Other Accounting And Financial Disclosures
Is the entity in which the reporting party has invested adequately capitalised on a stand alone basis as at the relevant date?
A choice of TRUE/FALSE values
TRUE = the entity in which the reporting party has invested is adequately capitalised on a stand alone basis
FALSE = the entity in which the reporting party has invested is not adequately capitalised on a stand alone basis
Financial Risk Adequate Capital Indicator
This is the GRF450 L2 region that most appropriately reflects, as at the relevant date, the location of the majority of assets and liabilities of the entity in which the reporting party has invested.
Financial Risk Asset Liability Region GRF450G Code
This is the GRF450 L1 region that most appropriately reflects, as at the relevant date, the location of the majority of assets and liabilities of the entity in which the reporting party has invested.
Financial Risk Asset Liability Region GRF450L Code
This is the value, as at the relevant date, of the reporting party's capital base.
Financial Risk Capital Base Amount
This is the value. as at the relevant date, of the reporting party's capital coverage surplus or deficit.
The capital coverage surplus or deficit represents the adequacy of an entity's current capital resources in meeting the current and future needs of the entity. Adequacy will generally be reflected in the extent of surplus capital when capital levels are considered with respect to capital adequacy requirements as determined in accordance to relevant prudential standards.
Financial Risk Capital Coverage Surplus Or Deficit Amount
This is the value, as at the relevant date, of capitalised loan and lease origination fees and commissions paid to mortgage originators and brokers.
Loan/lease origination/broker fees and commissions that are capitalised as an asset are to be set off against the balance of upfront loan/lease fees associated with the lending portfolios that are treated as deferred income and recognised as a liability.
Where the net amount for loan/lease origination fees and commissions:
(a) has a positive balance, this item must be reported as a positive figure.
(b) has a negative balance, provided the deferred income satisfies the criteria set out in APS 111, this item may be reported as a negative figure. Where the criteria are not satisfied, this item must be reported as zero.
This item is calculated for capital adequacy purposes and is to be determined in accordance with relevant prudential standards.
Financial Risk Capitalised Loan Lease Origination Fees Commissions Amount
This is the value, as at the relevant date, of the net position/gap in cash flows due to interest rate repricing.
This amount represents the sum of all relevant cash flows (inflows and outflows), resulting in a single positive or negative cash flow amount. This intends to illustrate the difference in timing between interest rate repricing of assets and liabilities, measuring the sensitivity of earnings to changes in interest rates at varying durations.
Financial Risk Cash Flows Net Position Gap Amount
This is the value, as at the relevant date of the amount calculated in accordance with the relevant prudential standards, by which the exposure to a counterparty (or group of related counterparties) exceeds the threshold set out in the relevant prudential standard.
Financial Risk Concentration Excess Over Threshold Amount
This is the value, as at the relevant date of the concentration risk capital charge calculated as A + B, where
A = Maximum Event Retention, being the largest loss to which an insurer will be exposed (taking into account the probability of that loss) due to concentration of risk exposures, after netting out any potential reinsurance recoverables;
B = the cost of one reinstatement of the catastrophe reinsurance cover in cases where the reinsurance cover has not been pre-paid by the insurer.
Concentration risk capital charge is the component of the minimum capital requirement that takes into account the highest aggregation of risks of an insurer and is determined in accordance with relevant prudential standards.
Financial Risk Concentration Risk Capital Charge Amount
This is the value, as at the relevant date, of the cost of one full reinstatement premium for the insurer's catastrophe cover as determined in accordance with relevant Prudential Standards.
Following a loss occurrence recoverable under a catastrophe excess of loss reinsurance program, the cost of one reinstatement is the contracted premium payable by the insurer to fully reinstate the reinsurance program to its original level existing prior to the occurrence of that loss.
For prudential purposes, the loss occurrence is considered to be the probable maximum loss event eroding one total loss from the entire catastrophe excess of loss reinsurance program. The cost of one reinstatement is the contracted premium of reinstating the entire catastrophe excess of loss reinsurance program.
Financial Risk Cost Of One Reinstatement Amount
This is the value, as at the relevant date, of the net exposures to listed equities less derivatives over listed equities (where the derivative exposure for options is calculated on a delta-weighted basis).
Derivatives are generally defined as those instruments/contracts, where the value is based on other products, and/or on prices associated with financial products. Derivative contracts involve:
- Future delivery, receipt or exchange of financial items such as cash or another derivative instrument; or
- Future exchange of real assets for financial items where the contract may be tradeable and has a market value.
