Financial Sector (Collection of Data) determination No. 74 of 2005 (Cth)
Financial Sector (Collection of Data) determination No. 74 of 2005
Reporting Standard ARS 221.0 (2005)
Financial Sector (Collection of Data) Act 2001
I, Wayne Stephen Byres, a delegate of APRA, under paragraph 13(1)(a) of the Financial Sector (Collection of Data) Act 2001 (‘the Act’) MAKE the reporting standard set out in the Schedule, which applies to the financial sector entities referred to in paragraph 2 of the reporting standard.
Under section 15 of the Act, I DECLARE that the reporting standard shall begin to apply those financial sector entities on the date of registration on the Federal Register of Legislative Instruments.
Dated 27 July 2005
[Signed]
Wayne Byres
Executive General Manager
Diversified Institutions Division
APRA
Interpretation
In this Notice
APRA means the Australian Prudential Regulation Authority.
Schedule
Reporting Standard ARS 221.0 (2005)
Large Exposures
Objective of this reporting standard
This reporting standard is made under section 13 of the Financial Sector (Collection of Data) Act 2001 (the Collection of Data Act). It requires all authorised deposit-taking institutions (ADIs), including foreign ADIs operating in Australia through branch operations, to report to APRA, generally on a quarterly basis, in relation to their large exposures.
This reporting standard outlines the overall requirements for the provision of relevant information to APRA. It should be read in conjunction with:
·the versions of Form ARF 221.0 Large Exposures (Form ARF 221.0) designated for a ‘Licensed ADI’ and ‘Consolidated Group’, and the associated instructions (all of which are attached and form part of this reporting standard).
Purpose
Data collected in Form ARF 221.0 is used by APRA for the purpose of prudential supervision. It may also be used by the Reserve Bank of Australia and the Australian Bureau of Statistics.
Application and commencement
This reporting standard will apply, from the date of registration on the Federal Register of Legislative Instruments, to all ADIs.
Information required
An ADI must provide APRA with the information required by the version of Form ARF 221.0 designated for a ‘Licensed ADI’ for each reporting period.
An ADI that is the highest parent entity in relation to a consolidated ADI group must provide APRA with the information required by the version of Form ARF 221.0 designated for a ‘Consolidated Group’ for each reporting period.
Forms and method of submission
The information required by this reporting standard must be given to APRA either:
(a)in electronic form, using one of the electronic submission mechanisms provided by the ‘Direct to APRA’ (also known as ‘D2A’) application; or
(b)manually completed on paper, which must be faxed or mailed to APRA’s head office.
Note: the Direct to APRA application software and paper forms may be obtained from APRA.
Reporting periods and due dates
Subject to paragraph 7, an ADI must provide the information required by this reporting standard for each quarter based on the financial year (within the meaning of the Corporations Act 2001) of the ADI.
APRA may, by notice in writing, change the reporting periods, or specified reporting periods, for a particular ADI, to require it to provide the information required by this reporting standard more frequently, or less frequently, having regard to:
(a)the particular circumstances of the ADI;
(b)the extent to which the information is required for the purposes of the prudential supervision of the ADI; and
(c)the requirements of the Reserve Bank of Australia or the Australian Bureau of Statistics.
The information required by this reporting standard must be provided to APRA by the following times:
(a) in the case of the information required by paragraphs 3 and 4 from a locally-incorporated bank, locally-incorporated special service provider or foreign ADI (other than a specialist credit card institution) – 20 business days after the end of the reporting period to which the information relates; and
(b) in the case of the information required by paragraphs 3 and 4 from a locally- incorporated credit union, locally-incorporated building society, specialist credit card institution (whether locally-incorporated or not) or Cairns Penny Savings & Loans Limited – 15 business days after the end of the reporting period to which the information relates.
APRA may grant an ADI an extension of a due date in writing, in which case the new due date for the provision of the information will be the date on the notice of extension.
Quality control
The information provided by an ADI under this reporting standard (except for the information required under paragraph 4) must be the product of processes and controls that have been reviewed and tested by the external auditor of the ADI. AGS 1008 ‘Audit Implications of Prudential Reporting Requirements for Authorised Deposit-taking Institutions’, issued by the Auditing and Assurances Standards Board of the Australian Accounting Research Foundation, provides guidance on the scope and nature of the review and testing required from external auditors. This review and testing must be done on an annual basis or more frequently if necessary to enable the external auditor to form an opinion on the accuracy and reliability of the data.
All information provided by an ADI under this reporting standard must be subject to processes and controls developed by the ADI for the internal review and authorisation of that information. It is the responsibility of the board and senior management of the ADI to ensure that an appropriate set of policies and procedures for the authorisation of data submitted to APRA is in place.
Authorisation
If an ADI submits information under this reporting standard using the ‘Direct to APRA’ software, it will be necessary for an officer of the ADI to digitally sign, authorise and encrypt the relevant data. For this purpose, APRA’s certificate authority will issue ‘digital certificates’, for use with the software, to officers of the ADI who have authority from the ADI to transmit the data to APRA.
If information under this reporting standard is provided in paper form, it must be signed on the front page of the relevant completed form by either:
(a) the Principal Executive Officer of the ADI; or
(b) the Chief Financial Officer of the ADI (whatever his or her official title may be).
Minor alterations to forms and instructions
APRA may make minor variations to:
(a) a form that is part of this reporting standard, and the instructions to such a form, to correct technical, programming or logical errors, inconsistencies or anomalies; or
(b) the instructions to a form, to clarify their application to the form
without changing any substantive requirement in the form or instructions.
If APRA makes such a variation it must notify in writing each ADI that is required to report under this reporting standard.
Transitional
If the due date for lodgement in respect of a reporting period is a day after the date of registration of this reporting standard on the Federal Register of Legislative Instruments, an ADI must report under this reporting standard in respect of that reporting period (including where the reporting period ended before the date of registration).
