Interest Rate Risk in the Banking Book
December 2024
Consequential reporting changes to ARS 110.0 – Capital Adequacy
On 6 December 2024, APRA published a letter to authorised deposit-taking institutions (ADIs) seeking feedback on proposed consequential amendments to Reporting Standard ARS 110.0 – Capital Adequacy (ARS 110), following its consultation on targeted liquidity changes in November 2023 and on Interest Rate Risk in the Banking Book (IRRBB) reporting in July 2024.
Written submissions should be sent to DataConsultations@apra.gov.au by 14 February 2025.
The draft reporting standard and consultation letter can be found below:
September 2024
On 23 September 2024, APRA remade Prudential Standard APS 117 Capital Adequacy: Interest Rate Risk in the Banking Book (Advanced ADIs), which followed a short consultation. APRA received no submissions to the consultation.
The remade standard can be found below:
Remade prudential standard
Prudential Standard APS 117 Capital Adequacy: Interest Rate Risk in the Banking Book (Advanced ADIs)
July 2024
Revisions to framework on Interest Rate Risk in the Banking Book
On 8 July 2024, APRA published a response to submissions to its December 2023 consultation on Interest Rate Risk in the Banking Book (IRRBB) revisions, the final revised Prudential Standard APS 117 Interest Rate Risk in the Banking Book (APS 117) and the final revised Prudential Practice Guide APG 117 Capital Adequacy: Interest Rate Risk in the Banking Book (APG 117). Accompanying the prudential standard and practice guide is the final revised Reporting Standard ARS 117.0 IRRBB Repricing Analysis Collection (ARS 117.0) and the final revised Reporting Standard ARS 117.1 IRRBB Capital Charge Collection (ARS 117.1) and associated reporting guides.
The materials related to the responses for these two consultations can be found below:
Response to prudential standards consultation
Letter
Finalisation of Interest Rate Risk in the Banking Book requirements
Final prudential standard
Final prudential practice guide
Non-confidential submissions
Response to reporting standards consultation
Letter
Interest Rate Risk in the Banking Book Reporting (IRRBB) – Response to Submissions
Final reporting standards
Final reporting practice guide
117.0 Calculation Example spreadsheet
Non-confidential submissions
December 2023
On 12 December 2023, APRA published a response to consultation on its proposed revisions to the Prudential Standard APS 117 Interest Rate Risk in the Banking book (IRRBB), released for consultation in November 2022.
The proposals outlined in the response paper principally reaffirm that all banks are required to manage their material risks, including IRRBB, commensurate with their nature, scale, and complexity. Where APRA deems banks are not managing their interest rate risk appropriately, APRA may require them to hold additional regulatory capital under APS 117.
APRA is now commencing a short consultation on some aspects of APS 117 which are also relevant to smaller banks.
In a letter to industry released today, APRA has also commenced consultation on reporting standards (ARS 117.0 and ARS 117.1) and the reporting practice guidance (APG 117.0) to accompany the updated prudential standard APS 117.
The materials related to the response and small consultation on APS 117, and the new consultation on APG 117 and related reporting standards and guidance can be found below:
Media release: APRA moves to reinforce requirements for banks to manage interest rate risk.
Response to consultation on APS 117:
Submissions must be sent to ADIpolicy@apra.gov.au by 1 March 2024.
Response paper
Draft prudential standard
Draft prudential practice guide
Non-confidential submissions
Consultation on ARS 117:
Submissions must be sent to DataConsultations@apra.gov.au by 1 March 2024.
Letter
Draft reporting standards
Draft reporting practice guide
November 2022
On 28 November, APRA released a response to consultation on its proposed revisions to Prudential Standard APS 117 Capital Adequacy: Interest Rate Risk in the Banking Book (APS 117).
APS 117 sets out the requirements that an ADI must meet in managing its interest rate risk in the banking book (IRRBB) risk. As part of this response paper, APRA is also consulting on new proposed revisions to APS 117, which are designed to reduce volatility in the IRRBB capital charge calculation as well as creating better incentives for ADIs in managing their IRRBB risk. As part of this consultation, APRA is also seeking feedback on the capital treatment of cash flow hedge reserves and associated tax effects.
APRA requests industry feedback on the new proposed revisions by 1 March 2023.
The response paper, clean and marked-up versions of the draft revised APS 117 and non-confidential submissions are available below:
Response paper
Prudential standards
Non-confidential submissions
September 2019
Response paper on interest rate risk in the banking book requirements
The September 2019 consultation includes APRA’s response to the submissions received in relation to its initial proposals on the revised interest rate risk in the banking book (IRRBB) requirements, and commences a detailed consultation on other amendments to strengthen the IRRBB prudential framework. It also includes a draft Prudential Standard APS 117 Capital Adequacy: Interest Rate Risk in the Banking Book.
Written submissions are requested by 6 December 2019.
Note on submissions
It is APRA's policy to publish all submissions on the APRA website unless the respondent specifically tells APRA in writing that all or part of the submission is to remain confidential. An automatically generated confidentiality statement in an email does not satisfy this purpose. If you would like only part of your submission to be confidential, you should provide this information marked as 'confidential' in a separate attachment.
Submissions may be the subject of a request for access made under the Freedom of Information Act 1982 (FOIA). APRA will determine such requests, if any, in accordance with the provisions of the FOIA. Information in the submission about any APRA-regulated entity that is not in the public domain and that is identified as confidential will be protected by section 56 of the Australian Prudential Regulation Authority Act 1998 and will therefore be exempt from production under the FOIA.