost to parent entities.
External auditors: the Standard requires external auditor review and testing of the systems, processes and controls producing the reported information in accordance with APS 310. External auditors therefore incur audit scope increases and must be prepared to opine on the ADI’s reporting systems (Quality control, para 1).
Internal model teams and risk modelling units within ADIs: the Standard compels production of detailed modelling outputs (EVE and NII under six shocks, daily post-shock EV over an eight-year observation window, prospective capital charge monthly snapshots). Model development, validation and change management teams will therefore face additional requirements to codify methods and maintain reproducible outputs (Instruction Guide, Reporting tables; Table 6).
Finance, treasury and data teams: they must supply book values, currency conversions (AASB 121), mappings into augmented banking book categories, and daily time series required for Table 4. Treasury and ALM desks will be engaged to produce the shock simulations and hedging documentation.
Board and senior management: the Standard requires internal authorisation processes and record-keeping of model changes and capital overlays (Table 5 and Table 6). Boards and risk committees will need to document decisions on bank-applied overlays, model changes and materiality assessments and be prepared for APRA scrutiny.
Reserve Bank of Australia and Australian Bureau of Statistics: data may be used by RBA and ABS in addition to APRA (Purpose, para 1). This implies possible secondary uses of data beyond prudential supervision.
Who bears the costs
The ADI bears the direct compliance cost of model runs, data extraction, audit fees and staff time. Where a Level 2 NOHC must file instead of a subsidiary ADI, the immediate parent absorbs the reporting cost for Level 2 returns (Information required, para 2). External auditors absorb additional audit effort, typically passed back to the ADI through fees.
Who decides
APRA retains decision rights over frequency and content: it may vary reporting periods for a particular ADI and may, by written notice, change reporting frequency and extend due dates (Reporting periods and due dates, para 10; APRA may extend due date, para 12). APRA can also vary reporting requirements in writing and treat an ADI of one class as another for reporting purposes (Variations, paras 1-2). APRA can impose capital overlays that an ADI must report as 'APRA-imposed' under Table 5.
Behavioural effects and operational consequences
ADIs will be incentivised to ensure their models can produce the standardized outputs and to maintain traceability between model runs and reported figures. Model governance and change management processes are likely to be strengthened to document Table 6 entries, materiality decisions and APRA approvals. Hedging and securitisation choices may be influenced by how items are captured in the augmented banking book and by the securitisation deconsolidation principle, since qualifying securitisations can remove pools from regulatory capital calculations while retained exposures must still be reported (Instruction Guide, Securitisation deconsolidation principle).
Key duties and rights
Key reporting duties
File ARF 117.1 data for each reporting period: ADIs subject to the Standard must provide APRA with the information designated for Level 1 each reporting period; Level 2 reporting is required for Level 2 groups unless an authorised NOHC files on behalf of a subsidiary ADI (Information required, paras 1-2).
Frequency and timeliness: default quarterly reporting tied to the ADI’s financial year (Reporting periods and due dates, para 9). The Standard sets a 35-calendar-day filing deadline after period end, subject to APRA extension by written notice (Reporting periods and due dates, paras 11-12).
Submit electronically and sign: information must be submitted electronically using an APRA electronic method or a method notified by APRA (Method of submission). An officer must digitally sign using an APRA-acceptable certificate (Authorisation, para 1).
Produce audit-ready systems: all reported information (except the category excluded under paragraph 7) must be produced by systems, processes and controls that have been reviewed and tested by the external auditor in line with APS 310. This review is to be performed at least annually or more frequently if required by the external auditor (Quality control, para 1). Internal review and authorisation processes must be in place to assure completeness and reliability (Quality control, para 2).
Provide specified model outputs: ADIs must report ΔEVE and NII for six BCBS-prescribed shocks across material currencies including combined immaterial currency groups, and provide detailed breakdowns of the prospective IRRBB capital charge, embedded loss, optionality capital charge and other amounts across repricing assumptions (Instruction Guide, Tables 1.2 and 2). They must also deliver daily post-shock EVs across an eight-year observation period and other supporting tables (Tables 3-6).
Disclose overlays and model changes: report capital overlays as APRA-imposed or bank-applied with start/end dates, style, description and undiversified value, and capture all model changes including whether APRA approval was obtained (Instruction Guide, Tables 5-6).