The contracts can either be binding on both parties (e.g. as with a currency swap) or subject to the exercise by one party of a right contained within the contract (as with options).
Delta-weighted position is calculated by multiplying the market value of the underlying position by the absolute value of the delta on that position. Delta represents the rate of change of an options price for a unit change in the price of the underlying asset.
Financial Risk Exposure Listed Equities Net Amount
This is the value, as at the relevant date, of all exposures regardless of whether it has been recognised on or off-balance sheet.
The value of this item is to be determined in accordance with relevant Prudential Standards.
Financial Risk Exposures Amount
This is the value, as at the relevant date, of all exposures regardless of whether it has been recognised on or off-balance sheet.
Financial Risk Exposures Accounting Amount
This is, as at the relevant date, total on and off-balance sheet exposures as a percentage of the reporting party's capital base.
Capital base represents the sum of total tier 1 capital and tier 2 capital, net of deductions from capital, and is calculated for capital adequacy purposes in accordance with relevant prudential standards.
Total on and off-balance sheet exposures is determined in accordance with Prudential Standard APS 221, calculated as the sum of the following amounts:
- On-balance sheet exposures, including all loans and advances, holding of debt and equity securities, and all other counterparty claims. Any accrued income associated with the exposure should also be included (e.g. interest, dividends);
- Non-market-related off-balance sheet exposures, including all contingencies and commitments, whether revocable or not, which have been advised to the counterparty. Any potential chargeback exposures to the counterparty 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 reporting party's discretion; and
- Market-related off-balance sheet exposures, including foreign exchange and interest rate derivative contracts etc.
This item is to be reported on a net basis, meaning net of exposures excluded under APS 221, specifically:
- exposures (e.g. claims or equity investments) deducted from the reporting party's capital (refer APS 111);
- exposures to the extent that they are secured by cash deposits (subject to satisfying the criteria in APS 112);
- exposures to the extent that they are guaranteed by, or secured against securities issued by, governments or central banks (subject to satisfying the conditions in APS 112);
- 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 1959; and
- exposures to the extent that they have been written off or specifically provided for.
On-balance sheet refers to those assets, or exposure items, which are recognised or recorded on the statement of financial position of the reporting party, as determined in accordance with relevant accounting standards.
Off-balance sheet refers to assets or liabilities that are not recognised or recorded on the statement of financial position of the reporting party because they do not satisfy the asset or liability accounting recognition requirements.
Financial Risk Exposures Capital Base APS 221 Percent
This is the credit equivalent amount, as at the relevant date, of market-related off-balance sheet exposures, as determined in accordance with Prudential Standard APS 221.
This includes all exposures arising from off-balance sheet market related contracts and is to be reported on a net basis, meaning net of the following exposures:
- exposures to the extent that they are secured by cash deposits (subject to satisfying the criteria set out in Prudential Standard APS 112;
- 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 APS 112);
- 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.
Netting by novation and close-out netting are permissible for market related contracts provided all the requirements set out in the prudential standards for bilateral netting are met. Multilateral netting and netting of exposures against offsetting positions held by a group of related counterparties are not recognised.
Off-balance sheet refers to assets or liabilities that are not recognised or recorded on the statement of financial position of the reporting party because they do not satisfy the asset or liability accounting recognition requirements
Financial Risk Exposures Off Balance Sheet Market Related Net Amount
This is the credit equivalent amount, as at the relevant date, of market-related off-balance sheet exposures, as determined in accordance with Prudential Standard APS 221.
This includes all exposures arising from off-balance sheet market related contracts and is to be reported on a net basis, i.e. net of exposures excluded under APS 221, specifically:
- exposures deducted from the reporting party's capital (refer to Prudential Standard APS;
- exposures to the extent that they are secured by cash deposits (subject to satisfying the criteria set out in Prudential Standard APS 112;
- 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 APS 112);
- 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 1959; and
- exposures to the extent that they have been written off or specifically provided for.
Netting by novation and close-out netting are permissible for market related contracts provided all the requirements set out in the prudential standards for bilateral netting are met. Multilateral netting and netting of exposures against offsetting positions held by a group of related counterparties are not recognised.
Off-balance sheet refers to assets or liabilities that are not recognised or recorded on the statement of financial position of the reporting party because they do not satisfy the asset or liability accounting recognition requirements
Financial Risk Exposures Off Balance Sheet Market Related Net APS 221 Amount
This is the value, as at the relevant date, of non-market-related off-balance sheet exposures, as determined in accordance with Prudential Standard APS 221.
