Financial Sector (Collection of Data) (reporting standard) determination No. 16 of 2025
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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 Image unavailable in extracted text 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.