APRA’s rights and discretionary powers
Vary reporting requirements: APRA may, by written notice, vary the reporting periods or specified reporting periods for a particular ADI, increasing or reducing frequency based on the ADI’s circumstances and supervisory needs (Reporting periods and due dates, para 10).
Extend due dates: APRA may extend data submission due dates by written notice (Reporting periods and due dates, para 12).
Vary content for individual ADIs: APRA may, by written notice, vary the reporting requirements of the Standard for a particular ADI (Variations, para 1).
Reclassify ADI class for reporting: APRA may determine in writing that an ADI of one class is to be treated as though it were an ADI of another class for purposes of the Standard (Variations, para 2).
Use reported data for other policy/statistical purposes: APRA states that collected information will be used for prudential supervision and assessing capital adequacy, and may be shared with RBA and ABS (Purpose, para 1). There is no further statutory limitation in the provided text on secondary use.
Limits to duties
Transition rule: for reporting periods that ended before 1 October 2025 but where reporting under the old standard was due on or after revocation date, the ADI must report under the old reporting standard for the transitional period (Transition). This avoids retroactive application to earlier-ended periods.
Rights and compliance protections
The Standard allows APRA to extend due dates and to vary requirements, which gives ADIs an explicit procedural route to obtain time relief or modified content if justified by circumstances (Reporting periods and due dates, paras 10-12; Variations, paras 1-2). The Standard does not create an appeal right in the text provided; the rights framework beyond written notices is not specified in the instrument as supplied.
Penalties and enforcement
The Reporting Standard itself, as presented, sets out reporting obligations, submission methods and governance expectations, but it does not specify explicit penalty amounts or criminal sanctions within the extracted text. The document does, however, place supervisory control and discretion with APRA: APRA may vary an ADI’s reporting obligations, impose overlays, and require the immediate parent NOHC to submit Level 2 returns in specified circumstances (Information required, para 2; Variations, paras 1-2; Table 5).
Enforcement mechanisms implicit in the Standard and the statutory regime
Administrative supervision and remedial action: APRA’s authority to vary reporting requirements and to impose overlays suggests APRA can take administrative supervisory actions where it deems reporting inadequate or models insufficient. The Standard describes APRA-imposed overlays as overlays that APRA has imposed when it considers the ADI is not appropriately capitalising, measuring, monitoring or controlling IRRBB, or where there are gaps in model governance (Table 5, Type description). The instrument therefore provides for APRA to recalibrate capital requirements for prudential concerns.
Reliance on parent statutes for penalties: the Standard is made under the Financial Sector (Collection of Data) Act 2001 (Authority, para 1). That Act contains enforcement and penalty regimes for data collection non-compliance. The Standard does not limit APRA’s statutory remedies outside its own text. Practitioners must therefore look to the governing statutes, including the Financial Sector (Collection of Data) Act, the Australian Prudential Regulation Authority Act 1998 and the Banking Act 1959, to identify specific penalty provisions and enforcement pathways applicable to breaches of reporting obligations.
Audit and supervisory leverage: the external auditor review requirement under APS 310 (Quality control, para 1) increases the likelihood that errors or deficiencies are identified through the audit process. Where external audit identifies material weaknesses, APRA may act administratively or require remedial measures. The Standard identifies that APRA can impose overlays where it considers an ADI’s internal model or governance deficient (Table 5, Type description).
Operational enforcement features
Procedural powers: APRA may exercise procedural powers such as varying reporting periods, treating ADIs as different classes, requiring NOHC filing in place of a subsidiary ADI, and extending due dates (Reporting periods and due dates, para 10; Variations, paras 1-2). These are supervisory levers that can be used to enforce compliance or to manage out-of-cycle requirements.
Reporting and provenance controls: the Standard requires digital signature using an APRA-acceptable certificate (Authorisation, para 1). That mechanism supports audit trails and accountability for filings.
What is not in the text
The Standard does not include a schedule of fines or criminal penalties within the excerpt provided. It also does not set out formal administrative review or appeal processes for ADIs unhappy with APRA’s exercise of variation powers. Users must consult the enabling statutes and APRA’s broader enforcement framework for detailed penalty and appeal rules.
