Document ID: chunk:federal_register_of_legislation:F2023L00349:body:0:p36
Version: federal_register_of_legislation:F2023L00349
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Character Range: 108467–111176

bucket (as the physical bills mature in 9 months' time).

In subsequent quarters, the futures transaction would be allocated to different time buckets, as appropriate.  To illustrate, on 31 December 2006 for the bank bill futures contracts, the positive $15 million would have moved into the >1 up to 3 months time bucket and the negative $15 million would have moved into the >3 up to 6 months time bucket.

The approach described above for allocating bought and sold bank bill futures to the repricing analysis forms also applies to bond futures.

Forward rate agreements (FRAs)

Example 1

As with a futures contract, a FRA contract is similarly broken down into the underlying notional cash flows.  A FRA 2/5 for $50 million as a lender (also termed receiver (of interest)) would be reported as negative $50 million in the >1 up to 3 months time bucket and positive $50 million in the >3 up to 6 months time bucket.  This represents lending $50 million in 2 months time until 5 months.  Refer to table 4 below.

Table 4 Reporting the FRA in example 1

                Total  >1 up to 3 months  >3 up to 6 months
Futures & FRAs  0      -50,000,000        +50,000,000

Example 2

A FRA 1/4 for $100 million as a borrower (also termed payer (of interest)) would be represented as a positive $100 million in the 0 to 1 month time bucket and a negative $100 million in the >3 up to 6 months time bucket.

4.2.5 Other

These would include, for example, unused credit card and overdraft facilities, loans approved but not yet advanced, and standby facilities offered by the ADI.

    [1]  The definitions of 'credit union' and 'other ADI' in paragraph 16 of this Reporting Standard provide that Cairns Penny Savings and Loans Limited is to be treated in accordance with the reporting period requirements applicable to credit unions.
    [2]  Level 1 and Level 2 are defined in Prudential Standard APS 001 Definitions.
    [3]  When an ADI is seeking APRA's approval to use the internal ratings-based approach to credit risk and/or an advanced measurement approach to operational risk, and is therefore classified as a 'Bank – Advanced or Applicant Advanced', the ADI may concurrently be classified as a 'Bank – Standardised'. In this case, the ADI must comply with the requirements and timeframes for a 'Bank – Advanced or Applicant Advanced'.
    [4]  A branch of a foreign bank is required to complete these forms for the Australian branch only.
   [5]  Refer to paragraph 6 of Reporting Standard ARS 117.0 Repricing Analysis.
   [6]  Securitisation exposures are defined in accordance with APS 120.
    [7]  Cairns Penny Savings and Loans Limited is to be treated in accordance with the reporting