Financial Sector (Collection of Data) (reporting standard) determination No. 15 of 2025
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This instruction guide is designed to assist in the completion of the Repricing Analysis form (ARF 117.0). This form measures an authorised deposit taking institution’s (ADI’s) exposure to repricing risk. In completing this form, ADIs should refer to Prudential Standard APS 117 Capital Adequacy: Interest Rate Risk in the Banking Book (APS 117).
Terms highlighted in bold italics are defined in paragraph 19 of this Reporting Standard, or the Definitions in this Instruction Guide.
General directions and notes
Reporting entity
The form is to be completed at Level 1 and Level 2 by all ADIs other than providers of purchased payment facilities.
If an ADI is a subsidiary of a NOHC, the report at Level 2 is to be provided by the ADI’s immediate parent NOHC[1].
Data is to be reported as at the end of the reporting period.
The specific instructions specifies which tables are required to be completed across each class of ADI.
Securitisation deconsolidation principle
Except as otherwise specified in these instructions, the following applies:
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):
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;
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
the underlying exposures (i.e. the pool) under such a securitisation may be excluded from the calculation of regulatory capital (refer to APS 120). However, the ADI must still hold regulatory capital for any securitisation exposure[2] that it retains or acquires and such exposures are to be reported in Reporting Form ARF 120.1 Securitisation – Regulatory Capital. The risk-weighted assets relating to such securitisation exposures must also be reported in ARS 110.0.
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.
Part Specific instructions - Financial Sector (Collection of Data) (reporting standard) determination No. 15 of 2025 - Specific instructions | Zoe
Unit of measurement
Unless otherwise specified, report all values in whole Australian dollars (AUD), with no decimal place.
ADI’s are required to express their banking book items with respect to assets. Liability cash flows are expected to be predominantly negative.
Amounts denominated in foreign currency are to be converted to AUD in accordance with AASB 121 The Effects of Changes in Foreign Exchange Rates (AASB 121).
Definitions
Definitions in this Reporting Standard are presented in the following groups:
Assets
Liabilities
Derivatives and Other commitments
Other key terms
Assets
Asset and Lease Financing
Means financing that enables access to an asset in exchange for periodic payments.
Australian Government Securities
Has the meaning given in ARS 701.0.
Australian State Government or Territory Central Borrowing Authorities Securities
Has the meaning given in ARS 701.0 for semi-government securities.
Bank and Financial Institution Securities
Means all securities issued by banks and other financial institutions.
Business Loans - Fixed Rate
Refers to business loans, where the interest rate is fixed for some part of the original term, at the end of the fixed interest rate period the contract may provide for transition to a variable interest rate or for a new interest rate to be negotiated.
Business Loans - Variable Rate
Refers to business loans, where fluctuations in interest rates generally occur at the discretion of the lender and/or in response to movements in some other interest rate or other variable specified in the contract. These fluctuations in interest rates may result in changes to required payments or length of the agreement.
Corporate Securities
Means all securities issued by corporations other than banks and other financial institutions.
Credit Cards
Has the meaning given in ARS 701.0.
Debt securities
Has the meaning given in ARS 701.0.
Home Loans - Fixed Rate
Refers to residential property exposures as defined in Prudential Standard APS 112 Capital Adequacy: Standardised Approach to Credit Risk (APS 112), where the interest rate is fixed for some part of the original term, at the end of the fixed interest rate period the contract may provide for transition to a variable interest rate or for a new interest rate to be negotiated.
Home Loans - Variable Rate
Refers to residential property exposures as defined in APS 112, where fluctuations in interest rates generally occur at the discretion of the lender and/or in response to movements in some other interest rate or other variable specified in the contract. These fluctuations in interest rates may result in changes to required payments or length of the agreement.
Inter-company Loans
Means the amounts receivable resulting from related party transactions.
Money Market Securities
Means short term money market instruments such as certificates of deposits, non-negotiable certificates of deposits, bank bills, commercial paper and reverse repurchase agreements.
Mortgage and Asset Backed Securities
Includes debt securities that are backed by cash flows from residential mortgages and from assets other than residential mortgages.For Asset-backed securities, in the event of bankruptcy, the investor has recourse only to the collateral and not the originator or servicer of the loans or finance leases.
Notes and coins, Deposits with Central Banks and Cash Equivalents
Includes:holdings of Australian and foreign physical currencies and cash on hand;funds deposited into Exchange Settlement Accounts of central banks; 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.
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
Other Loans and Advances
Refers to any loans or advances provided which are not reported under any other repricing item.
Personal Loans
Means loans to households excluding home loans and credit cards.
Securities issued by foreign sovereigns
Means all securities issued by overseas central, state, and regional governments.
Liabilities
Additional Tier 1 capital items
Has the meaning given in Prudential Standard APS 111 Capital Adequacy: Measurement of Capital (APS 111).
Bond issuance
Includes both domestic and offshore bond issuance such as medium-term notes and covered bonds. Excludes any securitisation issued.