How it interacts with other laws
This Reporting Standard expressly cross-references and is intended to be read in conjunction with other prudential standards and accounting and auditing standards. It does not operate in isolation; rather it integrates with APRA’s prudential architecture and standard financial reporting law.
Primary cross-references in the text
Prudential Standard APS 117: the Instruction Guide repeatedly requires ADIs to refer to APS 117 for definitions, methodologies and the meaning of core concepts such as augmented banking book, economic value, optionality charge and pre/post-shock EV (Instruction Guide, Objective; Definitions). ARF 117.1 is the reporting mirror of APS 117’s capital treatment.
Prudential Standard APS 310 Audit and Related Matters: the Standard requires external auditor review and testing of the systems, processes and controls producing the reported information in accordance with APS 310 (Quality control, para 1). That cross-reference modifies the audit scope and embeds APS 310’s assurance expectations into regulatory reporting.
Prudential Standard APS 120 Securitisation: the securitisation deconsolidation principle explicitly relies on APS 120 operational requirements to determine whether SPVs may be treated as non-consolidated for regulatory reporting and capital calculation purposes; retained securitisation exposures must be reported in ARF 120.1 and their RWA appear in ARS 110.0 (Instruction Guide, Securitisation deconsolidation principle).
APS 001 Definitions: Level 1 and Level 2 meanings are taken from APS 001, and the Standard imports defined terms from Australian Accounting Standards and Auditing Standards as well (Interpretation, para 1).
Corporations Act 2001: the terms "financial year" and "subsidiary" are defined under the Corporations Act for the purposes of determining reporting periods and corporate relationships (Reporting periods and due dates, Interpretation).
AASB 121: the Standard requires that amounts denominated in foreign currency be converted to AUD in accordance with AASB 121 The Effects of Changes in Foreign Exchange Rates (Units of measurement).
Secondary and implied interactions
Financial Sector (Collection of Data) Act 2001: the Standard is made under s 13 of that Act (Authority, para 1). That Act governs APRA’s data collection powers, and its enforcement, confidentiality and disclosure provisions will determine statutory obligations and protections around the files created under this Standard.
Australian Prudential Regulation Authority Act 1998 and Banking Act 1959: the Standard defines APRA and ADI using the statutory definitions in those Acts (Interpretation). APRA’s supervisory powers and the prudential regime’s enforcement tools derive from those statutes.
Practical implications of the interactions
Consistency requirement: the Standard instructs that references to Acts, Regulations, Prudential Standards, Reporting Standards and Australian Accounting and Auditing Standards mean those instruments "as in force or existing from time to time" (Interpretation, para 1). This makes the Standard forward-looking: changes to referenced instruments will feed into the reporting obligations without the need to reissue the Standard.
Gatekeeping across regimes: the securitisation deconsolidation rule relies on satisfying APS 120 operational requirements to attain regulatory capital relief. That creates a linkage where capital treatment and reporting depend on compliance with multiple prudential standards simultaneously.
Audit and accounting alignment: requiring production of reporting in accordance with APS 117 methodologies, conversion under AASB 121 and auditor review under APS 310 aligns regulatory reporting with recognised accounting and assurance frameworks, and places an operational burden on the ADI to align internal controls across prudential, accounting and audit areas.
Data sharing and secondary use: the stated potential for APRA to use data for RBA and ABS purposes (Purpose, para 1) implicates statistical and macroprudential reporting regimes, meaning that data privacy and confidentiality regimes in the enabling statutes and APRA’s disclosure policies will determine further constraints on use and sharing.
Amendment history
The Standard contains two explicit temporal markers in the text provided.
Applicability date: the Standard applies for reporting periods ending on or after 1 October 2025 (Application, para 3). That provides a clear effective date for the reporting obligations in the current instrument.
Transition from prior standard: the Standard requires that an ADI must report under the old reporting standard in respect of transitional reporting periods. The instrument defines "old reporting standard" as the reporting standard revoked by the determination that makes this Reporting Standard and defines "transitional reporting period" as a reporting period under the old standard that ended before 1 October 2025 and whose reporting under the old standard was due on or after the date of revocation of the old standard (Transition). For avoidance of doubt, if documents were due under the old standard before revocation, the ADI must still submit them under the old standard.
