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:

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

2. 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;

3. 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

4. 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.

5. 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.