Financial Sector (Collection of Data) (reporting standard) determination No. 15 of 2025
Reporting Standard ARS 117.0 Repricing Analysis
Financial Sector (Collection of Data) Act 2001
I, Andrew Robertson, delegate of APRA, under paragraph 13(1)(a) of the Financial Sector (Collection of Data) Act 2001 (the Act) and subsection 33(3) of the Acts Interpretation Act 1901:
Under section 15 of the Act, I declare that Reporting Standard ARS 117.0 Repricing Analysis shall begin to apply to those financial sector entities on the day after this instrument is registered on the Federal Register of Legislation.
This instrument commences at the start of the day after it is registered on the Federal Register of Legislation.
Dated: 3 June 2025
Andrew Robertson
General Manager - Chief Data Officer
Technology and Data Division
Interpretation
In this Determination:
APRA means the Australian Prudential Regulation Authority.
financial sector entity means financial sector entities of a kind referred to in paragraphs 5(2)(a) to (d) of the Act.
Schedule
Reporting Standard ARS 117.0 Repricing Analysis comprises the document commencing on the following page.
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 117.0 Repricing Analysis and associated instructions (all of which are attached and form part of this Reporting Standard) and should be read in conjunction with Prudential Standard APS 117 Capital Adequacy: Interest Rate Risk in the Banking Book.
Note: For the avoidance of doubt, if the due date for a particular reporting period falls on a day other than a usual business day, APRA’s expectation is that an ADI will submit the information required no later than the due date.
old reporting standard means the reporting standard revoked by the determination that makes this Reporting Standard (being the reporting standard that this Reporting Standard replaces); and
transitional reporting period means a reporting period under the old reporting standard:
Note: For the avoidance of doubt, if an ADI was required to report under an old reporting standard, and the reporting documents were due before the date of revocation of the old reporting standard, the ADI is still required to provide any overdue reporting documents in accordance with the old reporting standard.
AASB has the meaning in section 9 of the Corporations Act 2001.
ADI means an authorised deposit-taking institution within the meaning of the Banking Act 1959.
APRA means the Australian Prudential Regulation Authority established under the Australian Prudential Regulation Authority Act 1998.
APS 001 means Prudential Standard APS 001 Definitions.
authorised NOHC has the meaning given in the Banking Act 1959.
bank – advanced means an Australian-owned bank or a foreign subsidiary bank that has APRA’s approval to use an internal ratings-based approach to credit risk for capital adequacy purposes.
bank – standardised means an Australian-owned bank or a foreign subsidiary bank that uses the standardised approach to credit risk for capital adequacy purposes in respect of the whole of its operations.
branch of a foreign bank means a ‘foreign ADI’ as defined in section 5 of the Banking Act 1959.
business days means ordinary business days, exclusive of Saturdays, Sundays and public holidays.
building society means a locally incorporated ADI that assumes or uses the expression ‘building society’ in relation to its banking business.
class of ADI means each of the following:
credit union means a locally incorporated ADI that assumes or uses the expression ‘credit union’ in relation to its banking business.
due date means the relevant due date under paragraph 11 or, if applicable, the date on a notice of extension given under paragraph 12.
foreign ADI has the meaning in section 5 of the Banking Act 1959.
foreign subsidiary bank means a locally incorporated ADI in which a bank that is not locally incorporated has a stake of more than 15 per cent.
Level 1 has the meaning given in APS 001.
Level 2 has the meaning given in APS 001.
locally incorporated means incorporated in Australia or in a State or Territory of Australia, by or under a Commonwealth, State or Territory law.
Non-significant financial institution (non-SFI) means an APRA-regulated entity (ADI) or its authorised non-operating holding company (NOHC) that is not a significant financial institution.
other ADI means an ADI that is not an Australian-owned bank, a branch of a foreign bank, a building society, a credit union, a foreign subsidiary bank, or a provider or a purchased payment facilities.
provider of purchased payment facilities (PPF) means an ADI that is subject to a condition on its authority under section 9 of the Banking Act 1959 confining the banking business that the ADI is authorised to carry on to providing purchased payment facilities.
reporting period means a period mentioned in paragraph 9 or, if applicable, paragraph 10.
Significant financial institution (SFI) has the meaning given in APS 001.
subsidiary has the meaning given in the Corporations Act 2001.
