Table 2. Repricing Analysis — ExpectedTable 2. Repricing Analysis — Expected

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.