Financial Sector (Collection of Data) determination No. 69 of 2005 Reporting Standard ARS 113.1 (2005) Repricing Analysis (Cth)

Financial Sector (Collection of Data) determination No. 69 of 2005

Reporting Standard ARS 113.1 (2005)

Financial Sector (Collection of Data) Act 2001

I, Wayne Stephen Byres, a delegate of APRA, under paragraph 13(1)(a) of the Financial Sector (Collection of Data) Act 2001 (‘the Act’) MAKE the reporting standard set out in the Schedule, which applies to the financial sector entities referred to in paragraph 2 of the reporting standard.
Under section 15 of the Act, I DECLARE that the reporting standard shall begin to apply those financial sector entities on the date of registration on the Federal Register of Legislative Instruments.
Dated 27 July 2005
[Signed]
Wayne Byres
Executive General Manager
Diversified Institutions Division
APRA
Interpretation

In this Notice

APRA means the Australian Prudential Regulation Authority.

Schedule

Reporting Standard ARS 113.1 (2005)

Repricing Analysis
Objective of this reporting standard
This reporting standard is made under section 13 of the Financial Sector (Collection of Data) Act 2001 (the Collection of Data Act). It requires non-bank ADIs, and particular banks determined by APRA (including, where determined, foreign ADIs operating in Australia through branch operations), to report to APRA, generally on a quarterly basis, in relation to their repricing analysis.
This reporting standard outlines the overall requirements for the provision of relevant information to APRA. It should be read in conjunction with:

the versions of Form ARF 113.1a Repricing Analysis – Denominated in AUD designated for a ‘Licensed ADI’ and ‘Consolidated Group’;
the versions of Form ARF 113.1b Repricing Analysis – Denominated in Foreign Currency designated for a ‘Licensed ADI’ and ‘Consolidated Group’; and
the instructions to those forms
all of which are attached and form part of this reporting standard.
Purpose

Data collected in Form ARF 113.1 is used by APRA for the purpose of prudential supervision. It may also be used by the Reserve Bank of Australia and the Australian Bureau of Statistics.
Application and commencement
This reporting standard will apply, from the date of registration on the Federal Register of Legislative Instruments, to all relevant ADIs (as defined by paragraph 17).
Information required
A relevant ADI must provide APRA with the information required by the versions of Form ARF 113.1a and Form ARF 113.1b designated for a ‘Licensed ADI’ for each reporting period.
A relevant ADI that is a highest parent entity in relation to a consolidated ADI group must also provide APRA with the information required by the versions of Form ARF 113.1a and Form 113.1b designated for a ‘Consolidated Group’ for each reporting period.
Forms and method of submission
The information required by this reporting standard must be given to APRA either:
(a)in electronic form, using one of the electronic submission mechanisms provided by the ‘Direct to APRA’ (also known as ‘D2A’) application; or
(b)manually completed on paper, which must be faxed or mailed to APRA’s head office.
Note: the Direct to APRA application software and paper forms may be obtained from APRA.
Reporting periods and due dates
Subject to paragraph 7, a relevant ADI must provide the information required by this reporting standard for each quarter based on the financial year (within the meaning of the Corporations Act 2001) of the ADI.
APRA may, by notice in writing, change the reporting periods, or specified reporting periods, for a particular ADI, to require it to provide the information required by this reporting standard more frequently, or less frequently, having regard to:
(a)the particular circumstances of the ADI;
(b)the extent to which the information is required for the purposes of the prudential supervision of the ADI; and
(c)the requirements of the Reserve Bank of Australia or the Australian Bureau of Statistics.
The information required by this reporting standard must be provided to APRA by the following times:

(a) in the case of information required by paragraphs 3 and 4 from a locally-incorporated bank, locally-incorporated special service provider or foreign ADI (other than a specialist credit card institution) – 20 business days after the end of the reporting period to which the information relates; and
(b) in the case of information required by paragraphs 3 and 4 from a locally- incorporated credit union, locally-incorporated building society, specialist credit card institution (whether or not locally-incorporated) or Cairns Penny Savings & Loans Limited – 15 business days after the end of the reporting period to which the information relates.

