Federal Register of Legislation - Australian Government

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Determinations/Financial (Other) as made
This instrument determines Reporting Standard ARS 221.0 Large Exposures.
Administered by: Treasury
Registered 28 Aug 2018
Tabling HistoryDate
Tabled HR10-Sep-2018
Tabled Senate10-Sep-2018
Date of repeal 01 Jan 2020
Repealed by Financial Sector (Collection of Data) (reporting standard) determination No. 3 of 2020

Financial Sector (Collection of Data) (reporting standard) determination No. 41 of 2018

Reporting Standard ARS 221.0 Large Exposures

Financial Sector (Collection of Data) Act 2001

 

I, Wayne Byres, delegate of APRA, under paragraph 13(1)(a) of the Financial Sector (Collection of Data) Act 2001 (the Act) and subsection 33(3) of the Acts Interpretation Act 1901:

 

(a)           REVOKE Financial Sector (Collection of Data) (reporting standard) determination No. 31 of 2014, including Reporting Standard ARS 221.0 Large Exposures made under that Determination; and

 

(b)          DETERMINE Reporting Standard ARS 221.0 Large Exposures, in the form set out in the Schedule, which applies to the financial sector entities to the extent provided in paragraph 3 of the reporting standard.

 

Under section 15 of the Act, I DECLARE that the reporting standard shall begin to apply to those financial sector entities, and the revoked reporting standard shall cease to apply, on 1 January 2019.

 

This instrument commences on 1 January 2019.

 

Dated: 23 August 2018

 

 

[Signed]

 

Wayne Byres

Chairman

APRA

 

Interpretation

In this Determination:

APRA means the Australian Prudential Regulation Authority.

financial sector entity has the meaning given by section 5 of the Act.

 

 

Schedule

 

Reporting Standard ARS 221.0 Large Exposures comprises the document commencing on the following page.



Reporting Standard ARS 221.0

Large Exposures

Objective of this reporting standard

This Reporting Standard sets out the requirements for the provision of information to APRA relating to an authorised deposit-taking institution’s large exposures.

It includes Reporting Form ARF 221.0 Large Exposures and Reporting Form ARF 221.1 Large Exposures – Foreign ADI and associated specific instructions and must be read in conjunction with Prudential Standard APS 221 Large Exposures.

 

Authority

1.             This Reporting Standard is made under section 13 of the Financial Sector (Collection of Data) Act 2001.

Purpose

2.             Information collected under this Reporting Standard is used by APRA for the purpose of prudential supervision. It may also be used by the Reserve Bank of Australia (RBA) and the Australian Bureau of Statistics (ABS).

Application

3.             This Reporting Standard applies to all authorised deposit-taking institutions (ADIs) with the exception of providers of purchased payment facilities (PPFs). This Reporting Standard may also apply to the non-operating holding company (NOHC) of an ADI (refer to paragraph 6).

Commencement

4.             This Reporting Standard applies to reporting periods ending on or after 1 January 2019.

Information required

5.             A locally incorporated ADI to which this Reporting Standard applies must provide APRA with the information required by the version of Reporting Form ARF 221.0 Large Exposures (ARF 221.0) designated for an ADI on a Level 1 basis for each reporting period.

6.             If a locally incorporated ADI, to which this Reporting Standard applies, is part of a Level 2 group, the ADI must also provide APRA with the information required by the version of ARF 221.0 designated for an ADI at Level 2 for each reporting period unless the ADI is a subsidiary of an authorised NOHC. If the ADI is a subsidiary of an authorised NOHC, the ADI’s immediate parent NOHC must provide APRA with the information required by that form for each reporting period. In doing so, the immediate parent NOHC must comply with this Reporting Standard (other than paragraph 5) as if it were the relevant ADI.

7.             A foreign ADI to which this Reporting Standard applies must provide APRA with the information required by Reporting Form ARF 221.1 Large Exposures – Foreign ADI (ARF 221.1) for each reporting period.

Form and method of submission

8.             The information required by this Reporting Standard must be given to APRA in electronic format using the ‘Direct to APRA’ application or by a method notified by APRA prior to submission.

