Reporting Form ARF 118.1Reporting Form ARF 118.1

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Reporting Form ARF 118.1

Other Off-balance Sheet Exposures

Instructions

These instructions are designed to assist in the completion of Reporting Form ARF 118.1 Other Off-balance Sheet Exposures. This form captures the off-balance sheet exposures for IRB ADIs. In completing this form, IRB ADIs should refer to APS 112 for further details of the definitions.

Terms highlighted in bold italics are defined in paragraph 17 of this Reporting Standard.

Reporting entity

This form must be completed at Level 1 and Level 2 by IRB ADIs only.

If an IRB ADI is a subsidiary of an authorised NOHC, the report at Level 2 must be submitted by the ADI’s immediate parent NOHC.

Securitisation deconsolidation principle

Except as otherwise specified in these instructions, the following applies:

Where an ADI (or a member of its Level 2 consolidated group) participates in a securitisation that meets APRA’s operational requirements for regulatory capital relief under Prudential Standard APS 120 Securitisation (APS 120):

(a) special purpose vehicles (SPVs) holding securitised assets may be treated as non-consolidated independent third parties for regulatory reporting purposes, irrespective of whether the SPVs (or their assets) are consolidated for accounting purposes; and

(b) the assets, liabilities, revenues and expenses of the relevant SPVs may be excluded from the ADI’s reported amounts in APRA’s regulatory reporting returns.

Where an ADI (or a member of its Level 2 consolidated group) participates in a securitisation that does not meet APRA’s operational requirements for regulatory capital relief under APS 120, or the ADI undertakes a funding-only securitisation or synthetic securitisation, such assets are to be reported as on-balance sheet in APRA’s regulatory reporting returns.

Reporting basis and units of measurement

Report all items on ARF 118.1 in accordance with Australian Accounting Standards unless otherwise specified.

Items on ARF 118.1 must be completed as at the last day of the stated reporting period (i.e. the relevant quarter).

All items must be reported in Australian dollars (AUD) and in millions of dollars rounded to one decimal place.

An immediate parent NOHC must complete this form in AUD and in accordance with the same units as its subsidiary ADI.

Amounts denominated in foreign currency must be converted to AUD in accordance with AASB 121 The Effects of Changes in Foreign Exchange Rates.

IRB ADIs must report under ARF 118.1 exposures for which the ADI adopts an advanced approach for its capital calculation. All other exposures that are measured under the standardised approach must be reported in ARF 112.2A.

Column 1	Report the notional principal amount. Absolute values should be reported.
Column 2	Report the CEA. IRB ADIs are required to manually input the total CEA for each off-balance sheet exposure type listed in section A of this form.In relation to a non-market-related off-balance sheet transaction, the CEA is calculated by multiplying the notional principal amount of a particular transaction by the relevant CCF, according to which internal ratings-based approach is used – either foundation or advanced.The CEA for some off-balance sheet exposure types may consist of several discrete exposures, each potentially attracting different CCFs. The ADI must determine the appropriate CCF(s) to be applied to the exposure(s) to calculate the CEA for that off-balance sheet exposure type and report the total as a single CEA.

