Reporting Forms ARF 113.0A, ARF 113.0B, ARF 113.0C and ARF 113.0D FIRB Corporate (including SME Corporate), Sovereign and Bank Instruction Guide

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1 Reportng Forms ARF 113.0A, ARF 113.0B, ARF 113.0C and ARF 113.0D FIRB Corporate (ncludng SME Corporate), Soveregn and Bank Instructon Gude Ths nstructon gude s desgned to assst n the completon of the FIRB Corporate, Soveregn, Bank and SME Corporate sute of forms. Ths sute of forms conssts of the followng: (c) (d) Form ARF 113.0A FIRB Corporate (ARF 113.0A); Form ARF 113.0B FIRB Soveregn (ARF 113.0B); Form ARF 113.0C FIRB Bank (ARF 113.0C); and Form ARF 113.0D FIRB SME Corporate (ARF 113.0D). These forms capture the credt rsk-weghted assets (RWA) and rsk components of corporate (excludng specalsed lendng), soveregn, bank, and small- and medumszed enterprse (SME) corporate exposures under the foundaton nternal ratngsbased (FIRB) approach to credt rsk. In completng these forms, authorsed deposttakng nsttutons (ADIs) should refer to Prudental Standard APS 113 Captal Adequacy: Internal Ratngs-based Approach to Credt Rsk (APS 113). There s a separate nstructon gude for Form ARF 113.0E FIRB - Specalsed Lendng. General drectons and notes Reportng entty These forms are to be completed at Level 1 and Level 2 1 by each ADI (subject to the followng paragraph) for whch APRA has: approved the use of the IRB approach to credt rsk for captal adequacy purposes (IRB approval) (refer to APS 113); and specfed n the ADI s IRB approval, applcaton of the FIRB approach to ts corporate (ncludng SME corporate), soveregn and/or bank IRB asset classes, or to certan exposures wthn such an asset class. If an ADI s a subsdary of an authorsed non-operatng holdng company (NOHC), the ADI s mmedate locally ncorporated NOHC must report at Level 2. The 1 Level 1 and Level 2 are defned n accordance wth Prudental Standard APS 110 Captal Adequacy. ARF Instructons - 1

2 mmedate locally ncorporated NOHC may be an authorsed NOHC or a subsdary of an authorsed NOHC. Securtsaton deconsoldaton prncple Except as otherwse specfed n these nstructons, the followng apples: 1. Where an ADI (or a member of ts Level 2 consoldated group) partcpates n a securtsaton that meets APRA s operatonal requrements for regulatory captal relef under Prudental Standard APS 120 Securtsaton (APS 120): (c) specal purpose vehcles (SPVs) holdng securtsed assets may be treated as non-consoldated ndependent thrd partes for regulatory reportng purposes, rrespectve of whether the SPVs (or ther assets) are consoldated for accountng purposes; the assets, labltes, revenues and expenses of the relevant SPVs may be excluded from the ADI s reported amounts throughout the regulatory reportng returns; and the underlyng exposures (.e. the pool) under such a securtsaton may be excluded from the calculaton of the ADI s regulatory captal requrement (refer to APS 120). However, the ADI must stll hold regulatory captal for the securtsaton exposures 2 that t retans or acqures, and such exposures are to be reported n Form ARF Standardsed - Securtsaton or Forms ARF 120.1A to ARF 120.1C IRB - Securtsaton (as approprate). The RWA relatng to such securtsaton exposures are also to be reported n Form ARF Captal Adequacy. 2. Where an ADI (or a member of ts Level 2 consoldated group) partcpates n a securtsaton that does not meet APRA s operatonal requrements for regulatory captal relef under APS 120, or where an ADI elects to treat the securtsed assets as on-balance sheet assets under Prudental Standard APS 112 Captal Adequacy: Standardsed Approach to Credt Rsk or APS 113, such exposures are to be reported as on-balance sheet assets throughout the ADI s regulatory reportng returns. In addton, these exposures are also to be reported as a part of the ADI s total securtsed assets wthn Form ARF Securtsaton Supplementary Items. Scope An ADI s to report n ARF 113.0A, ARF 113.0B, ARF 113.0C, ARF 113.0D: 1. all on-balance sheet and off-balance sheet corporate (excludng specalsed lendng), soveregn, bank and SME corporate exposures n ts bankng book that are subject to the FIRB approach, ncludng those that expose the ADI to counterparty credt rsk, except the followng specfcally excluded tems (refer to APS 113): 2 Securtsaton exposures are defned n accordance wth APS 120. ARF Instructons - 2