Note: the ‘Direct to APRA’ application software (also known as ‘D2A’) may be obtained from APRA.

Reporting periods and due dates

9.             Subject to paragraph 11 of this Reporting Standard, an ADI to which this Reporting Standard applies 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.

10.         Subject to paragraph 12 of this Reporting Standard, the information required by this Reporting Standard must be provided to APRA within 28 calendar days after the end of the reporting period to which the information relates.

11.         APRA may 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 RBA and the ABS.

12.         APRA may grant an ADI an extension of a due date in which case the new date will be the date specified in the notice of extension.

Note: for the avoidance of doubt, if the due date for a particular reporting period falls on a day other than a usual business day, an ADI is nonetheless required to submit the information required no later than the due date.

Quality control

13.         All information provided by an ADI under this Reporting Standard must be the product of systems, processes and controls that have been reviewed and tested by the external auditor of the ADI as set out in Prudential Standard APS 310 Audit and Related Matters. Relevant standards and guidance statements issued by the Auditing and Assurance Standards Board provide information 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 information provided by an ADI under this Reporting Standard.

14.         All information provided by an ADI under this Reporting Standard must be subject to systems, processes and controls developed by the ADI for the internal review and authorisation of that information. These systems, processes and controls are to assure the completeness and reliability of the information provided.

Authorisation

15.         When an officer of an ADI submits information under this Reporting Standard using the D2A software, or other method notified by APRA, the officer must digitally sign the relevant information using a digital certificate acceptable to APRA.

Minor alterations to forms and instructions

16.         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 the application to the form,

without changing any substantive requirement in the form or instructions.

17.         If APRA makes such a variation it must notify each ADI that is required to report under this Reporting Standard.

Transition

18.         An ADI must report under the old Reporting Standard in respect of a transitional reporting period. For these purposes:

old Reporting Standard means the Reporting Standard revoked by the determination that makes this Reporting Standard (being the Reporting Standard which this Reporting Standard replaces), as in force immediately before the commencement of this Reporting Standard.

transitional reporting period means a reporting period under the old Reporting Standard:

(a)           that ended on or before 31 December 2018; and

(b)          in relation to which the ADI was required, under the old Reporting Standard, to report by a date on or after the date of revocation of the old Reporting Standard.

Note: for the avoidance of doubt, if an ADI was required to report under an old Reporting Standard, and the reporting documents were due before the date of revocation of the old Reporting Standard, the ADI is still required to provide the overdue reporting documents in accordance with the old Reporting Standard.

Interpretation

19.         In this Reporting Standard:

AASB has the meaning given in section 9 of the Corporations Act 2001.

ADI means an authorised deposit-taking institution within the meaning of the Banking Act 1959.

APRA means the Australian Prudential Regulation Authority established under the Australian Prudential Regulation Authority Act 1998.

authorised NOHC has the meaning given in the Banking Act 1959.

business days means ordinary business days, exclusive of Saturdays, Sundays and public holidays.

due date means the relevant due date under paragraph 10 or, if applicable, paragraph 12 of this Reporting Standard.

foreign ADI has the meaning given in section 5 of the Banking Act 1959.

immediate parent NOHC means an authorised NOHC, or a subsidiary of an authorised

NOHC, that is an immediate parent NOHC within the meaning of Prudential Standard

APS 001 Definitions (APS 001).

Level 1 has the meaning given in APS 001.

Level 2 has the meaning given in APS 001.

locally incorporated means incorporated in Australia or in a State or Territory of Australia, by or under a Commonwealth, State or Territory law.

provider of purchased payment facilities means an ADI that is subject to a condition on its authority under section 9 of the Banking Act 1959 confining the banking business that the ADI is authorised to carry on to providing purchased payment facilities.

reporting period means a period mentioned in paragraph 9 or, if applicable, paragraph 11 of this Reporting Standard.

subsidiary has the meaning given in the Corporations Act 2001.

20.         Unless the contrary intention appears, a reference to an Act, Prudential Standard, Reporting Standard or Australian Accounting or Auditing Standard is a reference to the instrument as in force or existing from time to time.