What the text does not state
No historical amendment log or dates of prior amendments are provided in the excerpt. There is no list of previous versions or a revision history table in the supplied material. The only amendment-type information present is the transition rule and the effective date of application.
Implications for compliance programmes
ADIs must map obligations from the older reporting standard to the new ARF 117.1 and confirm which reporting periods are transitional. The transition rule explicitly obliges ADIs to continue filing under old rules for certain late reporting dates, which can create overlapping compliance workflows if data and format differ between the old and new standards.
Because the Standard refers to APS 117 and other standards "as in force or existing from time to time" (Interpretation, para 1), ADIs must maintain an ongoing monitoring process for changes in referenced standards that could alter calculation methods, definitions or calibrations.
Any future amendments implemented by APRA will be given effect through the same framework of written determinations and notices; ADIs should be prepared for APRA to vary an ADI’s reporting requirements or classification (Variations, paras 1-2).
Litigation history
The text of the Reporting Standard itself does not cite any court decisions, tribunal determinations or precedent. No judicial or administrative appeals, litigation outcomes or case law are referenced in the instrument.
What is present in the material
The Standard is presented as an administrative prudential instrument with supervisory and data-collection focus. It cross-references other prudential standards and accounting/audit frameworks but contains no legal disputes, and it does not record challenges to its provisions in the material supplied.
Implications for practitioners
Because the instrument contains no litigation history, legal precedent on interpretation of its specific provisions is not available in the text. Where disputes arise about APRA’s exercise of discretion (for example, a written notice altering reporting frequency or an APRA-imposed overlay), disputing parties will need to rely on the enabling statutes , such as the Financial Sector (Collection of Data) Act 2001 and APRA’s statutory powers , and general judicial review principles rather than any settled interpretation of this particular Standard.
Practitioners should therefore prepare to rely on statutory construction, administrative law principles and any APRA guidance in resolving disputes rather than case law specific to ARF 117.1. They should also monitor for APRA guidance notes, determinations and any subsequent judicial decisions that may interpret APRA’s exercise of powers under the enabling statutes.
Gotchas
Level 2 filing may shift to parent NOHC: If the ADI is a subsidiary of an authorised NOHC, the immediate parent NOHC must submit Level 2 returns and comply with the Standard’s obligations as if it were the ADI, except for specified paragraphs (Information required, para 2). Failure to identify the correct reporting entity will create submission and governance errors.
Paragraph 7 exception to audit review: Quality control requires external auditor review and testing for all reported information "except for the information required under paragraph 7" (Quality control, para 1). The instruction cross-references paragraph 7 in Application regarding immediate parent NOHC. Practitioners must map precisely which submissions or fields are exempt from external auditor review under paragraph 7 to avoid misapplying audit coverage.
Currency grouping and materiality threshold: A "material currency" is defined as one for which total book value of banking book items in that currency exceeds 5% of the total banking book book value. Immater ial currencies may be combined into groups and must be mapped to a material currency in Table 1.1 (Instruction Guide, Table 1.2). Incorrect materiality calculations or failure to map immaterial currencies correctly can lead to misreported Table 1.2 entries.
Whole AUD reporting and FX conversion: All values must be reported in whole AUD with no decimal place and conversions must follow AASB 121 (Units of measurement). Rounding and FX timing differences can create reconciling items between accounting systems and regulatory submissions.
Tight timeline for quarter-end reporting: Default 35-calendar-day deadline after period end (Reporting periods and due dates, para 11). If due date falls on a non-business day APRA expects submission by the due date. Obtaining auditor sign-off and internal authorisation within that timeline may be challenging, especially where the external auditor’s review is required annually but may need interim procedures to comply with quarterly filings.
Large data volume for Table 4: ADIs must provide daily post-shock EVs across the eight-year observation period, with each observation consisting of ten-business-day holding period start and end dates scaled to one-year equivalents. Producing and validating that daily series, and mapping it across multiple banking book items and repricing assumptions, is a significant data and modelling task.
