Document ID: chunk:federal_register_of_legislation:F2023L00349:body:0:p33
Version: federal_register_of_legislation:F2023L00349
Segment Type: other
Provision Reference: 
Character Range: 101461–104167

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 up to 2 years time bucket (when the interest rate on the loan will next change/reprice) and not the >15 up to 20 years 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 up to 12 months category and so on.

Not all assets and liabilities are exposed to interest rate risk.  In such cases, these items should be reported under column 15 Non-interest rate sensitive.

Trading book

Items in the trading book are to be excluded from these forms.  If any funding is provided to the trading book on a longer interest rate basis than overnight, it should be included in these forms as an asset if, and only if, the funding is included as a liability in the ADI's calculations of capital for traded market risk under Prudential Standard APS 116 Capital Adequacy: Market Risk.  If included, the funding should be allocated to the appropriate time bucket(s) according to the term of the funding.

1 & 2. Assets and liabilities

All line items for assets and liabilities in the repricing analysis forms (except where otherwise stated) are defined in accordance with the corresponding line items in the Statement of Financial Position reporting forms that are relevant to an ADI (e.g. ARF 320.0, ARF 321.0, ARF 322.0 and/or ARF 323.0).

2.9 Additional Tier 1 capital items

Refer to Prudential Standard APS 111 Capital Adequacy: Measurement of Capital (APS 111) for the definition of Additional Tier 1 capital items.

2.10 Tier 2 capital items

Refer to APS 111 for the definition of Tier 2 capital items.

2.11 Other liabilities

Include all other liability items detailed in the Statement of Financial Position relevant to the ADI that are not reported elsewhere in these forms.

4. Derivatives and other commitments

The following section provides examples of swaps, futures and forward rate agreements (FRAs), and the method for reporting these instruments on the repricing analysis suite of forms.

For derivative instruments, the underlying cash flows should be recorded with the correct sign.

4.1 Other commitments (timing is known)

Other commitments should only be included where the timing is known and the commitment affects the ADI's current interest rate risk profile.  For example, a loan approved but not yet advanced where a 2 year fixed rate has been offered to the borrower should be included in the >1 up to 2 years time bucket.[12]  In contrast to this, a loan approved but not yet advanced,