Commonwealth Coat of Arms of Australia

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:

 

  1.           revoke Financial Sector (Collection of Data) (reporting standard) determination No. 3 of 2023, including Reporting Standard ARS 117.0 Repricing Analysis made under that Determination; and

 

  1.           determine Reporting Standard ARS 117.0 Repricing Analysis, in the form set out in the Schedule, which applies to the financial sector entities to the extent provided in paragraphs 3 and 4 of that reporting standard.

 

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.

Federal Register of Legislation means the register established under section 15A of the Legislation Act 2003.

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.

Commonwealth Coat of Arms of Australia

Reporting Standard ARS 117.0

Repricing Analysis

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.

 

  1.              This Reporting Standard is made under section 13 of the Financial Sector (Collection of Data) Act 2001.
  1.              Information collected under this Reporting Standard is used by APRA for the purpose of prudential supervision. It may also be used by the Reserve Bank of Australia (RBA) and the Australian Bureau of Statistics (ABS).
  1.              This Reporting Standard applies to all classes of authorised deposit-taking institutions (ADIs) except providers of purchased payment facilities.
  2.              This Reporting Standard may also apply to the immediate parent non-operating holding company (NOHC) of an ADI (refer to paragraph 7).
  3.              This Reporting Standard applies for reporting periods ending on or after 1 October 2025.
  1.              An ADI to which this Reporting Standard applies must provide APRA with the information required by this Reporting Standard designated for an ADI at Level 1 in respect of each reporting period.
  2.              If an ADI to which this Reporting Standard applies is part of a Level 2 group, the ADI must also provide APRA with the information required by this Reporting Standard designated for an ADI at Level 2 for each reporting period, unless the ADI is a subsidiary of an authorised NOHC. If the ADI is a subsidiary of an authorised NOHC, the ADI’s immediate parent NOHC must provide APRA with the information required by that form for each reporting period. In doing so, the immediate parent NOHC must comply with this Reporting Standard (other than paragraphs 6 and 13) as if it were the relevant ADI.
  1.              The information required by this Reporting Standard must be given to APRA:
  1.           in electronic format using an electronic method available on APRA’s website; or
  2.           by a method notified by APRA prior to submission.
  1.              Subject to paragraph 10, an ADI to which this Reporting Standard applies must provide the information required by this Reporting Standard for each quarter based on the financial year (within the meaning of the Corporations Act 2001) of the ADI.
  2.          APRA may, by notice in writing, change the reporting periods, or specified reporting periods, for a particular ADI, to require it to provide the information required by this Reporting Standard more frequently, or less frequently, having regard to:
  1.           the particular circumstances of the ADI;
  1.           the extent to which the information is required for the purposes of the prudential supervision of the ADI; and
  2.           the requirements of the RBA or the ABS.
  1.          The information required by this Reporting Standard must be provided to APRA within 35 calendar days after the end of the reporting period to which this information relates.
  2.          APRA may, by notice in writing, extend the due date by which an ADI must provide the information required by this Reporting Standard, in which case the new due date will be the date specified in the notice of extension.

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.

  1.          All information provided by an ADI under this Reporting Standard (except for the information required under paragraph 7) must be the product of systems, processes and controls that have been reviewed and tested by the external auditor of the ADI as set out in Prudential Standard APS 310 Audit and Related Matters. Relevant standards and guidance statements issued by the Auditing and Assurance Standards Board provide information on the scope and nature of the review and testing required from external auditors. This review and testing must be done on an annual basis or more frequently if required by the external auditor to enable the external auditor to form an opinion on the accuracy and reliability of the information provided by an ADI under this Reporting Standard.
  2.          All information provided by an ADI under this Reporting Standard must be subject to processes and controls developed by the ADI for the internal review and authorisation of that information. These systems, processes and controls are to assure the completeness and reliability of the information provided.
  1.          When an officer or agent of an ADI provides the information required by this Reporting Standard using an electronic format, the officer or agent must digitally sign the relevant information using a digital certificate acceptable to APRA.
  1.          APRA may, by written notice to the ADI, vary the reporting requirements of this Reporting Standard in relation to that ADI.
  2.          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.
  1.          An ADI must report under the old reporting standard in respect of a transitional reporting period. For these purposes:

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:

  1.           that ended before 1 October 2025; and
  2.           in relation to which the ADI was required, under the old reporting standard, to report by a date on or after the date of revocation of 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.

