APRA has remade ARS 117.1, the reporting standard on interest rate risk in the banking book (IRRBB), which was due to expire on October 01, 2019. The new reporting standard has updated references to the prudential standard APS 117, which sets out the requirements that an authorized deposit-taking institution with approval to use an internal model for IRRBB must meet for regulatory capital purposes. The updated ARS 117.1 will apply for reporting periods commencing on or after October 01, 2019.
Even after the new standard becomes applicable, the reporting requirements and the group of authorized deposit-taking institutions that are required to report will remain unchanged. APRA will maintain the existing reporting requirements while it consults on revisions to the framework for IRRBB. On September 04, 2019, APRA had launched a consultation on the IRRBB framework for authorized deposit-taking institutions. This consultation ends on December 06, 2019. Additionally, APRA is expected to propose changes to the reporting and disclosure requirements and a revised prudential practice guide for IRRBB in 2020. APRA has proposed for the revised APS 117 to commence on January 01, 2022, in line with the international agreed Basel committee implementation timeline.
ARS 117.1 outlines the overall requirements for the provision of information to APRA in relation to the IRRBB regulatory capital of an authorized deposit-taking institution. ARS 117.1, which should be read in conjunction with APS 117, includes the reporting form ARF 117.1 and the associated instructions for an authorized deposit-taking institution reporting at Level 1 and Level 2. ARS 117.1 applies to an authorized deposit-taking institution that has approval from APRA or is seeking approval form APRA to use an internal model approach for the calculation of the IRRBB regulatory capital of an authorized deposit-taking institution.
- Reporting Standard on IRRB
- Prudential Standard on IRRBB
- Proposed IRRBB Standard (PDF)
- APRA Standards and Guidance
Effective Date: October 01, 2019
Keywords: Asia Pacific, Australia, Banking, IRRBB, ARS 117.1, APS 117, Interest Rate Risk, Internal Models, Regulatory Capital, Reporting, APRA
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