{"id":"F2025L00649","name":"Financial Sector (Collection of Data) (reporting standard) determination No. 15 of 2025","slug":"financial-sector-collection-of-data-reporting-standard-determination-no-15-of-2025","collection":"legislative_instrument","jurisdiction":"commonwealth","status":"in_force","isInForce":true,"actNumber":null,"makingDate":null,"administeringDepartment":null,"currentVersion":{"id":106426,"registerId":"commonwealth-F2025L00649-current","compilationNumber":null,"startDate":"2026-04-03","status":"InForce","reasons":null,"registeredAt":null},"sections":[{"sectionNumber":"Reporting Standard ARS 117.0","sectionType":"part","heading":"Reporting Standard ARS 117.0","content":"![Commonwealth Coat of Arms of Australia](image.001.png)\n\n# Reporting Standard ARS 117.0\n\n# Repricing Analysis\n\n### Objective of this reporting standard\n\nThis Reporting Standard outlines the requirements to provide information to APRA about an authorised deposit-taking institution’s repricing profile.\n\nIt 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.\n\n#### Authority\n\n1. This Reporting Standard is made under section 13 of the Financial Sector (Collection of Data) Act 2001.\n\n#### Purpose\n\n1. 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).\n\n#### Application\n\n1. This Reporting Standard applies to all classes of authorised deposit-taking institutions (ADIs) except providers of purchased payment facilities.\n2. This Reporting Standard may also apply to the immediate parent non-operating holding company (NOHC) of an ADI (refer to paragraph 7).\n3. This Reporting Standard applies for reporting periods ending on or after 1 October 2025.\n\n#### Information required\n\n1. 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.\n2. 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.\n\n#### Method of submission\n\n1. The information required by this Reporting Standard must be given to APRA:\n\n in electronic format using an electronic method available on APRA’s website; or\n by a method notified by APRA prior to submission.\n\n#### Reporting periods and due dates\n\n1. 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.\n2. 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:\n\n the particular circumstances of the ADI;\n\n the extent to which the information is required for the purposes of the prudential supervision of the ADI; and\n the requirements of the RBA or the ABS.\n\n1. 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.\n2. 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.\n\nNote: 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.\n\n#### Quality control\n\n1. 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.\n2. 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.\n\n#### Authorisation\n\n1. 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.\n\n#### Variations\n\n1. APRA may, by written notice to the ADI, vary the reporting requirements of this Reporting Standard in relation to that ADI.\n2. 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.\n\n#### Transition\n\n1. An ADI must report under the old reporting standard in respect of a transitional reporting period. For these purposes:\n\nold 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\n\ntransitional reporting period means a reporting period under the old reporting standard:\n\n1. that ended before 1 October 2025; and\n2. 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.\n\nNote: 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.\n\n#### Interpretation\n\n1. In this Reporting Standard:\n\nAASB has the meaning in section 9 of the Corporations Act 2001.\n\nADI means an authorised deposit-taking institution within the meaning of the Banking Act 1959.\n\nAPRA means the Australian Prudential Regulation Authority established under the Australian Prudential Regulation Authority Act 1998.\n\nAPS 001 means Prudential Standard APS 001 Definitions.\n\nauthorised NOHC has the meaning given in the Banking Act 1959.\n\nbank – 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.\n\nbank – 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.\n\nbranch of a foreign bank means a ‘foreign ADI’ as defined in section 5 of the Banking Act 1959.\n\nbusiness days means ordinary business days, exclusive of Saturdays, Sundays and public holidays.\n\nbuilding society means a locally incorporated ADI that assumes or uses the expression ‘building society’ in relation to its banking business.\n\nclass of ADI means each of the following:\n\n1. bank – advanced;\n2. bank – standardised;\n3. branch of a foreign bank;\n4. building society;\n5. credit union;\n6. other ADI; and\n7. provider of a purchased payment facilities\n\ncredit union means a locally incorporated ADI that assumes or uses the expression ‘credit union’ in relation to its banking business.\n\ndue date means the relevant due date under paragraph 11 or, if applicable, the date on a notice of extension given under paragraph 12.\n\nforeign ADI has the meaning in section 5 of the Banking Act 1959.\n\nforeign 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.\n\nimmediate parent NOHC means an authorised NOHC, or a subsidiary of an authorised NOHC, that is an immediate parent NOHC.\n\nLevel 1 has the meaning given in APS 001.\n\nLevel 2 has the meaning given in APS 001.\n\nlocally incorporated means incorporated in Australia or in a State or Territory of Australia, by or under a Commonwealth, State or Territory law.\n\nNon-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.\n\nother 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.\n\nprovider 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.\n\nreporting period means a period mentioned in paragraph 9 or, if applicable, paragraph 10.\n\nSignificant financial institution (SFI) has the meaning given in APS 001.\n\nsubsidiary has the meaning given in the Corporations Act 2001.\n\n1. 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.","sortOrder":0},{"sectionNumber":"Repricing Analysis","sectionType":"part","heading":"Repricing Analysis","content":"# Repricing Analysis\n\n### Objective of this reporting standard\n\nThis Reporting Standard outlines the requirements to provide information to APRA about an authorised deposit-taking institution’s repricing profile.\n\nIt 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.\n\n#### Authority\n\n1. This Reporting Standard is made under section 13 of the Financial Sector (Collection of Data) Act 2001.\n\n#### Purpose\n\n1. 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).\n\n#### Application\n\n1. This Reporting Standard applies to all classes of authorised deposit-taking institutions (ADIs) except providers of purchased payment facilities.\n2. This Reporting Standard may also apply to the immediate parent non-operating holding company (NOHC) of an ADI (refer to paragraph 7).\n3. This Reporting Standard applies for reporting periods ending on or after 1 October 2025.\n\n#### Information required\n\n1. 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.\n2. 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.\n\n#### Method of submission\n\n1. The information required by this Reporting Standard must be given to APRA:\n\n in electronic format using an electronic method available on APRA’s website; or\n by a method notified by APRA prior to submission.\n\n#### Reporting periods and due dates\n\n1. 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.\n2. 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:\n\n the particular circumstances of the ADI;\n\n the extent to which the information is required for the purposes of the prudential supervision of the ADI; and\n the requirements of the RBA or the ABS.\n\n1. 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.\n2. 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.\n\nNote: 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.\n\n#### Quality control\n\n1. 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.\n2. 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.\n\n#### Authorisation\n\n1. 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.\n\n#### Variations\n\n1. APRA may, by written notice to the ADI, vary the reporting requirements of this Reporting Standard in relation to that ADI.\n2. 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.\n\n#### Transition\n\n1. An ADI must report under the old reporting standard in respect of a transitional reporting period. For these purposes:\n\nold 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\n\ntransitional reporting period means a reporting period under the old reporting standard:\n\n1. that ended before 1 October 2025; and\n2. 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.\n\nNote: 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.\n\n#### Interpretation\n\n1. In this Reporting Standard:\n\nAASB has the meaning in section 9 of the Corporations Act 2001.\n\nADI means an authorised deposit-taking institution within the meaning of the Banking Act 1959.\n\nAPRA means the Australian Prudential Regulation Authority established under the Australian Prudential Regulation Authority Act 1998.\n\nAPS 001 means Prudential Standard APS 001 Definitions.\n\nauthorised NOHC has the meaning given in the Banking Act 1959.\n\nbank – 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.\n\nbank – 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.\n\nbranch of a foreign bank means a ‘foreign ADI’ as defined in section 5 of the Banking Act 1959.\n\nbusiness days means ordinary business days, exclusive of Saturdays, Sundays and public holidays.\n\nbuilding society means a locally incorporated ADI that assumes or uses the expression ‘building society’ in relation to its banking business.\n\nclass of ADI means each of the following:\n\n1. bank – advanced;\n2. bank – standardised;\n3. branch of a foreign bank;\n4. building society;\n5. credit union;\n6. other ADI; and\n7. provider of a purchased payment facilities\n\ncredit union means a locally incorporated ADI that assumes or uses the expression ‘credit union’ in relation to its banking business.\n\ndue date means the relevant due date under paragraph 11 or, if applicable, the date on a notice of extension given under paragraph 12.\n\nforeign ADI has the meaning in section 5 of the Banking Act 1959.\n\nforeign 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.\n\nimmediate parent NOHC means an authorised NOHC, or a subsidiary of an authorised NOHC, that is an immediate parent NOHC.\n\nLevel 1 has the meaning given in APS 001.\n\nLevel 2 has the meaning given in APS 001.\n\nlocally incorporated means incorporated in Australia or in a State or Territory of Australia, by or under a Commonwealth, State or Territory law.\n\nNon-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.\n\nother 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.\n\nprovider 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.\n\nreporting period means a period mentioned in paragraph 9 or, if applicable, paragraph 10.\n\nSignificant financial institution (SFI) has the meaning given in APS 001.\n\nsubsidiary has the meaning given in the Corporations Act 2001.\n\n1. 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.","sortOrder":1},{"sectionNumber":"Objective of this reporting standard","sectionType":"division","heading":"Objective of this reporting standard","content":"### Objective of this reporting standard\n\nThis Reporting Standard outlines the requirements to provide information to APRA about an authorised deposit-taking institution’s repricing profile.