Financial Sector (Collection of Data) (reporting standard) determination No. 5 of 2006 - Reporting Standard ARS 113.1 - Repricing Analysis
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Swaps
For an interest rate swap, the fixed leg should be allocated to the time bucket corresponding to the residual maturity of the swap and the floating leg should be allocated to the time bucket corresponding to the next rate reset date. Additionally the pay side should be recorded as negative the face value, whilst the receive side should be recorded as positive the face value.
Example 1
An ADI enters into a 3 year swap with a face value of $5M, under which the ADI pays fixed, receives floating with quarterly resets. The swap should be initially recorded in the repricing analysis form as negative $5M in the 2 to 3 year time bucket (as the swap has a residual maturity of 3 years) and positive $5M in the 1 to 3 month time bucket (as the next interest rate reset date occurs in 3 months time. See table below.
| Total | 1 to 3 Months | 2 to 3 years | |
|---|---|---|---|
| Swaps | 0 | +5,000,000 | -5,000,000 |
In subsequent quarters the two legs of the swap would be allocated to different time buckets, where appropriate, such that the fixed leg corresponds to the residual maturity of the swap and the floating leg corresponds to the next rate reset date.
Example 2
On 11 June 2003 an ADI enters into a 4.5 year swap with a face value of $10M, under which the ADI receives fixed, pays floating with semi annual resets. The swap should be recorded in the repricing analysis form as at 30 June 2003 as positive $10M in the 4 to 5 years time bucket (as the swap has a residual maturity of just less than 4.5 years) and negative $10M in the 3 to 6 month time bucket (as the next reset date of 11 December 2003 occurs in just under 6 months time).
In subsequent quarters the two legs of the swap would be allocated to different time buckets, as appropriate. Using example 2 to illustrate this, on 30 September 2003 the swap should be recorded as positive $10M in the 4 to 5 year time bucket and negative $10M in the 1 to 3 month time bucket (as the next reset date of 11 December 2003 has moved into the 1 to 3 month bucket). Subsequently on 31 December 2003 the swap should be recorded as positive $10M in the 3 to 4 years time bucket (as the swap now has a residual maturity of just less than 4 years) and a negative $10M in the 3 to 6 month time bucket (as the next reset date is 11 June 2004).
Futures
For a futures contract the face value should be allocated to time buckets according to the cash flows of the underlying physical instrument.
Example 1
On 25 June 2003 an ADI purchases 20 Sydney Futures Exchange September 2003 90 day bank bill futures contracts. This transaction results in a notional cash outflow in September 2003 to purchase the underlying physical 90 day bank bills and a notional cash inflow in December 2003 when the bank bills mature. This futures transaction should be recorded in the 30 June 2003 repricing analysis form as negative $20M in the 1 to 3 month time bucket (as the underlying physical bills will be purchased in 3 months time) and positive $20M in the 3 to 6 month time bucket (as the bills mature in 6 months time). See the table below.