AU: APS 117 Capital Adequacy: Interest Rate Risk in the Banking Book
|
|
| Regulator |
APRA |
| Jurisdiction |
AU |
| Status |
live |
| Applicability |
Platform |
APRA Prudential Standard APS 117 Capital Adequacy: Interest Rate Risk in the Banking Book (IRRBB)
governs how ADIs measure, manage, and hold capital against interest rate risk arising in the banking book.
It implements the Basel Committee on Banking Supervision IRRBB standards (2016). ADIs must measure IRRBB
using two complementary metrics — Economic Value of Equity (EVE) and Net Interest Income (NII) sensitivity
— under six prescribed stress scenarios. If EVE sensitivity exceeds 15% of Tier 1 capital the ADI is an
"outlier" and must notify APRA; APRA may impose an additional capital charge.
All ADIs must produce quarterly ARS 117 regulatory returns and maintain a board-approved risk appetite
for IRRBB.
Compliance register
This register maps every material obligation under APS 117 to the platform control or institutional
process that satisfies it. It is the static traceability layer for the Totara compliance report —
dynamic data (module build status, test evidence, control test dates) is overlaid at runtime.
Scope legend
| Symbol |
Meaning |
| 🤖 Automated |
Platform enforces or performs the obligation. Primary control mode is GATE, AUTO, CALC, or ALERT. Human action is not required in the normal case. |
| 📊 Evidenced |
Platform captures the evidence trail automatically. Human compliance decision sits on top. Primary control mode is LOG. |
| 🏛 Institutional |
Obligation is met by a process entirely outside the platform — ALCO, board, treasury. Platform may generate evidence inputs but does not own the process. |
| N/A |
Obligation does not apply to this deployment configuration. |
Build legend
| Symbol |
Meaning |
| ✅ |
Module built and deployed |
| 🔨 |
Module planned — not yet built (build_status: Not started) |
| ❌ |
Uncontrolled gap — no module attributed |
Part 2 — IRRBB measurement
| Ref |
Obligation |
Scope |
Policy |
Platform controls |
Build |
| Para 14 |
Measure EVE sensitivity under all six prescribed BCBS scenarios: parallel up, parallel down, steepener, flattener, short rate shock up, short rate shock down |
🤖 Automated |
CLQ-004 |
MOD-035 (CALC) — IRRBB/EVE/NII model computes EVE sensitivity under all prescribed scenarios from live balance sheet positions; not a quarterly batch exercise |
🔨 |
| Para 16 |
Measure NII sensitivity over a 12-month horizon under prescribed scenarios |
🤖 Automated |
CLQ-004 |
MOD-035 (CALC) — NII sensitivity computed alongside EVE from the same balance sheet position data |
🔨 |
| Para 18 |
Outlier test — if ΔEVE > 15% of Tier 1 capital, automatically escalate to APRA and Board |
🤖 Automated |
CLQ-004 |
MOD-035 (CALC) — outlier threshold monitored continuously; MOD-150 (CALC) — RAF dashboard displays EVE/Tier 1 ratio; ALERT raised when the 15% threshold is approached |
🔨 |
| Para 22 |
Document and maintain assumptions for behavioural items (prepayments, non-maturity deposits, interest rate repricing dates) |
📊 Evidenced |
CLQ-004 |
MOD-035 (LOG) — all modelling assumptions logged with version and effective date; assumption changes require a review workflow before they take effect |
🔨 |
| Para 25 |
Internal limits for IRRBB aligned to risk appetite; escalation procedures if limits are breached |
🤖 Automated |
CLQ-004 |
MOD-150 (CALC) — IRRBB metrics are core RAF components; ALCO escalation auto-triggered when RAF limits are breached |
🔨 |
Part 3 — Capital charge and reporting
| Ref |
Obligation |
Scope |
Policy |
Platform controls |
Build |
| Para 30 |
Additional capital requirement for IRRBB — APRA may impose a Pillar 2 capital add-on where IRRBB is not adequately captured in Pillar 1 |
🏛 Institutional |
CLQ-004, CLQ-005 |
MOD-035 provides the quantitative evidence base for APRA review. The Pillar 2 determination is APRA's supervisory act; any resulting capital add-on is reflected in the CLQ-001 capital ratio target. |
— |
| Para 33 |
Quarterly ARS 117 return submitted to APRA |
🤖 Automated |
REP-002 |
MOD-036 (AUTO) — prudential return builder populates ARS 117 from MOD-035 IRRBB outputs on schedule; MOD-036 (LOG) — every figure traceable to source calculation |
🔨 |
| Obligation |
Owner |
Platform evidence input |
| Board-approved risk appetite statement for IRRBB |
Board / ALCO |
MOD-150 RAF dashboard displays EVE and NII sensitivity against Board-approved RAS limits; RAS approval is a board resolution |
| ALCO review of IRRBB position and limit adherence |
ALCO / CRO |
MOD-035 produces the IRRBB position report; ALCO review and any management decisions are institutional |
| Pillar 2 IRRBB capital add-on negotiation with APRA |
CRO / CFO / APRA |
MOD-035 and MOD-033 provide the quantitative evidence; regulatory engagement is institutional |
| Model validation of the IRRBB model (MOD-035) |
Head of Model Risk |
MOD-035 build includes model documentation; independent validation is an institutional process per the model risk management framework |
Coverage summary
| Area |
Total obligations |
Platform automated 🤖 |
Platform evidenced 📊 |
Institutional 🏛 |
N/A |
| IRRBB measurement |
5 |
4 |
1 |
0 |
0 |
| Capital and reporting |
2 |
1 |
0 |
1 |
0 |
| Total |
7 |
5 (71%) |
1 (14%) |
1 (14%) |
0 |
All attributed modules are currently build_status: Not started. The compliance position will update as
modules are built and deployed.
| Policy |
Title |
| CLQ-004 |
Interest Rate Risk in the Banking Book (IRRBB) Policy |
| CLQ-005 |
Internal Capital Adequacy Assessment Process (ICAAP) Policy |
| REP-002 |
Prudential Reporting Policy |
Official documentation
Policies referencing this standard
- CLQ-004 — Interest Rate Risk in the Banking Book (IRRBB) Policy
Compiled 2026-05-22 from source/entities/regulations/au-aps-117.yaml