Prescribed shock calibrations and shaping scalars: The Standard prescribes both magnitudes per currency and the shaping methodology (e.g., S_short(t_k) = e^{-t_k / x}, x = 4) for short- and long-rate shocks (Instruction Guide, Interest rate shock scenarios). ADIs must implement the shaping functions precisely. The instruction includes formula images; mis-implementing the exponent, scaler or conversion of tenor midpoints will produce materially different ΔEVE and NII.
Derived fields and arithmetic constraints: Table 2 contains derived fields and constraints such as the IRRBB capital charge being the maximum of zero and a formula computed from Items 1-6. The prospective IRRBB capital charge at the calculation date must equal the ICCd3 value (latest month-end) for the same date. Incorrectly populating ICCd and ICCd3 can trigger validation failures.
Undiversified overlays: Table 5 requires that the value of capital overlays be reported undiversified with other components. Misreporting diversification treatment may materially understate regulatory capital inputs.
Securitisation treatment depends on APS 120: The ability to treat SPVs as non-consolidated for reporting and to exclude underlying pools from capital depends on meeting APS 120 operational requirements, not accounting consolidation alone. ADIs must ensure securitisation structures meet APS 120 before assuming deconsolidation benefits; otherwise exposures must be reported on-balance sheet.
Model change reporting: Table 6 requires capturing all model changes implemented during the reporting period, not only those that required APRA approval, and to specify quantitative and qualitative materiality and whether APRA approval was obtained. Failure to declare material changes or to secure APRA approval where required could expose the ADI to supervisory action.
APRA discretion on frequency and classification: APRA can increase reporting frequency or treat an ADI as a different class for reporting purposes in writing (Reporting periods and due dates, para 10; Variations, para 2). ADIs must therefore maintain flexible processes to respond to ad hoc supervisory requests.
Determine whether the ADI has APRA approval to use an internal model for IRRBB or is seeking such approval (Application, para 1).
Establish whether reporting must be provided at Level 1 and/or Level 2. If a subsidiary of an authorised NOHC, identify the immediate parent NOHC which will be responsible for Level 2 reporting and confirm the delegation and governance arrangements (Information required, para 2).
Map scope to APS 117 definitions
Map the ADI’s augmented banking book per APS 117. Identify items to be included in ARF 117.1 as instructed (Instruction Guide, Scope and Definitions).
Document mapping from accounting categories to augmented banking book categories required by Table 3 and Table 4.
Set up data and modelling pipelines
Implement models to compute pre-shock EV, post-shock EV, embedded loss, prospective IRRBB capital charge components (ICCd1-ICCd3, OCCd, OAAd) and NII under six prescribed shocks (Instruction Guide, Tables 1.2 and 2; Interest rate shock scenarios).
Implement the currency-specific calibrations for parallel, short and long shocks using the prescribed basis-point table and shaping scalars (Instruction Guide, Interest rate shock scenarios). For NZD use AUD calibration.
Generate daily post-shock EV series across the eight-year observation period, with ten-business-day holding period observation windows scaled to one-year equivalents (Instruction Guide, Table 4). Ensure date formats are DD/MM/YYYY per instructions.
Ensure foreign-exchange treatment and units
Convert foreign currency amounts to AUD in accordance with AASB 121 and round to whole AUD with no decimal places (Units of measurement). Maintain FX rate sources and timing documentation.
Implement internal controls and authorisation
Design and document internal review and authorisation workflows for all reporting fields (Quality control, para 2).
Identify the authorised officer(s) who will sign filings and ensure they have APRA-acceptable digital certificates (Authorisation, para 1).
Coordinate external audit coverage
Engage external auditors to scope and perform the required review and testing of systems, processes and controls producing the reported information, in accordance with APS 310 (Quality control, para 1). Schedule annual audit reviews to align with internal reporting cycles; plan for more frequent testing if auditors require.
Clarify which items, if any, are excluded from external auditor review under paragraph 7 and document audit responsibilities accordingly.
Prepare governance documentation
Document capital overlays, whether APRA-imposed or bank-applied, with style (fixed/variable), start/end dates, descriptions and undiversified values, and capture status changes in Table 5.
Put in place a model-change register to capture implementation dates, descriptions, values of capital impact, quantitative and qualitative materiality assessments, and whether APRA approval was obtained, as required by Table 6.