APRA may grant an ADI an extension of a due date in writing, in which case the new due date for the provision of the information will be the date on the notice of extension.
Quality control
The information provided by an ADI under this reporting standard (except for the information required under paragraph 4) must be the product of processes and controls that have been reviewed and tested by the external auditor of the ADI. AGS 1008 ‘Audit Implications of Prudential Reporting Requirements for Authorised Deposit-taking Institutions’, issued by the Auditing and Assurances Standards Board of the Australian Accounting Research Foundation, provides guidance on the scope and nature of the review and testing required from external auditors. This review and testing must be done on an annual basis or more frequently if necessary to enable the external auditor to form an opinion on the accuracy and reliability of the data.
All information provided by an ADI under this reporting standard must be subject to processes and controls developed by the ADI for the internal review and authorisation of that information. It is the responsibility of the board and senior management of the ADI to ensure that an appropriate set of policies and procedures for the authorisation of data submitted to APRA is in place.
Authorisation
If an ADI submits information under this reporting standard using the ‘Direct to APRA’ software, it will be necessary for an officer of the ADI to digitally sign, authorise and encrypt the relevant data. For this purpose, APRA’s certificate authority will issue ‘digital certificates’, for use with the software, to officers of the ADI who have authority from the ADI to transmit the data to APRA.
If information under this reporting standard is provided in paper form, it must be signed on the front page of the relevant completed form by either:

(a) the Principal Executive Officer of the ADI; or
(b) the Chief Financial Officer of the ADI (whatever his or her official title may be).
Minor alterations to forms and instructions

APRA may make minor variations to:

(a) a form that is part of this reporting standard, and the instructions to such a form, to correct technical, programming or logical errors, inconsistencies or anomalies; or
(b) the instructions to a form, to clarify their application to the form
without changing any substantive requirement in the form or instructions.

If APRA makes such a variation it must notify in writing each ADI that is required to report under this reporting standard.
Transitional
If the due date for lodgement in respect of a reporting period is a day after the date of registration of this reporting standard on the Federal Register of Legislative Instruments, a relevant ADI must report under this reporting standard in respect of that reporting period (including where the reporting period ended before the date of registration).
Interpretation - classifications of ADIs
In this reporting standard:
Accounting Standard AASB 1024 means the accounting standard so designated made by the Australian Accounting Standards Board, being the accounting standard that applied in respect of reporting periods (within the meaning of the accounting standard) commencing immediately before 1 January 2005.
ADI means an authorised deposit-taking institution within the meaning of the Banking Act 1959.
ADI list means the attached ADI list.
bank means an ADI whose name appears under the heading ‘Australian-owned Banks’, ‘Foreign Subsidiary Banks’ or ‘Branches of Foreign Banks’ in the ADI list.
building society means an ADI whose name appears under the heading ‘Building Societies’ in the ADI list.
consolidated ADI group means a group comprising:

(a)      an ADI that is a highest parent entity; and
(b)      each subsidiary (within the meaning of Accounting Standard AASB 1024) of that ADI, whether the subsidiary is locally-incorporated or not, other than a subsidiary that is excluded by the instructions attached to this standard.
credit union means an ADI whose name appears under the heading ‘Credit Unions’ in the ADI list.
foreign ADI means an ADI that is not incorporated in Australia.
highest parent entity means an ADI that satisfies all of the following conditions:
(a)      it is locally-incorporated;
(b)      it has at least one subsidiary (within the meaning of Accounting Standard AASB 1024); and
(c)      it is not itself a subsidiary (within the meaning of Accounting Standard AASB 1024) of an ADI that is locally-incorporated.
locally-incorporated means incorporated in Australia.
locally–incorporated bank means an ADI whose name appears under the heading ‘Australian-owned Banks’ or ‘Foreign Subsidiary Banks’ in the ADI list.
relevant ADI means:
(a)      an ADI that is not a bank; and
(b)      a bank if APRA has determined in writing that the bank is a relevant ADI for the purposes of either:

this reporting standard (having regard to the particular circumstances of the bank and whether it is necessary or desirable to obtain the information required by this reporting standard for the purposes of the prudential supervision of that bank or to meet the requirements for data of the Reserve Bank of Australia or the Australian Bureau of Statistics); or
an old reporting standard (before this reporting standard came into effect), in accordance with paragraph (b) of the definition of relevant ADI in an old reporting standard.
special service provider means an ADI whose name appears under the heading ‘Other ADIs’ in the ADI list (other than Cairns Penny Savings & Loans Limited).
specialist credit card institution means an ADI whose name appears under the heading ‘Specialist Credit Card Institutions (SCCIs)’ in the ADI list.