Interpretation - classifications of ADIs
In this reporting standard:
Accounting Standard AASB 1024 means the accounting standard so designated made by the Australian Accounting Standards Board, being the accounting standard that applied in respect of reporting periods (within the meaning of the accounting standard) commencing immediately before 1 January 2005.
ADI means an authorised deposit-taking institution within the meaning of the Banking Act 1959.
ADI list means the attached ADI list.
building society means an ADI whose name appears under the heading ‘Building Societies’ in the ADI list.
consolidated ADI group means a group comprising:
(a) an ADI that is a highest parent entity; and
(b) each subsidiary (within the meaning of Accounting Standard AASB 1024) of that ADI, whether the subsidiary is locally-incorporated or not, other than a subsidiary that is excluded by the instructions attached to this standard.
credit union means an ADI whose name appears under the heading ‘Credit Unions’ in the ADI list.
foreign ADI means an ADI that is not incorporated in Australia.
highest parent entity means an ADI that satisfies all of the following conditions:
(a) it is locally-incorporated;
(b) it has at least one subsidiary (within the meaning of Accounting Standard AASB 1024); and
(c) it is not itself a subsidiary (within the meaning of Accounting Standard AASB 1024) of an ADI that is locally-incorporated.
locally-incorporated means incorporated in Australia.
locally-incorporated bank means an ADI whose name appears under the heading ‘Australian-owned Banks’ or ‘Foreign Subsidiary Banks’ in the ADI list.
special service provider means an ADI whose name appears under the heading ‘Other ADIs’ in the ADI list (other than Cairns Penny Savings & Loans Limited).
specialist credit card institution means an ADI whose name appears under the heading ‘Specialist Credit Card Institutions (SCCIs)’ in the ADI list.
If an ADI is not in the ADI list, then:
(a) if the ADI assumes or uses the word ‘bank’ in relation to its financial business, and is locally-incorporated, it is taken to be a locally-incorporated bank for the purposes of this reporting standard;
(b) if the ADI assumes or uses the expression ‘building society’ in relation to its financial business, and is locally-incorporated, it is taken to be a locally-incorporated building society for the purposes of this reporting standard;
(c) if the ADI assumes or uses the expression ‘credit union’, ‘credit society’ or ‘credit co-operative’ in relation to its financial business, and is locally-incorporated, it is taken to be a credit union for the purposes of this reporting standard;
(d) if an ADI engages in credit card issuing or credit card acquiring, or both, and does not otherwise carry on banking business within the meaning of section 5 of the Banking Act 1959, it is taken to be a specialist credit card institution for the purposes of this reporting standard.
APRA may in writing determine that an ADI is taken to be a locally-incorporated bank, locally-incorporated building society, locally-incorporated credit union, specialist credit card institution or locally-incorporated special service provider for the purposes of this reporting standard (even if, under paragraph 17 or 18, it comes within a different classification).
Interpretation - other definitions
In this reporting standard:
business days means ordinary business days, exclusive of Saturdays, Sundays and public holidays.
Principal Executive Officer means the principal executive officer of the ADI for the time being, by whatever name called, and whether or not he or she is a member of the governing board of the entity.
reporting period means a reporting period under paragraph 6 or, if applicable, paragraph 7.
The ADI list
Australian-owned Banks
Adelaide Bank Limited
AMP Bank Limited
Australia and New Zealand Banking Group Limited
Bank of Queensland Limited
Bendigo Bank Limited
Commonwealth Bank of Australia
Commonwealth Development Bank of Australia Limited (a subsidiary of Commonwealth Bank of Australia)
Elders Rural Bank Limited
Macquarie Bank Limited
Members Equity Bank Pty Limited
National Australia Bank Limited
St George Bank Limited
Suncorp-Metway Limited
Westpac Banking Corporation
Foreign Subsidiary Banks
Arab Bank Australia Limited
Bank of Cyprus Australia Pty Limited
BankWest (the trading name of Bank of Western Australia Limited, a foreign subsidiary bank following its sale to Bank of Scotland in December 1995)
Citibank Pty Limited (a subsidiary of Citibank N.A.)
HSBC Bank Australia Limited
ING Bank (Australia) Limited
Investec Bank (Australia) Limited
Laiki Bank (Australia) Limited
NM Rothschild & Sons (Australia) Limited
Rabobank Australia Limited (a subsidiary of Rabobank Nederland from October 1994)
Branches of Foreign Banks
ABN AMRO Bank N.V.
Bank of America, National Association
Bank of China (subject to depositor protection provisions of the Banking Act 1959)
Bank of Tokyo-Mitsubishi, Ltd
Barclays Capital (the trading name of Barclays Bank plc)
BNP Paribas
Citibank N.A.
Credit Suisse
Deutsche Bank AG
HSBC Bank plc
ING Bank NV
JPMorgan Chase Bank, National Association
Mizuho Corporate Bank, Ltd
Oversea-Chinese Banking Corporation Limited
Rabobank Nederland (the trading name of Co-operative Central Raiffeisen-Boerenleenbank B.A.)
