This Prudential Standard sets out the requirements that an authorised deposit-taking institution with approval to use an internal model for interest rate risk in the banking book must meet for regulatory capital purposes, both at the time of initial implementation and on an ongoing basis.

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: 158.68 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).

This reporting standard outlines the overall requirements for the provision of information to APRA in relation to an authorised deposit-taking institution’s interest rate risk in the banking book regulatory capital. It should be read in conjunction with: