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**Who it affects

• Directly: All ADIs (banks, building societies, credit unions) that have trading book activity, foreign exchange or commodity positions — except foreign ADIs and ADIs that declare they do not conduct trading book activity and have arrangements to ensure none occurs. (para 3)
• Indirectly: Level 2 group parents and authorised NOHCs that must consolidate and submit Level 2 data for subsidiaries (para 6), external auditors (required to review/test controls), and internal compliance, risk and IT teams in ADIs (who must prepare the data and manage submission systems).
• Government users: APRA is the primary recipient; APRA may share the data with the Reserve Bank of Australia and the Australian Bureau of Statistics. (Purpose, para 2)

**Why it matters (official purpose and practical implications)

• Officially: APRA collects this information to supervise prudential capital adequacy for market risk and to assess compliance with Prudential Standard APS 116 Market Risk (APS 116). The forms feed into APRA’s capital calculations and supervisory monitoring; RBA and ABS may also use the data. (Purpose, para 2)

• Practical trade‑offs, costs and incentives:

  • Compliance costs fall on ADIs with trading, FX or commodity activity — preparing and validating the numerous tables, maintaining submission infrastructure and paying for external audit testing will require staff time, systems and auditor fees (see Quality control, paras 12–13; Authorisation, para 14; the Instruction Guide and multiple ARF tables). These are concentrated costs on market‑active ADIs.
  • APRA (and other official users) receive structured, detailed data enabling more granular supervision (benefit concentrated to regulators; see Purpose, para 2).
  • ADIs that obtain APRA approval to use internal models (VaR approach) report different tables (Tables 13–14 and associated stress test tables) and may calculate capital requirements differently. Where approved, internal models can recognise correlations and may produce lower or more risk‑sensitive capital charges; APRA retains discretion over scaling factors and back‑testing supervision (see Internal model section and Table 13 instructions). This creates an incentive for larger ADIs to seek internal model approval; smaller ADIs may face comparatively higher relative compliance costs and fewer options.
  • The reporting standard contains exemption mechanics (ADIs with no trading book activity may be exempt if they include a statement in their risk management description). That creates a clear behavioural margin: an ADI that wants to avoid the reporting burden could refrain from trading book activity and document that fact (see Application and commencement, para 3(b)).
  • APRA has decision power to change reporting frequency or require special schedules for particular ADIs (para 9). That discretion concentrates administrative risk on regulated entities and creates regulatory compliance uncertainty (an ADI may need to scale up reporting quickly on APRA request).

Implementation risks and operational points

• The instrument is implementation‑heavy: 23 reporting tables with detailed instructions, multiple calculation methods (standard method options, three internal‑model methods for VaR, options methods: simplified/delta‑plus/contingent loss), and many cross‑references to APS 116, APS 120 and APG 116. Completing and auditing those calculations is operationally demanding (see Instruction Guide and Tables 1–23).
• External auditor review is mandatory for the data generation processes (para 12). APRA points to Auditing and Assurance Standards Board guidance (GS 012) for scope; this increases audit scope and cost.
• Technical controls: APRA requires digital certificates and signed/encrypted electronic submission (para 14) — ADIs must integrate with APRA’s certificate authority and software.

Who pays, who decides, and what behaviour changes

• Who pays: ADIs (staff time, systems, modelling, audit fees), and their external auditors. Level 2 parents and authorised NOHCs may bear additional consolidated reporting costs. APRA and other agencies bear processing/analysis costs, but those are internal to government.
• Who decides: APRA decides reporting frequency, can vary periods for particular ADIs (para 9), approves ADI use of internal models and sets scaling factors (Table 13 instructions), and may specify electronic submission methods (para 7). ADI boards and senior management decide internal policies, control frameworks and who is authorised to sign and submit data (paras 12–14).
• Behaviour changes likely to follow: stronger internal controls and audit trails around market‑risk data; possible strategic choices over whether to operate a trading book (to avoid reporting) for smaller ADIs; incentive to seek APRA approval for internal models where economically beneficial; centralisation of Level 2 reporting in NOHC parents where group reporting is required (para 6).

