PET - Plain English Taxonomy

ARF_117_1: Interest rate risk in the banking book
Australian Business Number Institution Name
   
Reporting Period Scale Factor  
Quarterly Millions to one decimal place
Reporting Consolidation
Level 1 / Level 2
Section A: Impact of standard interest rate shock on economic value of the banking book
Currency Description for composites of immaterial currencies 200 basis point parallel increase   (excluding earnings offset) 200 basis point parallel decrease (excluding earnings offset) 200 basis point parallel increase   (including earnings offset) 200 basis point parallel decrease (including earnings offset)
(1) (2) (3) (4) (5) (6)
Currency code
  200 basis point parallel increase   (excluding earnings offset) 200 basis point parallel decrease (excluding earnings offset) 200 basis point parallel increase   (including earnings offset) 200 basis point parallel decrease (including earnings offset)
  (2) (3) (4) (5)
Total  
Section B: IRRBB capital requirement  
1. Internal model
Table 1. Breakdown of IRRBB capital requirement
Currency Description for composites of immaterial currencies Repricing and yield curve risks Basis risk Optionality risk Diversification benefit amount (between risks) Embedded loss/gain amount Total
(1) (2) (3) (4) (5) (6) (7) (8)
Currency code
Table 2. Diversification benefit amount (between currencies) and total IRRBB capital requirement
  Repricing and yield curve risks Basis risk Optionality risk Diversification benefit amount (between risks) Embedded loss/gain amount Total
  (2) (3) (4) (5) (6) (7)
Diversification benefit amount (between currencies)    
Total IRRBB capital requirement
RWA equivalent amount of the IRRBB capital requirement  
2. Alternative approach specified by APRA
RWA equivalent amount of the IRRBB capital requirement