Royal Bank of Canada
Société Générale
Standard Chartered Bank
State Bank of India
State Street Bank and Trust Company
The International Commercial Bank of China
The Royal Bank of Scotland Plc
The Toronto-Dominion Bank
Taiwan Business Bank
UBS AG
United Overseas Bank Limited
WestLB AG
Building Societies
ABS Building Society Ltd
B & E Ltd
Greater Building Society Ltd
Heritage Building Society Limited
Home Building Society Ltd
Hume Building Society Ltd
IMB Ltd
Lifeplan Australia Building Society Limited
Mackay Permanent Building Society Ltd
Maitland Mutual Building Society Limited
Newcastle Permanent Building Society Ltd
Pioneer Permanent Building Society Limited
The Rock Building Society Limited
Wide Bay Australia Ltd
Credit Unions
Amcor Credit Co-operative Limited
AMP Employees' & Agents Credit Union Limited
Austral Credit Union Limited
Australian Central Credit Union Limited
Australian Defence Credit Union Ltd
Australian National Credit Union Limited
AWA Credit Union Limited
Bananacoast Community Credit Union Ltd
Bankstown City Credit Union Ltd
Berrima District Credit Union Ltd
Big River Credit Union Ltd
Big Sky Credit Union Ltd
Blue Mountains and Riverlands Community Credit Union Ltd
Broadway Credit Union Ltd
Calare Credit Union Ltd
Capital Credit Union Ltd
Capricornia Credit Union Ltd
Carboy (SA) Credit Union Limited
Central Murray Credit Union Limited
Central West Credit Union Limited
Circle Credit Co-operative Limited
Coastline Credit Union Limited
Collie Miners Credit Union Ltd
Combined Australian Petroleum Employees' Credit Union Ltd
Community Alliance Credit Union Limited
Community First Credit Union Limited
Companion Credit Union Limited
Comtax Credit Union Limited
Connect Credit Union of Tasmania Limited
Country First Credit Union Ltd
CPS Credit Union (SA) Ltd
CPS Credit Union Co-operative (ACT) Limited
Credit Union Australia Ltd
Credit Union Home Loans Australia Limited
Credit Union Incitec Pivot Limited
Croatian Community Credit Union Limited
CSR and Rinker Employees Credit Union Limited
Dairy Farmers Credit Union Ltd
Dana Employees Credit Union
Defence Force Credit Union Limited
Discovery Credit Union Ltd
Dnister Ukrainian Credit Co-operative Limited
ELCOM Credit Union Ltd
Electricity Credit Union Ltd
Encompass Credit Union Limited
Ericsson Employees Credit Co-operative Limited
Esso Employees' Credit Union Ltd
Eurobodalla Credit Union Ltd
Family First Credit Union Limited
Fire Brigades Employees' Credit Union Limited
Fire Service Credit Union Limited
Firefighters & Affiliates Credit Co-operative Limited
First Pacific Credit Union Limited
Fitzroy & Carlton Community Credit Co-operative Limited
Flying Horse Credit Union Co-operative Limited
Ford Co-operative Credit Society Limited
Gateway Credit Union Ltd
Geelong & District Credit Co-operative Society Limited
GMH (Employees) Q.W.L. Credit Co-operative Limited
Goldfields Credit Union Ltd
Gosford City Credit Union Ltd
Goulburn Murray Credit Union Co-operative Limited
H.M.C. Staff Credit Union Ltd
Heritage Isle Credit Union Limited
Hibernian Credit Union Limited
Holiday Coast Credit Union Ltd
Horizon Credit Union Ltd
Hoverla Ukrainian Credit Co-operative Ltd
Hunter Mutual Limited
Hunter United Employees' Credit Union Limited
Industries Mutual Credit Union Limited
Intech Credit Union Limited
Island State Credit Union Ltd
Karpaty Ukrainian Credit Union Limited
La Trobe Country Credit Co-operative Limited
La Trobe University Credit Union Co-operative Limited
Laboratories Credit Union Ltd
Latvian Australian Credit Co-operative Society Limited
Lithuanian Co-operative Society (Talka) Limited
Lysaght Credit Union Ltd
M.S.B. Credit Union Limited
MacArthur Credit Union Ltd
Macaulay Community Credit Co-operative Limited
Macquarie Credit Union Limited
Maleny and District Community Credit Union Limited
Manly Warringah Credit Union Ltd
Maritime Workers of Australia Credit Union Ltd
Maroondah Credit Union Ltd
MECU Limited
Media Credit Union Queensland Ltd
Melbourne University Credit Union Limited
Memberfirst Credit Union Limited
N.R.M.A. Employees' Credit Union Ltd
NACOS Credit Union Limited
New England Credit Union Ltd
Newcom Colliery Employees' Credit Union Ltd
North East Credit Union Co-operative Limited
Northern Inland Credit Union Ltd
Nova Credit Union Limited
NSW Teachers Credit Union Ltd
Old Gold Credit Union Co-operative Limited
Orana Credit Union Ltd
Orange Credit Union Limited
Phoenix (NSW) Credit Union Ltd
Pinnacle Credit Union Limited
Plenty Credit Co-operative Limited
Police & Nurses Credit Society Limited
Police Association Credit Co-operative Limited
Police Credit Union Limited
Polish Community Credit Union Ltd
Power Credit Union Limited
Powerstate Credit Union Ltd
Prospect Credit Union Limited
Pulse Credit Union Limited
Qantas Staff Credit Union Limited
Queensland Community Credit Union Limited
Queensland Country Credit Union Ltd
Queensland Police Credit Union Limited
Queensland Professional Credit Union Ltd
Queensland Teachers' Credit Union Limited
Queenslanders Credit Union Limited
RACV Credit Union Limited
Railways Credit Union Limited
Randwick Credit Union Limited
RegionalOne Credit Union Limited
Reliance Credit Union Ltd
Resources Credit Union Limited
RTA Staff Credit Union Limited
Satisfac Direct Credit Union Limited
Savings and Loans Credit Union (S.A.) Ltd
Security Credit Union Ltd
Select Credit Union Ltd
Service One Credit Union Ltd
SGE Credit Union Ltd
Shell Employees' Credit Union Limited
Shoalhaven Paper Mill Employee's Credit Union Ltd
South West Slopes Credit Union Ltd
Southern Cross Credit Union Limited
South-West Credit Union Co-operative Limited
St Mary's Swan Hill Co-operative Credit Society Limited
St Patrick's Mentone Co-operative Credit Society Limited
Statewest Credit Society Limited
Sutherland Credit Union Ltd
Sutherland Shire Council Employees' Credit Union Ltd
Sydney Credit Union Ltd
TAB Credit Union Limited
Tartan Credit Union Ltd
The Broken Hill Community Credit Union Ltd
The Gympie Credit Union Ltd
The Police Department Employees' Credit Union Limited
The Summerland Credit Union Limited
The TAFE and Community Credit Union Limited
The University Credit Society Limited
Traditional Credit Union Limited
TransComm Credit Co-operative Limited
Uni Credit Union Ltd
United Credit Union Limited
Victoria Teachers Credit Union Limited
Wagga Mutual Credit Union Ltd
Warwick Credit Union Ltd
WAW Credit Union Co-operative Limited
Westax Credit Society Ltd
Western City Credit Union Ltd
Woolworths/Safeway Employees' Credit Co-operative Limited
Wyong Council Credit Union Ltd
Yennora Credit Union Ltd
Specialist Credit Card Institutions (SCCIs)
Foreign-owned SCCIs
GE Capital Finance Australia
GE Finance Australasia Pty Ltd
Locally Incorporated SCCIs
MoneySwitch Limited
Other ADIs
These companies are run by industry bodies and provide services (e.g. payments clearing) to member building societies and credit unions.