\n\nIt 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.","sortOrder":2},{"sectionNumber":"Authority","sectionType":"subdivision","heading":"Authority","content":"#### Authority\n\n1. This Reporting Standard is made under section 13 of the Financial Sector (Collection of Data) Act 2001.","sortOrder":3},{"sectionNumber":"Purpose","sectionType":"subdivision","heading":"Purpose","content":"#### Purpose\n\n1. 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).","sortOrder":4},{"sectionNumber":"Application","sectionType":"subdivision","heading":"Application","content":"#### Application\n\n1. This Reporting Standard applies to all classes of authorised deposit-taking institutions (ADIs) except providers of purchased payment facilities.\n2. This Reporting Standard may also apply to the immediate parent non-operating holding company (NOHC) of an ADI (refer to paragraph 7).\n3. This Reporting Standard applies for reporting periods ending on or after 1 October 2025.","sortOrder":5},{"sectionNumber":"Information required","sectionType":"subdivision","heading":"Information required","content":"#### Information required\n\n1. 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.\n2. 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.","sortOrder":6},{"sectionNumber":"Method of submission","sectionType":"subdivision","heading":"Method of submission","content":"#### Method of submission\n\n1. The information required by this Reporting Standard must be given to APRA:\n\n in electronic format using an electronic method available on APRA’s website; or\n by a method notified by APRA prior to submission.","sortOrder":7},{"sectionNumber":"Reporting periods and due dates","sectionType":"subdivision","heading":"Reporting periods and due dates","content":"#### Reporting periods and due dates\n\n1. 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.\n2. 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:\n\n the particular circumstances of the ADI;\n\n the extent to which the information is required for the purposes of the prudential supervision of the ADI; and\n the requirements of the RBA or the ABS.\n\n1. 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.\n2. 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.\n\nNote: 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.","sortOrder":8},{"sectionNumber":"Quality control","sectionType":"subdivision","heading":"Quality control","content":"#### Quality control\n\n1. 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.\n2. 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.","sortOrder":9},{"sectionNumber":"Authorisation","sectionType":"subdivision","heading":"Authorisation","content":"#### Authorisation\n\n1. 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.","sortOrder":10},{"sectionNumber":"Variations","sectionType":"subdivision","heading":"Variations","content":"#### Variations\n\n1. APRA may, by written notice to the ADI, vary the reporting requirements of this Reporting Standard in relation to that ADI.\n2. 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.","sortOrder":11},{"sectionNumber":"Transition","sectionType":"subdivision","heading":"Transition","content":"#### Transition\n\n1. An ADI must report under the old reporting standard in respect of a transitional reporting period. For these purposes:\n\nold 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\n\ntransitional reporting period means a reporting period under the old reporting standard:\n\n1. that ended before 1 October 2025; and\n2. 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.\n\nNote: 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.","sortOrder":12},{"sectionNumber":"Interpretation","sectionType":"subdivision","heading":"Interpretation","content":"#### Interpretation\n\n1. In this Reporting Standard:\n\nAASB has the meaning in section 9 of the Corporations Act 2001.\n\nADI means an authorised deposit-taking institution within the meaning of the Banking Act 1959.\n\nAPRA means the Australian Prudential Regulation Authority established under the Australian Prudential Regulation Authority Act 1998.\n\nAPS 001 means Prudential Standard APS 001 Definitions.\n\nauthorised NOHC has the meaning given in the Banking Act 1959.\n\nbank – 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.\n\nbank – 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.\n\nbranch of a foreign bank means a ‘foreign ADI’ as defined in section 5 of the Banking Act 1959.\n\nbusiness days means ordinary business days, exclusive of Saturdays, Sundays and public holidays.\n\nbuilding society means a locally incorporated ADI that assumes or uses the expression ‘building society’ in relation to its banking business.\n\nclass of ADI means each of the following:\n\n1. bank – advanced;\n2. bank – standardised;\n3. branch of a foreign bank;\n4. building society;\n5. credit union;\n6. other ADI; and\n7. provider of a purchased payment facilities\n\ncredit union means a locally incorporated ADI that assumes or uses the expression ‘credit union’ in relation to its banking business.\n\ndue date means the relevant due date under paragraph 11 or, if applicable, the date on a notice of extension given under paragraph 12.\n\nforeign ADI has the meaning in section 5 of the Banking Act 1959.\n\nforeign 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.\n\nimmediate parent NOHC means an authorised NOHC, or a subsidiary of an authorised NOHC, that is an immediate parent NOHC.\n\nLevel 1 has the meaning given in APS 001.\n\nLevel 2 has the meaning given in APS 001.\n\nlocally incorporated means incorporated in Australia or in a State or Territory of Australia, by or under a Commonwealth, State or Territory law.\n\nNon-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.\n\nother 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.\n\nprovider 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.\n\nreporting period means a period mentioned in paragraph 9 or, if applicable, paragraph 10.\n\nSignificant financial institution (SFI) has the meaning given in APS 001.\n\nsubsidiary has the meaning given in the Corporations Act 2001.\n\n1. 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.","sortOrder":13},{"sectionNumber":"Reporting Form ARF 117.0","sectionType":"part","heading":"Reporting Form ARF 117.0","content":"# Reporting Form ARF 117.0\n\n# Repricing Analysis\n\n# Instruction Guide\n\nThis 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).\n\nTerms highlighted in bold italics are defined in paragraph 19 of this Reporting Standard, or the Definitions in this Instruction Guide.\n\n## General directions and notes\n\n#### Reporting entity\n\nThe form is to be completed at Level 1 and Level 2 by all ADIs other than providers of purchased payment facilities.\n\nIf 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\\]](#_ftn1).\n\nData is to be reported as at the end of the reporting period.\n\nThe specific instructions specifies which tables are required to be completed across each class of ADI.\n\n#### Securitisation deconsolidation principle\n\nExcept as otherwise specified in these instructions, the following applies:\n\n1. 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):\n\n1. 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;\n2. 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\n3. 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\\]](#_ftn2) 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.\n\n1. 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.\n\n#### Unit of measurement\n\nUnless otherwise specified, report all values in whole Australian dollars (AUD), with no decimal place.\n\nADI’s are required to express their banking book items with respect to assets. Liability cash flows are expected to be predominantly negative.\n\nAmounts 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).\n\n#### Definitions\n\nDefinitions in this Reporting Standard are presented in the following groups:\n\n Assets\n Liabilities\n Derivatives and Other commitments\n Other key terms\n\nAssets\n\n| Asset and Lease Financing | Means financing that enables access to an asset in exchange for periodic payments. |\n| --------------------------------------------------------------------------------- | -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- |\n| Australian Government Securities | Has the meaning given in ARS 701.0. |\n| Australian State Government or Territory Central Borrowing Authorities Securities | Has the meaning given in ARS 701.0 for semi-government securities. |\n| Bank and Financial Institution Securities | Means all securities issued by banks and other financial institutions. |\n| 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. |\n| 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. |\n| Corporate Securities | Means all securities issued by corporations other than banks and other financial institutions. |\n| Credit Cards | Has the meaning given in ARS 701.0. |\n| Debt securities | Has the meaning given in ARS 701.0. |\n| 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. |\n| 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. |\n| Inter-company Loans | Means the amounts receivable resulting from related party transactions. |\n| 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. |\n| 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. |\n| 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; andhighly 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. |\n| 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; andGoodwill and intangible assets |\n| Other Loans and Advances | Refers to any loans or advances provided which are not reported under any other repricing item. |\n| Personal Loans | Means loans to households excluding home loans and credit cards. |\n| Securities issued by foreign sovereigns | Means all securities issued by overseas central, state, and regional governments. |\n\nLiabilities\n\n| Additional Tier 1 capital items | Has the meaning given in Prudential Standard APS 111 Capital Adequacy: Measurement of Capital (APS 111). |\n| ------------------------------- | ---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- |\n| Bond issuance | Includes both domestic and offshore bond issuance such as medium-term notes and covered bonds. Excludes any securitisation issued. |\n| Deposits - Inter-company | Refers to deposits by related entities e.g. parent company, subsidiary or branch. |\n| 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. |\n| 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; andfixed-term deposits with a notice of withdrawal requirement.It excludes:non-transaction deposits that do not have a fixed term; andcertificate of deposits. |\n| 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. |\n| Other borrowings | Refers to all other borrowings that are not reported under any other repricing item. |\n| Other deposits | Refers to all other deposits that are not reported under any other repricing item. |\n| 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; andTax liabilities. |\n| Securitisation | Has the meaning given in ARS 701.0. |\n| Tier 2 capital items | Has the meaning given in APS 111. |\n| Wholesale short term funding | Report any issuance of certificate of deposits, negotiable certificates of deposit, commercial paper and repurchase agreements. |\n\nDerivatives and Other commitments\n\n| Foreign Exchange-linked Derivatives | Refers to each leg against the currency applicable to that leg. |\n| ------------------------------------- | --------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- |\n| Interest