If an ADI is not in the ADI list, then:

(a)      if the ADI assumes or uses the word ‘bank’ in relation to its financial business, it is taken to be a bank for the purposes of this reporting standard;
(b)     if the ADI assumes or uses the word ‘bank’ in relation to its financial business, and it is locally-incorporated, it is taken to be a locally-incorporated bank for the purposes of this reporting standard;
(c)      if the ADI assumes or uses the expression ‘building society’ in relation to its financial business, and it is locally-incorporated, it is taken to be a locally-incorporated building society for the purposes of this reporting standard;
(d)     if the ADI assumes or uses the expression ‘credit union’, ‘credit society’ or ‘credit co-operative’ in relation to its financial business, and it is locally-incorporated, it is taken to be a locally-incorporated credit union for the purposes of this reporting standard; and
(e) if an ADI engages in credit card issuing or credit card acquiring, or both, and does not otherwise carry on banking business within the meaning of section 5 of the Banking Act 1959, it is taken to be a specialist credit card institution for the purposes of this reporting standard.

APRA may in writing determine that an ADI is taken to be a bank, building society, credit union, special service provider or specialist credit card institution for the purposes of this reporting standard (even if, under paragraph 17 or 18, it comes within a different classification).
Interpretation - other definitions
In this reporting standard:
business days means ordinary business days, exclusive of Saturdays, Sundays and public holidays.
old reporting standards means the reporting standards made under section 13 of the Collection of Data Act entitled Reporting Standard ARS 113.1 and Reporting Standard ARS 113.1 (2003).
Principal Executive Officer means the principal executive officer of the ADI for the time being, by whatever name called, and whether or not he or she is a member of the governing board of the entity.
reporting period means a reporting period under paragraph 6 or, if applicable, paragraph 7.