  1.          In this 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:

  1.                     bank – advanced;
  2.                  bank – standardised;
  3.                branch of a foreign bank;
  4.                 building society;
  5.                   credit union;
  6.                 other ADI; and
  7.              provider of a purchased payment facilities

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.

immediate parent NOHC means an authorised NOHC, or a subsidiary of an authorised NOHC, that is an immediate parent NOHC.

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.

  1.          Unless the contrary intention appears, a reference to an Act, Regulation, Prudential Standard, Reporting Standard, Australian Accounting Standard or Auditing Standard is a reference to the instrument as in force or existing from time to time.

Reporting Form ARF 117.0

Repricing Analysis

Instruction Guide

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:

  1.              Where an ADI (or a member of its Level 2 consolidated group) participates in a securitisation that meets APRA’s operational requirements for regulatory capital relief under Prudential Standard APS 120 Securitisation (APS 120):
  1.           special purpose vehicles (SPVs) holding securitised assets may be treated as non-consolidated independent third parties for regulatory reporting purposes, irrespective of whether the SPVs (or their assets) are consolidated for accounting purposes;
  2.           the assets, liabilities, revenues and expenses of the relevant SPVs may be excluded from the ADI’s reported amounts in APRA’s regulatory reporting returns; and
  3.           the underlying exposures (i.e. the pool) under such a securitisation may be excluded from the calculation of regulatory capital (refer to APS 120). However, the ADI must still hold regulatory capital for any securitisation exposure[2] that it retains or acquires and such exposures are to be reported in Reporting Form ARF 120.1 Securitisation – Regulatory Capital. The risk-weighted assets relating to such securitisation exposures must also be reported in ARS 110.0.
  1.              Where an ADI (or a member of its Level 2 consolidated group) participates in a securitisation that does not meet APRA’s operational requirements for regulatory capital relief under APS 120,  or the ADI undertakes a funding-only securitisation or synthetic securitisation, such assets are to be reported as on-balance sheet in APRA’s regulatory reporting returns.

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:

  • holdings of Australian and foreign physical currencies and cash on hand;
  • funds deposited into Exchange Settlement Accounts of central banks; and
  • highly liquid assets that are readily convertible to known amounts of cash, which are subject to an insignificant risk of changes in value and have an overnight repricing profile. This excludes items listed in Money Market Securities.

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:

  • Property, plant and equipment;
  • Investments in associates and joint ventures; and
  • Goodwill and intangible assets

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:

  • term deposits; and
  • fixed-term deposits with a notice of withdrawal requirement.

It excludes:

  • non-transaction deposits that do not have a fixed term; and
  • certificate of deposits.

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:

  • Provisions;
  • Collateral posted;
  • Other accounts payable; and
  • Tax liabilities.

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:

 

 

  • conduct behavioural analysis to determine core/non-core deposits

APRA prescribed

Internal behavioural assumptions

  • do not conduct behavioural analysis to determine core/non-core deposits

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:

  1.                     Parallel shock up;
  2.                   Parallel shock down;
  3.                 Steepener shock (short rates down and long rates up);
  4.                 Flattener shock (short rates up and long rates down);
  5.                    Short rate shock up; and
  6.                 Short rate shock down.

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:

  1.       The cash flows are added up in each tenor bucket. This results in a single positive or negative net position/gap for each tenor bucket.
  2.      The net position/gap for each tenor bucket is multiplied by the relevant weighting factor specified in the maturity ladder table above to calculate the sensitivity of the position for each time band across each of the six interest rate shock scenarios.
  3.       The resulting weighted positions for each of the six interest rate shock scenarios are then added up to determine the net (positive or negative) interest rate sensitivity for each interest rate shock scenario.

