Financial Sector (Collection of Data) (reporting standard) determination No. 41 of 2018
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This form should be completed in Australian dollars (AUD) in accordance with the units set out for each class of ADI in the following table.
Class of ADI
Units
Australian-owned Bank
Millions of dollars rounded to one decimal place
Foreign Subsidiary Bank
Millions of dollars rounded to one decimal place
Foreign ADI
Not applicable
Building Society
Whole dollars with no decimal place
Credit Union
Whole dollars with no decimal place
PPF provider
Not applicable
Other ADI
Whole dollars with no decimal place
Amounts denominated in foreign currency are to be converted to AUD in accordance with Accounting Standard AASB 121 The Effects of Changes in Foreign Exchange Rates (AASB 121).
Basis of preparation
For the purposes of this form, ADIs are to report all exposures including both the effect of CRM techniques as well as on the basis of excluding the effect of CRM techniques allowed under APS 221.
In completing this form, ADIs are to apply the requirements for netting specified in Attachment A of APS 221.
Definitions
Terms highlighted in bold italics indicate that the definition is provided in these instructions.
Connection means the relationship between two counterparties in a group of connected counterparties. Until 31 December 2019, a connection can be any of the following:
cross guarantees;
common ownership or management;
control;
financial interdependency; or
other connections or relationships.
On and from 1 January 2020, a connection can be any of the following:
a control relationship;
an economic interdependence relationship;
both control and economic interdependence;
other connections or relationships; or
a third party additional risk factor.
On and from 1 January 2020, a control relationship has the meaning given by paragraphs 22 to 24 of APS 221.
Counterparty means either the individual counterparty or a group of connected counterparties to an exposure.[2] In the case of a group of connected counterparties, the ADI’s aggregate exposure to the group of connected counterparties is considered one exposure.
Part Unit of measurement - Financial Sector (Collection of Data) (reporting standard) determination No. 41 of 2018 - Unit of measurement | Zoe
Counterparty country means the country where the counterparty of the exposure is domiciled. ADIs are to report the English name of the relevant country as assigned by the ISO 3166 Maintenance Agency to a country code defined under the International Organization for Standardization’s International Standard ISO 3166. The ISO 3166 Maintenance Agency maintains a free online browsing platform setting out the names of countries and their corresponding codes, available at http://www.iso.org/iso/country_codes.
Counterparty name means the legal name of the counterparty.
Counterparty sector means the type of sector of the counterparty of the exposure. There are 12 counterparty sectors which can be reported:
banking;
insurance;
superannuation;
central or Commonwealth government;
State or Territory government;
local government;
central banks;
central counterparties;
SPVs;
International banking agencies and multilateral regional development banks;
other financial institutions; and
other counterparties.
Credit risk mitigation (CRM) means the CRM techniques allowed in Prudential Standard APS 112 Capital Adequacy: Standardised Approach to Credit Risk (APS 112).
On and from 1 January 2020, an economic interdependence relationship has the meaning given by paragraph 25 of APS 221.
Excluded exposures means exposures excluded from large exposures under paragraph 18 of APS 221.
Exclusion category means the reason for the exposure being an excluded exposure. There are three exclusion categories which may be reported:
Sovereigns held as HQLA;
QCCP – clearing; or
Settlement exposure.
Exposure is defined in paragraph 15 of APS 221.
Government-related entities has the meaning given in APS 221.
Group counterparty name means a name for a group of connected counterparties that includes the legal name of the principal counterparty in that group. An example of this could be ‘ABC Ltd master group’ if ‘ABC Ltd’ is the principal counterparty in that group of connected counterparties.
Group of connected counterparties has the meaning given in APS 221.
Large exposure has the meaning given in APS 221.
Legal Entity Identifier is a 20-digit, alpha-numeric code issued by a Local Operating Unit in accordance with the International Organization for Standardization’s International Standard ISO 17442. The Global Legal Entity Identifier Foundation maintains a free online searchable database of Legal Entity Identifiers, available at https://www.gleif.org/en/lei/search.