This instruction guide is designed to assist in the completion of the Repricing Analysis form (ARF 117.0). This form measures an authorised deposit taking institution’s (ADI’s) exposure to repricing risk. In completing this form, ADIs should refer to Prudential Standard APS 117 Capital Adequacy: Interest Rate Risk in the Banking Book (APS 117).
Terms highlighted in bold italics are defined in paragraph 19 of this Reporting Standard, or the Definitions in this Instruction Guide.
The form is to be completed at Level 1 and Level 2 by all ADIs other than providers of purchased payment facilities.
If an ADI is a subsidiary of a NOHC, the report at Level 2 is to be provided by the ADI’s immediate parent NOHC[1].
Data is to be reported as at the end of the reporting period.
The specific instructions specifies which tables are required to be completed across each class of ADI.
Except as otherwise specified in these instructions, the following applies:
Unless otherwise specified, report all values in whole Australian dollars (AUD), with no decimal place.
ADI’s are required to express their banking book items with respect to assets. Liability cash flows are expected to be predominantly negative.
Amounts denominated in foreign currency are to be converted to AUD in accordance with AASB 121 The Effects of Changes in Foreign Exchange Rates (AASB 121).
Definitions in this Reporting Standard are presented in the following groups:
Assets
Asset and Lease Financing | Means financing that enables access to an asset in exchange for periodic payments. |
Australian Government Securities | Has the meaning given in ARS 701.0. |
Australian State Government or Territory Central Borrowing Authorities Securities | Has the meaning given in ARS 701.0 for semi-government securities. |
Bank and Financial Institution Securities | Means all securities issued by banks and other financial institutions. |
Business Loans - Fixed Rate | Refers to business loans, where the interest rate is fixed for some part of the original term, at the end of the fixed interest rate period the contract may provide for transition to a variable interest rate or for a new interest rate to be negotiated. |
Business Loans - Variable Rate | Refers to business loans, where fluctuations in interest rates generally occur at the discretion of the lender and/or in response to movements in some other interest rate or other variable specified in the contract. These fluctuations in interest rates may result in changes to required payments or length of the agreement. |
Corporate Securities | Means all securities issued by corporations other than banks and other financial institutions. |
Credit Cards | Has the meaning given in ARS 701.0. |
Debt securities | Has the meaning given in ARS 701.0. |
Home Loans - Fixed Rate | Refers to residential property exposures as defined in Prudential Standard APS 112 Capital Adequacy: Standardised Approach to Credit Risk (APS 112), where the interest rate is fixed for some part of the original term, at the end of the fixed interest rate period the contract may provide for transition to a variable interest rate or for a new interest rate to be negotiated. |
Home Loans - Variable Rate | Refers to residential property exposures as defined in APS 112, where fluctuations in interest rates generally occur at the discretion of the lender and/or in response to movements in some other interest rate or other variable specified in the contract. These fluctuations in interest rates may result in changes to required payments or length of the agreement. |
Inter-company Loans | Means the amounts receivable resulting from related party transactions. |
Money Market Securities | Means short term money market instruments such as certificates of deposits, non-negotiable certificates of deposits, bank bills, commercial paper and reverse repurchase agreements. |
Mortgage and Asset Backed Securities | Includes debt securities that are backed by cash flows from residential mortgages and from assets other than residential mortgages. For Asset-backed securities, in the event of bankruptcy, the investor has recourse only to the collateral and not the originator or servicer of the loans or finance leases. |
Notes and coins, Deposits with Central Banks and Cash Equivalents | Includes:
|
Other assets | Refers to all other assets that are not reported under any other repricing item, including non-interest earning assets that are not already separately reported. This includes but is not limited to:
|
Other Loans and Advances | Refers to any loans or advances provided which are not reported under any other repricing item. |
Personal Loans | Means loans to households excluding home loans and credit cards. |
Securities issued by foreign sovereigns | Means all securities issued by overseas central, state, and regional governments. |
Liabilities
Additional Tier 1 capital items | Has the meaning given in Prudential Standard APS 111 Capital Adequacy: Measurement of Capital (APS 111). |
Bond issuance | Includes both domestic and offshore bond issuance such as medium-term notes and covered bonds. Excludes any securitisation issued. |