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

  • Notes and coins, Deposits with Central Banks and Cash Equivalents
  • Australian Government Securities
  • Australian State Government or Territory Central Borrowing Authorities Securities
  • Securities issued by foreign sovereigns
  • Bank and Financial Institution Securities
  • Corporate Securities
  • Mortgage and Asset Backed Securities
  • Money Market Securities
  • Home Loans - Fixed Rate
  • Home Loans - Variable Rate
  • Business Loans - Fixed Rate
  • Business Loans - Variable Rate
  • Personal Loans
  • Credit Cards
  • Inter-company Loans
  • Other Loans and Advances
  • Asset and Lease Financing
  • Other assets

Liabilities

  • Deposits - Term Deposits
  • Deposits - Transaction Accounts
  • Deposits - Savings Accounts
  • Deposits - Inter-company
  • Other deposits
  • Wholesale short term funding
  • Securitisation
  • Bond issuance
  • Other borrowings
  • Additional Tier 1 capital items
  • Tier 2 capital items
  • Other liabilities

Derivatives and other commitments

  • Interest rate - swaps (pay fixed)
  • Interest rate - swaps (receive fixed)
  • Interest rate - swaps (basis swaps)
  • Interest rate - options
  • Interest rate - futures and FRAs
  • Foreign Exchange-linked Derivatives
  • Other Derivatives
  • Other Commitments (timing is known)

Other items

  • Deposit Replicating Portfolio

 

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

  •     Overnight (O/N)
  • 0 to < 1 month (excluding O/N)
  • 1 to < 2 months
  • 2 to < 3 months
  • 3 to < 6 months
  • 6 to < 9 months
  • 9 to < 12 months
  • 1 to < 2 years
  • 2 to < 3 years
  • 3 to < 4 years
  • 4 to < 5 years
  • 5 to < 7 years
  • 7 to < 10 years
  • 10 to < 15 years
  • 15 to < 20 years
  • 20+ years
  •     Non-interest rate sensitive

 

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

  • Notes and coins, Deposits with Central Banks and Cash Equivalents
  • Australian Government Securities
  • Australian State Government or Territory Central Borrowing Authorities Securities
  • Securities issued by foreign sovereigns
  • Bank and Financial Institution Securities
  • Corporate Securities
  • Mortgage and Asset Backed Securities
  • Money Market Securities
  • Home Loans - Fixed Rate
  • Home Loans - Variable Rate
  • Business Loans - Fixed Rate
  • Business Loans - Variable Rate
  • Personal Loans
  • Credit Cards
  • Inter-company Loans
  • Other Loans and Advances
  • Asset and Lease Financing
  • Other assets

Liabilities

  • Deposits - Term Deposits
  • Deposits - Transaction Accounts
  • Deposits - Savings Accounts
  • Deposits - Inter-company
  • Other deposits
  • Wholesale short term funding
  • Securitisation
  • Bond issuance
  • Other borrowings
  • Additional Tier 1 capital items
  • Tier 2 capital items
  • Other liabilities

Derivatives and other commitments

  • Interest rate - swaps (pay fixed)
  • Interest rate - swaps (receive fixed)
  • Interest rate - swaps (basis swaps)
  • Interest rate - options
  • Interest rate - futures and FRAs
  • Foreign Exchange-linked Derivatives
  • Other Derivatives
  • Other Commitments (timing is known)

Other items

  • Deposit Replicating Portfolio
  • Assumed maturity profile for shareholders’ equity

 

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

  •     Overnight (O/N)
  • 0 to < 1 month (excluding O/N)
  • 1 to < 2 months
  • 2 to < 3 months
  • 3 to < 6 months
  • 6 to < 9 months
  • 9 to < 12 months
  • 1 to < 2 years
  • 2 to < 3 years
  • 3 to < 4 years
  • 4 to < 5 years
  • 5 to < 7 years
  • 7 to < 10 years
  • 10 to < 15 years
  • 15 to < 20 years
  • 20+ years
  •     Non-interest rate sensitive

 

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

  •     Overnight (O/N)
  • 0 to < 1 month (excluding O/N)
  • 1 to < 2 months
  • 2 to < 3 months
  • 3 to < 6 months
  • 6 to < 9 months
  • 9 to < 12 months
  • 1 to < 2 years
  • 2 to < 3 years
  • 3 to < 4 years
  • 4 to < 5 years
  • 5 to < 7 years
  • 7 to < 10 years
  • 10 to < 15 years
  • 15 to < 20 years
  • 20+ years
  •     Non-interest rate sensitive
  •     Total

 

 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.

[2] “securitisation exposure” is defined in accordance with APS 120.

[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.