rate - futures and FRAs | Refers to the cash flows of the underlying physical instrument for futures and Forward Rate Agreements (FRAs). |\n| Interest rate - options | Refers to the delta-equivalent amounts of the underlying or notional underlying instrument. |\n| Interest rate - swaps (pay fixed) | Refers to interest rate swaps with pay-fixed and receive-floating legs. |\n| Interest rate - swaps (receive fixed) | Refers to interest rate swaps with receive-fixed and pay-floating legs. |\n| Interest rate - swaps (basis swaps) | Refers to interest rate swaps with two floating rate legs. |\n| Other Derivatives | Refers to all other derivatives that are not reported under any other repricing item. |\n| 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. |\n\nOther key terms\n\n| Approved IRRBB model | Has the meaning given in APS 117. |\n| ------------------------------------------------- | ------------------------------------------------------------------------------------------------------------------------------- |\n| Assumed maturity profile for shareholders’ equity | Refers to the assumed maturity profile for shareholders’ equity reflective of targeted term and strategy of equity investments. |\n| Banking book | Has the meaning given in ARS 701.0. |\n| Core deposit | Has the meaning given in APS 117. |\n| Deposit Replicating Portfolio | Refers to expected repricing for all core deposit balances instead of contractual repricing. |\n| Financial institutions | Has the meaning given in ARS 701.0. |\n\n \n\n## Specific instructions\n\n#### Reporting entity\n\nThe ARS 117.0 collection set contains three tables:\n\n Table 1: Repricing Analysis (Contractual)\n\n Table 2: Repricing Analysis (Expected)\n Table 3: Interest Rate Sensitivity of the Banking Book.\n\nThese 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.\n\n| Class of ADI | Table 1 | Table 2[3] | Table 3 |\n| ---------------------------------------- | ------- | ---------- | ------- |\n| Bank – Advanced | Yes | Yes | No |\n| Bank – Standardised | Yes | Yes | Yes |\n| Branch of a Foreign Bank | Yes | Yes | No |\n| Building Society | Yes | Yes | Yes |\n| Credit Union | Yes | Yes | Yes |\n| Provider of Purchased Payment Facilities | No | No | No |\n| Other ADI | Yes | Yes | Yes |\n\nIf 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.\n\nAPRA 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.\n\n#### Repricing Tenor (time) buckets\n\nThere 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).\n\nThe 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.\n\nThe “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.\n\n#### Principal and Interest Cash flow\n\nSFI 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).\n\n#### Contractual and Expected Cash flow\n\nThe 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.\n\n#### Deposit Replicating Portfolio\n\nIn 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.\n\nAllocation methodology of core deposit balance to the repricing time buckets\n\n| Class of ADI | Table 1 | Table 2 |\n| ----------------------------------------------------------------------- | ------------------------------------------------------------------ | -------------------------------- |\n| Bank – Advanced | Internal behavioural assumptions (as per the Approved IRRBB model) | Internal behavioural assumptions |\n| All other ADIs (except PPFs) who: | | |\n| conduct behavioural analysis to determine core/non-core deposits | APRA prescribed | Internal behavioural assumptions |\n| do not conduct behavioural analysis to determine core/non-core deposits | None* | None* |\n\n\\*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.\n\nEntities required to allocate the core deposit balance to the repricing buckets according to the APRA prescribed profile should use the following allocation table.\n\n \n\nPrescribed Repricing Profile for Core Deposits\n\n| Time bucket | Proportion of Core deposits |\n| ------------------------------ | --------------------------- |\n| Overnight (O/N) | -100% |\n| 0 to < 1 month (excluding O/N) | 4% |\n| 1 to < 2 months | 5% |\n| 2 to < 3 months | 5% |\n| 3 to < 6 months | 10% |\n| 6 to < 9 months | 10% |\n| 9 to < 12 months | 12% |\n| 1 to < 2 years | 27% |\n| 2 to < 3 years | 27% |\n| 3+ years | 0% |\n| Total | 0% |\n\n#### Interest rate sensitivity calculation\n\nTable 3 captures interest rate sensitivities across specified tenor buckets across six interest rate shock scenarios, aggregated across reported currencies.\n\nThe six prescribed interest rate shocks scenarios are defined in Basel Committee on Banking Supervision (BCBS) (2016) Interest Rate Risk in the Banking Book[\\[4\\]](#_ftn4). These include:\n\n1. Parallel shock up;\n2. Parallel shock down;\n3. Steepener shock (short rates down and long rates up);\n4. Flattener shock (short rates up and long rates down);\n5. Short rate shock up; and\n6. Short rate shock down.\n\nFor 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.\n\nTo 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\\]](#_ftn5)\n\nWeighting factors (%) used in calculation of interest rate sensitivities in Table 3\n\n| | Tenor | Parallel shock up | Parallel shock down | Steepenershock | Flattenershock | Short rate shock up | Short rate shock down |\n| --- | ----------------------------- | ----------------- | ------------------- | -------------- | -------------- | ------------------- | --------------------- |\n| 1 | Overnight (O/N) | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |\n| 2 | 0 to <1 month (excluding O/N) | 0.12 | -0.12 | -0.11 | 0.14 | 0.18 | -0.18 |\n| 3 | 1 to < 2 months | 0.36 | -0.36 | -0.33 | 0.41 | 0.52 | -0.52 |\n| 4 | 2 to < 3 months | 0.60 | -0.60 | -0.53 | 0.67 | 0.85 | -0.85 |\n| 5 | 3 to < 6 months | 1.07 | -1.07 | -0.89 | 1.13 | 1.46 | -1.46 |\n| 6 | 6 to < 9 months | 1.79 | -1.79 | -1.33 | 1.73 | 2.29 | -2.29 |\n| 7 | 9 to < 12 months | 2.50 | -2.50 | -1.66 | 2.21 | 3.01 | -3.01 |\n| 8 | 1 to < 2 years | 4.15 | -4.15 | -2.00 | 2.90 | 4.28 | -4.28 |\n| 9 | 2 to < 3 years | 6.74 | -6.74 | -1.64 | 3.08 | 5.41 | -5.41 |\n| 10 | 3 to < 4 years | 9.21 | -9.21 | -0.52 | 2.46 | 5.76 | -5.76 |\n| 11 | 4 to < 5 years | 11.56 | -11.56 | 1.03 | 1.38 | 5.63 | -5.63 |\n| 12 | 5 to < 7 years | 15.23 | -15.23 | 3.78 | -0.65 | 5.10 | -5.10 |\n| 13 | 7 to < 10 years | 19.89 | -19.89 | 8.19 | -4.16 | 3.56 | -3.56 |\n| 14 | 10 to < 15 years | 26.75 | -26.75 | 14.20 | -8.82 | 1.76 | -1.76 |\n| 15 | 15 to < 20 years | 33.64 | -33.64 | 19.52 | -12.78 | 0.64 | -0.64 |\n| 16 | 20+ years | 39.04 | -39.04 | 23.20 | -15.39 | 0.21 | -0.21 |\n| 17 | Non-interest rate sensitive | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |\n\nFor each maturity ladder:\n\n 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.\n 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.\n 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.","sortOrder":14},{"sectionNumber":"Instruction Guide","sectionType":"part","heading":"Instruction Guide","content":"# Instruction Guide\n\nThis 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).\n\nTerms highlighted in bold italics are defined in paragraph 19 of this Reporting Standard, or the Definitions in this Instruction Guide.","sortOrder":16},{"sectionNumber":"General directions and notes","sectionType":"part","heading":"General directions and notes","content":"# Reporting Form ARF 117.0\n\n# Repricing Analysis\n\n# Instruction Guide\n\nThis 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).\n\nTerms highlighted in bold italics are defined in paragraph 19 of this Reporting Standard, or the Definitions in this Instruction Guide.\n\n## General directions and notes\n\n#### Reporting entity\n\nThe form is to be completed at Level 1 and Level 2 by all ADIs other than providers of purchased payment facilities.\n\nIf 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\\]](#_ftn1).\n\nData is to be reported as at the end of the reporting period.\n\nThe specific instructions specifies which tables are required to be completed across each class of ADI.\n\n#### Securitisation deconsolidation principle\n\nExcept as otherwise specified in these instructions, the following applies:\n\n1. 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):\n\n1. 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;\n2. 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\n3. 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\\]](#_ftn2) 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.\n\n1. 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.\n\n#### Unit of measurement\n\nUnless otherwise specified, report all values in whole Australian dollars (AUD), with no decimal place.\n\nADI’s are required to express their banking book items with respect to assets. Liability cash flows are expected to be predominantly negative.\n\nAmounts 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).\n\n#### Definitions\n\nDefinitions in this Reporting Standard are presented in the following groups:\n\n Assets\n Liabilities\n Derivatives and Other commitments\n Other key terms\n\nAssets\n\n| Asset and Lease Financing | Means financing that enables access to an asset in exchange for periodic payments. |\n| --------------------------------------------------------------------------------- | -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- |\n| Australian Government Securities | Has the meaning given in ARS 701.0. |\n| Australian State Government or Territory Central Borrowing Authorities Securities | Has the meaning given in ARS 701.0 for semi-government securities. |\n| Bank and Financial Institution Securities | Means all securities issued by banks and other financial institutions. |\n| 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. |\n| 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. |\n| Corporate Securities | Means all securities issued by corporations other than banks and other financial institutions. |\n| Credit Cards | Has the meaning given in ARS 701.0. |\n| Debt securities | Has the meaning given in ARS 701.0. |\n| 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. |\n| 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. |\n| Inter-company Loans | Means the amounts receivable resulting from related party transactions. |\n| 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. |\n| 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. |\n| 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; andhighly 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. |\n| 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; andGoodwill and intangible assets |\n| Other Loans and Advances | Refers to any loans or advances provided which are not reported under any other repricing item. |\n| Personal Loans | Means loans to households excluding home loans and credit cards. |\n| Securities issued by foreign sovereigns | Means all securities issued by overseas central, state, and regional governments. |\n\nLiabilities\n\n| Additional Tier 1 capital items | Has the meaning given in Prudential Standard APS 111 Capital Adequacy: Measurement of Capital (APS 111). |\n| ------------------------------- | ---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- |\n| Bond issuance | Includes both domestic and offshore bond issuance such as medium-term notes and covered bonds. Excludes any securitisation issued. |\n| Deposits - Inter-company | Refers to deposits by related entities e.g. parent company, subsidiary or branch. |\n| 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. |\n| 