Item 1.1	Include:(a) potential credit exposures arising from the issue of guarantees and credit derivatives;(b) confirmation of letters of credit;(c) issue of standby letters of credit serving as financial guarantees for loans, securities and any other financial liabilities;(d) bills endorsed under bill endorsement lines; and(e) any other direct credit substitutes.
Item 1.2	Include:(a) issue of performance bonds;(b) bid bonds;(c) warranties;(d) indemnities; and(e) standby letters of credit in relation to a non-monetary obligation of a counterparty under a particular transaction.
Item 1.3	Include:(a) documentary letters of credit issued;(b) acceptances on trade bills;(c) shipping guarantees issued; and(d) any other trade-related contingencies.
Item 1.4	Include:(a) repurchase/reverse repurchase agreements; and(b) securities lending/borrowing transactions.
Item 1.5	Include any asset sales (to the extent that such assets are not included on-balance sheet) by an IRB ADI where the holder of the asset is entitled to ‘put’ the asset back to the ADI within an agreed period or under certain prescribed circumstances, e.g. deterioration in the value or credit quality of the asset concerned.These transactions are risk-weighted according to the type of assets or the issuer of securities (as appropriate) and not according to the counterparty with whom the transaction is made, where the credit risk associated with the underlying asset which has been sold (temporarily with recourse) or purchased, remains with the ADI.
Item 1.6	Include:(a) commitments to purchase at a specified future date and on pre-arranged terms; and(b) a loan, security or other asset from another party, including written put options on specified assets with the character of a credit enhancement.Exclude written put options expressed in terms of market rates for currencies or financial instruments bearing no credit risk.
Item 1.7	Include:(a) any amounts owing on the uncalled portion of partly paid shares; and(b) securities held by an ADI that represent commitments with certain drawdown by the issuer at a future date.
Item 1.8	Include any amounts relating to placements of forward deposits. Placements of forward deposits include any agreement between an ADI and another party whereby the ADI will place a deposit at an agreed rate of interest with that party at a predetermined future date.
Item 1.9	Include any note issuance and underwriting facilities. These involve arrangements whereby a borrower may drawdown funds up to a prescribed limit over a predefined period by making repeated note issues to the market and where, should the issue prove unable to be placed in the market, the unplaced amount is to be taken up or funds made available by an ADI being committed as an underwriter of the facility.
Item 1.10	Include any other credit derivatives used by the ADI for acquiring credit risk exposure that are not already included in Reporting Form ARF 180.2 IRB – Counterparty Credit Risk and CVA Risk.
Item 1.11	The guidance in this section is applicable to the following items:(a) 1.11.1 Commitments with certain drawdown;(b) 1.11.2 Commitments with an original maturity of one year or less;(c) 1.11.3 Commitments with an original maturity of over one year;(d) 1.11.4 Commitments that can be unconditionally cancelled at any time without notice; and(e) 1.11.5 Irrevocable standby commitments provided under APRA approved industry support arrangements.Where the non-market-related off-balance sheet transaction is an undrawn or partially undrawn facility, the IRB ADI is to include the maximum unused portion of the commitment that could be drawn during the remaining period to maturity for the calculation of the CEA. Any drawn portion of a commitment forms part of an ADI’s on-balance sheet credit exposure.With regard to irrevocable commitments to provide off-balance sheet facilities, the original maturity will be measured from the commencement of the commitment up until the time the associated facility expires. For example, an irrevocable commitment, with an original maturity of six months, to provide finance with a nine-month term, is deemed to have an original maturity of 15 months.Irrevocable commitments to provide off-balance sheet facilities are to be assigned the lower of the two applicable CCFs. For example, an irrevocable commitment with an original maturity of six months to provide a guarantee in support of a counterparty for a period of nine months attracts the 50% CCF applicable to the commitment, as opposed to the 100% CCF applicable to the guarantee.Undrawn balances of revolving facilities (e.g. credit cards, overdrafts) are to be reported in item 1.11.4.All commitments are to be included regardless of whether or not they contain ‘material adverse change’ clauses or any other provisions that are intended to relieve an ADI of its obligations under certain conditions.Item 1.11.6 is a derived item calculated as the sum of items 1.11.1, 1.11.2, 1.11.3, 1.11.4 and 1.11.5.
Item 1.12	Item 1.12 is a derived item calculated as item 1.13 minus the sum of items 1.1.1, 1.1.2, 1.1.3, 1.1.4, 1.1.5, 1.2, 1.3, 1.4, 1.5, 1.6, 1.7, 1.8, 1.9, 1.10 and 1.11.6.
Item 1.13	In column 1, report the total notional principal amount for all of the different transaction types in section A of this form.In column 2, report the total CEA for all of the different transaction types in section A of this form.

Item 1.1

Include:(a) potential credit exposures arising from the issue of guarantees and credit derivatives;(b) confirmation of letters of credit;(c) issue of standby letters of credit serving as financial guarantees for loans, securities and any other financial liabilities;(d) bills endorsed under bill endorsement lines; and(e) any other direct credit substitutes.

Item 1.2

Include:(a) issue of performance bonds;(b) bid bonds;(c) warranties;(d) indemnities; and(e) standby letters of credit in relation to a non-monetary obligation of a counterparty under a particular transaction.

Item 1.3

Include:(a) documentary letters of credit issued;(b) acceptances on trade bills;(c) shipping guarantees issued; and(d) any other trade-related contingencies.

Item 1.4

Include:(a) repurchase/reverse repurchase agreements; and(b) securities lending/borrowing transactions.

Item 1.5

Include any asset sales (to the extent that such assets are not included on-balance sheet) by an IRB ADI where the holder of the asset is entitled to ‘put’ the asset back to the ADI within an agreed period or under certain prescribed circumstances, e.g. deterioration in the value or credit quality of the asset concerned.These transactions are risk-weighted according to the type of assets or the issuer of securities (as appropriate) and not according to the counterparty with whom the transaction is made, where the credit risk associated with the underlying asset which has been sold (temporarily with recourse) or purchased, remains with the ADI.

