Financial Sector (Collection of Data) (reporting standard) determination No. 16 of 2025
Table 4: Augmented Banking Book shock scTable 4: Augmented Banking Book shock scenarios - daily observation dates
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Table 4: Augmented Banking Book shock scenarios - daily observation dates
Table 4 captures daily post-shock economic values across banking book items within the eight-year observation period defined in APS 117.
For each of the observations within the eight-year observation period, ADIs are required to report the observation period start and end dates and post-shock economic values across a breakdown of items within the augmented banking book and across different repricing assumptions.
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 Start Date, End Date, Repricing Assumptions, and Banking Book item (columns 1-4). Constraints on the data that can be reported for each field have also been provided.
| Name | Valid values | Description | |
|---|---|---|---|
| 1 | Start date | Date values (dd/mm/yyyy) | Report the first observation date in the respective ten-business day holding period shock within the eight-year observation period, as defined in APS 117.Observation dates are to be entered using DD/MM/YYYY format. |
| 2 | End date | Date values (dd/mm/yyyy) | Report the last observation date in the respective ten-business day holding period shock within the eight-year observation period, as defined in APS 117.Observation dates are to be entered using DD/MM/YYYY format. |
| 3 | Repricing Assumptions | CentralShorterLonger | Report the repricing assumption used. The central, shorter and longer repricing assumptions are defined as per APS 117. |
| 4 | Banking Book item | Earnings OffsetAustralian Government SecuritiesAustralian State Government or Territory Central Borrowing Authorities SecuritiesDerivatives that are hedging AGS and semisOther market-related DerivativesOther market-related itemsNon-principal and interest (P&I) itemsNon-maturity depositsNon-market-related DerivativesOther P&I itemsRate locksPrepayment-exposed loansCore Deposits | Report the banking book item to which the post-shock economic value relates. |
| 5 | Post-Shock EV | Whole dollars | Report the post-shock economic value of each listed Banking Book item.The Post-Shock EV is to be calculated as per the methodology in APS 117. The ten-business day shock scenarios are to be scaled up to one-year holding period equivalents, consistent with APS 117. |