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; andfixed-term deposits with a notice of withdrawal requirement.It excludes:non-transaction deposits that do not have a fixed term; andcertificate of deposits. |\n| 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. |\n| Other borrowings | Refers to all other borrowings that are not reported under any other repricing item. |\n| Other deposits | Refers to all other deposits that are not reported under any other repricing item. |\n| 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; andTax liabilities. |\n| Securitisation | Has the meaning given in ARS 701.0. |\n| Tier 2 capital items | Has the meaning given in APS 111. |\n| Wholesale short term funding | Report any issuance of certificate of deposits, negotiable certificates of deposit, commercial paper and repurchase agreements. |\n\nDerivatives and Other commitments\n\n| Foreign Exchange-linked Derivatives | Refers to each leg against the currency applicable to that leg. |\n| ------------------------------------- | --------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- |\n| Interest rate - futures and FRAs | Refers to the cash flows of the underlying physical instrument for futures and Forward Rate Agreements (FRAs). |\n| Interest rate - options | Refers to the delta-equivalent amounts of the underlying or notional underlying instrument. |\n| Interest rate - swaps (pay fixed) | Refers to interest rate swaps with pay-fixed and receive-floating legs. |\n| Interest rate - swaps (receive fixed) | Refers to interest rate swaps with receive-fixed and pay-floating legs. |\n| Interest rate - swaps (basis swaps) | Refers to interest rate swaps with two floating rate legs. |\n| Other Derivatives | Refers to all other derivatives that are not reported under any other repricing item. |\n| 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. |\n\nOther key terms\n\n| Approved IRRBB model | Has the meaning given in APS 117. |\n| ------------------------------------------------- | ------------------------------------------------------------------------------------------------------------------------------- |\n| Assumed maturity profile for shareholders’ equity | Refers to the assumed maturity profile for shareholders’ equity reflective of targeted term and strategy of equity investments. |\n| Banking book | Has the meaning given in ARS 701.0. |\n| Core deposit | Has the meaning given in APS 117. |\n| Deposit Replicating Portfolio | Refers to expected repricing for all core deposit balances instead of contractual repricing. |\n| Financial institutions | Has the meaning given in ARS 701.0. |\n\n \n\n## Specific instructions\n\n#### Reporting entity\n\nThe ARS 117.0 collection set contains three tables:\n\n Table 1: Repricing Analysis (Contractual)\n\n Table 2: Repricing Analysis (Expected)\n Table 3: Interest Rate Sensitivity of the Banking Book.\n\nThese 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.\n\n| Class of ADI | Table 1 | Table 2[3] | Table 3 |\n| ---------------------------------------- | ------- | ---------- | ------- |\n| Bank – Advanced | Yes | Yes | No |\n| Bank – Standardised | Yes | Yes | Yes |\n| Branch of a Foreign Bank | Yes | Yes | No |\n| Building Society | Yes | Yes | Yes |\n| Credit Union | Yes | Yes | Yes |\n| Provider of Purchased Payment Facilities | No | No | No |\n| Other ADI | Yes | Yes | Yes |\n\nIf 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.\n\nAPRA 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.\n\n#### Repricing Tenor (time) buckets\n\nThere 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).\n\nThe 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.\n\nThe “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.\n\n#### Principal and Interest Cash flow\n\nSFI 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).\n\n#### Contractual and Expected Cash flow\n\nThe 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.\n\n#### Deposit Replicating Portfolio\n\nIn 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.\n\nAllocation methodology of core deposit balance to the repricing time buckets\n\n| Class of ADI | Table 1 | Table 2 |\n| ----------------------------------------------------------------------- | ------------------------------------------------------------------ | -------------------------------- |\n| Bank – Advanced | Internal behavioural assumptions (as per the Approved IRRBB model) | Internal behavioural assumptions |\n| All other ADIs (except PPFs) who: | | |\n| conduct behavioural analysis to determine core/non-core deposits | APRA prescribed | Internal behavioural assumptions |\n| do not conduct behavioural analysis to determine core/non-core deposits | None* | None* |\n\n\\*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.\n\nEntities required to allocate the core deposit balance to the repricing buckets according to the APRA prescribed profile should use the following allocation table.\n\n \n\nPrescribed Repricing Profile for Core Deposits\n\n| Time bucket | Proportion of Core deposits |\n| ------------------------------ | --------------------------- |\n| Overnight (O/N) | -100% |\n| 0 to < 1 month (excluding O/N) | 4% |\n| 1 to < 2 months | 5% |\n| 2 to < 3 months | 5% |\n| 3 to < 6 months | 10% |\n| 6 to < 9 months | 10% |\n| 9 to < 12 months | 12% |\n| 1 to < 2 years | 27% |\n| 2 to < 3 years | 27% |\n| 3+ years | 0% |\n| Total | 0% |\n\n#### Interest rate sensitivity calculation\n\nTable 3 captures interest rate sensitivities across specified tenor buckets across six interest rate shock scenarios, aggregated across reported currencies.\n\nThe six prescribed interest rate shocks scenarios are defined in Basel Committee on Banking Supervision (BCBS) (2016) Interest Rate Risk in the Banking Book[\\[4\\]](#_ftn4). These include:\n\n1. Parallel shock up;\n2. Parallel shock down;\n3. Steepener shock (short rates down and long rates up);\n4. Flattener shock (short rates up and long rates down);\n5. Short rate shock up; and\n6. Short rate shock down.\n\nFor 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.\n\nTo 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\\]](#_ftn5)\n\nWeighting factors (%) used in calculation of interest rate sensitivities in Table 3\n\n| | Tenor | Parallel shock up | Parallel shock down | Steepenershock | Flattenershock | Short rate shock up | Short rate shock down |\n| --- | ----------------------------- | ----------------- | ------------------- | -------------- | -------------- | ------------------- | --------------------- |\n| 1 | Overnight (O/N) | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |\n| 2 | 0 to <1 month (excluding O/N) | 0.12 | -0.12 | -0.11 | 0.14 | 0.18 | -0.18 |\n| 3 | 1 to < 2 months | 0.36 | -0.36 | -0.33 | 0.41 | 0.52 | -0.52 |\n| 4 | 2 to < 3 months | 0.60 | -0.60 | -0.53 | 0.67 | 0.85 | -0.85 |\n| 5 | 3 to < 6 months | 1.07 | -1.07 | -0.89 | 1.13 | 1.46 | -1.46 |\n| 6 | 6 to < 9 months | 1.79 | -1.79 | -1.33 | 1.73 | 2.29 | -2.29 |\n| 7 | 9 to < 12 months | 2.50 | -2.50 | -1.66 | 2.21 | 3.01 | -3.01 |\n| 8 | 1 to < 2 years | 4.15 | -4.15 | -2.00 | 2.90 | 4.28 | -4.28 |\n| 9 | 2 to < 3 years | 6.74 | -6.74 | -1.64 | 3.08 | 5.41 | -5.41 |\n| 10 | 3 to < 4 years | 9.21 | -9.21 | -0.52 | 2.46 | 5.76 | -5.76 |\n| 11 | 4 to < 5 years | 11.56 | -11.56 | 1.03 | 1.38 | 5.63 | -5.63 |\n| 12 | 5 to < 7 years | 15.23 | -15.23 | 3.78 | -0.65 | 5.10 | -5.10 |\n| 13 | 7 to < 10 years | 19.89 | -19.89 | 8.19 | -4.16 | 3.56 | -3.56 |\n| 14 | 10 to < 15 years | 26.75 | -26.75 | 14.20 | -8.82 | 1.76 | -1.76 |\n| 15 | 15 to < 20 years | 33.64 | -33.64 | 19.52 | -12.78 | 0.64 | -0.64 |\n| 16 | 20+ years | 39.04 | -39.04 | 23.20 | -15.39 | 0.21 | -0.21 |\n| 17 | Non-interest rate sensitive | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |\n\nFor each maturity ladder:\n\n 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.\n 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.\n 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.","sortOrder":17},{"sectionNumber":"Reporting entity","sectionType":"subdivision","heading":"Reporting entity","content":"#### Reporting entity\n\nThe form is to be completed at Level 1 and Level 2 by all ADIs other than providers of purchased payment facilities.\n\nIf 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\\]](#_ftn1).\n\nData is to be reported as at the end of the reporting period.\n\nThe specific instructions specifies which tables are required to be completed across each class of ADI.","sortOrder":18},{"sectionNumber":"Securitisation deconsolidation principle","sectionType":"subdivision","heading":"Securitisation deconsolidation principle","content":"#### Securitisation deconsolidation principle\n\nExcept as otherwise specified in these instructions, the following applies:\n\n1. 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):\n\n1. 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;\n2. 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\n3. 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\\]](#_ftn2) 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.\n\n1. 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.","sortOrder":19},{"sectionNumber":"Unit of measurement","sectionType":"subdivision","heading":"Unit of measurement","content":"#### Unit of measurement\n\nUnless otherwise specified, report all values in whole Australian dollars (AUD), with no decimal place.\n\nADI’s are required to express their banking book items with respect to assets. Liability cash flows are expected to be predominantly negative.\n\nAmounts 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).","sortOrder":20},{"sectionNumber":"Definitions","sectionType":"subdivision","heading":"Definitions","content":"#### Definitions\n\nDefinitions in this Reporting Standard are presented in the following groups:\n\n Assets\n Liabilities\n Derivatives and Other commitments\n Other key terms\n\nAssets\n\n| Asset and Lease Financing | Means financing that enables access to an asset in exchange for periodic payments. |\n| --------------------------------------------------------------------------------- | -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- |\n| Australian Government Securities | Has the meaning given in ARS 701.0. |\n| Australian State Government or Territory Central Borrowing Authorities Securities | Has the meaning given in ARS 701.0 for semi-government securities. |\n| Bank and Financial Institution Securities | Means all securities issued by banks and other financial institutions. |\n| 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. |\n| 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. |\n| Corporate Securities | Means all securities issued by corporations other than banks and other financial institutions. |\n| Credit Cards | Has the meaning given in ARS 701.0. |\n| Debt securities | Has the meaning given in ARS 701.0. |\n| 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. |\n| 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. |\n| Inter-company Loans | Means the amounts receivable resulting from related party transactions. |\n| 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. |\n| 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. |\n| 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; andhighly 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. |\n| 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; andGoodwill and intangible assets |\n| Other Loans and Advances | Refers to any loans or advances provided which are not reported under any other repricing item. |\n| Personal Loans | Means loans to households excluding home loans and credit cards. |\n| Securities issued by foreign sovereigns | Means all securities issued by overseas central, state, and regional governments. |\n\nLiabilities\n\n| Additional Tier 1 capital items | Has the meaning given in Prudential Standard APS 111 Capital Adequacy: Measurement of Capital (APS 111). |\n| ------------------------------- | ---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- |\n| Bond issuance | Includes both domestic and offshore bond issuance such as medium-term notes and covered bonds. Excludes any securitisation issued. |\n| Deposits - Inter-company | Refers to deposits by related entities e.g. parent company, subsidiary or branch. |\n| 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. |\n| 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; andfixed-term deposits with a notice of withdrawal requirement.It excludes:non-transaction deposits that do not have a fixed term; andcertificate of deposits. |\n| 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. |\n| Other borrowings | Refers to all other borrowings that are not reported under any other repricing item. |\n| Other deposits | Refers to all other deposits that are not reported under any other repricing item. |\n| 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; andTax liabilities. |\n| Securitisation | Has the meaning given in ARS 701.0. |\n| Tier 2 capital items | Has the meaning given in APS 111. |\n| Wholesale short term funding | Report any issuance of certificate of deposits, negotiable certificates of deposit, commercial paper and repurchase agreements. |\n\nDerivatives and Other commitments\n\n| Foreign Exchange-linked Derivatives | Refers to each leg against the currency applicable to that leg. |\n| ------------------------------------- | --------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- |\n| Interest rate - futures and FRAs | Refers to the cash flows of the underlying physical instrument for futures and Forward Rate Agreements (FRAs). |\n| Interest rate - options | Refers to the delta-equivalent amounts of the underlying or notional underlying instrument. |\n| Interest rate - swaps (pay fixed) | Refers to interest rate swaps with pay-fixed and receive-floating legs. |\n| Interest rate - swaps (receive fixed) | Refers to interest rate swaps with receive-fixed and pay-floating legs. |\n| Interest rate - swaps (basis swaps) | Refers to interest rate swaps with two floating rate legs. |\n| Other Derivatives | Refers to all other derivatives that are not reported under any other repricing item. |\n| 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. |\n\nOther key terms\n\n| Approved IRRBB model | Has the meaning given in APS 117. |\n| ------------------------------------------------- | ------------------------------------------------------------------------------------------------------------------------------- |\n| Assumed maturity profile for shareholders’ equity | Refers to the assumed maturity profile for shareholders’ equity reflective of targeted term and strategy of equity investments. |\n| Banking book | Has the meaning given in ARS 701.0. |\n| Core deposit | Has the meaning given in APS 117. |\n| Deposit Replicating Portfolio | Refers to expected repricing for all core deposit balances instead of contractual repricing. |\n| Financial institutions | Has the meaning given in ARS 701.0. |","sortOrder":21},{"sectionNumber":"Specific instructions","sectionType":"part","heading":"Specific instructions","content":"# Reporting Form ARF 117.0\n\n# Repricing Analysis\n\n# Instruction Guide\n\nThis 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).\n\nTerms highlighted in bold italics are defined in paragraph 19 of this Reporting Standard, or the Definitions in this Instruction Guide.\n\n## General directions and notes\n\n#### Reporting entity\n\nThe form is to be completed at Level 1 and Level 2 by all ADIs other than providers of purchased payment facilities.\n\nIf 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\\]](#_ftn1).\n\nData is to be reported as at the end of the reporting period.\n\nThe specific instructions specifies which tables are required to be completed across each class of ADI.\n\n#### Securitisation deconsolidation principle\n\nExcept as otherwise specified in these instructions, the following applies:\n\n1. 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):\n\n1. 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;\n2. 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\n3. 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\\]](#_ftn2) 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.\n\n1. 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.\n\n#### Unit of measurement\n\nUnless otherwise specified, report all values in whole Australian dollars (AUD), with no decimal place.\n\nADI’s are required to express their banking book items with respect to assets. Liability cash flows are expected to be predominantly negative.\n\nAmounts 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).\n\n#### Definitions\n\nDefinitions in this Reporting Standard are presented in the following groups:\n\n Assets\n Liabilities\n Derivatives and Other commitments\n Other key terms\n\nAssets\n\n| Asset and Lease Financing | Means financing that enables access to an asset in exchange for periodic payments. |\n| --------------------------------------------------------------------------------- | -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- |\n| Australian Government Securities | Has the meaning given in ARS 701.0. |\n| Australian State Government or Territory Central Borrowing Authorities Securities | Has the meaning given in ARS 701.0 for semi-government securities. |\n| Bank and Financial Institution Securities | Means all securities issued by banks and other financial institutions. |\n| 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. |\n| 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. |\n| Corporate Securities | Means all securities issued by corporations other than banks and other financial institutions. |\n| Credit Cards | Has the meaning given in ARS 701.0. |\n| Debt securities | Has the meaning given in ARS 701.0. |\n| 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. |\n| 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. |\n| Inter-company Loans | Means the amounts receivable resulting from related party transactions. |\n| 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. |\n| 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. |\n| 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; andhighly 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. |\n| 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; andGoodwill and intangible assets |\n| Other Loans and Advances | Refers to any loans or advances provided which are not reported under any other repricing item. |\n| Personal Loans | Means loans to households excluding home loans and credit cards. |\n| Securities issued by foreign sovereigns | Means all securities issued by overseas central, state, and regional governments. |\n\nLiabilities\n\n| Additional Tier 1 capital items | Has the meaning given in Prudential Standard APS 111 Capital Adequacy: Measurement of Capital (APS 111). |\n| ------------------------------- | ---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- |\n| Bond issuance | Includes both domestic and offshore bond issuance such as medium-term notes and covered bonds. Excludes any securitisation issued. |\n| Deposits - Inter-company | Refers to deposits by related entities e.g. parent company, subsidiary or branch. |\n| 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. |\n| 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; andfixed-term deposits with a notice of withdrawal requirement.It excludes:non-transaction deposits that do not have a fixed term; andcertificate of deposits. |\n| 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. |\n| Other borrowings | Refers to all other borrowings that are not reported under any other repricing item. |\n| Other deposits | Refers to all other deposits that are not reported under any other repricing item. |\n| 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; andTax liabilities. |\n| Securitisation | Has the meaning given in ARS 701.0. |\n| Tier 2 capital items | Has the meaning given in APS 111. |\n| Wholesale short term funding | Report any issuance of certificate of deposits, negotiable certificates of deposit, commercial paper and repurchase agreements. |\n\nDerivatives and Other commitments\n\n| Foreign Exchange-linked Derivatives | Refers to each leg against the currency applicable to that leg. |\n| ------------------------------------- | --------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- |\n| Interest rate - futures and FRAs | Refers to the cash flows of the underlying physical instrument for futures and Forward Rate Agreements (FRAs). |\n| Interest rate - options | Refers to the delta-equivalent amounts of the underlying or notional underlying instrument. |\n| Interest rate - swaps (pay fixed) | Refers to interest rate swaps with pay-fixed and receive-floating legs. |\n| Interest rate - swaps (receive fixed) | Refers to interest rate swaps with receive-fixed and pay-floating legs. |\n| Interest rate - swaps (basis swaps) | Refers to interest rate swaps with two floating rate legs. |\n| Other Derivatives | Refers to all other derivatives that are not reported under any other repricing item. |\n| 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. |\n\nOther key terms\n\n| Approved IRRBB model | Has the meaning given in APS 117. |\n| ------------------------------------------------- | ------------------------------------------------------------------------------------------------------------------------------- |\n| Assumed maturity profile for shareholders’ equity | Refers to the assumed maturity profile for shareholders’ equity reflective of targeted term and strategy of equity investments. |\n| Banking book | Has the meaning given in ARS 701.0. |\n| Core deposit | Has the meaning given in APS 117. |\n| Deposit Replicating Portfolio | Refers to expected repricing for all core deposit balances instead of contractual repricing. |\n| Financial institutions | Has the meaning given in ARS 701.0. |\n\n \n\n## Specific instructions\n\n#### Reporting entity\n\nThe ARS 117.0 collection set contains three tables:\n\n Table 1: Repricing Analysis (Contractual)\n\n Table 2: Repricing Analysis (Expected)\n Table 3: Interest Rate Sensitivity of the Banking Book.\n\nThese 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.\n\n| Class of ADI | Table 1 | Table 2[3] | Table 3 |\n| ---------------------------------------- | ------- | ---------- | ------- |\n| Bank – Advanced | Yes | Yes | No |\n| Bank – Standardised | Yes | Yes | Yes |\n| Branch of a Foreign Bank | Yes | Yes | No |\n| Building Society | Yes | Yes | Yes |\n| Credit Union | Yes | Yes | Yes |\n| Provider of Purchased Payment Facilities | No | No | No |\n| Other ADI | Yes | Yes | Yes |\n\nIf 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.\n\nAPRA 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.\n\n#### Repricing Tenor (time) buckets\n\nThere 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).\n\nThe 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.\n\nThe “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.\n\n#### Principal and Interest Cash flow\n\nSFI 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).