Revision to the ADI capital framework: Reporting standards for consultation and parallel run expectations

To: All authorised deposit-taking institutions (ADIs)

On 12 December 2023, APRA released draft requirements for ADIs in relation to managing interest rate risk in the banking book (IRRBB) risk, contained in Prudential Standard APS 117 Capital Adequacy: Interest Rate Risk in the Banking Book (APS 117). 

APRA is now releasing for consultation draft IRRBB reporting standards and reporting guidance to:  

1. support policy changes made to the APS 117 and align to Basel’s IRRBB framework (2016); 
    
2. cater for the migration of the data collection from D2A to APRA Connect; 
    
3. reduce (and remove in some instances) the need for ad hoc excel spreadsheet IRRBB data collections; and  
    
4. enable APRA to better identify and respond to IRRBB risks.

The draft IRRBB reporting requirements are designed to be proportionate across ADIs relative to the nature, scale and complexity of an ADI’s operations. The application of the IRRBB reporting standards across ADIs is unchanged compared to the current IRRBB data collections.

Pre-consultation industry engagement

On 31 July 2023, APRA publicly released a review of the data collections roadmap outlining APRA’s commitment in prioritising the IRRBB data collections to support APRA’s policy priorities for banking and to address data gaps.¹

During September and October 2023, APRA hosted two pre-consultation industry workshops to present draft IRRBB reporting specifications as well as a ‘playback’ session. These workshops provided an opportunity for industry to engage early and provide feedback on draft IRRBB reporting specifications ahead of consultation.  
APRA has reflected on this feedback and incorporated changes to the draft IRRBB reporting standards where applicable.

IRRBB draft reporting standards and guidance

To support APS 117, APRA has created two draft reporting standards and one reporting practice guide for consultation:

• Reporting Standard ARS 117.0 Repricing Analysis (ARS 117.0); 
   
• Reporting Standard ARS 117.1 Interest Rate Risk in the Banking Book Capital Charge (ARS 117.1); and 
   
• Reporting Practice Guide RPG 117.0 Reporting Concepts for the Repricing Analysis data collection (RPG 117.0)

Upon implementation, the revised reporting standards will replace the current versions of these reporting standards:

• Reporting Standard ARS 117.0 Repricing Analysis (ARS 117.0); 
   
• Reporting Standard ARS 117.1 Interest Rate Risk in the Banking Book IRRBB (ARS 117.1)

Consequential and other minor updates to ADI reporting standards

APRA has identified one other ADI reporting standard that requires minor updates due to changes to APS 117.

• Reporting Standard ARS 110.0 Capital Adequacy (ARS 110.0)

APRA will update cross-references to APS 117 in ARS 110.0 before APS 117 comes into effect.  Further, data submitted by ADIs under Item 3.1 in ARS 110.0 are expected to match the amount calculated in the revised ARS 117.1 for reporting periods ending on or after 1 October 2025 onwards.

Parallel run expectations

APRA intends to collect data through both D2A and APRA Connect for two quarters before the effective commencement of APS 117 on 1 October 2025. The 1st and 2nd parallel runs are planned for the reporting periods ending 30 June 2025 and 30 September 2025.

The first ‘go-live’ return will be collected in APRA Connect for the reporting period ending 31 December 2025. APRA expects to decommission D2A collections for ARS 117.0 and ARS 117.1 at that time, subject to data quality assurance and successful implementation of the APRA Connect IRRBB data collections. 

Next steps

APRA is committed to finalising ARS 117.0 and ARS 117.1 in 2024 and provide ADIs with certainty for planning. APRA proposes that the IRRBB reporting standards will be effective for the reporting period ending 31 December 2025. 

ADIs are invited to comment on the proposed changes. Written submissions should be sent to DataConsultations@apra.gov.au by 1 March 2024 and addressed to:

Senior Manager, Data Collection Design and Management  
Technology and Data Division 
Australian Prudential Regulation Authority

Yours sincerely,

Andy Robertson 
Chief Data Officer 
Technology and Data Division

Important disclosure requirements – publication of submissions 

All information in submissions will be made available to the public on the APRA website unless a respondent expressly requests that all or part of the submission is to remain in confidence. Requests for submissions to remain in confidence are to be clearly marked on the first page of the submission. Automatically generated confidentiality statements in emails do not suffice for this purpose. Respondents who would like part of their submission to remain in confidence 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 consider and determine such requests, if any, in accordance with the provisions of the FOIA. Information in the submission about the affairs of any APRA-regulated entity that is not in the public domain is protected information under section 56 of the Australian Prudential Regulation Authority Act 1998 and will, subject to limited exceptions, be exempt from production under the FOIA.

Footnotes

¹  Review of data collections roadmap

²  If the ADI is an ‘outlier’, then under APS 117, APRA may require the ADI to reduce their level of IRRBB risk or impose a Pillar 1 capital charge if the level of IRRBB risk is too large and not managed appropriately relative to the ADI’s size and complexity.

³ For the avoidance of doubt, “Material” compliance implies that the ADI is largely compliant with the majority of the requirements of the ARS 117.0 and ARS 117.1 reporting standards.