Deposits - Inter-company
Refers to deposits by related entities e.g. parent company, subsidiary or branch.
Deposits - Savings Accounts
Means deposits where the product is designed for the retail and commercial markets other than Deposits - Transaction Accounts or Deposits - Term Deposits. These deposits have limited access (e.g. only a limited number or value of withdrawals may be made from the account in a given period), incur penalties or fees (e.g. the loss of bonus interest, withdrawal fees), or have other restrictions on use of funds for payment or withdrawal. Interest rates on Saving Accounts typically move in line with the prevalent market rates.
Deposits - Term Deposits
Means deposits where the product is designed for the retail and commercial markets in which money has been placed for a fixed period for a stated interest rate.It includes:term deposits; andfixed-term deposits with a notice of withdrawal requirement.It excludes:non-transaction deposits that do not have a fixed term; andcertificate of deposits.
Deposits - Transaction Accounts
Means deposits where the product is designed for the retail and commercial market, where the meaning given in ARS 701.0 for transaction deposits.
Other borrowings
Refers to all other borrowings that are not reported under any other repricing item.
Other deposits
Refers to all other deposits that are not reported under any other repricing item.
Other liabilities
Refers to all other liabilities that are not reported under any other repricing item. Includes non-interest earning liabilities that are not separately reported. This includes but is not limited to:Provisions;Collateral posted;Other accounts payable; andTax liabilities.
Securitisation
Has the meaning given in ARS 701.0.
Tier 2 capital items
Has the meaning given in APS 111.
Wholesale short term funding
Report any issuance of certificate of deposits, negotiable certificates of deposit, commercial paper and repurchase agreements.
Derivatives and Other commitments
Foreign Exchange-linked Derivatives
Refers to each leg against the currency applicable to that leg.
Interest rate - futures and FRAs
Refers to the cash flows of the underlying physical instrument for futures and Forward Rate Agreements (FRAs).
Interest rate - options
Refers to the delta-equivalent amounts of the underlying or notional underlying instrument.
Interest rate - swaps (pay fixed)
Refers to interest rate swaps with pay-fixed and receive-floating legs.
Interest rate - swaps (receive fixed)
Refers to interest rate swaps with receive-fixed and pay-floating legs.
Interest rate - swaps (basis swaps)
Refers to interest rate swaps with two floating rate legs.
Other Derivatives
Refers to all other derivatives that are not reported under any other repricing item.
Other Commitments (timing is known)
Refers to undrawn (off-balance sheet) lending commitments, where timing of the interest rate repricing is known. This represents the maximum unused portion of the commitment that could be drawn during the remaining period to maturity. Any drawn portion of a commitment forms part of an entity's on-balance sheet exposure and is not to be reported at this item. For the purposes of this item, commitments where no interest rate has been locked in should not be reported. Commitments are generally considered to have arisen once the reporting party makes a firm offer to a client (i.e. customer acceptance is not required). Therefore, a commitment will arise once a letter of offer is provided to the client by the reporting party.
Other key terms
Approved IRRBB model
Has the meaning given in APS 117.
Assumed maturity profile for shareholders’ equity
Refers to the assumed maturity profile for shareholders’ equity reflective of targeted term and strategy of equity investments.
Banking book
Has the meaning given in ARS 701.0.
Core deposit
Has the meaning given in APS 117.
Deposit Replicating Portfolio
Refers to expected repricing for all core deposit balances instead of contractual repricing.
Financial institutions
Has the meaning given in ARS 701.0.
Specific instructions
Reporting entity
The ARS 117.0 collection set contains three tables:
Table 1: Repricing Analysis (Contractual)
Table 2: Repricing Analysis (Expected)
Table 3: Interest Rate Sensitivity of the Banking Book.
These tables are to be completed at Level 1 and (where relevant) Level 2 by each ADI that is included in one of the classes of ADI to which these tables apply, as set out below.
Class of ADI
Table 1
Table 2[3]
Table 3
Bank – Advanced
Yes
Yes
No
Bank – Standardised
Yes
Yes
Yes
Branch of a Foreign Bank
Yes
Yes
No
Building Society
Yes
Yes
Yes
Credit Union
Yes
Yes
Yes
Provider of Purchased Payment Facilities
No
No
No
Other ADI
Yes
Yes
Yes
If an ADI is a subsidiary of an authorised NOHC, the report at Level 2 is to be provided by the ADI’s immediate parent NOHC.
APRA may determine, in writing, that an individual ADI of one class of ADI is to be treated, for the purposes of this Reporting Standard, as though it was an ADI of another class of ADI.
Repricing Tenor (time) buckets
There are 17 time buckets in this form. The time buckets on the form indicate the periods in which the interest rates applying to repricing items are expected to reprice (i.e. term to next interest rate repricing/change). They do not indicate the residual term of the original maturity of the instrument itself, however the two may coincide (e.g. bank bills, term deposits, money market loans).
The amount recorded in each time bucket for each item is the amount of principal and interest cash flow that is expected to reprice during that time period rather than any fair value representation.
