Regulatory Alerts2024-06-27
Added · Updated
RPG 117 Reporting Concepts for the Interest Rate Risk in the Banking Book data collection, including Repricing Analysis
APRA provides guidance on accurately reporting repricing profiles for Interest Rate Risk in the Banking Book under ARS 117.0 and ARS 117.1 for Authorised Deposit-taking Institutions. The document specifies how to classify on-balance sheet items, such as fixed and variable rate loans, and off-balance sheet derivatives like swaps, options, and futures into appropriate time buckets based on contractual or expected behavioural repricing. It mandates that trading book items be excluded from reporting and defines the treatment of offset accounts and core deposits according to the ADI's size and behavioural analysis capabilities.
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