Item 1.6

Include:(a) commitments to purchase at a specified future date and on pre-arranged terms; and(b) a loan, security or other asset from another party, including written put options on specified assets with the character of a credit enhancement.Exclude written put options expressed in terms of market rates for currencies or financial instruments bearing no credit risk.

Item 1.7

Include:(a) any amounts owing on the uncalled portion of partly paid shares; and(b) securities held by an ADI that represent commitments with certain drawdown by the issuer at a future date.

Item 1.8

Include any amounts relating to placements of forward deposits. Placements of forward deposits include any agreement between an ADI and another party whereby the ADI will place a deposit at an agreed rate of interest with that party at a predetermined future date.

Item 1.9

Include any note issuance and underwriting facilities. These involve arrangements whereby a borrower may drawdown funds up to a prescribed limit over a predefined period by making repeated note issues to the market and where, should the issue prove unable to be placed in the market, the unplaced amount is to be taken up or funds made available by an ADI being committed as an underwriter of the facility.

Item 1.10

Include any other credit derivatives used by the ADI for acquiring credit risk exposure that are not already included in Reporting Form ARF 180.2 IRB – Counterparty Credit Risk and CVA Risk.

Item 1.11

The guidance in this section is applicable to the following items:(a) 1.11.1 Commitments with certain drawdown;(b) 1.11.2 Commitments with an original maturity of one year or less;(c) 1.11.3 Commitments with an original maturity of over one year;(d) 1.11.4 Commitments that can be unconditionally cancelled at any time without notice; and(e) 1.11.5 Irrevocable standby commitments provided under APRA approved industry support arrangements.Where the non-market-related off-balance sheet transaction is an undrawn or partially undrawn facility, the IRB ADI is to include the maximum unused portion of the commitment that could be drawn during the remaining period to maturity for the calculation of the CEA. Any drawn portion of a commitment forms part of an ADI’s on-balance sheet credit exposure.With regard to irrevocable commitments to provide off-balance sheet facilities, the original maturity will be measured from the commencement of the commitment up until the time the associated facility expires. For example, an irrevocable commitment, with an original maturity of six months, to provide finance with a nine-month term, is deemed to have an original maturity of 15 months.Irrevocable commitments to provide off-balance sheet facilities are to be assigned the lower of the two applicable CCFs. For example, an irrevocable commitment with an original maturity of six months to provide a guarantee in support of a counterparty for a period of nine months attracts the 50% CCF applicable to the commitment, as opposed to the 100% CCF applicable to the guarantee.Undrawn balances of revolving facilities (e.g. credit cards, overdrafts) are to be reported in item 1.11.4.All commitments are to be included regardless of whether or not they contain ‘material adverse change’ clauses or any other provisions that are intended to relieve an ADI of its obligations under certain conditions.Item 1.11.6 is a derived item calculated as the sum of items 1.11.1, 1.11.2, 1.11.3, 1.11.4 and 1.11.5.

Item 1.12

Item 1.12 is a derived item calculated as item 1.13 minus the sum of items 1.1.1, 1.1.2, 1.1.3, 1.1.4, 1.1.5, 1.2, 1.3, 1.4, 1.5, 1.6, 1.7, 1.8, 1.9, 1.10 and 1.11.6.

Item 1.13

In column 1, report the total notional principal amount for all of the different transaction types in section A of this form.In column 2, report the total CEA for all of the different transaction types in section A of this form.

Item 2.1	Report the carrying amount of on-balance sheet assets (i.e. the principal amounts of on-balance sheet assets after adjustment for any accrued interest, revaluations, depreciation and specific provisions as appropriate).
Item 2.2	Report the sum of all on-balance sheet credit risk weighted assets.
Item 2.3	Report the CEA of off-balance sheet business (including both market and non-market related transactions).
Item 2.4	Report the sum of all off-balance sheet credit risk weighted exposures (RWE).
Item 2.5	Report the amount of securitisation exposure determined for credit risk purposes in accordance with relevant prudential standards.
Item 2.6	The total amount of RWA related to the ADI’s securitisation exposures.

Reporting Form ARF 118.1Reporting Form ARF 118.1

Get a plain-English read of Reporting Form ARF 118.1

Reporting Form ARF 118.1

Other Off-balance Sheet Exposures

Instructions

Terms highlighted in bold italics are defined in paragraph 17 of this Reporting Standard.

Reporting entity

Securitisation deconsolidation principle

Reporting basis and units of measurement

Scope

IRB ADIs must report the non-market related off-balance sheet credit exposures of the ADI that are subject to the IRB approach to credit risk.

Specific instructions

Section A: Non-market-related off-balance sheet transactions

Section B: Memo items