Australian Settlements Limited
Credit Union Services Corporation (Australia) Limited
Creditlink Services Limited
One ADI that provides general banking services which does not fall into the other categories.
Cairns Penny Savings & Loans Limited
Reporting Form ARF 221.0
Large Exposures
Instruction Guide
Purpose
The Large Exposures form collects information on an ADI’s large exposures to an individual counterparty or a group of related counterparties at the stand-alone and consolidated banking group level.
Information reported on this form is prudentially important, as it will form part of APRA’s monitoring and analysis framework for the ADI and the industry.
Note: Do not include an ADI’s exposures to related entities (defined in accordance with Prudential Standard APS 222 Associations with Related Entities) in this form. Such exposures are to be reported in ARF 222.0 Exposures to Related Entities.
Audit requirements
This form is subject to audit review and testing. The scope and nature of audit testing required is outlined in the applicable Audit Guidance Statement issued by the Auditing and Assurance Board of the Australian Accounting Research Foundation.
General directions and notes
Reporting entity
Licensed ADI
The Large Exposures (Licensed ADI) form is to be completed by all ADIs at Level 1 (i.e. the stand-alone level) defined in accordance with Prudential Standard APS 110 Capital Adequacy. Foreign ADIs[1] and Specialist Credit Card Institutions (SCCIs) operating through branches in Australia are required to complete this form for the Australian branch only.
[1]These instructions and any relevant form are to apply to the Bank of China as if its branch operations in Australia constituted a locally-incorporated bank. Accordingly: (a) the Bank of China is to undertake stand-alone or ‘Licensed ADI’ reporting in respect of the bank’s Australian branch operations, as if those operations constituted a locally-incorporated bank; and (b) ‘Consolidated Group’ reporting for Bank of China is to encompass (i) those branch operations (as if they constituted a locally-incorporated bank) and (ii) any locally-incorporated subsidiary of the Bank of China.
Consolidated Group
The Large Exposures (Consolidated Group) form is to be completed by all ADIs (where applicable) at Level 2 (i.e. the consolidated banking group level) defined in accordance with Prudential Standard APS 110 Capital Adequacy. Foreign ADIs and SCCIs operating through branches in Australia are not required to complete this form.
Reporting period
The form is to be completed as at the last day of the stated reporting quarter. Locally incorporated banks, Foreign ADIs and Special Service Providers should submit the completed form to APRA within 20 business days after the end of the relevant reporting quarter. Credit Unions, Cairns Penny Savings & Loans Limited, Building Societies and SCCIs should submit the completed form to APRA within 15 business days after the end of the relevant reporting quarter.
Unit of measurement
Banks are asked to complete the form(s) in millions of Australian dollars rounded to one decimal place, and for other non-bank ADIs (including SCCIs), in whole Australian dollars (no decimal place).
Amounts denominated in foreign currency are to be converted to AUD in accordance with AASB 1012 ‘Foreign Currency Translation’.
The general requirements of AASB 1012 for translation are:
Foreign currency monetary items outstanding at the reporting date must be translated at the spot rate at the reporting date.
Other items outstanding at the reporting date must not be retranslated subsequent to initial recognition of the transaction.
Monetary items are defined to mean money held and assets and liabilities that are to be received or paid in fixed or determinable amounts of money.
Monetary items arising under foreign currency derivative contracts at the reporting date must be translated as follows:
Where the exchange rate is fixed in the contract, at that fixed exchange rate; and
Where the exchange rate varies, at the spot rate at the reporting date.
Basis of preparation
For the purposes of this form, unless specifically advised in the ‘Instruction Guide for Specific Items’, ADIs are to report all exposures gross. No netting is to be recognised even if the ADI has in place netting agreements that are in the form of a legally recognised right to net or set off items of assets and liabilities in accordance with AASB 1014 ‘Set-off and Extinguishment of Debt’.
Definitions
This section provides guidance on the interpretation of certain items used in this form.
Licensed ADI (Level 1)
This refers to the operations of the reporting ADI on a stand-alone basis.
Consolidated banking group (Level 2)
For large exposure purposes, this is defined in accordance with Prudential Standard APS 110 Capital Adequacy and refers to an ADI and all its subsidiaries (other than non-consolidated subsidiaries).
Consolidation at Level 2 should be conducted in accordance with Australian accounting standards. This should cover the global operations of an ADI and its subsidiary entities, including other controlled banking entities, securities entities and other financial entities (e.g. finance companies, money market corporations, stockbrokers and leasing companies), except for entities involved in the following business activities:
(a) insurance businesses (including friendly societies and health funds);
(b) acting as manager, responsible entity, approved trustee, trustee or similar role in relation to funds management or the securitisation of assets; and
(c) non-financial (commercial) operations.