3 assets or nvestments that are requred to be deducted from Ter 1 or Ter 2 captal under Prudental Standard APS 111 Captal Adequacy: Measurement of Captal; and securtsaton exposures, whch are subject to the requrements of APS 120; and 2. all tradng book exposures (for the relevant asset/sub-asset classes) that expose the ADI to counterparty credt rsk (refer to APS 113). Reportng perod These forms are to be completed as at the last day of the stated reportng perod (.e. the relevant quarter) and submtted to APRA wthn 20 busness days after the end of the relevant reportng quarter. Unt of measurement These forms are to be completed n mllons of Australan dollars (AUD) rounded to one decmal place, unless otherwse specfed n ths nstructon gude. Amounts denomnated n foregn currency are to be converted to AUD n accordance wth AASB 121 The Effects of Changes n Foregn Exchange Rates. Defntons In ths nstructon gude and ts correspondng reportng forms (ARF 113.0A, ARF 113.0B, ARF 113.0C and ARF 113.0D), the followng expressons have the defned meanngs as set out below: Corporate, soveregn and bank exposures Refer to APS 113 for the defntons of corporate, soveregn and bank exposures. SME corporate exposures An SME corporate exposure s defned as a credt oblgaton of a corporaton, partnershp or propretorshp that forms a part of a consoldated corporate group that has reported annual sales of less than AUD 50 mllon (refer to Attachment B to APS 113 for the treatment of SME corporate exposures). Credt margn Credt margn s defned as the actual credt spread that s charged on assets (ncludng any fees assocated wth the lendng facltes) above the nternal transfer prcng cost of fundng these assets, expressed as a percentage of average credt exposures. ARF Instructons - 3

4 Specfc nstructons The followng nstructons are applcable at Level 1 and (where relevant) Level 2. These forms do not calculate the RWA and expected loss (EL) amounts. An ADI completng these forms s requred to dsclose these data tems based on ts own regulatory captal calculatons. Secton A: On-balance sheet rsk-weghted assets and expected loss amount Table 1. Column 1. PD Report the assgned probablty of default (PD), as a percentage rounded to two decmal places, of each oblgor grade. Where PDs are bucketed and there are multple assgned PDs wthn a bucket, ADIs are to report the exposure weghted average PD of the bucket. A PD of 100 per cent s to be assgned to all defaulted exposures. Column 2. Exposures before CRM Exposure at default (EAD) estmates are to be calculated n accordance wth the FIRB approach detaled n Attachment B to APS 113. Report exposures before credt rsk mtgaton (CRM) for each assgned PD n the relevant rows. Column 3. Exposures after CRM Derved feld that sums up the Exposures after CRM by LGD categores (columns 4.1 to 4.5) for an assgned PD. Columns 4.1 to 4.5. Exposures after CRM by LGD categores Refer to Attachment B to APS 113 for detals of the FIRB approach to the recognton of CRM. Allocate exposures after CRM accordng to the followng loss gven default (LGD) categores for each assgned PD: 1. Column 4.1: Subordnated clams; 2. Column 4.2: CRE and/or RRE; 3. Column 4.3: Elgble fnancal recevables; 4. Column 4.4: Elgble fnancal collateral; and ARF Instructons - 4