Market related means off-balance sheet exposures arising from market related contracts. Refer to APS 112 for examples of these contracts.
Non-market related means off-balance sheet exposures that are not market related. Refer to APS 112 for examples of these commitments.
Off-balance sheet exposures means the off-balance sheet portion of any exposure, measured in accordance with Attachment A of APS 221.
On-balance sheet exposures means the on-balance sheet portion of any exposure, measured in accordance with Attachment A of APS 221.
On and from 1 January 2020, other connections or relationships has the meaning given by paragraph 21(a)(iii) of APS 221.
Qualifying central counterparties (QCCPs) has the meaning given in APS 112.
QCCP – clearing has the meaning given by paragraph 18(h) of APS 221.
Settlement exposures has the meaning given by paragraph 18(g) of APS 221.
Sovereigns held as HQLA means exposures to governments or central banks (both Australian and foreign) that are held as high-quality liquid assets under Prudential Standard APS 210 Liquidity (APS 210). This item does not apply to ADIs that are not subject to the LCR requirements of APS 210.
On and from 1 January 2020, a third party additional risk factor has the meaning given by paragraphs 28 to 31 of Attachment A of APS 221.
Tier 1 Capital has the meaning given in Prudential Standard APS 111 Capital Adequacy: Measurement of Capital (APS 111).
Counterparty sectors
Banking institution means an authorised deposit-taking institution within the meaning of the Banking Act 1959, as well as banking institutions in offshore jurisdictions.
Central counterparties (CCP) means clearing houses that interpose themselves between counterparties to contracts traded in one or more financial markets, becoming the buyer to every seller and the seller to every buyer. A CCP becomes counterparty to trades with market participants through novation, an open offer system, or another legally binding arrangement. Includes QCCPs.
Insurance corporations means:
life insurance corporations registered under the Life Insurance Act 1995;
general insurance corporations registered under the Insurance Act 1973 (or by virtue of determinations made by APRA under the General Insurance Reform Act 2001);
private health insurance corporations registered under the Private Health Insurance (Prudential Supervision) Act 2015;
the Export Finance Insurance Corporation;
private sector and government-owned general and health insurance enterprises, both proprietary and mutual; and
any insurance corporation overseas.
International banking agencies and multilateral regional development banks means those entities listed in footnote 8 of APS 112.[3]
Other counterparties includes any counterparty that is not a banking institution, insurance corporation, superannuation fund, Central or Commonwealth Government, State or Territory Government, Local Government, a central bank, a central counterparty, an SPV, international banking agencies and multilateral development banks or other financial institutions.
Other financial institutions means all entities mainly engaged in financial intermediation and the provision of auxiliary financial services, other than banking institutions, insurance corporations, superannuation funds, central banks, international banking agencies and multilateral development banks, central counterparties and SPVs. Holding companies with mainly financial corporations as their subsidiaries are also included, as are market not-for-profit institutions that mainly engage in financial intermediation or the production of auxiliary financial services.
Superannuation funds means complying funds for the purposes of the Superannuation Industry (Supervision) Act 1993, other autonomous funds established for the benefit of public sector employees and any overseas funds designed specifically for the purpose of providing a pension or other income stream on retirement.
