Financial Sector (Collection of Data) (reporting standard) determination No. 15 of 2025
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Table 1 captures an ADI’s contractual repricing gap positions of banking book items split across assets, liabilities, and derivatives. For each repricing item, an ADI is to report the gap repricing profile across specified tenor buckets, currency and cash flow type (principal and interest).
All repricing items are to be reported based on contractual repricing term of the relevant banking book item, except for the ‘Deposit Replicating Portfolio’ (see specific instructions on Deposit Replicating Portfolio above).
Data fields required to be reported are listed below. They are shown sequentially in the column order that they will appear in the reported data set. Each row of the table must be a unique combination of Currency, Repricing Item, Tenor, and Cash flow type (columns 1-4). Constraints on the data that can be reported for each field have also been provided.
Name
Valid values
Description
1
Currency
Applicable three-letter currency code
Report the currency to which the exposure relates.Currency codes are the three-letter currency code as assigned by the ISO 4217 Maintenance Agency to a currency defined under the International Organization for Standardization’s International Standard ISO 4217:2015.ADIs are to report across all currencies to which they have an exposure.
2
Repricing item
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.
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.
4
Cash flow type
Principal Interest
Report the type of repricing event (‘principal’ or ‘interest’) applicable for each cash flow.SFIs are required to express their banking book items as a series of future notional principal cash flows and interest cash flows. Non-SFIs are required to complete the principal repricing cash flows only (interest only cash flow is optional for Non-SFIs).
5
Value
Whole dollars
Report the value of the contractual repricing cash flow.
Table 2. Repricing Analysis – Expected
Table 2 captures an ADI’s expected repricing gap positions of banking book items split across assets, liabilities, and derivatives. Similar to Table 1, for each repricing item, an ADI is to report the gap repricing profile across specified tenor buckets, currency and cash flow type (principal and interest).
For an ADI that conducts behavioural modelling of banking book items, the ADI is required to express these banking book items as a series of expected future notional cash flows based on the expected repricing profile of these assets, liabilities and derivatives, rather than the contractual repricing or original maturity.
All repricing items are to be reported based on behavioural repricing assumptions that the ADI may utilize from internal modelling. For the purposes of Table 2, the behavioural modelling does not require approval from APRA. Behavioural repricing analysis should be consistent with balance sheet gap reported internally for IRRBB risk management purposes.
Elements of the balance sheet that are not subject to a behavioural model are to be reported in Table 2 on a contractual basis. For an ADI that does not conduct behavioural modelling, the ADI is not required to submit any items in Table 2.
Data fields required to be reported are listed below. They are shown sequentially in the column order that they will appear in the reported data set. Each row of the table must be a unique combination of Currency, Repricing Item, Tenor, and Cash flow type (columns 1-4). Constraints on the data that can be reported for each field have also been provided.
Name
Valid values
Description
1
Currency
Applicable three-letter currency code
Report the currency to which the exposure relates.Currency codes are the three-letter currency code as assigned by the ISO 4217 Maintenance Agency to a currency defined under the International Organization for Standardization’s International Standard ISO 4217:2015.
2
Repricing item
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.
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.
4
Cash flow type
Principal Interest
Report the type of repricing event (‘principal’ or ‘interest’) applicable for each cash flow.SFIs are required to express their banking book items as a series of future notional principal cash flows and interest cash flows. Non-SFIs are required to complete the principal repricing cash flows only (interest only cash flow is optional for Non-SFIs).
5
Value
Whole dollars
Report the value of the expected repricing cash flow.Where a repricing item is not subject to behavioural modelling (e.g. notes and coins), the contractual repricing cash flow is to be reported.Typical behavioural assumptions include core/non-core deposit split, stickiness profiling, prepayment rate and early withdrawal rate. Rollover assumptions such as a 6-month term deposit rolling over into another 6-month term deposit at maturity, should not be included for the purpose of completing this table.
Table 3. Interest rate sensitivity of banking book - All currencies
Table 3 captures interest rate sensitivities across specified tenor buckets across six interest rate shock scenarios, aggregated across reported currencies.
Name
Valid values
Description
1
Tenor
Overnight (O/N)0 to < 1 month (excluding O/N)1 to < 2 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.
2
Net position / gap
Whole dollars
Report the value calculated from Table 1. Repricing Analysis - Contractual by aggregating cash flows in each tenor bucket. This results in a single positive or negative net position/gap for each tenor bucket.The value displayed in the ‘Total’ row is a derived item. It is calculated as the sum of the aggregate cashflows for each tenor reported in this column.
3
Parallel shock up
Whole dollars
Report the interest rate sensitivity calculated by multiplying net position/gap by the weighting for each tenor for “parallel shock up” in the table above: Weighting factors (%) used in calculation of interest rate sensitivities.The value displayed in the ‘Total’ row is a derived item. It is calculated as the sum of the weighted net position/gap for each tenor reported in this column.
4
Parallel shock down
Whole dollars
Report the interest rate sensitivity calculated by multiplying net position/gap by the weighting for each tenor for “parallel shock down” in the table above: Weighting factors (%) used in calculation of interest rate sensitivities.The value displayed in the ‘Total’ row is a derived item. It is calculated as the sum of the weighted net position/gap for each tenor reported in this column.
5
Steepener shock
Whole dollars
Report the interest rate sensitivity calculated by multiplying net position/gap by the weighting for each tenor for “steepener shock” in the table above: Weighting factors (%) used in calculation of interest rate sensitivities.The value displayed in the ‘Total’ row is a derived item. It is calculated as the sum of the weighted net position/gap for each tenor reported in this column.
6
Flattener shock
Whole dollars
Report the interest rate sensitivity calculated by multiplying net position/gap by the weighting for each tenor for “flattener shock” in the table above: Weighting factors (%) used in calculation of interest rate sensitivities.The value displayed in the ‘Total’ row is a derived item. It is calculated as the sum of the weighted net position/gap for each tenor reported in this column.
7
Short rate shock up
Whole dollars
Report the interest rate sensitivity calculated by multiplying net position/gap by the weighting for each tenor for “short rate shock up” in the table above: Weighting factors (%) used in calculation of interest rate sensitivities.The value displayed in the ‘Total’ row is a derived item. It is calculated as the sum of the weighted net position/gap for each tenor reported in this column.
8
Short rate shock down
Whole dollars
Report the interest rate sensitivity calculated by multiplying net position/gap by the weighting for each tenor for “short rate shock down” in the table above: Weighting factors (%) used in calculation of interest rate sensitivities.The value displayed in the ‘Total’ row is a derived item. It is calculated as the sum of the weighted net position/gap for each tenor reported in this column.