Deposits - Inter-company | Refers to deposits by related entities e.g. parent company, subsidiary or branch. |
Deposits - Savings Accounts | Means deposits where the product is designed for the retail and commercial markets other than Deposits - Transaction Accounts or Deposits - Term Deposits. These deposits have limited access (e.g. only a limited number or value of withdrawals may be made from the account in a given period), incur penalties or fees (e.g. the loss of bonus interest, withdrawal fees), or have other restrictions on use of funds for payment or withdrawal. Interest rates on Saving Accounts typically move in line with the prevalent market rates. |
Deposits - Term Deposits | Means deposits where the product is designed for the retail and commercial markets in which money has been placed for a fixed period for a stated interest rate. It includes:
It excludes:
|
Deposits - Transaction Accounts | Means deposits where the product is designed for the retail and commercial market, where the meaning given in ARS 701.0 for transaction deposits. |
Other borrowings | Refers to all other borrowings that are not reported under any other repricing item. |
Other deposits | Refers to all other deposits that are not reported under any other repricing item. |
Other liabilities | Refers to all other liabilities that are not reported under any other repricing item. Includes non-interest earning liabilities that are not separately reported. This includes but is not limited to:
|
Securitisation | Has the meaning given in ARS 701.0. |
Tier 2 capital items | Has the meaning given in APS 111. |
Wholesale short term funding | Report any issuance of certificate of deposits, negotiable certificates of deposit, commercial paper and repurchase agreements. |
Derivatives and Other commitments
Foreign Exchange-linked Derivatives | Refers to each leg against the currency applicable to that leg. |
Interest rate - futures and FRAs | Refers to the cash flows of the underlying physical instrument for futures and Forward Rate Agreements (FRAs). |
Interest rate - options | Refers to the delta-equivalent amounts of the underlying or notional underlying instrument. |
Interest rate - swaps (pay fixed) | Refers to interest rate swaps with pay-fixed and receive-floating legs. |
Interest rate - swaps (receive fixed) | Refers to interest rate swaps with receive-fixed and pay-floating legs. |
Interest rate - swaps (basis swaps) | Refers to interest rate swaps with two floating rate legs. |
Other Derivatives | Refers to all other derivatives that are not reported under any other repricing item. |
Other Commitments (timing is known) | Refers to undrawn (off-balance sheet) lending commitments, where timing of the interest rate repricing is known. This represents the maximum unused portion of the commitment that could be drawn during the remaining period to maturity. Any drawn portion of a commitment forms part of an entity's on-balance sheet exposure and is not to be reported at this item. For the purposes of this item, commitments where no interest rate has been locked in should not be reported. Commitments are generally considered to have arisen once the reporting party makes a firm offer to a client (i.e. customer acceptance is not required). Therefore, a commitment will arise once a letter of offer is provided to the client by the reporting party. |
Other key terms
Approved IRRBB model | Has the meaning given in APS 117. |
Assumed maturity profile for shareholders’ equity | Refers to the assumed maturity profile for shareholders’ equity reflective of targeted term and strategy of equity investments. |
Banking book | Has the meaning given in ARS 701.0. |
Core deposit | Has the meaning given in APS 117. |
Deposit Replicating Portfolio | Refers to expected repricing for all core deposit balances instead of contractual repricing. |
Financial institutions | Has the meaning given in ARS 701.0. |
The ARS 117.0 collection set contains three tables:
These tables are to be completed at Level 1 and (where relevant) Level 2 by each ADI that is included in one of the classes of ADI to which these tables apply, as set out below.
Class of ADI | Table 1 | Table 2[3] | Table 3 |
Bank – Advanced | Yes | Yes | No |
Bank – Standardised | Yes | Yes | Yes |
Branch of a Foreign Bank | Yes | Yes | No |
Building Society | Yes | Yes | Yes |
Credit Union | Yes | Yes | Yes |
Provider of Purchased Payment Facilities | No | No | No |
Other ADI | Yes | Yes | Yes |
If an ADI is a subsidiary of an authorised NOHC, the report at Level 2 is to be provided by the ADI’s immediate parent NOHC.
APRA may determine, in writing, that an individual ADI of one class of ADI is to be treated, for the purposes of this Reporting Standard, as though it was an ADI of another class of ADI.
There are 17 time buckets in this form. The time buckets on the form indicate the periods in which the interest rates applying to repricing items are expected to reprice (i.e. term to next interest rate repricing/change). They do not indicate the residual term of the original maturity of the instrument itself, however the two may coincide (e.g. bank bills, term deposits, money market loans).
