Document ID: chunk:federal_register_of_legislation:F2024L01182:body:0:p16
Version: federal_register_of_legislation:F2024L01182
Segment Type: other
Provision Reference: 
Character Range: 41630–44567

cash flows, spaced evenly over the year following the calculation date, each of magnitude one-twelfth the book value of the banking book at the calculation date. Notional interest cash flows on the earnings offset must be determined in accordance with paragraphs 25 to 27 of this Attachment as if the earnings offset were incepted at the calculation date and a notional principal cash flow occurs, equal to all unpaid, accrued interest at that time.
 1.          For each type of core deposit, the repricing profile of the portfolio of all core deposits of that type must consist of a non-increasing series of notional principal cash flows spaced evenly over the period from the calculation date to the last in the series, which must be no more than five years after the calculation date.
 2.          For all non-maturity deposits that are not core deposits, the repricing profile must have only one notional principal cash flow, occurring on the next business day after the calculation date, unless APRA approves an alternative treatment.
 3.          An ADI must choose the repricing date of each notional principal cash flow of an OPI item as the earliest date at which:
         1.           the ADI has the right to change the interest rate on the principal, or the rate is contractually required to be reset in line with an external benchmark; or
         2.           the cash flow will be paid, based on:
                 1.             if the ADI designates the OPI item to have a contractual repricing profile, an assumption that all principal payments occur at the contractually scheduled dates;
                 2.          if the ADI designates the OPI item to have a behavioural repricing profile, an assumption that the timing of all principal payments will be in line with best estimate expectations in the case of payments that do not attract economic adjustments for the impact of breaking term, and with the contractually scheduled dates for payments that would otherwise attract such economic adjustments.[7]
 4.          An ADI must designate an OPI item to have a repricing profile that is:
         1.           contractual for a deposit, unless agreed otherwise with APRA; and
         2.           behavioural for all non-deposit items, except that:
                 1.             contractual may be used if significant deviation from the contractual repricing profile is not expected; and
                 2.          contractual must be used if there is insufficient relevant data on which to base a behavioural repricing profile.
 5.          Where an ADI has designated as a non-market-related item any non-linear derivative such as swaptions, caps or floors, whether stand-alone or embedded in other instruments, the ADI must use a method that APRA has explicitly approved to measure IRRBB on that item.
 6.          An ADI's repricing assumptions form part of its approved IRRBB model and must be clearly