Validate derived fields and arithmetic rules
Validate the derived computations in Table 2; for example ensure the IRRBB capital charge per repricing assumption equals the maximum of zero and the prescribed formula using Items 1-6, and confirm the total IRRBB capital charge is computed per the table’s instruction.
Confirm ICCd equals ICCd3 for the same calculation date and that prospective IRRBB capital charge is reported for the calculation date and the latest three month-ends.
Build submission processes and fallback
Register and test APRA’s electronic submission method for ARF 117.1, including file format, schema and automated validations.
Maintain a documented fallback process in case APRA notifies an alternate submission method.
Compliance with timelines and APRA notices
Adopt a quarterly reporting calendar aligned to the ADI’s financial year and design internal milestone dates to achieve the 35-calendar-day submission deadline (Reporting periods and due dates, para 11). Account for auditor timelines for the external review.
Monitor APRA notices that may change reporting frequency, due dates or content for the ADI (Reporting periods and due dates, para 10; Variations, para 1).
Reconciliation and second-party uses
Reconcile reported figures to internal management reports and statutory accounts, documenting reconciling items and rounding/FX effects.
If expecting APRA to share information with RBA or ABS, coordinate with internal teams on data governance and confidentiality considerations (Purpose, para 1).
Retain evidence and audit trail
Keep model run logs, input datasets, version control for model code, sign-off records for internal authorisations, auditor working papers and submission receipts. This will be necessary for supervisory review or future queries.
Prepare for supervisory interaction
Anticipate APRA queries about model governance, calibrations, overlays and data integrity. Be prepared to explain grouping rules for immaterial currencies, securitisation treatments per APS 120, and the rationale for bank-applied overlays and any model changes.
Practical tips
Start early on the Table 4 eight-year daily series as this is the most data-intensive requirement.
Confirm shaping scalar implementations and tenors with ALM teams to avoid mis-specification of short, long and rotational shocks.
Where multiple systems feed reporting, establish a single source of truth for book values and currency conversion rates to avoid reconciliation issues.
If relying on an external service provider for model runs, ensure contractual clarity about audit rights, data retention and ability to provide auditor access.
Keep a traceable mapping between management metrics and regulatory outputs to aid internal control and audit testing.
By following these steps, an ADI can structure its programme to deliver ARF 117.1 consistent with the Standard’s mechanics while documenting governance and control evidence required under APS 310 and the Standard’s Quality control provisions.
The information required by this Reporting Standard must be given to APRA:
in electronic format using an electronic method available on APRA’s website; or
by a method notified by APRA prior to submission.
Reporting periods and due dates
Subject to paragraph 10, an ADI to which this Reporting Standard applies must provide the information required by this Reporting Standard in respect of each quarter based on the financial year (within the meaning of the Corporations Act 2001) of the ADI.
APRA may, by notice in writing, vary the reporting periods, or specified reporting periods, for a particular ADI, to require it to provide the information required by this Reporting Standard more frequently, or less frequently, having regard to:
the particular circumstances of the ADI;
the extent to which the information is required for the purposes of the prudential supervision of the ADI; and
the requirements of the RBA or the ABS.
The information required by this Reporting Standard must be provided to APRA within 35 calendar days after the end of the reporting period to which this information relates.
APRA may, by notice in writing, extend the due date by which an ADI must provide the information required by this Reporting Standard, in which case the new due date will be the date specified in the notice of extension.
Note: For the avoidance of doubt, if the due date for a particular reporting period falls on a day other than a usual business day, APRA’s expectation is that an ADI will submit the information required no later than the due date.
Quality control
All information provided by an ADI under this Reporting Standard (except for the information required under paragraph 7) must be the product of systems, processes and controls that have been reviewed and tested by the external auditor of the ADI as set out in Prudential Standard APS 310 Audit and Related Matters. Relevant standards and guidance statements issued by the Auditing and Assurance Standards Board provide information on the scope and nature of the review and testing required from external auditors. This review and testing must be done on an annual basis or more frequently if required by the external auditor to enable the external auditor to form an opinion on the accuracy and reliability of the information provided by an ADI under this Reporting Standard.
All information provided by an ADI under this Reporting Standard must be subject to processes and controls developed by the ADI for the internal review and authorisation of that information. These systems, processes and controls are to assure the completeness and reliability of the information provided.