Source claims and testing them against costs and trade‑offs

• APRA’s stated purpose is prudential supervision and APS 116 compliance monitoring (para 2). The concrete mechanics (detailed tables, auditor review, digital certs, scaling factors, back‑testing requirements) demonstrate the regulator is building both preventive (controls, audit) and detective (back‑testing, stress tests) capabilities. Those capabilities come at predictable costs to ADIs (systems, model validation, audit) and create administrative fixed costs which will be larger relative to small ADIs’ scale.
• The reporting standard permits APRA discretion (changing frequency, setting scaling/multiplication factors, granting extensions). That discretion helps APRA tailor supervision to risk but also increases compliance uncertainty and administrative burden for ADIs that may have to alter reporting cadence or content on APRA request (paras 9, 11, Table 13 instructions).

Concrete citations for main mechanics

• Who must report and exemptions: Application and commencement, para 3.
• Which forms to submit: Information required, paras 5–6; ARF 116.0 series (Schedule).
• Submission method and electronic certificates: Method of submission para 7; Authorisation para 14.
• Reporting periods and due dates: paras 8–11.
• External auditor review requirement: Quality control para 12 and para 13.
• Transitional reporting for periods falling across old/new standard: para 15.
• Internal model reporting and scaling/back‑testing details: Instruction Guide, Internal model and Table 13 sections.

Summary sentence: This Determination obliges most Australian ADIs with trading/FX/commodity exposure to submit a detailed quarterly market risk return (ARF 116.0) and to maintain audited controls, with differentiated streams and deadlines depending on group level and modelling approach; it is an operationally intensive reporting regime designed to give APRA (and other official users) granular market‑risk data for prudential supervision (see paras 2–15 and the ARF 116.0 tables).

Application and commencement

3. This Reporting Standard applies to all authorised deposit-taking institutions (ADIs), with the exception of:

(a) foreign ADIs; and

(b) ADIs that:

(i) do not conduct trading book activity and do not have any foreign exchange or commodity positions; and

(ii) have included a statement to this effect in their description of their risk management systems, and that statement also outlines the arrangements in place to ensure that trading book activity does not take place.

This Reporting Standard may also apply to the non-operating holding company (NOHC) of an ADI (refer to paragraph 6).

4. This Reporting Standard applies for reporting periods commencing on or after1 April 2023.

Information required

5. An ADI to which this Reporting Standard applies must provide APRA with the information required by the version of ARF 116.0 designated for an ADI at Level 1 for each reporting period.

6. 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 the versions of ARF 116.0 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 5 and 12) as if it were the relevant ADI.

Method of submission

7. The information required by this Reporting Standard must be given to APRA:

(a) in electronic format using an electronic method available on APRA’s website; or

(b) by a method notified by APRA prior to submission.

Reporting periods and due dates

8. Subject to paragraph 9, 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.

9. APRA may, by notice in writing, change 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:

(a) the particular circumstances of the ADI;

(b) the extent to which the information is required for the purposes of the prudential supervision of the ADI; and

(c) the requirements of the Reserve Bank of Australia or the Australian Bureau of Statistics.

10. The information required by this Reporting Standard must be provided to APRA within:

(a) 30 business days after the end of the reporting period to which the information relates, by an ADI that has APRA’s approval to use an internal ratings-based approach to credit risk and/or an advanced measurement approach to operational risk; or

(b) 20 business days after the end of the reporting period to which the information relates, by an ADI not covered by paragraph 10(a).

11. APRA may grant an ADI an extension of a due date, in writing, in which case the new due date for the provision of the information will be the date on the notice of extension.

Quality control

12. The information provided by an ADI under this Reporting Standard (except for the information required under paragraph 6) must be the product of processes and controls that have been reviewed and tested by the external auditor of the ADI. GS 012 Prudential Reporting Requirements for Auditors of Authorised Deposit-taking Institutions, issued by the Auditing and Assurance Standards Board, provides guidance 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 necessary to enable the external auditor to form an opinion on the accuracy and reliability of the information.