5 5. Column 4.5: Senor unsecured clams. If a clam s a subordnated clam, report the full amount of EAD after CRM n column 4.1. If a senor clam s secured by commercal and/or resdental real estate (CRE and/or RRE), the exposure should be allocated to the LGD categores as follows (refer to Attachment B to APS 113): () () where the level of collateralsaton exceeds 140%, report the full amount of EAD after CRM n column 4.2; where the level of collateralsaton s between 140% and 30%, the exposure s dvded nto fully collateralsed and uncollateralsed portons as detaled n Attachment B to APS 113. Report the fully collateralsed porton n column 4.2 and the uncollateralsed porton n column 4.5; and () where the level of collateralsaton s below 30%, the collateral s not recognsed. Report the full amount of EAD after CRM n column 4.5. (c) If a senor clam s secured by elgble fnancal recevables, the exposure should be allocated to the relevant LGD categores as follows: () () where the level of collateralsaton exceeds 125%, report the full amount of EAD after CRM n column 4.3; where the level of collateralsaton s between 125% and 0%, the exposure s dvded nto fully collateralsed and uncollateralsed portons as detaled n Attachment B to APS 113. Report the fully collateralsed porton n column 4.3 and the uncollateralsed porton n column 4.5. (d) (e) (f) If a senor clam s secured by elgble fnancal collateral, report the exposure value after CRM as detaled n Attachment B to APS 113 n column 4.4. Report the uncollateralsed porton n column 4.5. For clams secured by pools of elgble collateral, the portons fully covered by elgble fnancal collateral and elgble fnancal recevables are to be reported n the respectve LGD categores. In the case of a resdual porton covered by CRE and/or RRE, report the exposure n column 4.5 f the rato of the sum of the value of CRE and RRE to the resdual exposure s below 30%. If a senor clam s not secured by elgble collateral, report the full amount of EAD after CRM n column 4.5. ARF Instructons - 5

6 Table 2. Column 1. PD Refer to the nstructons n Table 1 of ths secton. Column 2. Weghted average LGD Report the exposure weghted average LGD, as a percentage rounded to two decmal places, for exposures allocated to each assgned PD n the relevant rows. Weghted average LGD = LGD x EAD / Where: EAD LGD = the LGD assocated wth the th exposure allocated to the assgned PD. EAD = the EAD assocated wth the th exposure allocated to the assgned PD. Column 3: Weghted average maturty Report the exposure weghted average effectve maturty (M), n years rounded to one decmal place, for exposures allocated to each assgned PD n the relevant rows. Weghted average maturty = M Where: x EAD / EAD M = the maturty assocated wth the th exposure allocated to the assgned PD. EAD = the EAD assocated wth the th exposure allocated to the assgned PD. Column 4: Weghted average frm sze (ARF 113.0D only) Ths secton s relevant only to ARF 113.0D. Report the exposure weghted average frm sze for exposures allocated to each assgned PD n the relevant rows. Weghted average frm sze = Where: Sales x EAD / EAD Sales = the level of annual sales assocated wth the th exposure allocated to the assgned PD. EAD = the EAD assocated wth the th exposure allocated to the assgned PD. ARF Instructons - 6

7 Column 4. (Column 5 n ARF 113.0D) Weghted average credt margn Report the exposure weghted average credt margn, as a percentage rounded to two decmal places, for exposures allocated to each assgned PD n the relevant rows. Column 5. (Column 6 n ARF 113.0D) RWA RWA are to be calculated n accordance wth Attachment B to APS 113. Report the sum of RWA for exposures allocated to each assgned PD n the relevant rows. Column 6. (Column 7 n ARF 113.0D) EL amount EL amounts are to be calculated n accordance wth APS 113. Report the sum of the EL amounts for exposures allocated to each assgned PD n the relevant rows. Secton B: Off-balance sheet rsk-weghted assets and expected loss amount Off-balance sheet exposures nclude both non-market-related (ncludng undrawn commtments) and market-related off-balance sheet transactons. Table 1. Refer to the nstructons n Table 1 of secton A of ths nstructon gude for the followng columns: (c) (d) Column 1. PD; Column 2. Exposures before CRM; Column 3. Exposures after CRM; and Columns 4.1 to 4.5 Exposures after CRM by LGD categores. Refer to Attachment B to APS 113 for further detals on the calculaton of EAD for off-balance sheet exposures. Table 2. Refer to the nstructons n Table 2 of secton A of ths nstructon gude for the followng columns: (c) (d) (e) Column 1. PD; Column 2. Weghted average LGD; Column 3. Weghted average maturty; Column 4. Weghted average frm sze (ARF 113.0D only); Column 4. (Column 5 n ARF 113.0D) Weghted average credt margn; ARF Instructons - 7