The ADI list
Australian-owned Banks

Adelaide Bank Limited
AMP Bank Limited
Australia and New Zealand Banking Group Limited
Bank of Queensland Limited
Bendigo Bank Limited
Commonwealth Bank of Australia
Commonwealth Development Bank of Australia Limited (a subsidiary of Commonwealth Bank of Australia)
Elders Rural Bank Limited
Macquarie Bank Limited
Members Equity Bank Pty Limited
National Australia Bank Limited
St George Bank Limited
Suncorp-Metway Limited
Westpac Banking Corporation
Foreign Subsidiary Banks
Arab Bank Australia Limited
Bank of Cyprus Australia Pty Limited
BankWest (the trading name of Bank of Western Australia Limited, a foreign subsidiary bank following its sale to Bank of Scotland in December 1995)
Citibank Pty Limited (a subsidiary of Citibank N.A.)
HSBC Bank Australia Limited
ING Bank (Australia) Limited
Investec Bank (Australia) Limited
Laiki Bank (Australia) Limited
NM Rothschild & Sons (Australia) Limited
Rabobank Australia Limited (a subsidiary of Rabobank Nederland from October 1994)
Branches of Foreign Banks
ABN AMRO Bank N.V.
Bank of America, National Association
Bank of China (subject to depositor protection provisions of the Banking Act 1959)
Bank of Tokyo-Mitsubishi, Ltd
Barclays Capital (the trading name of Barclays Bank plc)
BNP Paribas
Citibank N.A.
Credit Suisse
Deutsche Bank AG
HSBC Bank plc
ING Bank NV
JPMorgan Chase Bank, National Association
Mizuho Corporate Bank, Ltd
Oversea-Chinese Banking Corporation Limited
Rabobank Nederland (the trading name of Co-operative Central Raiffeisen-Boerenleenbank B.A.)
Royal Bank of Canada
Société Générale
Standard Chartered Bank
State Bank of India
State Street Bank and Trust Company
The International Commercial Bank of China
The Royal Bank of Scotland Plc
The Toronto-Dominion Bank
Taiwan Business Bank
UBS AG
United Overseas Bank Limited
WestLB AG
Building Societies
ABS Building Society Ltd
B & E Ltd
Greater Building Society Ltd
Heritage Building Society Limited
Home Building Society Ltd
Hume Building Society Ltd
IMB Ltd
Lifeplan Australia Building Society Limited
Mackay Permanent Building Society Ltd
Maitland Mutual Building Society Limited
Newcastle Permanent Building Society Ltd
Pioneer Permanent Building Society Limited
The Rock Building Society Limited
Wide Bay Australia Ltd
Credit Unions
Amcor Credit Co-operative Limited
AMP Employees' & Agents Credit Union Limited
Austral Credit Union Limited
Australian Central Credit Union Limited
Australian Defence Credit Union Ltd
Australian National Credit Union Limited
AWA Credit Union Limited
Bananacoast Community Credit Union Ltd
Bankstown City Credit Union Ltd
Berrima District Credit Union Ltd
Big River Credit Union Ltd
Big Sky Credit Union Ltd
Blue Mountains and Riverlands Community Credit Union Ltd
Broadway Credit Union Ltd
Calare Credit Union Ltd
Capital Credit Union Ltd
Capricornia Credit Union Ltd
Carboy (SA) Credit Union Limited
Central Murray Credit Union Limited
Central West Credit Union Limited
Circle Credit Co-operative Limited
Coastline Credit Union Limited
Collie Miners Credit Union Ltd
Combined Australian Petroleum Employees' Credit Union Ltd
Community Alliance Credit Union Limited
Community First Credit Union Limited
Companion Credit Union Limited
Comtax Credit Union Limited
Connect Credit Union of Tasmania Limited
Country First Credit Union Ltd
CPS Credit Union (SA) Ltd
CPS Credit Union Co-operative (ACT) Limited
Credit Union Australia Ltd
Credit Union Home Loans Australia Limited
Credit Union Incitec Pivot Limited
Croatian Community Credit Union Limited
CSR and Rinker Employees Credit Union Limited
Dairy Farmers Credit Union Ltd
Dana Employees Credit Union
Defence Force Credit Union Limited
Discovery Credit Union Ltd
Dnister Ukrainian Credit Co-operative Limited
ELCOM Credit Union Ltd
Electricity Credit Union Ltd
Encompass Credit Union Limited
Ericsson Employees Credit Co-operative Limited
Esso Employees' Credit Union Ltd
Eurobodalla Credit Union Ltd
Family First Credit Union Limited
Fire Brigades Employees' Credit Union Limited
Fire Service Credit Union Limited
Firefighters & Affiliates Credit Co-operative Limited
First Pacific Credit Union Limited
Fitzroy & Carlton Community Credit Co-operative Limited
Flying Horse Credit Union Co-operative Limited
Ford Co-operative Credit Society Limited
Gateway Credit Union Ltd
Geelong & District Credit Co-operative Society Limited
GMH (Employees) Q.W.L. Credit Co-operative Limited
Goldfields Credit Union Ltd
Gosford City Credit Union Ltd
Goulburn Murray Credit Union Co-operative Limited
H.M.C. Staff Credit Union Ltd
Heritage Isle Credit Union Limited
Hibernian Credit Union Limited
Holiday Coast Credit Union Ltd
Horizon Credit Union Ltd
Hoverla Ukrainian Credit Co-operative Ltd
Hunter Mutual Limited
Hunter United Employees' Credit Union Limited
Industries Mutual Credit Union Limited
Intech Credit Union Limited
Island State Credit Union Ltd
Karpaty Ukrainian Credit Union Limited
La Trobe Country Credit Co-operative Limited
La Trobe University Credit Union Co-operative Limited
Laboratories Credit Union Ltd
Latvian Australian Credit Co-operative Society Limited
Lithuanian Co-operative Society (Talka) Limited
Lysaght Credit Union Ltd
M.S.B. Credit Union Limited
MacArthur Credit Union Ltd
Macaulay Community Credit Co-operative Limited
Macquarie Credit Union Limited
Maleny and District Community Credit Union Limited
Manly Warringah Credit Union Ltd
Maritime Workers of Australia Credit Union Ltd
Maroondah Credit Union Ltd
MECU Limited
Media Credit Union Queensland Ltd
Melbourne University Credit Union Limited
Memberfirst Credit Union Limited
N.R.M.A. Employees' Credit Union Ltd
NACOS Credit Union Limited
New England Credit Union Ltd
Newcom Colliery Employees' Credit Union Ltd
North East Credit Union Co-operative Limited
Northern Inland Credit Union Ltd
Nova Credit Union Limited
NSW Teachers Credit Union Ltd
Old Gold Credit Union Co-operative Limited
Orana Credit Union Ltd
Orange Credit Union Limited
Phoenix (NSW) Credit Union Ltd
Pinnacle Credit Union Limited
Plenty Credit Co-operative Limited
Police & Nurses Credit Society Limited
Police Association Credit Co-operative Limited
Police Credit Union Limited
Polish Community Credit Union Ltd
Power Credit Union Limited
Powerstate Credit Union Ltd
Prospect Credit Union Limited
Pulse Credit Union Limited
Qantas Staff Credit Union Limited
Queensland Community Credit Union Limited
Queensland Country Credit Union Ltd
Queensland Police Credit Union Limited
Queensland Professional Credit Union Ltd
Queensland Teachers' Credit Union Limited
Queenslanders Credit Union Limited
RACV Credit Union Limited
Railways Credit Union Limited
Randwick Credit Union Limited
RegionalOne Credit Union Limited
Reliance Credit Union Ltd
Resources Credit Union Limited
RTA Staff Credit Union Limited
Satisfac Direct Credit Union Limited
Savings and Loans Credit Union (S.A.) Ltd
Security Credit Union Ltd
Select Credit Union Ltd
Service One Credit Union Ltd
SGE Credit Union Ltd
Shell Employees' Credit Union Limited
Shoalhaven Paper Mill Employee's Credit Union Ltd
South West Slopes Credit Union Ltd
Southern Cross Credit Union Limited
South-West Credit Union Co-operative Limited
St Mary's Swan Hill Co-operative Credit Society Limited
St Patrick's Mentone Co-operative Credit Society Limited
Statewest Credit Society Limited
Sutherland Credit Union Ltd
Sutherland Shire Council Employees' Credit Union Ltd
Sydney Credit Union Ltd