Specific instructions
Section A: Large exposures
Item 1
Report the twenty largest exposures and all large exposures, as at the end of the reporting period. That is, report the twenty largest exposures regardless of their size in proportion to Tier 1 Capital, and also report all exposures which exceed or are equal to ten per cent of Tier 1 Capital.In column 1, report the counterparty name of the counterparty for each exposure or the group counterparty name if the exposure is to a group of connected counterparties.In column 2, report the Legal Entity Identifier of the counterparty for each exposure or the Legal Entity Identifier of the principal counterparty if the exposure is to a group of connected counterparties. Otherwise, report N/A if the counterparty or principal counterparty has no Legal Entity Identifier.In column 3, report the counterparty sector of the counterparty or the principal counterparty of a group of connected counterparties for each exposure.In column 4, report the on-balance sheet exposures relating to the book value of all loans and advances to the counterparty for each exposure, including any accrued income associated with the exposure (e.g. interest, dividends).In column 5, report the on-balance sheet exposures not relating to loans and advances to the counterparty for each exposure.In column 6, report the non-market related, off-balance sheet exposures for the counterparty for each exposure.In column 7, report the market related, off-balance sheet exposures for the counterparty for each exposure.Column 8 is derived as the total of columns 4, 5, 6 and 7, being the total exposure for the counterparty.Column 9 is derived as the ratio of column 8 to Tier 1 Capital reported in item 7.
Item 1.1
Item 1.1 is derived as the total of the twenty largest exposures and all large exposures.Columns 4, 5, 6, 7 and 8 of item 1.1 are derived as the sum of columns 4, 5, 6, 7 and 8 of item 1 respectively.Column 9 of item 1.1 is derived as the ratio of column 8 of item 1.1 to Tier 1 Capital reported in item 7.
Item 2
Report in item 2 details of each group of connected counterparties reported in Item 1. Each counterparty within each group of connected counterparties reported in item 1 should be reported on a separate row in item 2.In column 1, report the group counterparty name for each counterparty within each group of connected counterparties reported in item 1.In column 2, report the connection between the counterparty and the group of connected counterparties.In column 3, report the counterparty name of each counterparty within each group of connected counterparties reported in item 1.
Item 3
Report the twenty largest exposures and exposures exceeding or equal to five per cent of Tier 1 Capital to government-related entities, as at the end of the reporting period. Do not group exposures into groups of connected counterparties.In column 1, report the counterparty name of the government-related entity for each exposure.In column 2, report the Legal Entity Identifier of the counterparty for each exposure if the government-related entity has one. Otherwise, report N/A if the government-related entity has no Legal Entity Identifier.In column 3, report the counterparty country of the government-related entity for each exposure.In column 4, report the counterparty sector of the government-related entity for each exposure.In column 5, report the on-balance sheet exposures relating to the book value of all loans and advances to the government-related entity for each exposure, including any accrued income associated with the exposure (e.g. interest, dividends).In column 6, report the on-balance sheet exposures not relating to loans and advances to the government-related entity for each exposure.In column 7, report the non-market related, off-balance sheet exposures for the government-related entity for each exposure.In column 8, report the market related, off-balance sheet exposures for the government-related entity for each exposure.Column 9 is derived as the total of columns 5, 6, 7 and 8, being the total exposure for the government-related entity.Column 10 is derived as the ratio of column 9 to Tier 1 Capital reported in item 7.
Item 3.1
Item 3.1 is derived as the total of the twenty largest exposures for government-related entities and all exposures for government-related entities which exceed or are equal to five per cent of Tier 1 Capital.Columns 5, 6, 7, 8 and 9 of item 3.1 are derived as the sum of columns 5, 6, 7, 8 and 9 of item 3 respectively.Column 10 of item 3.1 is derived as the ratio of column 9 of item 3.1 to Tier 1 Capital reported in item 7.