The amount recorded in each time bucket for each item is the amount of principal and interest cash flow that is expected to reprice during that time period rather than any fair value representation.
The “Overnight (O/N)” bucket is to represent exposures that reprice overnight. Not all balance sheet items may be exposed to interest rate risk. For such items, these should be reported under the “Non-interest rate sensitive” time bucket.
SFI ADIs are required to express their repricing profiles of banking book items as a series of future notional principal and interest cash flows in Table 1 and 2. Non-SFIs are required to complete the principal repricing cash flows only (interest only cash flow is optional for Non-SFIs).
The repricing analysis is to be completed for the contractual repricing profile (Table 1) and the expected repricing profile (Table 2) of banking book items. For Table 2, the expected repricing profile of assets and liabilities should consider expected loan prepayment / amortisation rates and deposit portfolio run-off, rather than contractual repricing where these are expected to be materially different. An ADI is not required to submit any items in Table 2 if the ADI does not conduct behavioural modelling.
In reporting the ADI’s Deposit Replicating Portfolio different methodologies apply in Table 1 and Table 2 based on the class of ADI and whether the ADI conducts behavioural analysis to determine core / non-core deposits. The methodology that applies is as per the following table.
Allocation methodology of core deposit balance to the repricing time buckets
Class of ADI | Table 1 | Table 2 |
Bank – Advanced | Internal behavioural assumptions (as per the Approved IRRBB model) | Internal behavioural assumptions |
All other ADIs (except PPFs) who: |
|
|
| APRA prescribed | Internal behavioural assumptions |
| None* | None* |
*ADIs that do not conduct behavioural analysis to determine core/non-core deposits should not report a deposit replicating portfolio in Table 1 nor Table 2.
Entities required to allocate the core deposit balance to the repricing buckets according to the APRA prescribed profile should use the following allocation table.
Prescribed Repricing Profile for Core Deposits
Time bucket | Proportion of Core deposits |
Overnight (O/N) | -100% |
0 to < 1 month (excluding O/N) | 4% |
1 to < 2 months | 5% |
2 to < 3 months | 5% |
3 to < 6 months | 10% |
6 to < 9 months | 10% |
9 to < 12 months | 12% |
1 to < 2 years | 27% |
2 to < 3 years | 27% |
3+ years | 0% |
Total | 0% |
Table 3 captures interest rate sensitivities across specified tenor buckets across six interest rate shock scenarios, aggregated across reported currencies.
The six prescribed interest rate shocks scenarios are defined in Basel Committee on Banking Supervision (BCBS) (2016) Interest Rate Risk in the Banking Book[4]. These include:
For each Tenor bucket, the notional contractual repricing cash flows are aggregated using values from Table 1. This results in a single positive or negative net notional cash flow amount for each tenor bucket.
To derive a maturity ladder, notional cash flows are to be grouped into a series of tenor buckets (time bands) according to the occurrence of the contractual repricing cash flows. The tenor buckets and weighting factors are specified in the table below. [5]
Weighting factors (%) used in calculation of interest rate sensitivities in Table 3
| Tenor | Parallel shock up | Parallel shock down | Steepener shock | Flattener shock | Short rate shock up | Short rate shock down |
1 | Overnight (O/N) | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |
2 | 0 to <1 month (excluding O/N) | 0.12 | -0.12 | -0.11 | 0.14 | 0.18 | -0.18 |
3 | 1 to < 2 months | 0.36 | -0.36 | -0.33 | 0.41 | 0.52 | -0.52 |
4 | 2 to < 3 months | 0.60 | -0.60 | -0.53 | 0.67 | 0.85 | -0.85 |
5 | 3 to < 6 months | 1.07 | -1.07 | -0.89 | 1.13 | 1.46 | -1.46 |
6 | 6 to < 9 months | 1.79 | -1.79 | -1.33 | 1.73 | 2.29 | -2.29 |
7 | 9 to < 12 months | 2.50 | -2.50 | -1.66 | 2.21 | 3.01 | -3.01 |
8 | 1 to < 2 years | 4.15 | -4.15 | -2.00 | 2.90 | 4.28 | -4.28 |
9 | 2 to < 3 years | 6.74 | -6.74 | -1.64 | 3.08 | 5.41 | -5.41 |
10 | 3 to < 4 years | 9.21 | -9.21 | -0.52 | 2.46 | 5.76 | -5.76 |
11 | 4 to < 5 years | 11.56 | -11.56 | 1.03 | 1.38 | 5.63 | -5.63 |
12 | 5 to < 7 years | 15.23 | -15.23 | 3.78 | -0.65 | 5.10 | -5.10 |
13 | 7 to < 10 years | 19.89 | -19.89 | 8.19 | -4.16 | 3.56 | -3.56 |
14 | 10 to < 15 years | 26.75 | -26.75 | 14.20 | -8.82 | 1.76 | -1.76 |
15 | 15 to < 20 years | 33.64 | -33.64 | 19.52 | -12.78 | 0.64 | -0.64 |
16 | 20+ years | 39.04 | -39.04 | 23.20 | -15.39 | 0.21 | -0.21 |
17 | Non-interest rate sensitive | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |
For each maturity ladder:
Table 1 captures an ADI’s contractual repricing gap positions of banking book items split across assets, liabilities, and derivatives. For each repricing item, an ADI is to report the gap repricing profile across specified tenor buckets, currency and cash flow type (principal and interest).