21.         Where this Reporting Standard provides for APRA to exercise a power or discretion, this power or discretion is to be exercised in writing.

 


ARF_221_0: Large Exposures

 

Australian Business Number

Institution Name

Reporting Period

Scale Factor

Millions to one decimal place for banks

Whole dollars no decimal place for ADIs other than banks

Reporting Consolidation

 

Level 1 / Level 2

 

 

Section A: Large exposures

 

1. Twenty largest exposures and all those exposures exceeding or equal to 10% of Tier 1 Capital

 

Counterparty name/ group counterparty name

Legal Entity Identifier

Counterparty sector

On-balance sheet exposures - loans

On-balance sheet exposures - other

Off-balance sheet exposures - non-market-related

Off-balance sheet exposures - market-related     

Total exposures

Total exposures as % of Tier 1 Capital

(1)

(2)

(3)

(4)

(5)

(6)

(7)

(8)

(9)

 

 

 

 

 

 

 

 

 

 

 

Banking

 

 

 

 

 

 

 

 

Insurance

 

 

 

 

 

 

 

 

Superannuation

 

 

 

 

 

 

 

 

Central or Commonwealth Government

 

 

 

 

 

 

 

 

State or Territory government

 

 

 

 

 

 

 

 

Local government

 

 

 

 

 

 

 

 

Central bank

 

 

 

 

 

 

 

 

Central counterparty

 

 

 

 

 

 

 

 

SPV

 

 

 

 

 

 

 

 

International banking agencies and multilateral regional development banks

 

 

 

 

 

 

 

 

Other financial institution

 

 

 

 

 

 

 

 

Other counterparties

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1.1. Total

 

 

 

 

 

 

 

 

 

2. Groups of connected counterparties

 

 

Group counterparty name

Connection

Counterparties connected within the group

(1)

(2)

(3)

 

 

 

 

3. Government-related entities - Twenty largest exposures and all those exposures exceeding or equal to 5% of Tier 1 Capital

 

Counterparty name

Legal Entity Identifier

Counterparty country

Counterparty sector

On-balance sheet exposures - loans

On-balance sheet exposures - other

Off-balance sheet exposures - non-market-related

Off-balance sheet exposures - market-related     

Total exposures

Total exposures as % of Tier 1 Capital

(1)

(2)

(3)

(4)

(5)

(6)

(7)

(8)

(9)

(10)

 

 

 

 

 

 

 

 

 

 

 

 

Country list

Banking

 

 

 

 

 

 

 

 

 

Insurance

 

 

 

 

 

 

 

 

 

Superannuation

 

 

 

 

 

 

 

 

 

Central or Commonwealth Government

 

 

 

 

 

 

 

 

 

State or Territory government

 

 

 

 

 

 

 

 

 

Local government

 

 

 

 

 

 

 

 

 

Central bank

 

 

 

 

 

 

 

 

 

Central counterparty

 

 

 

 

 

 

 

 

 

SPV

 

 

 

 

 

 

 

 

 

International banking agencies and multilateral regional development banks

 

 

 

 

 

 

 

 

 

Other financial institution

 

 

 

 

 

 

 

 

 

Other counterparties

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

3.1. Total

 

 

 

 

 

 

 

 

 

 

Section B: Large exposures (without credit risk mitigation effects)

 

4. Twenty largest exposures and all those exposures exceeding or equal to 10% of Tier 1 Capital

 

Counterparty name/ group counterparty name

Legal Entity Identifier

Counterparty sector

On-balance sheet exposures - loans

On-balance sheet exposures - other

Off-balance sheet exposures - non-market-related

Off-balance sheet exposures - market-related     

Total exposures

Total exposures as % of Tier 1 Capital

(1)

(2)

(3)

(4)

(5)

(6)

(7)

(8)

(9)

 

 

 

 

 

 

 

 

 

 

 

Banking

 

 

 

 

 

 

 

 

Insurance

 

 

 

 

 

 

 

 

Superannuation

 

 

 

 

 

 

 

 

Central or Commonwealth Government

 