TAB Credit Union Limited
Tartan Credit Union Ltd
The Broken Hill Community Credit Union Ltd
The Gympie Credit Union Ltd
The Police Department Employees' Credit Union Limited
The Summerland Credit Union Limited
The TAFE and Community Credit Union Limited
The University Credit Society Limited
Traditional Credit Union Limited
TransComm Credit Co-operative Limited
Uni Credit Union Ltd
United Credit Union Limited
Victoria Teachers Credit Union Limited
Wagga Mutual Credit Union Ltd
Warwick Credit Union Ltd
WAW Credit Union Co-operative Limited
Westax Credit Society Ltd
Western City Credit Union Ltd
Woolworths/Safeway Employees' Credit Co-operative Limited
Wyong Council Credit Union Ltd
Yennora Credit Union Ltd
Specialist Credit Card Institutions (SCCIs)
Foreign-owned SCCIs
GE Capital Finance Australia
GE Finance Australasia Pty Ltd
Locally Incorporated SCCIs
MoneySwitch Limited
Other ADIs
These companies are run by industry bodies and provide services (e.g. payments clearing) to member building societies and credit unions.
Australian Settlements Limited
Credit Union Services Corporation (Australia) Limited
Creditlink Services Limited
One ADI that provides general banking services which does not fall into the other categories.
Cairns Penny Savings & Loans Limited

Reporting Form ARF 113.1
Repricing Analysis
Instruction Guide
This Instruction Guide is designed to assist in the general completion of the Repricing Analysis Form for the Licensed ADI and Consolidated reporting entities.
The Repricing Analysis form is used to assist APRA and the ADI’s board and management in understanding the repricing position of the reporting ADI’s balance sheet, so as to obtain a high level view of the interest rate risk profile.
General directions and notes
Reporting entity
The Repricing Analysis form is to be completed by Banks1, Credit Unions, Cairns Penny Savings & Loans Limited, Building Societies, Specialist Credit Card Institutions (SCCIs) and Special Service Providers on both a Licensed ADI and Consolidated ADI Group basis (where applicable).
Foreign ADIs[2] and Specialist Credit Card Institutions (SCCIs) operating through branches in Australia are required to complete this form for the Australian branch only.
1 Where APRA determines.
[2] These instructions and any relevant form are to apply to the Bank of China as if its branch operations in Australia constituted a locally-incorporated bank. Accordingly: (a) the Bank of China is to undertake stand-alone or ‘Licensed ADI’ reporting in respect of the bank’s Australian branch operations, as if those operations constituted a locally-incorporated bank; and (b) ‘Consolidated Group’ reporting for Bank of China is to encompass (i) those branch operations (as if they constituted a locally-incorporated bank) and (ii) any locally-incorporated subsidiary of the Bank of China.
Licensed ADI
This refers to the operations of the reporting ADI on a stand-alone basis.
Consolidated ADI group
This refers to the global operations of the ADI and all its controlled entities (where relevant), consolidated in accordance with Australian accounting standards (AASB 1024).
‘Controlled entity’, ‘parent entity’. These terms are defined in accordance with AASB 1024 ‘Consolidated Accounts’.
The basis of consolidation required in this form is in accordance with the prudential Consolidated ADI Group. The prudential consolidated group should also be determined in accordance with Australian accounting standards, notably AASB 1024 ‘Consolidated Accounts’ with the following modifications:

Include the following:

all controlled banking entities, securities entities and other financial entities (e.g. finance companies, money market corporations, stockbrokers and leasing companies.

Exclude subsidiary entities involved in the following business activities:

insurance businesses (including friendly societies and health funds);
acting as manager, responsible entity, approved trustee, trustee or similar role in relation to funds management or the securitisation of assets; and
non-financial (commercial) operations.
Reporting period
The form is to be completed as at the last day of the stated reporting quarter, unless the forms are completed on a more frequent basis as required by APRA. Locally incorporated banks, Foreign ADIs (other than specialist credit card institutions) and Special Service Providers should submit the completed form to APRA within 20 business days after the end of the relevant reporting quarter. Credit Unions, Cairns Penny Savings & Loans Limited, Building Societies and Specialist Credit Card Institutions (SCCIs) should submit the completed form to APRA within 15 business days after the end of the relevant reporting quarter.
Unit of measurement
Banks are asked to complete the form in millions of Australian dollars rounded to one decimal place. Special Service Providers, Building Societies, Credit Unions, Specialist Credit Card Institutions (SCCIs) and Cairns Penny Savings & Loans Limited are asked to complete the form in whole Australian dollars (no decimal place).
Amounts denominated in foreign currency are to be converted to AUD in accordance with AASB 1012 ‘Foreign Currency Translation’.
The general requirements of AASB 1012 for translation are:

Foreign currency monetary items outstanding at the reporting date must be translated at the spot rate at the reporting date.
Other items outstanding at the reporting date must not be retranslated subsequent to initial recognition of the transaction.
Monetary items are defined to mean money held and assets and liabilities that are to be received or paid in fixed or determinable amounts of money.
Monetary items arising under foreign currency derivative contracts at the reporting date must be translated as follows:

Where the exchange rate is fixed in the contract, at that fixed exchange rate; and
Where the exchange rate varies, at the spot rate at the reporting date.
Basis of preparation
On balance sheet items:
The measurement of on balance sheet items is to be consistent with the measurement basis adopted by institutions in accordance with Australian accounting standards.
Off-balance sheet items:
Instruments are to be measured consistent with the nature of purpose of use and with the applicable accounting pronouncements. As a guide we recommend:
For derivative instruments used for hedging assets/liabilities (specific positions or portfolios) in the banking book where the items are recorded on the basis of the lower of cost or recoverable value, the face value of the derivative instruments is to be used.
For derivative instruments used for trading purposes (position taking and hedging of trading portfolios/positions where the underlying values are recorded at market value), the market value of the derivative instrument is to be used.
For other commitments:
These would include unused credit card and overdraft facilities, loans approved not advanced, standby facilities offered by the ADI etc.