All repricing items are to be reported based on contractual repricing term of the relevant banking book item, except for the ‘Deposit Replicating Portfolio’ (see specific instructions on Deposit Replicating Portfolio above).
Data fields required to be reported are listed below. They are shown sequentially in the column order that they will appear in the reported data set. Each row of the table must be a unique combination of Currency, Repricing Item, Tenor, and Cash flow type (columns 1-4). Constraints on the data that can be reported for each field have also been provided.
| Name | Valid values | Description |
1 | Currency | Applicable three-letter currency code | Report the currency to which the exposure relates. Currency codes are the three-letter currency code as assigned by the ISO 4217 Maintenance Agency to a currency defined under the International Organization for Standardization’s International Standard ISO 4217:2015. ADIs are to report across all currencies to which they have an exposure. |
2 | Repricing item | Assets
Liabilities
Derivatives and other commitments
Other items
| Report the repricing item to which the cash flow is related. Repricing items across the banking book are split across assets, liabilities, derivatives and other items. ADI’s are required to report contractual repricing cash flows across these items by currency, tenor and cash-flow type. ADI’s are required to express their banking book items with respect to assets. Liability cash flows are expected to be predominantly negative.
|
3 | Tenor |
| Report the Tenor (time) bucket in which the repricing items are contracted to reprice. |
4 | Cash flow type | Principal Interest | Report the type of repricing event (‘principal’ or ‘interest’) applicable for each cash flow. SFIs are required to express their banking book items as a series of future notional principal cash flows and interest cash flows. Non-SFIs are required to complete the principal repricing cash flows only (interest only cash flow is optional for Non-SFIs).
|
5 | Value | Whole dollars | Report the value of the contractual repricing cash flow. |
Table 2 captures an ADI’s expected repricing gap positions of banking book items split across assets, liabilities, and derivatives. Similar to Table 1, for each repricing item, an ADI is to report the gap repricing profile across specified tenor buckets, currency and cash flow type (principal and interest).
For an ADI that conducts behavioural modelling of banking book items, the ADI is required to express these banking book items as a series of expected future notional cash flows based on the expected repricing profile of these assets, liabilities and derivatives, rather than the contractual repricing or original maturity.
All repricing items are to be reported based on behavioural repricing assumptions that the ADI may utilize from internal modelling. For the purposes of Table 2, the behavioural modelling does not require approval from APRA. Behavioural repricing analysis should be consistent with balance sheet gap reported internally for IRRBB risk management purposes.
Elements of the balance sheet that are not subject to a behavioural model are to be reported in Table 2 on a contractual basis. For an ADI that does not conduct behavioural modelling, the ADI is not required to submit any items in Table 2.