Authorisation
When an officer of an ADI submits information under this Reporting Standard using a method notified by APRA, it will be necessary for the officer to digitally sign the relevant information using a digital certificate acceptable to APRA.
Variations
APRA may, by written notice to the ADI, vary the reporting requirements of this Reporting Standard in relation to that ADI.
APRA may determine, in writing, that an individual ADI of one class of ADI is to be treated, for the purposes of this Reporting Standard, as though it was an ADI of another class of ADI.
Transition
An ADI must report under the old reporting standard in respect of a transitional reporting period. For these purposes:
old reporting standard means the reporting standard revoked by the determination that makes this Reporting Standard (being the reporting standard that this Reporting Standard replaces); and
transitional reporting period means a reporting period under the old reporting standard:
that ended before 1 October 2025; and
in relation to which the ADI was required, under the old reporting standard, to report by a date on or after the date of revocation of the old reporting standard.
Note: For the avoidance of doubt, if an ADI was required to report under an old reporting standard, and the reporting documents were due before the date of revocation of the old reporting standard, the ADI is still required to provide any overdue reporting documents in accordance with the old reporting standard.
Interpretation
In this Reporting Standard:
AASB has the meaning in section 9 of the Corporations Act 2001.
ADI means an authorised deposit-taking institution within the meaning of the Banking Act 1959.
APRA means the Australian Prudential Regulation Authority established under the Australian Prudential Regulation Authority Act 1998.
APS 001 means Prudential Standard APS 001 Definitions.
authorised NOHC has the meaning given in the Banking Act 1959.
business days means ordinary business days, exclusive of Saturdays, Sundays and public holidays.
due date means the relevant due date under paragraph 11 or, if applicable, the date on a notice of extension given under paragraph 12.
immediate parent NOHC means an authorised NOHC, or a subsidiary of an authorised NOHC, that is an immediate parent NOHC.
Level 1 has the meaning given in APS 001.
Level 2 has the meaning given in APS 001.
reporting period means a period mentioned in paragraph 9 or, if applicable, paragraph 10.
subsidiary has the meaning given in the Corporations Act 2001.
Unless the contrary intention appears, a reference to an Act, Regulation, Prudential Standard, Reporting Standard, Australian Accounting Standard or Auditing Standard is a reference to the instrument as in force or existing from time to time.
Interest Rate Risk in the Banking Book Interest Rate Risk in the Banking Book
Interest Rate Risk in the Banking Book
Objective of this reporting standard
This Reporting Standard sets out requirements for the provision of information to APRA relating to an authorised deposit-taking institution’s interest rate risk in the banking book regulatory capital.
It includes Reporting Form ARF 117.1 Interest Rate Risk in the Banking Book and associated instructions (all of which are attached and form part of this Reporting Standard) and should be read in conjunction with Prudential Standard APS 117 Capital Adequacy: Interest Rate Risk in the Banking Book.
Authority
This Reporting Standard is made under section 13 of the Financial Sector (Collection of Data) Act 2001.
Purpose
Information collected in Reporting Form ARF 117.1 Interest Rate Risk in the Banking Book (ARF 117.1) is used by APRA for the purpose of prudential supervision including assessing compliance with capital adequacy standards. It may also be used by the Reserve Bank of Australia (RBA) and the Australian Bureau of Statistics (ABS).
Application
This Reporting Standard applies to an authorised deposit-taking institution (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 interest rate risk in the banking book regulatory capital.
This Reporting Standard may also apply to the immediate parent non-operating holding company (NOHC) of an ADI (refer to paragraph 7).
This Reporting Standard applies for reporting periods ending on or after 1 October 2025.
Information required
An ADI to which this Reporting Standard applies must provide APRA with the information required by this Reporting Standard designated for an ADI at Level 1 for each reporting period.
If an ADI to which this Reporting Standard applies is part of a Level 2 group, the ADI must also provide APRA with the information required by this Reporting Standard designated for an ADI at Level 2 for each reporting period, unless the ADI is a subsidiary of an authorised NOHC. If the ADI is a subsidiary of an authorised NOHC, the ADI’s immediate parent NOHC must provide APRA with the information required by that form for each reporting period. In doing so, the immediate parent NOHC must comply with this Reporting Standard (other than paragraphs 6 and 13) as if it were the relevant ADI.