 

 

 

 

 

 

 

State or Territory government

 

 

 

 

 

 

 

 

Local government

 

 

 

 

 

 

 

 

Central bank

 

 

 

 

 

 

 

 

Central counterparty

 

 

 

 

 

 

 

 

SPV

 

 

 

 

 

 

 

 

International banking agencies and multilateral regional development banks

 

 

 

 

 

 

 

 

Other financial institution

 

 

 

 

 

 

 

 

Other counterparties

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

4.1. Total

 

 

 

 

 

 

 

 

 

5. Groups of connected counterparties

 

 

Group counterparty name

Connection

Counterparties connected within the group

(1)

(2)

(3)

 

 

 

 

 

Section C: Excluded exposures

 

6. Excluded exposures - sovereigns held as HQLA, qualifying central counterparties relating to clearing activities and settlement exposures exceeding or equal to 10% of Tier 1 Capital

 

Counterparty name

Legal Entity Identifier

Counterparty sector

Exclusion category

On-balance sheet exposures - loans

On-balance sheet exposures - other

Off-balance sheet exposures - non-market related

Off-balance sheet exposures - market related     

Total exposures

Total exposures as % of Tier 1 Capital

(1)

(2)

(3)

(4)

(5)

(6)

(7)

(8)

(9)

(10)

 

 

 

 

 

 

 

 

 

 

 

 

Banking

Sovereigns held as HQLA

 

 

 

 

 

 

 

 

Insurance

QCCP - clearing

 

 

 

 

 

 

 

 

Superannuation

Settlement exposure

 

 

 

 

 

 

 

 

Central or Commonwealth Government

 

 

 

 

 

 

 

 

 

State or Territory government

 

 

 

 

 

 

 

 

 

Local government

 

 

 

 

 

 

 

 

 

Central bank

 

 

 

 

 

 

 

 

 

Central counterparty

 

 

 

 

 

 

 

 

 

SPV

 

 

 

 

 

 

 

 

 

International banking agencies and multilateral regional development banks

 

 

 

 

 

 

 

 

 

Other financial institution

 

 

 

 

 

 

 

 

 

Other counterparties

 

 

                 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

6.1. Total

 

 

 

 

 

 

 

 

 

 

Memorandum Items: Tier 1 Capital

 

7. Tier 1 Capital

 


 

ARF_221_1: Large Exposures - Foreign ADI

 

Australian Business Number

Institution Name

Reporting Period

Scale Factor

Millions to one decimal place

Reporting Consolidation

 

Domestic books

 

 

1. Twenty largest exposures of the Australian operations of the foreign ADI

 

Counterparty name/ group counterparty name

Legal Entity Identifier

Counterparty sector

On-balance sheet exposures - loans

On-balance sheet exposures - other

Off-balance sheet exposures - non-market-related

Off-balance sheet exposures - market-related     

Total exposures

(1)

(2)

(3)

(4)

(5)

(6)

(7)

(8)

 

 

 

 

 

 

 

 

 

 

Banking

 

 

 

 

 

 

 

Insurance

 

 

 

 

 

 

 

Superannuation

 

 

 

 

 

 

 

Central or Commonwealth Government

 

 

 

 

 

 

 

State or Territory government

 

 

 

 

 

 

 

Local government

 

 

 

 

 

 

 

Central bank

 

 

 

 

 

 

 

Central counterparty

 

 

 

 

 

 

 

SPV

 

 

 

 

 

 

 

International banking agencies and multilateral regional development banks

 

 

 

 

 

 

 

Other financial institution

 

 

 

 

 

 

 

Other counterparties

 

 

 

 

 

 

 

 

 

 

 

 

 

1.1. Total

 

 

 

 

 

 

 

 

2. Groups of connected counterparties

 

 

Group counterparty name

Connection

Counterparties connected within the group

(1)

(2)

(3)

 

 

 

 

 

 

 

 


 

Reporting Form ARF 221.0

Large Exposures

Instruction Guide

This instruction guide is designed to assist in the completion of Reporting Form ARF 221.0 (ARF 221.0). This form collects information on an authorised deposit-taking institution’s (ADI’s) large exposures to an individual counterparty or a group of connected counterparties.