Data fields required to be reported are listed below. They are shown sequentially in the column order that they will appear in the reported data set. Each row of the table must be a unique combination of Currency, Repricing Item, Tenor, and Cash flow type (columns 1-4). Constraints on the data that can be reported for each field have also been provided.
| Name | Valid values | Description |
1 | Currency | Applicable three-letter currency code | Report the currency to which the exposure relates. Currency codes are the three-letter currency code as assigned by the ISO 4217 Maintenance Agency to a currency defined under the International Organization for Standardization’s International Standard ISO 4217:2015. |
2 | Repricing item | Assets
Liabilities
Derivatives and other commitments
Other items
| Report the repricing item to which the cash flow is related. Repricing items across the banking book are split across assets, liabilities, derivatives and other items. ADI’s are required to report behavioural repricing cash flows across these items by currency, tenor and cash-flow type. ADI’s are required to express their banking book items with respect to assets. Liability cash flows are expected to be predominantly negative.
|
3 | Tenor |
| Report the Tenor (time) bucket in which the repricing items are expected to reprice. |
4 | Cash flow type | Principal Interest | Report the type of repricing event (‘principal’ or ‘interest’) applicable for each cash flow. SFIs are required to express their banking book items as a series of future notional principal cash flows and interest cash flows. Non-SFIs are required to complete the principal repricing cash flows only (interest only cash flow is optional for Non-SFIs).
|
5 | Value | Whole dollars | Report the value of the expected repricing cash flow. Where a repricing item is not subject to behavioural modelling (e.g. notes and coins), the contractual repricing cash flow is to be reported. Typical behavioural assumptions include core/non-core deposit split, stickiness profiling, prepayment rate and early withdrawal rate. Rollover assumptions such as a 6-month term deposit rolling over into another 6-month term deposit at maturity, should not be included for the purpose of completing this table. |
Table 3 captures interest rate sensitivities across specified tenor buckets across six interest rate shock scenarios, aggregated across reported currencies.
| Name | Valid values | Description |
1 | Tenor |
| These values are fixed in the table. |
2 | Net position / gap | Whole dollars | Report the value calculated from Table 1. Repricing Analysis - Contractual by aggregating cash flows in each tenor bucket. This results in a single positive or negative net position/gap for each tenor bucket. The value displayed in the ‘Total’ row is a derived item. It is calculated as the sum of the aggregate cashflows for each tenor reported in this column. |
3 | Parallel shock up | Whole dollars | Report the interest rate sensitivity calculated by multiplying net position/gap by the weighting for each tenor for “parallel shock up” in the table above: Weighting factors (%) used in calculation of interest rate sensitivities. The value displayed in the ‘Total’ row is a derived item. It is calculated as the sum of the weighted net position/gap for each tenor reported in this column. |
4 | Parallel shock down | Whole dollars | Report the interest rate sensitivity calculated by multiplying net position/gap by the weighting for each tenor for “parallel shock down” in the table above: Weighting factors (%) used in calculation of interest rate sensitivities. The value displayed in the ‘Total’ row is a derived item. It is calculated as the sum of the weighted net position/gap for each tenor reported in this column. |
5 | Steepener shock | Whole dollars | Report the interest rate sensitivity calculated by multiplying net position/gap by the weighting for each tenor for “steepener shock” in the table above: Weighting factors (%) used in calculation of interest rate sensitivities. The value displayed in the ‘Total’ row is a derived item. It is calculated as the sum of the weighted net position/gap for each tenor reported in this column. |
6 | Flattener shock | Whole dollars | Report the interest rate sensitivity calculated by multiplying net position/gap by the weighting for each tenor for “flattener shock” in the table above: Weighting factors (%) used in calculation of interest rate sensitivities. The value displayed in the ‘Total’ row is a derived item. It is calculated as the sum of the weighted net position/gap for each tenor reported in this column. |
7 | Short rate shock up | Whole dollars | Report the interest rate sensitivity calculated by multiplying net position/gap by the weighting for each tenor for “short rate shock up” in the table above: Weighting factors (%) used in calculation of interest rate sensitivities. The value displayed in the ‘Total’ row is a derived item. It is calculated as the sum of the weighted net position/gap for each tenor reported in this column. |
8 | Short rate shock down | Whole dollars | Report the interest rate sensitivity calculated by multiplying net position/gap by the weighting for each tenor for “short rate shock down” in the table above: Weighting factors (%) used in calculation of interest rate sensitivities. The value displayed in the ‘Total’ row is a derived item. It is calculated as the sum of the weighted net position/gap for each tenor reported in this column. |
[1] Refer to paragraph 7 of this reporting standard.
[3] For the avoidance of doubt, an ADI is not required to submit any items in Table 2 if the ADI does not conduct behavioural modelling.
[4] https://www.bis.org/bcbs/publ/d368.pdf
[5] These weighting factors are based on a five per cent coupon bond yielding five per cent with maturity in the middle of each time band.