Exposures
An ADI’s exposures to a counterparty or a group of related counterparties at Level 1/Level 2 is the aggregate of all claims, commitments and contingent liabilities arising from on- and off-balance sheet transactions (in both the banking and trading books) with the counterparty or group of related counterparties (see paragraph 7 in Prudential Standard APS 221 Large Exposures).
Note: Where credit risk is unequivocally transferred from a counterparty to a third party by an irrevocable letter of credit or a direct guarantee, the exposure is to be recorded against the third party.
A group of related counterparties
For the purposes of this form, a group of related counterparties should be deemed to exist where two or more individual counterparties are linked by:
(a) cross guarantees;
(b) common ownership or management;
(c) the ability to exercise control (defined in accordance with Australian accounting standards) over the other(s), whether direct or indirect;
(d) financial interdependency such that the financial soundness of any of them may affect the financial soundness of the other(s); or
(e) other connections or relationships which, according to an ADI’s assessment, identify the counterparties as constituting a single risk.
Note: Family members are not to be treated as connected where they have independent retail relationships with the ADI at Level 1/Level 2 (although the ADI can choose to treat such exposures as connected should it consider appropriate to do so).
On-balance sheet exposures
This refers to items of assets that are recognised or recorded on the statement of financial position of the ADI at Level 1/Level 2.
Off-balance sheet exposures
This refers to items of assets or liabilities that are not recognised or recorded on the statement of financial position of the ADI at Level 1/Level 2 because they do not satisfy the asset or liability accounting recognition requirements e.g. contingent liabilities.
Liability exposures
This refers to deposits; other borrowings; bonds, notes and long-term borrowings; and loan capital as per ARF 320.0 Statement of Financial Position (Domestic Books) or ARF 323.0 Statement of Financial Position (Licensed ADI), as appropriate. Exclude tradeable security issues.
Specific instructions
Licensed ADI
The Large Exposures form for the Licensed ADI has the following reporting components:
Section A: Large exposures for locally incorporated banks
Section A is to be completed by all locally incorporated banks. Report in this section on a net basis (explained in detail below) the bank’s 10 largest exposures to a counterparty or a group of related counterparties unrelated to the bank at Level 1 and all those exposures that exceed or equal to 10% of the bank’s Level 1 capital base (as reported in ARF 110.0 Capital Adequacy (Licensed ADI) for the same quarter)[2].
[2] Exposures to related entities (defined in accordance with Prudential Standard APS 222 Associations with Related Entities) are to be reported in ARF 222.0 Exposures to Related Entities.
Section B: Large exposures for non-bank ADIs
Section B is to be completed by all non-bank ADIs (including locally incorporated SCCIs). Report in this section on a net basis (explained in detail below) the ADI’s 10 largest exposures to a counterparty or a group of related counterparties unrelated to the ADI at Level 1 and all those exposures that exceed or equal to 5% of the ADI’s Level 1 capital base (as reported in ARF 110.0 Capital Adequacy (Licensed ADI) for the same quarter)[3].
[3] See footnote 2.
Section C: large exposures for foreign ADIs/SCCI branches
Section C is to be completed by all foreign ADIs, and SCCIs that operate as branches in Australia. Report in this section on a net basis (explained in detail below) the 20 largest exposures of the Australian branch to a counterparty or a group of related counterparties unrelated to the foreign ADI or SCCI[4].
[4] Exposures of the Australian branch to head office, other overseas branches, Australian or overseas subsidiaries are to be reported in ARF 222.0 Exposures to Related Entities.
Section D: large liability exposures
Section D is to be completed by ADIs that are not subject to scenario analysis under Prudential Standard APS 210 Liquidity on a stand-alone basis. Report in this section all liability exposures to a counterparty or a group of related counterparties that exceed 5% of the ADI’s total liabilities (as reported in ARF 320.0 Statement of Financial Position (Domestic Books) or ARF 323.0 Statement of Financial Position (Licensed ADI) for the same quarter as appropriate).
These reporting components are individually explained in detail below.
Consolidated group
The Large Exposures form for the Consolidated Group has the following reporting components:
Section A: Large exposures for locally incorporated banks
Section A is to be completed by all locally incorporated banks. Report in this section on a net basis (explained in detail below) the bank’s 10 largest exposures to a counterparty or a group of related counterparties unrelated to the bank at Level 2 and all those exposures that exceed or equal to 10% of the bank’s Level 2 capital base (as reported in ARF 110.0 Capital Adequacy (Consolidated Group) for the same quarter).
Section B: Large exposures for non-bank ADIs
Section B is to be completed by all non-bank ADIs (including locally incorporated SCCIs). Report in this section on a net basis (explained in detail below) the ADI’s 10 largest exposures to a counterparty or a group of related counterparties unrelated to the ADI at Level 2 and all those exposures that exceed or equal to 5% of the ADI’s Level 2 capital base (as reported in ARF 110.0 Capital Adequacy (Consolidated Group) for the same quarter).
These reporting components are individually explained in detail below.
Section A: Large exposures for locally incorporated banks
Section B: Large exposures for non-bank ADIs
Instructions for Section A and Section B for both the Large Exposures (Licensed ADI) and the Large Exposures (Consolidated Group) forms are set out below.
Column 1. Counterparty
Report in column 1 the names of the relevant individual counterparties to which the ADI has exposures to at Level 1/Level 2 (as appropriate). In the case of exposures to a group of related counterparties, the ADI’s aggregate exposure to the relevant group should be reported as one exposure and shown in the name of the principal counterparty.
Column 2. Category
Report in column 2 the category of the counterparty reported in column 1 using the following abbreviations:
G/CB/IO
This includes Australian governments (Commonwealth, State, local) and foreign governments (central, state, local), Australian and foreign central banks, and other international organisations.