\n\n#### Contractual and Expected Cash flow\n\nThe 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.\n\n#### Deposit Replicating Portfolio\n\nIn 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.\n\nAllocation methodology of core deposit balance to the repricing time buckets\n\n| Class of ADI | Table 1 | Table 2 |\n| ----------------------------------------------------------------------- | ------------------------------------------------------------------ | -------------------------------- |\n| Bank – Advanced | Internal behavioural assumptions (as per the Approved IRRBB model) | Internal behavioural assumptions |\n| All other ADIs (except PPFs) who: | | |\n| conduct behavioural analysis to determine core/non-core deposits | APRA prescribed | Internal behavioural assumptions |\n| do not conduct behavioural analysis to determine core/non-core deposits | None* | None* |\n\n\\*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.\n\nEntities required to allocate the core deposit balance to the repricing buckets according to the APRA prescribed profile should use the following allocation table.\n\n \n\nPrescribed Repricing Profile for Core Deposits\n\n| Time bucket | Proportion of Core deposits |\n| ------------------------------ | --------------------------- |\n| Overnight (O/N) | -100% |\n| 0 to < 1 month (excluding O/N) | 4% |\n| 1 to < 2 months | 5% |\n| 2 to < 3 months | 5% |\n| 3 to < 6 months | 10% |\n| 6 to < 9 months | 10% |\n| 9 to < 12 months | 12% |\n| 1 to < 2 years | 27% |\n| 2 to < 3 years | 27% |\n| 3+ years | 0% |\n| Total | 0% |\n\n#### Interest rate sensitivity calculation\n\nTable 3 captures interest rate sensitivities across specified tenor buckets across six interest rate shock scenarios, aggregated across reported currencies.\n\nThe six prescribed interest rate shocks scenarios are defined in Basel Committee on Banking Supervision (BCBS) (2016) Interest Rate Risk in the Banking Book[\\[4\\]](#_ftn4). These include:\n\n1. Parallel shock up;\n2. Parallel shock down;\n3. Steepener shock (short rates down and long rates up);\n4. Flattener shock (short rates up and long rates down);\n5. Short rate shock up; and\n6. Short rate shock down.\n\nFor 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.\n\nTo 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\\]](#_ftn5)\n\nWeighting factors (%) used in calculation of interest rate sensitivities in Table 3\n\n| | Tenor | Parallel shock up | Parallel shock down | Steepenershock | Flattenershock | Short rate shock up | Short rate shock down |\n| --- | ----------------------------- | ----------------- | ------------------- | -------------- | -------------- | ------------------- | --------------------- |\n| 1 | Overnight (O/N) | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |\n| 2 | 0 to <1 month (excluding O/N) | 0.12 | -0.12 | -0.11 | 0.14 | 0.18 | -0.18 |\n| 3 | 1 to < 2 months | 0.36 | -0.36 | -0.33 | 0.41 | 0.52 | -0.52 |\n| 4 | 2 to < 3 months | 0.60 | -0.60 | -0.53 | 0.67 | 0.85 | -0.85 |\n| 5 | 3 to < 6 months | 1.07 | -1.07 | -0.89 | 1.13 | 1.46 | -1.46 |\n| 6 | 6 to < 9 months | 1.79 | -1.79 | -1.33 | 1.73 | 2.29 | -2.29 |\n| 7 | 9 to < 12 months | 2.50 | -2.50 | -1.66 | 2.21 | 3.01 | -3.01 |\n| 8 | 1 to < 2 years | 4.15 | -4.15 | -2.00 | 2.90 | 4.28 | -4.28 |\n| 9 | 2 to < 3 years | 6.74 | -6.74 | -1.64 | 3.08 | 5.41 | -5.41 |\n| 10 | 3 to < 4 years | 9.21 | -9.21 | -0.52 | 2.46 | 5.76 | -5.76 |\n| 11 | 4 to < 5 years | 11.56 | -11.56 | 1.03 | 1.38 | 5.63 | -5.63 |\n| 12 | 5 to < 7 years | 15.23 | -15.23 | 3.78 | -0.65 | 5.10 | -5.10 |\n| 13 | 7 to < 10 years | 19.89 | -19.89 | 8.19 | -4.16 | 3.56 | -3.56 |\n| 14 | 10 to < 15 years | 26.75 | -26.75 | 14.20 | -8.82 | 1.76 | -1.76 |\n| 15 | 15 to < 20 years | 33.64 | -33.64 | 19.52 | -12.78 | 0.64 | -0.64 |\n| 16 | 20+ years | 39.04 | -39.04 | 23.20 | -15.39 | 0.21 | -0.21 |\n| 17 | Non-interest rate sensitive | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |\n\nFor each maturity ladder:\n\n 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.\n 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.\n 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.","sortOrder":22},{"sectionNumber":"Repricing Tenor (time) buckets","sectionType":"subdivision","heading":"Repricing Tenor (time) buckets","content":"#### Repricing Tenor (time) buckets\n\nThere 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).\n\nThe 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.\n\nThe “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.","sortOrder":24},{"sectionNumber":"Principal and Interest Cash flow","sectionType":"subdivision","heading":"Principal and Interest Cash flow","content":"#### Principal and Interest Cash flow\n\nSFI 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).","sortOrder":25},{"sectionNumber":"Contractual and Expected Cash flow","sectionType":"subdivision","heading":"Contractual and Expected Cash flow","content":"#### Contractual and Expected Cash flow\n\nThe 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.","sortOrder":26},{"sectionNumber":"Deposit Replicating Portfolio","sectionType":"subdivision","heading":"Deposit Replicating Portfolio","content":"#### Deposit Replicating Portfolio\n\nIn 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.\n\nAllocation methodology of core deposit balance to the repricing time buckets\n\n| Class of ADI | Table 1 | Table 2 |\n| ----------------------------------------------------------------------- | ------------------------------------------------------------------ | -------------------------------- |\n| Bank – Advanced | Internal behavioural assumptions (as per the Approved IRRBB model) | Internal behavioural assumptions |\n| All other ADIs (except PPFs) who: | | |\n| conduct behavioural analysis to determine core/non-core deposits | APRA prescribed | Internal behavioural assumptions |\n| do not conduct behavioural analysis to determine core/non-core deposits | None* | None* |\n\n\\*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.\n\nEntities required to allocate the core deposit balance to the repricing buckets according to the APRA prescribed profile should use the following allocation table.\n\n \n\nPrescribed Repricing Profile for Core Deposits\n\n| Time bucket | Proportion of Core deposits |\n| ------------------------------ | --------------------------- |\n| Overnight (O/N) | -100% |\n| 0 to < 1 month (excluding O/N) | 4% |\n| 1 to < 2 months | 5% |\n| 2 to < 3 months | 5% |\n| 3 to < 6 months | 10% |\n| 6 to < 9 months | 10% |\n| 9 to < 12 months | 12% |\n| 1 to < 2 years | 27% |\n| 2 to < 3 years | 27% |\n| 3+ years | 0% |\n| Total | 0% |","sortOrder":27},{"sectionNumber":"Interest rate sensitivity calculation","sectionType":"subdivision","heading":"Interest rate sensitivity calculation","content":"#### Interest rate sensitivity calculation\n\nTable 3 captures interest rate sensitivities across specified tenor buckets across six interest rate shock scenarios, aggregated across reported currencies.\n\nThe six prescribed interest rate shocks scenarios are defined in Basel Committee on Banking Supervision (BCBS) (2016) Interest Rate Risk in the Banking Book[\\[4\\]](#_ftn4). These include:\n\n1. Parallel shock up;\n2. Parallel shock down;\n3. Steepener shock (short rates down and long rates up);\n4. Flattener shock (short rates up and long rates down);\n5. Short rate shock up; and\n6. Short rate shock down.\n\nFor 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.\n\nTo 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\\]](#_ftn5)\n\nWeighting factors (%) used in calculation of interest rate sensitivities in Table 3\n\n| | Tenor | Parallel shock up | Parallel shock down | Steepenershock | Flattenershock | Short rate shock up | Short rate shock down |\n| --- | ----------------------------- | ----------------- | ------------------- | -------------- | -------------- | ------------------- | --------------------- |\n| 1 | Overnight (O/N) | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |\n| 2 | 0 to <1 month (excluding O/N) | 0.12 | -0.12 | -0.11 | 0.14 | 0.18 | -0.18 |\n| 3 | 1 to < 2 months | 0.36 | -0.36 | -0.33 | 0.41 | 0.52 | -0.52 |\n| 4 | 2 to < 3 months | 0.60 | -0.60 | -0.53 | 0.67 | 0.85 | -0.85 |\n| 5 | 3 to < 6 months | 1.07 | -1.07 | -0.89 | 1.13 | 1.46 | -1.46 |\n| 6 | 6 to < 9 months | 1.79 | -1.79 | -1.33 | 1.73 | 2.29 | -2.29 |\n| 7 | 9 to < 12 months | 2.50 | -2.50 | -1.66 | 2.21 | 3.01 | -3.01 |\n| 8 | 1 to < 2 years | 4.15 | -4.15 | -2.00 | 2.90 | 4.28 | -4.28 |\n| 9 | 2 to < 3 years | 6.74 | -6.74 | -1.64 | 3.08 | 5.41 | -5.41 |\n| 10 | 3 to < 4 years | 9.21 | -9.21 | -0.52 | 2.46 | 5.76 | -5.76 |\n| 11 | 4 to < 5 years | 11.56 | -11.56 | 1.03 | 1.38 | 5.63 | -5.63 |\n| 12 | 5 to < 7 years | 15.23 | -15.23 | 3.78 | -0.65 | 5.10 | -5.10 |\n| 13 | 7 to < 10 years | 19.89 | -19.89 | 8.19 | -4.16 | 3.56 | -3.56 |\n| 14 | 10 to < 15 years | 26.75 | -26.75 | 14.20 | -8.82 | 1.76 | -1.76 |\n| 15 | 15 to < 20 years | 33.64 | -33.64 | 19.52 | -12.78 | 0.64 | -0.64 |\n| 16 | 20+ years | 39.04 | -39.04 | 23.20 | -15.39 | 0.21 | -0.21 |\n| 17 | Non-interest rate sensitive | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |\n\nFor each maturity ladder:\n\n 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.\n 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.\n 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.","sortOrder":28},{"sectionNumber":"Reporting tables","sectionType":"subdivision","heading":"Reporting tables","content":"#### Reporting tables\n\n#### Table 1. Repricing Analysis – Contractual\n\nTable 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).\n\nAll 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).\n\nData 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.\n\n| | Name | Valid values | Description |\n| --- | -------------- | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- | -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- |\n| 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. |\n| 2 | Repricing item | AssetsNotes and coins, Deposits with Central Banks and Cash EquivalentsAustralian Government SecuritiesAustralian State Government or Territory Central Borrowing Authorities SecuritiesSecurities issued by foreign sovereignsBank and Financial Institution SecuritiesCorporate SecuritiesMortgage and Asset Backed SecuritiesMoney Market SecuritiesHome Loans - Fixed RateHome Loans - Variable RateBusiness Loans - Fixed RateBusiness Loans - Variable RatePersonal LoansCredit CardsInter-company LoansOther Loans and AdvancesAsset and Lease FinancingOther assetsLiabilitiesDeposits - Term DepositsDeposits - Transaction AccountsDeposits - Savings AccountsDeposits - Inter-companyOther depositsWholesale short term fundingSecuritisationBond issuanceOther borrowingsAdditional Tier 1 capital itemsTier 2 capital itemsOther liabilitiesDerivatives and other commitmentsInterest rate - swaps (pay fixed)Interest rate - swaps (receive fixed)Interest rate - swaps (basis swaps)Interest rate - optionsInterest rate - futures and FRAsForeign Exchange-linked DerivativesOther DerivativesOther Commitments (timing is known)Other itemsDeposit 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. |\n| 3 | Tenor | Overnight (O/N)0 to < 1 month (excluding O/N)1 to < 2 months2 to < 3 months3 to < 6 months6 to < 9 months9 to < 12 months1 to < 2 years2 to < 3 years3 to < 4 years4 to < 5 years5 to < 7 years7 to < 10 years10 to < 15 years15 to < 20 years20+ yearsNon-interest rate sensitive | Report the Tenor (time) bucket in which the repricing items are contracted to reprice. |\n| 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). |\n| 5 | Value | Whole dollars | Report the value of the contractual repricing cash flow. |\n\n \n\n#### Table 2. Repricing Analysis – Expected\n\nTable 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).