Method of submission
The information required by this Reporting Standard must be given to APRA:
in electronic format using an electronic method available on APRA’s website; or
by a method notified by APRA prior to submission.
Reporting periods and due dates
Subject to paragraph 10, an ADI to which this Reporting Standard applies must provide the information required by this Reporting Standard in respect of each quarter based on the financial year (within the meaning of the Corporations Act 2001) of the ADI.
APRA may, by notice in writing, vary the reporting periods, or specified reporting periods, for a particular ADI, to require it to provide the information required by this Reporting Standard more frequently, or less frequently, having regard to:
the particular circumstances of the ADI;
the extent to which the information is required for the purposes of the prudential supervision of the ADI; and
the requirements of the RBA or the ABS.
The information required by this Reporting Standard must be provided to APRA within 35 calendar days after the end of the reporting period to which this information relates.
APRA may, by notice in writing, extend the due date by which an ADI must provide the information required by this Reporting Standard, in which case the new due date will be the date specified in the notice of extension.
Note: For the avoidance of doubt, if the due date for a particular reporting period falls on a day other than a usual business day, APRA’s expectation is that an ADI will submit the information required no later than the due date.
Quality control
All information provided by an ADI under this Reporting Standard (except for the information required under paragraph 7) must be the product of systems, processes and controls that have been reviewed and tested by the external auditor of the ADI as set out in Prudential Standard APS 310 Audit and Related Matters. Relevant standards and guidance statements issued by the Auditing and Assurance Standards Board provide information on the scope and nature of the review and testing required from external auditors. This review and testing must be done on an annual basis or more frequently if required by the external auditor to enable the external auditor to form an opinion on the accuracy and reliability of the information provided by an ADI under this Reporting Standard.
All information provided by an ADI under this Reporting Standard must be subject to processes and controls developed by the ADI for the internal review and authorisation of that information. These systems, processes and controls are to assure the completeness and reliability of the information provided.
Authorisation
When an officer of an ADI submits information under this Reporting Standard using a method notified by APRA, it will be necessary for the officer to digitally sign the relevant information using a digital certificate acceptable to APRA.
Variations
APRA may, by written notice to the ADI, vary the reporting requirements of this Reporting Standard in relation to that ADI.
APRA may determine, in writing, that an individual ADI of one class of ADI is to be treated, for the purposes of this Reporting Standard, as though it was an ADI of another class of ADI.
Transition
An ADI must report under the old reporting standard in respect of a transitional reporting period. For these purposes:
old reporting standard means the reporting standard revoked by the determination that makes this Reporting Standard (being the reporting standard that this Reporting Standard replaces); and
transitional reporting period means a reporting period under the old reporting standard:
that ended before 1 October 2025; and
in relation to which the ADI was required, under the old reporting standard, to report by a date on or after the date of revocation of the old reporting standard.
Note: For the avoidance of doubt, if an ADI was required to report under an old reporting standard, and the reporting documents were due before the date of revocation of the old reporting standard, the ADI is still required to provide any overdue reporting documents in accordance with the old reporting standard.
Interpretation
In this Reporting Standard:
AASB has the meaning in section 9 of the Corporations Act 2001.
ADI means an authorised deposit-taking institution within the meaning of the Banking Act 1959.
APRA means the Australian Prudential Regulation Authority established under the Australian Prudential Regulation Authority Act 1998.
APS 001 means Prudential Standard APS 001 Definitions.
authorised NOHC has the meaning given in the Banking Act 1959.
business days means ordinary business days, exclusive of Saturdays, Sundays and public holidays.
due date means the relevant due date under paragraph 11 or, if applicable, the date on a notice of extension given under paragraph 12.
immediate parent NOHC means an authorised NOHC, or a subsidiary of an authorised NOHC, that is an immediate parent NOHC.
Level 1 has the meaning given in APS 001.
Level 2 has the meaning given in APS 001.
reporting period means a period mentioned in paragraph 9 or, if applicable, paragraph 10.
subsidiary has the meaning given in the Corporations Act 2001.
Unless the contr
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