ADI
This includes Australian ADIs and foreign equivalents (and their subsidiaries).
Note:
Bills accepted by another ADI or foreign equivalent should be reported as an exposure to ADI.
For foreign-owned locally incorporated ADIs (including SCCIs), report exposures to foreign (bank) parent(s) (including Australian and overseas branches), to the foreign parent’s overseas based subsidiaries and to their directly owned non-ADI entities operating in Australia in the memorandum items.
AO
This includes all other counterparties not classified above.
Column 3. On-balance sheet exposures
This includes all loans and advances, holding of debt and equity securities, and all other claims on the counterparty or group of related counterparties reported in column 1. Any accrued income associated with the exposure should also be included (e.g. interest, dividends).
Report in column 3 the book value of all on-balance sheet exposures to the counterparty or group of related counterparties at Level 1/Level 2 (as appropriate) on a net basis. Net basis means net of exposures excluded under paragraphs 7(b)(i)-(vi) in Prudential Standard APS 221 Large Exposures, specifically:
exposures (e.g. claims or equity investments) deducted from the ADI’s Level 1/Level 2 capital (see Prudential Standard APS 111 Capital Adequacy: Measurement of Capital);
exposures to the extent that they are secured by cash deposits (subject to satisfying the criteria set out in Attachment B to Guidance Note AGN 112.1 Risk-Weighted On-Balance Sheet Credit Exposures);
exposures to the extent that they are guaranteed by, or secured against securities issued by, governments or central banks (subject to satisfying the conditions set out in paragraphs 9, 12, 13, 14 and 15 of Guidance Note AGN 112.1 Risk-Weighted On-Balance Sheet Credit Exposures);
exposures arising in the course of settlement of market-related contracts;
exposures to an ADI required as part of a liquidity support arrangement that has been certified by APRA under section 11CB of the Banking Act; and
exposures to the extent that they have been written off or specifically provided for.
Column 3.1. Loans (for Section B only)
Report in column 3.1 the book value of all loans and advances to the counterparty or group of related counterparties at Level 1/Level 2 (as appropriate) on a net basis. Include any accrued interest associated with the exposure.
Column 3.2. Other (for Section B only)
Report in column 3.2 the book value of all other on-balance sheet exposures (e.g. investment and liquidity exposures) to the counterparty or group of related counterparties at Level 1/Level 2 (as appropriate) on a net basis. Any accrued income associated with the exposure should also be included (e.g. interest, dividends).
Column 4. Off-balance sheet exposures
Column 4.1. Non-market related
This includes all commitments, whether revocable or not, which have been advised to the counterparty or group of related counterparties reported in column 1 (see Attachment A to Guidance Note AGN 112.2 Risk-Weighted Off-Balance Sheet Credit Exposures for examples of these commitments). Any potential chargeback exposures to the counterparty or group of related counterparties (merchants) arising from credit card acquiring activities should also be included.
Exclude internal limits that have not been formally advised to the counterparty or group of related counterparties and may be cancelled at the ADI’s discretion at Level 1/Level 2 (as appropriate).
Report in column 4.1 the value of all unused commitments to the counterparty or group of related counterparties (do not apply credit conversion factors or risk weightings to the value) on a net basis (i.e. net of exposures excluded under paragraphs 7(b)(i)-(vi) in Prudential Standard APS 221 Large Exposures as detailed in point 3 above).
ADIs that are engaged in credit card acquiring activities should use their own methodology in determining the amount of potential chargeback exposures to the counterparty (e.g. this could be based on the ADI’s historical trends of chargeback exposures to the counterparty). Any amount reported should be net of exposures excluded under paragraphs 7(b)(i)-(vi) in Prudential Standard APS 221 Large Exposures as outlined in point 3 above. For SCCIs, any funds held as performance bond from merchants for settling any outstanding liabilities to the reporting SCCI (e.g. reimbursement for merchant chargebacks) must be placed in a trust account with an ADI authorised to accept deposits to be eligible for netting purposes.
Exposures arising from repos (i.e. sale and repurchase agreements) and reverse repos (i.e. purchase and resale agreements) of securities should be reported as exposures to the issuer of the securities and collateralised loans to the counterparty respectively.
For large exposures reporting, credit derivatives should be reported in the same way as guarantees, irrespective of whether they are held in an ADI’s trading book or banking book. This means, where an ADI is deemed by the requirements set down in Guidance Note AGN 112.4 Treatment of Credit Derivatives in the Banking Book as having purchased protection on an underlying exposure using a credit derivative, the exposure is to the protection seller of the credit derivative. Where an ADI has sold protection using a credit derivative, the exposure is to the reference entity underlying the credit derivative. In all cases, exposures are to be reported at their gross values, where gross value is the amount of the exposure as defined in Guidance Note AGN 112.4 Treatment of Credit Derivatives in the Banking Book. For credit derivatives in an ADI’s trading book, this requirement differs to APRA’s capital adequacy arrangements, which treat credit derivatives in the same way as market rate related transactions. The requirement is, however, consistent with how APRA requires other non-market rate related transactions to be incorporated into the Large Exposures reporting framework.
The treatment of large exposures where protection is purchased requires some additional clarification in a couple of instances. Where an ADI has purchased protection using a credit derivative and the residual maturity of the credit derivative contract is less than the maturity of the underlying asset, the exposure is to the protection seller for the term of the credit derivative hedge and to the underlying exposure thereafter. Amongst other requirements, the credit derivative would need to have a residual maturity of at least one year to be regarded by APRA as a sufficient hedge. In the case of currency mismatches, that is, where the underlying exposure and the credit derivative hedge are denominated in different currencies, the proportion of the underlying exposure transferred to the protection seller will be determined by the current market exchange rate.