\n\nFor 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.\n\nAll 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.\n\nElements 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.\n\nData 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.\n\n| | Name | Valid values | Description |\n| --- | -------------- | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------ | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------ |\n| 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. |\n| 2 | Repricing item | AssetsNotes and coins, Deposits with Central Banks and Cash EquivalentsAustralian Government SecuritiesAustralian State Government or Territory Central Borrowing Authorities SecuritiesSecurities issued by foreign sovereignsBank and Financial Institution SecuritiesCorporate SecuritiesMortgage and Asset Backed SecuritiesMoney Market SecuritiesHome Loans - Fixed RateHome Loans - Variable RateBusiness Loans - Fixed RateBusiness Loans - Variable RatePersonal LoansCredit CardsInter-company LoansOther Loans and AdvancesAsset and Lease FinancingOther assetsLiabilitiesDeposits - Term DepositsDeposits - Transaction AccountsDeposits - Savings AccountsDeposits - Inter-companyOther depositsWholesale short term fundingSecuritisationBond issuanceOther borrowingsAdditional Tier 1 capital itemsTier 2 capital itemsOther liabilitiesDerivatives and other commitmentsInterest rate - swaps (pay fixed)Interest rate - swaps (receive fixed)Interest rate - swaps (basis swaps)Interest rate - optionsInterest rate - futures and FRAsForeign Exchange-linked DerivativesOther DerivativesOther Commitments (timing is known)Other itemsDeposit Replicating PortfolioAssumed 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. |\n| 3 | Tenor | Overnight (O/N)0 to < 1 month (excluding O/N)1 to < 2 months2 to < 3 months3 to < 6 months6 to < 9 months9 to < 12 months1 to < 2 years2 to < 3 years3 to < 4 years4 to < 5 years5 to < 7 years7 to < 10 years10 to < 15 years15 to < 20 years20+ yearsNon-interest rate sensitive | Report the Tenor (time) bucket in which the repricing items are expected to reprice. |\n| 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). |\n| 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. |\n\n \n\n#### Table 3. Interest rate sensitivity of banking book - All currencies\n\nTable 3 captures interest rate sensitivities across specified tenor buckets across six interest rate shock scenarios, aggregated across reported currencies.\n\n| | Name | Valid values | Description |\n| --- | --------------------- | --------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- |\n| 1 | Tenor | Overnight (O/N)0 to < 1 month (excluding O/N)1 to < 2 months2 to < 3 months3 to < 6 months6 to < 9 months9 to < 12 months1 to < 2 years2 to < 3 years3 to < 4 years4 to < 5 years5 to < 7 years7 to < 10 years10 to < 15 years15 to < 20 years20+ yearsNon-interest rate sensitiveTotal | These values are fixed in the table. |\n| 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. |\n| 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. |\n| 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. |\n| 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. |\n| 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. |\n| 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. |\n| 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. |","sortOrder":29},{"sectionNumber":"Table 1. Repricing Analysis — Contractua","sectionType":"subdivision","heading":"Table 1. Repricing Analysis — Contractual","content":"#### Table 1. Repricing Analysis – Contractual\n\nTable 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).\n\nAll 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).\n\nData 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.\n\n| | Name | Valid values | Description |\n| --- | -------------- | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- | -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- |\n| 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. |\n| 2 | Repricing item | AssetsNotes and coins, Deposits with Central Banks and Cash EquivalentsAustralian Government SecuritiesAustralian State Government or Territory Central Borrowing Authorities SecuritiesSecurities issued by foreign sovereignsBank and Financial Institution SecuritiesCorporate SecuritiesMortgage and Asset Backed SecuritiesMoney Market SecuritiesHome Loans - Fixed RateHome Loans - Variable RateBusiness Loans - Fixed RateBusiness Loans - Variable RatePersonal LoansCredit CardsInter-company LoansOther Loans and AdvancesAsset and Lease FinancingOther assetsLiabilitiesDeposits - Term DepositsDeposits - Transaction AccountsDeposits - Savings AccountsDeposits - Inter-companyOther depositsWholesale short term fundingSecuritisationBond issuanceOther borrowingsAdditional Tier 1 capital itemsTier 2 capital itemsOther liabilitiesDerivatives and other commitmentsInterest rate - swaps (pay fixed)Interest rate - swaps (receive fixed)Interest rate - swaps (basis swaps)Interest rate - optionsInterest rate - futures and FRAsForeign Exchange-linked DerivativesOther DerivativesOther Commitments (timing is known)Other itemsDeposit 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. |\n| 3 | Tenor | Overnight (O/N)0 to < 1 month (excluding O/N)1 to < 2 months2 to < 3 months3 to < 6 months6 to < 9 months9 to < 12 months1 to < 2 years2 to < 3 years3 to < 4 years4 to < 5 years5 to < 7 years7 to < 10 years10 to < 15 years15 to < 20 years20+ yearsNon-interest rate sensitive | Report the Tenor (time) bucket in which the repricing items are contracted to reprice. |\n| 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). |\n| 5 | Value | Whole dollars | Report the value of the contractual repricing cash flow. |","sortOrder":30},{"sectionNumber":"Table 2. Repricing Analysis — Expected","sectionType":"subdivision","heading":"Table 2. Repricing Analysis — Expected","content":"#### Table 2. Repricing Analysis – Expected\n\nTable 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).\n\nFor 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.\n\nAll 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.\n\nElements 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.\n\nData 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.\n\n| | Name | Valid values | Description |\n| --- | -------------- | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------ | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------ |\n| 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. |\n| 2 | Repricing item | AssetsNotes and coins, Deposits with Central Banks and Cash EquivalentsAustralian Government SecuritiesAustralian State Government or Territory Central Borrowing Authorities SecuritiesSecurities issued by foreign sovereignsBank and Financial Institution SecuritiesCorporate SecuritiesMortgage and Asset Backed SecuritiesMoney Market SecuritiesHome Loans - Fixed RateHome Loans - Variable RateBusiness Loans - Fixed RateBusiness Loans - Variable RatePersonal LoansCredit CardsInter-company LoansOther Loans and AdvancesAsset and Lease FinancingOther assetsLiabilitiesDeposits - Term DepositsDeposits - Transaction AccountsDeposits - Savings AccountsDeposits - Inter-companyOther depositsWholesale short term fundingSecuritisationBond issuanceOther borrowingsAdditional Tier 1 capital itemsTier 2 capital itemsOther liabilitiesDerivatives and other commitmentsInterest rate - swaps (pay fixed)Interest rate - swaps (receive fixed)Interest rate - swaps (basis swaps)Interest rate - optionsInterest rate - futures and FRAsForeign Exchange-linked DerivativesOther DerivativesOther Commitments (timing is known)Other itemsDeposit Replicating PortfolioAssumed 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. |\n| 3 | Tenor | Overnight (O/N)0 to < 1 month (excluding O/N)1 to < 2 months2 to < 3 months3 to < 6 months6 to < 9 months9 to < 12 months1 to < 2 years2 to < 3 years3 to < 4 years4 to < 5 years5 to < 7 years7 to < 10 years10 to < 15 years15 to < 20 years20+ yearsNon-interest rate sensitive | Report the Tenor (time) bucket in which the repricing items are expected to reprice. |\n| 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). |\n| 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. |","sortOrder":31},{"sectionNumber":"Table 3. Interest rate sensitivity of ba","sectionType":"subdivision","heading":"Table 3. Interest rate sensitivity of banking book - All currencies","content":"#### Table 3. Interest rate sensitivity of banking book - All currencies\n\nTable 3 captures interest rate sensitivities across specified tenor buckets across six interest rate shock scenarios, aggregated across reported currencies.\n\n| | Name | Valid values | Description |\n| --- | --------------------- | --------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- |\n| 1 | Tenor | Overnight (O/N)0 to < 1 month (excluding O/N)1 to < 2 months2 to < 3 months3 to < 6 months6 to < 9 months9 to < 12 months1 to < 2 years2 to < 3 years3 to < 4 years4 to < 5 years5 to < 7 years7 to < 10 years10 to < 15 years15 to < 20 years20+ yearsNon-interest rate sensitiveTotal | These values are fixed in the table. |\n| 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. |\n| 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. |\n| 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. |\n| 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. |\n| 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. |\n| 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. |\n| 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. |","sortOrder":32}],"analysis":{"flash_summary":{"complexity_score":7,"scope_assessment":{"changed":false,"description":"On its face this determination refines and standardises the data to be supplied to APRA about ADIs’ repricing and IRRBB exposures (tables, tenor buckets, behavioural vs contractual profiles and a Basel‑aligned sensitivity ladder). The collection’s stated purpose (prudential supervision and possible use by RBA/ABS) is consistent with the usual objectives of APRA data collections. The instrument does not, in observable terms within the text provided, add an entirely new supervisory objective beyond those purposes. It does, however, (a) formalise a detailed, granular reporting format (including APRA‑prescribed core‑deposit allocation for some classes) and (b) make explicit the parent NOHC reporting route for Level 2 in some cases — both of which tighten the mechanics and may expand the practical compliance footprint compared with a high‑level original intent. APRA’s broad discretions (to vary frequency or treat an ADI as a different class) leave scope for targeted expansion of reporting in practice, but the instrument itself does not declare a categorical scope expansion beyond standard prudential data collection."