In completing this form, ADIs must refer to Prudential Standard APS 221 Large Exposures (APS 221).

Note: Do not include an ADI’s exposures to related entities (defined in accordance with Prudential Standard APS 222 Associations with Related Entities (APS 222)) in this form. Such exposures are to be reported in ARF 222.0 Exposures to Related Entities.

General directions and notes

Reporting entity

ARF 221.0 must be completed on a Level 1 and Level 2 basis by all ADIs, with the exception of:[1]

 

(a)           foreign ADIs; and

(b)          providers of purchased payment facilities.

If an ADI is a subsidiary of an authorised non-operating holding company (NOHC), the information required at Level 2 is to be provided by the ADI’s immediate parent NOHC.

 

Securitisation deconsolidation principle

1.      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.

2.      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 period

This form is to be completed as at the last calendar day of each quarter based on the financial year (within the meaning of the Corporations Act 2001) of the ADI.

 

Unit of measurement

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.

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.

 



Reporting Form ARF 221.1

Large Exposures – Foreign ADI

Instruction Guide

This instruction guide is designed to assist in the completion of Reporting Form ARF 221.1 (ARF 221.1). This form collects information on a foreign authorised deposit-taking institution’s (foreign ADI’s) largest exposures to an individual counterparty or a group of connected counterparties.

In completing this form, foreign ADIs must refer to Prudential Standard APS 221 Large Exposures (APS 221).

Note: Do not include an ADI’s exposures to related entities (defined in accordance with Prudential Standard APS 222 Associations with Related Entities (APS 222)) in this form. Such exposures are to be reported in ARF 222.0 Exposures to Related Entities.

General directions and notes

Reporting entity

ARF 221.1 must be completed by a foreign ADI for the domestic books of the foreign ADI.

 

Domestic books means an unconsolidated report of positions, transactions and other information recorded on the Australian books of the body corporate authorised by APRA to carry on banking business as per the Banking Act 1959. Domestic books include transactions and positions with both residents and non-residents that are recorded on the Australian books of these entities.

 

Do not consolidate positions, transactions and other information recorded on the books of Extended Licensed Entities (ELEs), of any other entity not consolidated at Level 1 (e.g. related parties such as subsidiaries, SPVs or parent entities) and of overseas-based entities (e.g. overseas-based branches and offshore banking units (within the meaning of section 128AE of the Income Tax Assessment Act 1936)).

 

Reporting period

This form is to be completed as at the last calendar day of each quarter based on the financial year (within the meaning of the Corporations Act 2001) of the foreign ADI.

 

Unit of measurement

This form should be completed in Australian dollars (AUD), in millions of dollars rounded to one 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), as in force from time to time.

Basis of preparation

For the purposes of this form, foreign ADIs must report all exposures. In completing this form, foreign ADIs are to apply the requirements for netting specified in Attachment A of APS 221.

A foreign ADI may report using the requirements and definitions that it applies in reporting exposures under the requirements of its home jurisdiction, unless otherwise notified by APRA.

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.[4] In the case of a group of connected counterparties, the foreign ADI’s aggregate exposure to the group of connected counterparties is considered one exposure.

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.

On and from 1 January 2020, an economic interdependence relationship has the meaning given by paragraph 25 of APS 221.

Exposure is defined in paragraph 15 of 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.

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.

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.

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.[5]

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

Item 1

Report the twenty largest exposures as at the end of the reporting period.

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.

Item 1.1

Item 1.1 is derived as the total of the twenty largest 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.

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.

                                    



[1]           Level 1 and Level 2 are defined in Prudential Standard APS 001 Definitions (APS 001).

[2]              For the avoidance of doubt, a reference to a counterparty includes a structured vehicle.

[3]      Until 30 June 2019, these entities are listed in footnote 5 of APS 112.

[4]              For the avoidance of doubt, a reference to a counterparty includes a structured vehicle.

[5]      Until 30 June 2019, these entities are listed in footnote 5 of APS 112.