APRA Updates Reporting Standard on Interest Rate Risk in Banking Book
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.
Related Links
- 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
Featured Experts
María Cañamero
Skilled market researcher; growth strategist; successful go-to-market campaign developer
Nicolas Degruson
Works with financial institutions, regulatory experts, business analysts, product managers, and software engineers to drive regulatory solutions across the globe.
Patrycja Oleksza
Applies proficiency and knowledge to regulatory capital and reporting analysis and coordinates business and product strategies in the banking technology area
Previous Article
SRB Launches 2020 Data Collection Cycle for Resolution ReportingRelated Articles
EU Amends CRD4 and CRD5 as Part of Capital Markets Recovery Package
EU published Directive 2021/338, which amends the Markets in Financial Instruments Directive (MiFID) II and the Capital Requirements Directives (CRD 4 and 5) to facilitate recovery from the COVID-19 crisis.
EU Committee Recommends Systemic Risk Buffer of 4.5% in Norway
The Standing Committee of the European Free Trade Association (EFTA) recommended that a systemic risk buffer level of 4.5% for domestic exposures can be considered appropriate for addressing the identified systemic risks to the stability of the financial system in Norway.
PRA Clarifies Approach to Onshoring of Credit Risk Rules for UK Banks
In a recent statement, PRA clarified its approach to the application of certain EU regulatory technical standards and EBA guidelines on standardized and internal ratings-based approaches to credit risk, following the end of the Brexit transition.
FSB Sets Out Work Priorities for 2021
In a recently published letter addressed to the G20 finance ministers and central bank governors, the FSB Chair Randal K. Quarles has set out the key FSB priorities for 2021.
EU Publishes Corrigendum to Revised Capital Requirements Regulation
EU published, in the Official Journal of the European Union, a corrigendum to the revised Capital Requirements Regulation (CRR2 or Regulation 2019/876).
ESAs Issue Statement on Application of Sustainability Disclosures Rule
ESAs published a joint supervisory statement on the effective and consistent application and on national supervision of the regulation on sustainability-related disclosures in the financial services sector (SFDR).
EC Consults on Crisis Management and Deposit Insurance Frameworks
EC published a public consultation on the review of crisis management and deposit insurance frameworks in EU.
HKMA Enhances Loan Guarantee Scheme to Alleviate Pressure on SMEs
HKMA announced that enhancements will be made to the Special 100% Loan Guarantee of the SME Financing Guarantee Scheme (SFGS) and the application period will be extended to December 31, 2021.
EBA Proposes Standards for Supervisory Cooperation Under IFD
EBA launched consultations on the regulatory and implementing technical standards on cooperation and information exchange between competent authorities involved in prudential supervision of investment firms.
BoE Addresses Banks in Scope of First Resolvability Assessment
BoE issued a letter to the CEOs of eight major UK banks that are in scope of the first Resolvability Assessment Framework (RAF) reporting and disclosure cycle.