Section B: Large exposures (without credit risk mitigation effects)
Item 4
Report the twenty largest exposures and all large exposures as at the end of the reporting period, measured before the impact of CRM. That is, report the twenty largest exposures regardless of their size in proportion to Tier 1 Capital and also report all exposures which exceed or are equal to ten per cent of Tier 1 Capital, before CRM.The removal of the impact of CRM may mean the exposures listed in item 4 might not be the same as those in item 1.In column 1, report the counterparty name of the counterparty or the group counterparty name for each exposure.In column 2, report the Legal Entity Identifier of the counterparty for each exposure or the Legal Entity Identifier of the principal counterparty if the exposure is to a group of connected counterparties. Otherwise, report N/A if the counterparty or principal counterparty has no Legal Entity Identifier.In column 3, report the counterparty sector of the counterparty or the principal counterparty of a group of connected counterparties for each exposure.In column 4, report the on-balance sheet exposures relating to the book value of all loans and advances to the counterparty for each exposure, including any accrued income associated with the exposure (e.g. interest, dividends), before CRM.In column 5, report the on-balance sheet exposures not relating to loans and advances to the counterparty for each exposure, before CRM.In column 6, report the non-market related, off-balance sheet exposures for the counterparty for each exposure, before CRM.In column 7, report the market related, off-balance sheet exposures for the counterparty for each exposure, before CRM.Column 8 is derived as the total of columns 4, 5, 6 and 7, being the total exposure for the counterparty, before CRM.Column 9 is derived as the ratio of column 8 to Tier 1 Capital reported in item 7.
Item 4.1
Item 4.1 is derived as the total of the twenty largest exposures and all large exposures, before CRM.Columns 4, 5, 6, 7 and 8 of item 4.1 are derived as the sum of columns 4, 5, 6, 7 and 8 of item 4 respectively.Column 9 of item 4.1 is derived as the ratio of column 8 of item 4.1 to Tier 1 Capital reported in item 7.
Item 5
Report in item 5 details of each group of connected counterparties reported in Item 4 that were not reported in item 1. Each counterparty within each group of connected counterparties reported in item 4 should be reported on a separate row in item 5, unless it was already reported in item 1.In column 1, report the group counterparty name for each counterparty within each group of connected counterparties reported in item 4.In column 2, report the connection between the counterparty and the group of connected counterparties.In column 3, report the counterparty name of each counterparty within each group of connected counterparties reported in item 4.
Section C: Excluded exposures
Item 6
Report all excluded exposures exceeding or equal to ten per cent of Tier 1 Capital that are sovereigns held as HQLA, to QCCPs relating to clearing activities, and settlement exposures as at the end of the reporting period. If the excluded exposure to a counterparty relates to more than one exclusion category, report the excluded exposure under a separate row in item 6 with the relevant counterparty and all relevant exclusion categories.Do not group exposures into groups of connected counterparties. Do not include any other type of excluded exposure.In column 1, report the counterparty name of the counterparty for each excluded exposure.In column 2, report the Legal Entity Identifier of the counterparty for each excluded exposure if the counterparty has one. Otherwise, report N/A if the counterparty has no Legal Entity Identifier.In column 3, report the counterparty sector of the counterparty for each excluded exposure.In column 4, report the exclusion category for each excluded exposure.In column 5, report the on-balance sheet exposures relating to the book value of all loans and advances to the counterparty for each excluded exposure, including any accrued income associated with the excluded exposure (e.g. interest, dividends).In column 6, report the on-balance sheet exposures not relating to loans and advances to the counterparty for each excluded exposure.In column 7, report the non-market related, off-balance sheet exposures for the counterparty for each excluded exposure.In column 8, report the market related, off-balance sheet exposures for the counterparty for each excluded exposure.Column 9 is derived as the total of columns 5, 6, 7 and 8, being the total exposure for the counterparty.Column 10 is derived as the ratio of column 9 to Tier 1 Capital reported in item 7.
Item 6.1
Item 6.1 is derived as the total of the excluded exposures exceeding or equal to ten per cent of Tier 1 Capital that are sovereigns held as HQLA, to QCCPs relating to clearing activities, and settlement exposures.Columns 5, 6, 7, 8 and 9 of item 6.1 are derived as the sum of columns 5, 6, 7, 8 and 9 of item 6 respectively.Column 10 of item 6.1 is derived as the ratio of column 9 of item 6.1 to Tier 1 Capital reported in item 7.
Memorandum Items: Tier 1 Capital
Item 7
Report in item 7 the Tier 1 Capital as at the end of the period.