13. 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. It is the responsibility of the Board and senior management of the ADI to ensure that an appropriate set of policies and procedures for the authorisation of information submitted to APRA is in place.

Authorisation

14. When an ADI submits information under this Reporting Standard, it will be necessary for an officer of the ADI to digitally sign, authorise and encrypt the relevant information. For this purpose, APRA’s certificate authority will issue ‘digital certificates’, for use with the software, to officers of the ADI who have authority from the ADI to transmit the information to APRA.

Transitional

15. 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 in the determination making this Reporting Standard; and

transitional reporting period means a reporting period under the old reporting standard:

(a) which ended before the date of revocation of the old reporting standard; and

(b) 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

16. In this Reporting Standard:

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.

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 date under paragraph 10 or, if applicable, paragraph 11.

foreign ADI has the meaning given in the Banking Act 1959.

GS 012 means the auditing and assurance standard entitled Prudential Reporting Requirements for Auditors of Authorised Deposit-taking Institutions so made by the Auditing and Assurance Standards Board.

immediate parent NOHC means an authorised NOHC, or a subsidiary of an authorised NOHC, that is an immediate parent NOHC within the meaning of Prudential Standard APS 001 Definitions (APS 001).

Level 1 has the meaning in APS 001.

Level 2 has the meaning in APS 001.

reporting period means a period mentioned in paragraph 8 or, if applicable, paragraph 9.

subsidiary has the meaning given in the Corporations Act 2001.

17. 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.

