Document ID: chunk:federal_register_of_legislation:F2023L00349:body:0:p28
Version: federal_register_of_legislation:F2023L00349
Segment Type: other
Provision Reference: 
Character Range: 86339–89778

years  >20 years  Non-interest rate sensitive
                                                    (9)               (10)              (11)               (12)                (13)                (14)       (15)
4.  Derivatives and other commitments
  4.1.  Other commitments (timing is known)
  4.2.  Derivatives
    4.2.1.  Interest rate - swaps
    4.2.2.  Interest rate - options
    4.2.3.  Interest rate - futures and FRAs
    4.2.4.  Foreign exchange
    4.2.5.  Other
  4.3.  Total derivatives and other commitments

                      Total  0 to 1 month  >1 up to 3 months  >3 up to 6 months  >6 up to 12 months  >1 up to 2 years  >2 up to 3 years  >3 up to 4 years
                      (1)    (2)           (3)                (4)                (5)                 (6)               (7)               (8)

5.  Net position/gap

                         >4 up to 5 years  >5 up to 7 years  >7 up to 10 years  >10 up to 15 years  >15 up to 20 years  >20 years  Non-interest rate sensitive
                         (9)               (10)              (11)               (12)                (13)                (14)       (15)

5.  Net position/gap

                  0 to 1 month  >1 up to 3 months  >3 up to 6 months  >6 up to 12 months  >1 up to 2 years  >2 up to 3 years  >3 up to 4 years
                  (2)           (3)                (4)                (5)                 (6)               (7)               (8)

6.  Weighting

                  >4 up to 5 years  >5 up to 7 years  >7 up to 10 years  >10 up to 15 years  >15 up to 20 years  >20 years  Non-interest rate sensitive
                  (9)               (10)              (11)               (12)                (13)                (14)       (15)

6.  Weighting

                                               Total  0 to 1 month  >1 up to 3 months  >3 up to 6 months  >6 up to 12 months  >1 up to 2 years  >2 up to 3 years  >3 up to 4 years
                                               (1)    (2)           (3)                (4)                (5)                 (6)               (7)               (8)

7.  Interest rate sensitivity of banking book

                                                  >4 up to 5 years  >5 up to 7 years  >7 up to 10 years  >10 up to 15 years  >15 up to 20 years  >20 years  Non-interest rate sensitive
                                                  (9)               (10)              (11)               (12)                (13)                (14)       (15)

7.  Interest rate sensitivity of banking book

Reporting Forms ARF 117.0A and ARF 117.0B

Repricing Analysis

Instruction Guide

This instruction guide is designed to assist in the completion of the Repricing Analysis suite of forms. This suite consists of:

    (a)                ARF 117.0A Repricing Analysis – Denominated in AUD (ARF 117.0A); and

    (b)               ARF 117.0B.1 to ARF 117.0B.9 Repricing Analysis – Denominated in Foreign Currency (ARF 117.0B).

These forms measure an authorised deposit-taking institution's (ADI's) exposure to repricing risk. In completing these forms, ADIs should refer to Prudential Standard APS 117 Capital Adequacy: Interest Rate Risk in the Banking Book (Advanced ADIs) (APS 117).

General directions and notes

Reporting entity

These forms are to be completed at Level 1 and Level 2[2] by each ADI (subject to the paragraph following the table) that is included in one of the classes of ADI