The following table summarises the treatment of credit derivatives for large exposures reporting purposes.
Credit default swap Protection seller Exposure to the reference entity Protection buyer Exposure to the protection seller Total-rate-of-return swap Protection seller Exposure to the reference entity Protection buyer Exposure to the protection seller Credit-linked note Protection seller Exposure to the reference entity and the protection buyer Protection buyer Exposure to collateral (typically zero weighted) First-to-default baskets Protection seller Exposures to all reference entities Protection buyer Exposure to protection seller for one reference entity and exposures to all other entities
Column 4.2. Market related
Include all exposures arising from off-balance sheet market related contracts with the counterparty or group of related counterparties reported in column 1 at Level 1/Level 2 as appropriate (see Guidance Note AGN 112.2 Risk-Weighted Off-Balance Sheet Credit Exposures for examples of these contracts).
Report in column 4.2 the credit equivalent amounts of all market related contracts on a net basis (i.e. net of exposures excluded under paragraphs 7(b)(i)-(vi) in Prudential Standard APS 221 Large Exposures as detailed in point 3 above). The credit equivalent amounts of these contracts are to be calculated in accordance with Guidance Note AGN 112.2 Risk-Weighted Off-Balance Sheet Credit Exposures or Guidance Note AGN 112.3 Netting where netting applies. Netting by novation and close-out netting are permissible for market related contracts provided all the requirements set out in Guidance Note AGN 112.3 Netting for bilateral netting are met. Multilateral netting and netting of exposures against offsetting positions held by a group of related counterparties are not recognised.
Column 5. Total exposures
Column 5.1. Amount
For Section A, this represents the total of column numbers 3, 4.1 and 4.2. For Section B, this represents the total of column numbers 3.1, 3.2, 4.1 and 4.2.
Column 5.2. As % of capital base
This represents the value reported for column 5.1 divided by the ADI’s capital base as reported in ‘Memorandum items’ (2.1).
Memorandum items
2.1. Capital base of licensed ADI/consolidated group (where applicable)
Report the ADI’s capital base at Level 1 and Level 2 as appropriate for the reporting quarter (as shown in ARF 110.0 Capital Adequacy (Licensed ADI) and ARF 110.0 Capital Adequacy (Consolidated Group) respectively for the same reporting quarter).
2.2. Aggregate exposure to non-deposit-taking subsidiaries of unrelated ADIs (including foreign equivalents)
For any reported exposures to an unrelated ADI (including foreign equivalent) and its subsidiaries at Level 1 and Level 2 listed in column 1, report the ADI’s aggregate exposure to the unrelated ADI’s non-deposit-taking subsidiaries, if any, in the memorandum item. For example, if the ADI has reported aggregate exposure to an unrelated ADI and its subsidiaries of $10 million, of which $2 million is to the unrelated ADI’s non-deposit-taking subsidiaries, report the $2 million exposure in the memorandum item for additional information purposes.
2.3. Aggregate exposure to foreign parents and their subsidiaries
Report the aggregate exposure to foreign (bank) parent(s) (including Australian and overseas branches), the foreign parent’s overseas based subsidiaries and their directly owned non-ADI entities operating in Australia [5].
[5]Exposures to related entities (as defined in Prudential Standard APS 222 Associations with Related Entities) that form part of the Australian conglomerate group are to be reported in ARF 222.0 Exposures to Related Entities.
2.4. 5 largest merchants by sales volume (for Section B only)
For SCCIs that undertake credit card acquiring activities, report the 5 largest merchant customers in terms of aggregate transaction dollar value acquired by the reporting institution over the reporting quarter.
Section C: Large exposures for foreign ADIs/SCCI branches
Column 1. Counterparty
Report in column 1 the names of the relevant individual counterparties to which the Australian branch has exposures to. In the case of exposures to a group of related counterparties, the branch’s aggregate exposure to the relevant group should be reported as one exposure and shown in the name of the principal counterparty.
Column 2. Category
Report in column 2 the category of the counterparty reported in column 1 using the following abbreviations:
G/CB/IO
This includes Australian governments (Commonwealth, State, local) and foreign governments (central, state, local), Australian and foreign central banks, and other international organisations.
ADI
This includes Australian ADIs and foreign equivalents (and their subsidiaries).
Note: Bills accepted by another ADI or foreign equivalent should be reported as an exposure to ADI.
AO
This includes all other counterparties not classified above.
Column 3. On-balance sheet exposures
This includes all loans and advances, holding of debt and equity securities, and all other claims on the counterparty or group of related counterparties reported in column 1. Any accrued income associated with the exposure should also be included (e.g. interest, dividends).
Report in column 3 the book value of all on-balance sheet exposures to the counterparty or group of related counterparties on a net basis. Net basis means net of the following exposures:
exposures to the extent that they are secured by cash deposits (subject to satisfying the criteria set out in Attachment B to Guidance Note AGN 112.1 Risk-Weighted On-Balance Sheet Credit Exposures);
exposures to the extent that they are guaranteed by, or secured against securities issued by, governments or central banks (subject to satisfying the conditions set out in paragraphs 9, 12, 13, 14 and 15 of Guidance Note AGN 112.1 Risk-Weighted On-Balance Sheet Credit Exposures);
exposures arising in the course of settlement of market-related contracts; and
exposures to the extent that they have been written off or specifically provided for.
Column 4. Off-balance sheet exposures
Column 4.1. Non-market-related
This includes all commitments, whether revocable or not, which have been advised to the counterparty or group of related counterparties reported in column 1 (see Attachment A to Guidance Note AGN 112.1 Risk-Weighted Off-Balance Sheet Credit Exposures for examples of these commitments). Any potential chargeback exposures to the counterparty or group of related counterparties (merchants) arising from credit card acquiring activities should also be included.
