This Prudential Standard sets out the requirements that an authorised deposit-taking institution must meet to ensure it prudently manages interest rate risk in the banking book, and be approved by APRA to use an internal model for determining its interest rate risk in the banking book capital charge.

This prudential practice guide aims to assist ADIs in complying with APRA's requirements of ADIs to manage and measure interest rate risk in the banking book and, more generally, to outline prudent practices to manage and measure IRRBB.  |  File type: PDF  |  File size: 564.83 KB

Through this reporting practice guide, APRA seeks to provide information to ADIs on how key IRRBB concepts may be accurately reported, including practical implementation guidance and examples.  |  File type: PDF  |  File size: 551.26 KB

This Reporting Standard outlines the requirements to provide information to APRA about an authorised deposit-taking institution’s repricing profile. It includes reporting form ARF 117.0A Repricing Analysis – Denominated in AUD and the series of reporting forms ARF 117.0B.1 to ARF 117.0B.9 Repricing Analysis – Denominated in Foreign Currency and should be read in conjunction with Prudential Standard APS 117 Capital Adequacy: Interest Rate Risk in the Banking Book (Advanced ADIs).