8 (f) (g) Column 5. (Column 6. n ARF 113.0D) RWA; and Column 6. (Column 7. n ARF 113.0D) EL amount. Table 3. Memorandum tems: breakdown of non-market-related offbalance sheet exposures Report the breakdown of non-market-related off-balance sheet exposures, for whch a credt converson factor (CCF) other than 100 per cent s applcable under the FIRB approach (refer to Attachment B to APS 113). Column 1. Nature of transacton Report the nature of the non-market-related off-balance sheet transactons (e.g. commtments, drect credt substtutes, performance-related contngences (refer to Attachment B to APS 113 for further detals)). Ths feld s lmted to 80 characters. Column 2. Notonal amount Report the notonal amount (or the undrawn amount n the case of undrawn commtments) of off-balance sheet exposures after CRM n the relevant row for each transacton type lsted n column 1. Column 3. Credt equvalent amount The credt equvalent amount s calculated by multplyng the notonal amount/ undrawn amount of off-balance sheet exposures for a transacton type by the approprate CCF (refer to Attachment B to APS 113). Report the credt equvalent amounts n the relevant row for each transacton type. Secton C: Summary Column 1. Weghted average PD Report the exposure weghted average PD, as a percentage rounded to two decmal places, for the non-defaulted on-balance sheet and off-balance sheet exposures n the relevant rows. Report the exposure weghted average PD, as a percentage rounded to two decmal places, for the total non-defaulted exposures wthn the asset/sub-asset class to whch the form relates. Column 2. Weghted average LGD Report the exposure weghted average LGD, as a percentage rounded to two decmal places, for the non-defaulted on-balance sheet and off-balance sheet exposures n the relevant rows. ARF Instructons - 8

9 Report the exposure weghted average LGD, as a percentage rounded to two decmal places, for the total non-defaulted exposures wthn the asset/sub-asset class to whch the form relates. Column 3. Weghted average maturty Report the exposure weghted average maturty, n years rounded to one decmal place, for the non-defaulted on-balance sheet and off-balance sheet exposures n the relevant rows. Report the exposure weghted average maturty, n years rounded to one decmal place, for the total non-defaulted exposures wthn the asset/sub-asset class to whch the form relates. Column 4. Weghted average frm sze (ARF 113.0D only) Report the exposure weghted average frm sze, n mllons of dollars rounded to one decmal place, for the non-defaulted on-balance sheet and off-balance sheet SME corporate exposures n the relevant rows. Report the exposure weghted average frm sze, n mllons of dollars rounded to one decmal place, for the total non-defaulted SME corporate exposures. Column 4. Weghted average credt margn (Column 5 n ARF 113.0D) Report the exposure weghted average credt margn, as a percentage rounded to two decmal places, for the non-defaulted on-balance sheet and off-balance sheet exposures n the relevant rows. Report the exposure weghted average credt margn, as a percentage rounded to two decmal places, for the total non-defaulted exposures wthn the asset/sub-asset class to whch the form relates. Column 5. RWA (Column 6 n ARF 113.0D) Derved felds that sum up the RWA for the on-balance sheet and off-balance sheet exposures reported n Tables 2 of sectons A and B respectvely. Derved feld that sums up the RWA for the total on-balance sheet and off-balance sheet exposures wthn the asset/sub-asset class to whch the form relates. ARF Instructons - 9

10 Column 6. EL amount (Column 7 n ARF 113.0D) Derved felds that sum up the EL amounts for the on-balance sheet and off-balance sheet exposures reported n Tables 2 of sectons A and B respectvely. Derved feld that sums up the EL amounts for the total on-balance sheet and offbalance sheet exposures wthn the asset/sub-asset class to whch the form relates. Secton D: Memorandum tems: purchased recevables (ARF 113.0A and ARF 113.0D only) Report the breakdown of RWA and EL amount for default rsk and dluton rsk for all pools of purchased recevables, whch are ncluded n the calculaton of RWA and EL amounts for corporate and SME corporate exposures n sectons A and B of ARF 113.0A and ARF 113.0D respectvely. ARF Instructons - 10