Specific instructions
Measurement of assets, liabilities and equity:
Unless specifically advised, the measurement of assets, liabilities and equity items for the repricing analysis is to be completed consistent with the approach used by the institution in complying with AASB 1033 ‘Presentation and Disclosure of Financial Instruments’.
Repricing profile:
We recommend that where possible the repricing analysis should be completed on the basis of the expected repricing profile of assets and liabilities, rather than the contractual repricing (i.e. contractual loan repayment rates) or original maturity. The expected repricing profile of assets and liabilities should take into account expected loan prepayment/amortisation rates and deposit portfolio run-off, rather than contractual repricing where these are expected to be materially different. The absence of prepayment penalties/break clauses should be considered for fixed rate products when determining the amount recorded in the respective time bucket.
If a portfolio of assets (e.g. the trading portfolio) is managed for risk management purposes against a benchmark portfolio or index, it is acceptable to use the repricing profile of the nominated benchmark or index.
The time buckets on the form indicate the periods when the interest rates applying to portfolios (e.g. investments, loans, deposits and borrowings) will 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).
In the case of variable rate loans for example, they do not have a fixed repricing term. Accordingly these should be included in either the 0 to 1 months or 1 to 3 months time bucket, depending on the time frame the institution expects to take to adjust its variable rates after movements in the official or market rate. A 20 year residential loan with a two year fixed interest rate would be included in the 1-2 year time bucket (when the interest rate on the loan will next change/reprice) and not the >5 year time bucket (reflecting the maturity/repayment of the loan). In subsequent quarters, as the term of this fixed interest rate runs its course, it would be included in the 6 -12 month category and so on.
Not all assets and liabilities would be exposed to interest rate risk. Such items should be classified as Non Interest Rate Sensitive Assets/Liabilities.
Shareholders equity should be placed in the non interest rate sensitive bucket, unless analysis has been performed and presented to APRA to indicate another repricing profile.
All category items appearing in this form also appear in the Statement of Financial Position (ARF 323/322.0). It is important that the totals of these line items correspond.
Several validation rules have been applied to assist you in this process.
Measurement of off balance sheet exposures
Other commitments should only be included where the timing is known. For example a loan approved but not advanced where a 2 year fixed rate has been offered to the borrower should be included in the 1 to 2 year time bucket. Whereas a loan approved but not advanced where no rate has been locked in would typically be recorded in the 0 to 1 month bucket.
For derivative instruments the underlying cash flows should be recorded with the correct sign. Examples of swaps, futures and FRAs are described below.
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 (SFE) 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.

Total 1 to 3 Months 3 to 6 Months

Futures & FRAs 0 -20,000,000 +20,000,000
Example 2:
On 23rd September 2003 an ADI sells 15 March 2004 bank bill futures contracts. This transaction results in a notional cash inflow in March 2004 when the ADI sells the bank bills and a notional cash outflow in June 2004 when the bank bills mature. This futures transaction would be recorded in the 30^th September 2003 repricing analysis form as positive $15M in the 3 to 6 month time bucket (as the physical bills will be sold in 6 months time) and negative $15M in the 6 to 12 month time bucket (as the physical bills mature in 9 months time).
In subsequent quarters the futures transaction is allocated to different time buckets, as appropriate. Using example 2 for bill futures to illustrate this, on 31 December 2003 the positive $15M would have moved into the 1 to 3 month time bucket and the negative $15M would have moved into the 3 to 6 month time bucket.
The approach described above for allocating bought and sold bank bill futures to the repricing analysis form also applies to bond futures.
Forward rate agreements (FRA’s)
As with a futures contract, a FRA contract is similarly broken down into the underlying notional cash flows. A FRA 2/5 for $50M as a lender (also termed receiver {of interest}) would be reported as a negative $50M in the 1 to 3 month time bucket and positive $50M in the 3 to 6 month time bucket. This represents lending $50M in 2 months time until 5 months.

Total 1 to 3 Months 3 to 6 Months

Futures & FRAs 0 -50,000,000 +50,000,000
A FRA1/4 for $100M as a borrower (also termed payer {of interest}) would be represented as a positive $100M in the 0 to 1 month time bucket and a negative $100M in the 3 to 6 month time bucket.
Options
Where options are used to hedge interest rate risk in the banking book APRA should be consulted, before completing the report.
Note on References to Accounting Standards
This Note is about references in these instructions to an accounting standard or accounting standards, e.g. where the instructions say that something must be done in accordance with a particular AASB or international accounting standard, or must be done in accordance with the accounting standards (however described) generally.
Where you see such a reference, you must read it as meaning the version of the accounting standard, or versions of the accounting standards, applying to reporting periods (within the meaning of the accounting standards) beginning immediately before 1 January 2005.
Accordingly, the new AASB standards for 2005 are not to be applied.
Similarly, a reference to principles or conventions (however described) governing an accounting procedure or treatment shall be taken to refer to principles or conventions applicable in relation to reporting periods (within the meaning of the accounting standards) that began immediately before 1 January 2005.

Total	1 to 3 Months	3 to 6 Months
Futures & FRAs	0	-20,000,000	+20,000,000