Exclude internal limits that have not been formally advised to the counterparty or group of related counterparties and may be cancelled at the branch’s discretion.
Report in column 4.1 the value of all unused commitments to the counterparty or group of related counterparties (do not apply credit conversion factors or risk weightings to the value) on a net basis (i.e. net of exposures detailed in point 3 above).
Foreign ADIs and SCCI branches that are engaged in credit card acquiring activities should use their own methodology in determining the amount of potential chargeback exposures to the counterparty (e.g. this could be based on the branch’s historical trends of chargeback exposures to the counterparty). Any amount reported should be net of exposures detailed in point 3 above.
Exposures arising from repos (i.e. sale and repurchase agreements) and reverse repos (i.e. purchase and resale agreements) of securities should be reported as exposures to the issuer of the securities and collateralised loans to the counterparty respectively.
For large exposures reporting, credit derivatives should be reported in the same way as guarantees, irrespective of whether they are held in an ADI’s trading book or banking book. This means, where an ADI is deemed by the requirements set down in Guidance Note AGN 112.4 Treatment of Credit Derivatives in the Banking Book as having purchased protection on an underlying exposure using a credit derivative, the exposure is to the protection seller of the credit derivative. Where an ADI has sold protection using a credit derivative, the exposure is to the reference entity underlying the credit derivative. In all cases, exposures are to be reported at their gross values, where gross value is the amount of the exposure as defined in Guidance Note AGN 112.4 Treatment of Credit Derivatives in the Banking Book. For credit derivatives in an ADI’s trading book, this requirement differs to APRA’s capital adequacy arrangements, which treat credit derivatives in the same way as market rate related transactions. The requirement is, however, consistent with how APRA requires other non-market rate related transactions to be incorporated into the Large Exposures reporting framework.
The treatment of large exposures where protection is purchased requires some additional clarification in a couple of instances. Where an ADI has purchased protection using a credit derivative and the residual maturity of the credit derivative contract is less than the maturity of the underlying asset, the exposure is to the protection seller for the term of the credit derivative hedge and to the underlying exposure thereafter. Amongst other requirements, the credit derivative would need to have a residual maturity of at least one year to be regarded by APRA as a sufficient hedge. In the case of currency mismatches, that is, where the underlying exposure and the credit derivative hedge are denominated in different currencies, the proportion of the underlying exposure transferred to the protection seller will be determined by the current market exchange rate.
The following table summarises the treatment of credit derivatives for large exposures reporting purposes.
Credit default swap Protection seller Exposure to the reference entity Protection buyer Exposure to the protection seller Total-rate-of-return swap Protection seller Exposure to the reference entity Protection buyer Exposure to the protection seller Credit-linked note Protection seller Exposure to the reference entity and the protection buyer Protection buyer Exposure to collateral (typically zero weighted) First-to-default baskets Protection seller Exposures to all reference entities Protection buyer Exposure to protection seller for one reference entity and exposures to all other entities
Column 4.2. Market-related
Include all exposures arising from off-balance sheet market related contracts with the counterparty or group of related counterparties reported in column 1 (see Guidance Note AGN 112.2 Risk-Weighted Off-Balance Sheet Credit Exposures for examples of these contracts).
Report in column 4.2 the credit equivalent amounts of all market related contracts on a net basis (i.e. net of exposures detailed in point 3 above). The credit equivalent amounts of these contracts are to be calculated in accordance with Guidance Note AGN 112.2 Risk-Weighted Off-Balance Sheet Credit Exposures or Guidance Note AGN 112.3 Netting where netting applies. Netting by novation and close-out netting are permissible for market related contracts provided all the requirements set out in Guidance Note AGN 112.3 Netting for bilateral netting are met. Multilateral netting and netting of exposures against offsetting positions held by a group of related counterparties are not recognised.
Column 5. Total exposures
This represents the total of column numbers 3, 4.1 and 4.2.
Memorandum item
2.1. 5 largest merchants by sales volume
For SCCI branches that undertake credit card acquiring activities, report the 5 largest merchant customers in terms of aggregate transaction dollar value acquired by the reporting institution over the reporting quarter.
Section D: Large liability exposures
Column 1. Counterparty
Report in column 1 the names of the relevant individual counterparties or group of related counterparties to which the ADI has liability exposure concentration. In the case of exposures to a group of related counterparties, the ADI’s aggregate exposure to the relevant group should be reported as one exposure and shown in the name of the principal counterparty.
Column 2. Deposits
Include total deposits held for the counterparty or group of related counterparties reported in column 1. Deposits are defined as per ARF 320.0 Statement of Financial Position (Domestic Books) or ARF 323.0 Statement of Financial Position (Licensed ADI) as appropriate. Exclude tradeable security issues.
Column 3. Other borrowings, bonds, notes and long-term borrowings, and loan capital
Include total “Other borrowings”, “Bonds, notes and long-term borrowings”, and “Loan capital” (defined as per ARF 320.0 Statement of Financial Position (Domestic Books) or ARF 323.0 Statement of Financial Position (Licensed ADI) as appropriate) due to the counterparty or group of related counterparties reported in column 1. Exclude tradeable security issues.
Note on References to Accounting Standards
This Note is about references in these instructions to an accounting standard or accounting standards, e.g. where the instructions say that something must be done in accordance with a particular AASB or international accounting standard, or must be done in accordance with the accounting standards (however described) generally.
Where you see such a reference, you must read it as meaning the version of the accounting standard, or versions of the accounting standards, applying to reporting periods (within the meaning of the accounting standards) beginning immediately before 1 January 2005.
Accordingly, the new AASB standards for 2005 are not to be applied.
Similarly, a reference to principles or conventions (however described) governing an accounting procedure or treatment shall be taken to refer to principles or conventions applicable in relation to reporting periods (within the meaning of the accounting standards) that began immediately before 1 January 2005.
0
0
0