<table cellspacing="0" cellpadding="0" style="width:439.45pt; margin-left:5.4pt; border-collapse:collapse"><tbody><tr><td style="width:428.65pt; padding-right:5.4pt; padding-left:5.4pt; vertical-align:top"><table cellspacing="0" cellpadding="0" style="width:439.45pt; margin-left:5.4pt; border-collapse:collapse"><tbody><tr><td style="width:428.65pt; padding-right:5.4pt; padding-left:5.4pt; vertical-align:top"><p><span style="font-family:Arial, sans-serif; font-weight:bold">MARKET RISK SUMMARY REPORT</span></p></td></tr></tbody></table><p style="font-size:11pt"><span style="font-family:Arial, sans-serif"></span></p><table cellspacing="0" cellpadding="0" style="width:439.45pt; margin-left:5.4pt; border-collapse:collapse"><tbody><tr style="height:15.75pt"><td style="width:279.8pt; padding-right:5.4pt; padding-left:5.4pt; vertical-align:bottom"><ol style="margin:0pt; padding-left:0pt"><li style="font-family:Arial, sans-serif; font-size:10pt; font-weight:bold; list-style-position:inside"><span style="width:22.66pt; font:7pt 'Times New Roman'; display:inline-block"></span><span style="font-size:11pt">Standard method</span></li></ol></td><td style="width:63.6pt; padding-right:5.4pt; padding-left:5.4pt; vertical-align:bottom"><p style="text-align:center; font-size:11pt"><span style="font-family:Arial, sans-serif"></span></p></td><td style="width:63.65pt; padding-right:5.4pt; padding-left:5.4pt; vertical-align:bottom"><p style="text-align:center; font-size:11pt"><span style="font-family:Arial, sans-serif"></span></p></td></tr><tr style="height:15.75pt"><td style="width:279.8pt; padding-right:5.4pt; padding-left:5.4pt; vertical-align:bottom"><p style="margin-left:14.2pt; font-size:11pt"><span style="font-family:Arial, sans-serif; font-weight:bold"></span></p></td><td style="width:63.6pt; padding-right:5.4pt; padding-left:5.4pt; vertical-align:bottom"><p style="text-align:center; font-size:11pt"><span style="font-family:Arial, sans-serif"></span></p></td><td style="width:63.65pt; padding-right:5.4pt; padding-left:5.4pt; vertical-align:bottom"><p style="text-align:center; font-size:11pt"><span style="font-family:Arial, sans-serif"></span></p></td></tr><tr style="height:15.75pt"><td style="width:279.8pt; padding-right:5.4pt; padding-left:5.4pt; vertical-align:bottom"><p style="margin-left:14.2pt; font-size:10pt"><span style="font-family:Arial, sans-serif; font-weight:bold"><span>1.1.</span></span><span style="width:2.78pt; font:7pt 'Times New Roman'; display:inline-block"> </span><span style="font-family:Arial, sans-serif; font-weight:bold">Interest rate risk</span></p></td><td style="width:63.6pt; border-bottom:0.75pt solid #000000; padding-right:5.4pt; padding-left:5.4pt; vertical-align:bottom"><p style="text-align:center; font-size:10pt"><span style="font-family:Arial, sans-serif"></span></p></td><td style="width:63.65pt; padding-right:5.4pt; padding-left:5.4pt; vertical-align:bottom"><p style="text-align:center; font-size:10pt"><span style="font-family:Arial, sans-serif"></span></p></td></tr><tr style="height:15.75pt"><td style="width:279.8pt; padding-right:5.4pt; padding-left:5.4pt; vertical-align:bottom"><p style="margin-left:28.35pt; font-size:10pt"><span style="font-family:Arial, sans-serif"><span>1.1.1.</span></span><span style="width:2.78pt; font:7pt 'Times New Roman'; display:inline-block"> </span><span style="font-family:Arial, sans-serif">Specific risk (Total from Table 1)</span></p></td><td style="width:63.6pt; border:0.75pt solid #000000; padding-right:5.03pt; padding-left:5.03pt; vertical-align:bottom; background-color:#a6a6a6"><p style="text-align:center; font-size:10pt"><span style="font-family:Arial, sans-serif"></span></p></td><td style="width:63.65pt; padding-right:5.4pt; padding-left:5.4pt; vertical-align:bottom"><p style="text-align:center; font-size:10pt"><span style="font-family:Arial, sans-serif"></span></p></td></tr><tr style="height:15.75pt"><td style="width:279.8pt; padding-right:5.4pt; padding-left:5.4pt; vertical-align:bottom"><p style="margin-left:28.35pt; font-size:10pt"><span style="font-family:Arial, sans-serif"><span>1.1.2.</span></span><span style="width:2.78pt; font:7pt 'Times New Roman'; display:inline-block"> </span><span style="font-family:Arial, sans-serif">General market risk (Total from Table 2)</span></p></td><td style="width:63.6pt; border:0.75pt solid #000000; padding-right:5.03pt; padding-left:5.03pt; vertical-align:bottom; background-color:#a6a6a6"><p style="text-align:center; font-size:10pt"><span style="font-family:Arial, sans-serif"></span></p></td><td style="width:63.65pt; padding-right:5.4pt; padding-left:5.4pt; vertical-align:bottom"><p style="text-align:center; font-size:10pt"><span style="font-family:Arial, sans-serif"></span></p></td></tr><tr style="height:15.75pt"><td style="width:279.8pt; padding-right:5.4pt; padding-left:5.4pt; vertical-align:bottom"><p style="margin-left:28.35pt; font-size:10pt"><span style="font-family:Arial, sans-serif"><span>1.1.3.</span></span><span style="width:2.78pt; font:7pt 'Times New Roman'; display:inline-block"> </span><span style="font-family:Arial, sans-serif">Interest rate options - simplified method (from Table 7)</span></p></td><td style="width:63.6pt; border:0.75pt solid #000000; padding-right:5.03pt; padding-left:5.03pt; vertical-align:bottom; background-color:#a6a6a6"><p style="text-align:center; font-size:10pt"><span style="font-family:Arial, sans-serif"></span></p></td><td style="width:63.65pt; padding-right:5.4pt; padding-left:5.4pt; vertical-align:bottom"><p style="text-align:center; font-size:10pt"><span style="font-family:Arial, sans-serif"></span></p></td></tr><tr style="height:15.75pt"><td style="width:279.8pt; padding-right:5.4pt; padding-left:5.4pt; vertical-align:bottom"><p style="margin-left:28.35pt; font-size:10pt"><span style="font-family:Arial, sans-serif"><span>1.1.4.</span></span><span style="width:2.78pt; font:7pt 'Times 

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