The “Overnight (O/N)” bucket is to represent exposures that reprice overnight. Not all balance sheet items may be exposed to interest rate risk. For such items, these should be reported under the “Non-interest rate sensitive” time bucket.
Principal and Interest Cash flow
SFI ADIs are required to express their repricing profiles of banking book items as a series of future notional principal and interest cash flows in Table 1 and 2. Non-SFIs are required to complete the principal repricing cash flows only (interest only cash flow is optional for Non-SFIs).
Contractual and Expected Cash flow
The repricing analysis is to be completed for the contractual repricing profile (Table 1) and the expected repricing profile (Table 2) of banking book items. For Table 2, the expected repricing profile of assets and liabilities should consider expected loan prepayment / amortisation rates and deposit portfolio run-off, rather than contractual repricing where these are expected to be materially different. An ADI is not required to submit any items in Table 2 if the ADI does not conduct behavioural modelling.
Deposit Replicating Portfolio
In reporting the ADI’s Deposit Replicating Portfolio different methodologies apply in Table 1 and Table 2 based on the class of ADI and whether the ADI conducts behavioural analysis to determine core / non-core deposits. The methodology that applies is as per the following table.
Allocation methodology of core deposit balance to the repricing time buckets
Class of ADI
Table 1
Table 2
Bank – Advanced
Internal behavioural assumptions (as per the Approved IRRBB model)
Internal behavioural assumptions
All other ADIs (except PPFs) who:
conduct behavioural analysis to determine core/non-core deposits
APRA prescribed
Internal behavioural assumptions
do not conduct behavioural analysis to determine core/non-core deposits
None*
None*
*ADIs that do not conduct behavioural analysis to determine core/non-core deposits should not report a deposit replicating portfolio in Table 1 nor Table 2.
Entities required to allocate the core deposit balance to the repricing buckets according to the APRA prescribed profile should use the following allocation table.
Prescribed Repricing Profile for Core Deposits
Time bucket
Proportion of Core deposits
Overnight (O/N)
-100%
0 to < 1 month (excluding O/N)
4%
1 to < 2 months
5%
2 to < 3 months
5%
3 to < 6 months
10%
6 to < 9 months
10%
9 to < 12 months
12%
1 to < 2 years
27%
2 to < 3 years
27%
3+ years
0%
Total
0%
Interest rate sensitivity calculation
Table 3 captures interest rate sensitivities across specified tenor buckets across six interest rate shock scenarios, aggregated across reported currencies.
The six prescribed interest rate shocks scenarios are defined in Basel Committee on Banking Supervision (BCBS) (2016) Interest Rate Risk in the Banking Book[4]. These include:
Parallel shock up;
Parallel shock down;
Steepener shock (short rates down and long rates up);
Flattener shock (short rates up and long rates down);
Short rate shock up; and
Short rate shock down.
For each Tenor bucket, the notional contractual repricing cash flows are aggregated using values from Table 1. This results in a single positive or negative net notional cash flow amount for each tenor bucket.
To derive a maturity ladder, notional cash flows are to be grouped into a series of tenor buckets (time bands) according to the occurrence of the contractual repricing cash flows. The tenor buckets and weighting factors are specified in the table below. [5]
Weighting factors (%) used in calculation of interest rate sensitivities in Table 3
Tenor
Parallel shock up
Parallel shock down
Steepenershock
Flattenershock
Short rate shock up
Short rate shock down
1
Overnight (O/N)
0.00
0.00
0.00
0.00
0.00
0.00
2
0 to <1 month (excluding O/N)
0.12
-0.12
-0.11
0.14
0.18
-0.18
3
1 to < 2 months
0.36
-0.36
-0.33
0.41
0.52
-0.52
4
2 to < 3 months
0.60
-0.60
-0.53
0.67
0.85
-0.85
5
3 to < 6 months
1.07
-1.07
-0.89
1.13
1.46
-1.46
6
6 to < 9 months
1.79
-1.79
-1.33
1.73
2.29
-2.29
7
9 to < 12 months
2.50
-2.50
-1.66
2.21
3.01
-3.01
8
1 to < 2 years
4.15
-4.15
-2.00
2.90
4.28
-4.28
9
2 to < 3 years
6.74
-6.74
-1.64
3.08
5.41
-5.41
10
3 to < 4 years
9.21
-9.21
-0.52
2.46
5.76
-5.76
11
4 to < 5 years
11.56
-11.56
1.03
1.38
5.63
-5.63
12
5 to < 7 years
15.23
-15.23
3.78
-0.65
5.10
-5.10
13
7 to < 10 years
19.89
-19.89
8.19
-4.16
3.56
-3.56
14
10 to < 15 years
26.75
-26.75
14.20
-8.82
1.76
-1.76
15
15 to < 20 years
33.64
-33.64
19.52
-12.78
0.64
-0.64
16
20+ years
39.04
-39.04
23.20
-15.39
0.21
-0.21
17
Non-interest rate sensitive
0.00
0.00
0.00
0.00
0.00
0.00
For each maturity ladder:
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.
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.
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.