},"complexity_factors":["Lengthy document with substantial repetition and duplicated text increasing reading cost","Around 30–40 defined terms across the Interpretation and Instruction Guide (multiple domain‑specific definitions)","Three distinct reporting tables (Table 1 contractual, Table 2 expected/behavioural, Table 3 sensitivity) with different rules","Conditional reporting by class of ADI and Level 1 / Level 2 groups (including special NOHC rules)","17 tenor/time buckets to be reported for many line items","Six prescribed interest‑rate shock scenarios and a 17×6 weighting matrix for sensitivity calculation (complex aggregation rules)","Multiple nested exceptions and special rules (e.g. securitisation deconsolidation, deposit replicating portfolio, behavioural vs contractual treatment)","Cross‑references to multiple Prudential Standards and external standards (APS 117, APS 001, APS 310, APS 120, APS 111, ARS 701.0, AASB 121 and BCBS 2016 guidance)","Mandatory external auditor review and annual or more frequent testing under APS 310 adds procedural complexity","APRA discretion to vary reporting frequency and requirements for individual ADIs (creates conditional logic and implementation variability)"],"plain_english_summary":"**What this instrument does (mechanics)\n\n- Requires authorised deposit-taking institutions (ADIs) in Australia (except providers of purchased payment facilities) to submit a standardised set of data about their interest-rate repricing profile to APRA. (Application)\n- The collection is made under APRA’s data‑collection power in the Financial Sector (Collection of Data) Act 2001. (Authority)\n- The return set is ARF 117.0 (the Repricing Analysis) and comprises three tables: Table 1 — Contractual repricing; Table 2 — Expected (behavioural) repricing; and Table 3 — Interest rate sensitivity across six shock scenarios. (Reporting Form / Specific instructions)\n- Reporting is normally quarterly (by reference to the ADI’s financial year) and the data must be submitted electronically within 35 calendar days after the period end, unless APRA varies the timing. (Reporting periods and due dates)\n- APRA may require Level 1 and Level 2 reporting; where an ADI is a subsidiary of an authorised non‑operating holding company (NOHC), the immediate parent NOHC may be required to provide Level 2 data. APRA can also vary requirements for particular ADIs in writing. (Information required; Variations)\n\n**Who this affects\n\n- All ADIs as defined in the Banking Act 1959 (banks, building societies, credit unions, branches of foreign banks and other ADIs) except providers of purchased payment facilities. (Application)\n- Where applicable, the immediate parent authorised NOHC must submit Level 2 data instead of the subsidiary ADI. (Information required)\n- The burden is borne by the reporting ADIs (and, where relevant, their NOHCs), their finance teams and their external auditors and model teams.\n\n**Why it matters (official claim and practical test)\n\n- Official purpose: APRA states the data will be used for prudential supervision and may also be used by the RBA and ABS. (Purpose)\n- Practical effect: APRA gains a standardised, granular picture of the banking book repricing profile (contractual and behavioural), and a Basel‑aligned set of shock sensitivities for IRRBB (interest rate risk in the banking book). This improves APRA’s ability to compare institutions and to assess interest‑rate exposure consistently. (Instruction Guide; Interest rate sensitivity calculation)\n\n**Key operational and compliance features that drive costs and incentives\n\n- Data scope and format: Three tables, a long list of asset/liability/derivative line items and 17 tenor buckets. This is a detailed, transaction/portfolio‑level mapping exercise. (Reporting tables; Repricing Tenor buckets)\n- Behavioural modelling: Table 2 permits (and for some institutions requires) behavioural assumptions for deposits and prepayment — those that build and use models will need to maintain and document them. APRA does not require prior approval of the behavioural model for Table 2, but expects consistency with internal IRRBB management. Institutions that do not perform behavioural modelling need not submit Table 2. (Table 2 — Contractual vs Expected)\n- Deposit treatment: For some classes APRA prescribes a fixed allocation profile for ‘core deposits’ (a Deposit Replicating Portfolio). For other classes, internal behavioural assumptions (or none, if the ADI does not model) apply. That prescribed profile materially changes how core deposits are recognised for reporting. (Deposit Replicating Portfolio; Prescribed Repricing Profile table)\n- Sensitivity calculation: Table 3 requires aggregation of contractual cash flows into a maturity ladder and application of six pre‑specified shock weightings (drawn from BCBS IRRBB guidance). This produces six sensitivity numbers per institution. (Interest rate sensitivity calculation; Weighting factors table)\n- Audit and controls: Almost all data must be produced from systems, processes and controls reviewed and tested by the ADI’s external auditor in line with Prudential Standard APS 310. Internal review and authorisation processes are separately required. These impose recurring external audit and internal control costs. (Quality control)\n- Submission and attestation: Electronic filing is mandatory and the officer or agent must digitally sign with a certificate acceptable to APRA. (Method of submission; Authorisation)\n- APRA discretion: APRA may change reporting frequency, vary requirements for particular ADIs, or treat an ADI as being of a different class for reporting purposes. That creates implementation uncertainty: APRA can increase reporting frequency or scope for individual firms. (Reporting periods and due dates; Variations)\n\n**Costs and incentives (concrete mechanisms)\n\n- Who pays: ADIs (and their NOHCs where relevant) incur the direct cost — systems work, model builds/maintenance, auditor fees and internal governance resources. (Information required; Quality control)\n- Competitive effects: Smaller ADIs and non‑SFIs may face proportionally higher compliance costs per dollar of balance sheet than large banks. The standard prescribes different table requirements by class and exempts PPF providers, but many smaller ADIs still must submit detailed data. (Specific instructions — table applicability)\n- Behavioural modelling incentives: Where APRA prescribes a deposit profile for certain ADIs, it reduces modelling discretion but also reduces the ability of those ADIs to report a more favourable internal view. Banks that can justify internal models (e.g. advanced banks) retain modelling flexibility but must support models with governance and auditor review. (Deposit Replicating Portfolio; Table 2)\n- Information rents and concentrated benefits: The principal beneficiaries of the data are APRA (prudential oversight), and secondarily the RBA and ABS. Those are concentrated users; the reporting burden is diffuse across many ADIs. (Purpose)\n- Substitution and product design: Consistent, prescriptive reporting may incentivise some institutions to redesign deposit or product features if that materially affects reported repricing profiles or reduces complexity of ongoing reporting. Whether this happens depends on business economics versus compliance cost.\n\n**Implementation risks and trade‑offs\n\n- Reconciliation risk: firms must align accounting, risk and behavioural models so the reported tenor ladders map to internal IRRBB management and to other APRA returns (cross‑references to APS 117, APS 120, APS 111, ARS 701.0 and AASB 121 are frequent). (Instruction Guide; Interpretation)\n- Model and audit burden: The external audit review required by APS 310 and the internal control requirements increase yearly operational costs and timing risk for filings. (Quality control)\n- APRA discretion increases uncertainty: APRA can change frequency or require ad hoc variations for a particular ADI, making resource planning harder for affected firms. (Reporting periods and due dates; Variations)\n\n**Where to look in the instrument (quick citations)\n\n- Authority and legal basis: \"Authority\" (made under section 13 of the Financial Sector (Collection of Data) Act 2001).\n- Who must report and from when: \"Application\" (applies to ADIs except PPFs; from reporting periods ending on or after 1 October 2025).\n- What to report: \"Reporting Form ARF 117.0\" and \"Specific instructions\" (Tables 1–3, definitions, tenor buckets).\n- Timing and format: \"Method of submission\" and \"Reporting periods and due dates\" (electronic filing, 35 calendar days).\n- Audit and controls: \"Quality control\" (external auditor review per APS 310 and internal processes).\n- APRA discretion: \"Reporting periods and due dates\" paragraph on APRA changing frequency; \"Variations\" on treating classes differently.\n\n(End of summary.)"},"flash_summary_failed":{"failed":true,"reason":"Unauthenticated. Configure AI_GATEWAY_API_KEY or use a provider module. Learn more: https://ai-sdk.dev/unauthenticated-ai-gateway","source":"analysis-cron"},"kimi_summary":{"_metrics":{"completionTokens":693},"content_quality":"ok","complexity_score":8,"scope_assessment":{"changed":false,"description":"This is a technical update to an existing reporting standard (ARS 117.0) replacing a previous version. The scope remains focused on interest rate risk reporting for prudential supervision. The 1 October 2025 commencement date and transitional provisions suggest this is a scheduled refresh rather than scope expansion. The core purpose—collecting repricing data for APRA, RBA and ABS—has not changed."},"complexity_factors":["Extensive cross-referencing to other prudential standards (APS 001, APS 111, APS 112, APS 117, APS 120, APS 310, ARS 701.0, ARS 110.0, ARF 120.1)","Three separate reporting tables with different methodologies and applicability matrices based on ADI class","17 distinct tenor (time) buckets for cash flow classification","Dual reporting requirement: contractual vs expected/behavioural cash flows with different rules for 'Significant Financial Institutions' vs 'Non-Significant Financial Institutions'","Complex securitisation deconsolidation rules with multiple conditions","Six prescribed interest rate shock scenarios with 102 separate weighting factors (17 tenors × 6 scenarios)","Class-specific requirements: advanced banks use internal models, other ADIs use APRA-prescribed profiles or no behavioural reporting","Multiple defined terms (27+ definitions) including nested references to external standards","Currency conversion requirements and digital signature obligations","Transitional provisions for old reporting standards with overlapping obligations"],"plain_english_summary":"This rule requires Australian ADIs — banks, building societies, credit unions and foreign bank branches (Level 1 and Level 2) — to submit quarterly detailed repricing reports to APRA showing when assets and liabilities reprice or are expected to behave, plus sensitivity under interest‑rate shocks. Some providers (e.g., certain prepaid card firms) are excluded.\n\nThe data helps APRA, the RBA and ABS monitor interest‑rate risk in the banking book; larger “advanced” banks may use internal models while smaller ADIs follow APRA’s prescribed methods."}},"importantCases":[],"_links":{"self":"/api/acts/financial-sector-collection-of-data-reporting-standard-determination-no-15-of-2025","history":"/api/acts/financial-sector-collection-of-data-reporting-standard-determination-no-15-of-2025/history","analysis":"/api/acts/financial-sector-collection-of-data-reporting-standard-determination-no-15-of-2025/analysis","conflicts":"/api/acts/financial-sector-collection-of-data-reporting-standard-determination-no-15-of-2025/conflicts","importantCases":"/api/acts/financial-sector-collection-of-data-reporting-standard-determination-no-15-of-2025/important-cases","documents":"/api/acts/financial-sector-collection-of-data-reporting-standard-determination-no-15-of-2025/documents"}}