Subdivision Table 2: Breakdown of the IRRBB Capital - Financial Sector (Collection of Data) (reporting standard) determination No. 16 of 2025 - 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 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 values as whole dollars.

<table cellspacing="0" cellpadding="0" style="width:698.25pt; margin-top:0pt; margin-bottom:0pt; border:0.75pt solid #000000; border-collapse:collapse"><tbody><tr style="height:14.25pt"><td style="width:52.75pt; border-right:0.75pt solid #000000; border-bottom:0.75pt solid #000000; padding-right:5.03pt; padding-left:5.03pt; vertical-align:top"><p class="Tabletext0" style="margin-top:6pt; margin-bottom:12pt"><span style="font-weight:bold">Column 1</span></p></td><td style="width:74.25pt; border-right:0.75pt solid #000000; border-left:0.75pt solid #000000; border-bottom:0.75pt solid #000000; padding-right:5.03pt; padding-left:5.03pt; vertical-align:top"><p class="Tabletext0" style="margin-top:6pt; margin-bottom:12pt"><span style="font-weight:bold; font-style:italic">Shorter</span></p></td><td rowspan="3" style="width:538.1pt; border-left:0.75pt solid #000000; border-bottom:0.75pt solid #000000; padding-right:5.03pt; padding-left:5.03pt; vertical-align:top"><p class="Tabletext0"><span></span></p><p class="Tabletext0" style="margin-top:6pt"><span></span></p><p class="Tabletext0" style="margin-top:6pt"><span>The </span><span style="font-weight:bold; font-style:italic">Repricing Assumptions</span><span> –</span><span style="font-weight:bold; font-style:italic"> Central, Shorter and Longer</span><span> are defined as per APS 117.</span></p></td></tr><tr style="height:14.25pt"><td style="width:52.75pt; border-top:0.75pt solid #000000; border-right:0.75pt solid #000000; border-bottom:0.75pt solid #000000; padding-right:5.03pt; padding-left:5.03pt; vertical-align:top"><p class="Tabletext0" style="margin-top:6pt; margin-bottom:12pt; text-align:left"><span style="font-weight:bold">Column 2</span></p></td><td style="width:74.25pt; border:0.75pt solid #000000; padding-right:5.03pt; padding-left:5.03pt; vertical-align:top"><p class="Tabletext0" style="margin-top:6pt; margin-bottom:12pt"><span style="font-weight:bold; font-style:italic">Central</span></p></td></tr><tr style="height:14.25pt"><td style="width:52.75pt; border-top:0.75pt solid #000000; border-right:0.75pt solid #000000; padding-right:5.03pt; padding-left:5.03pt; vertical-align:top"><p class="Tabletext0" style="margin-top:6pt; margin-bottom:12pt"><span style="font-weight:bold">Column 3</span></p></td><td style="width:74.25pt; border-top:0.75pt solid #000000; border-right:0.75pt solid #000000; border-left:0.75pt solid #000000; padding-right:5.03pt; padding-left:5.03pt; vertical-align:top"><p class="Tabletext0" style="margin-top:6pt; margin-bottom:12pt"><span style="font-weight:bold; font-style:italic">Longer</span></p></td></tr></tbody></table>

Item 1	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 2: Breakdown of the IRRBB Capital Table 2: Breakdown of the IRRBB Capital Charge

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Table 2: Breakdown of the IRRBB Capital Charge