This includes all contingencies and commitments, whether revocable or not, which have been advised to the counterparty. Any potential chargeback exposures to the counterparty 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 reporting party's discretion.
The value of all unused commitments to a counterparty is to be reported on a net basis, meaning net of the following exposures:
- exposures to the extent that they are secured by cash deposits (subject to satisfying the criteria in APS 112);
- exposures to the extent that they are guaranteed by, or secured against securities issued by, governments or central banks (subject to satisfying the conditions in APS 112);
- 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.
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.
Off-balance sheet refers to assets or liabilities that are not recognised or recorded on the statement of financial position of the reporting party because they do not satisfy the asset or liability accounting recognition requirements.
Financial Risk Exposures Off Balance Sheet Non Market Related Net Amount
This is the value, as at the relevant date, of non-market-related off-balance sheet exposures, as determined in accordance with Prudential Standard APS 221.
This includes all contingencies and commitments, whether revocable or not, which have been advised to the counterparty. Any potential chargeback exposures to the counterparty 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 reporting party's discretion.
The value of all unused commitments to the counterparty (do not apply credit conversion factors or risk weightings to the value) is to be reported on a net basis, i.e. net of exposures excluded under APS 221, specifically:
- exposures deducted from the ADI's capital (refer APS 111);
- exposures to the extent that they are secured by cash deposits (subject to satisfying the criteria in APS 112);
- exposures to the extent that they are guaranteed by, or secured against securities issued by, governments or central banks (subject to satisfying the conditions in APS 112);
- 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 1959; and
- exposures to the extent that they have been written off or specifically provided for.
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.
Off-balance sheet refers to assets or liabilities that are not recognised or recorded on the statement of financial position of the reporting party because they do not satisfy the asset or liability accounting recognition requirements.
Financial Risk Exposures Off Balance Sheet Non Market Related Net APS 221 Amount
This is the book value, as at the relevant date, of on-balance sheet exposures of the reporting party, other than loans and advances, as determined in accordance with Prudential Standard APS 221.
This includes all holding of debt and equity securities, and all other claims on counterparties. Any accrued income associated with the exposure should also be included (e.g. interest, dividends).
This item is to be reported on a net basis, meaning net of exposures excluded under APS 221, specifically:
- exposures (e.g. claims or equity investments) deducted from the reporting party's capital (refer APS 111);
- exposures to the extent that they are secured by cash deposits (subject to satisfying the criteria in APS 112);
- exposures to the extent that they are guaranteed by, or secured against securities issued by, governments or central banks (subject to satisfying the conditions in APS 112);
- 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 1959; and
- exposures to the extent that they have been written off or specifically provided for.
On-balance sheet refers to those assets, or exposure items, which are recognised or recorded on the statement of financial position of the reporting party, as determined in accordance with relevant accounting standards.
Book value represents the current outstanding amount including accrued interest or revaluations, and net of any specific provision or associated depreciation.
Financial Risk Exposures On Balance Sheet Excluding Loans And Advances Net APS 221 Amount
This is the book value, as at the relevant date, of on-balance sheet exposures, as determined in accordance with Prudential Standard APS 221.
This includes all loans and advances, holding of debt and equity securities, and all other claims on counterparties. Any accrued income associated with the exposure should also be included (e.g. interest, dividends).
This item is to be reported on a net basis, meaning net of the following:
- exposures to the extent that they are secured by cash deposits (subject to satisfying the criteria in APS 112);
- exposures to the extent that they are guaranteed by, or secured against securities issued by, governments or central banks (subject to satisfying the conditions in APS 112);
- 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.
On-balance sheet refers to those assets, or exposure items, which are recognised or recorded on the statement of financial position of the reporting party, as determined in accordance with relevant accounting standards.
Financial Risk Exposures On Balance Sheet Net Amount
This is the book value, as at the relevant date, of on-balance sheet exposures, as determined in accordance with Prudential Standard APS 221.
This includes all loans and advances, holding of debt and equity securities, and all other claims on counterparties. Any accrued income associated with the exposure should also be included (e.g. interest, dividends).
This item is to be reported on a net basis, meaning net of exposures excluded under APS 221, specifically:
- exposures (e.g. claims or equity investments) deducted from the reporting party's capital (refer APS 111);
- exposures to the extent that they are secured by cash deposits (subject to satisfying the criteria in APS 112);
- exposures to the extent that they are guaranteed by, or secured against securities issued by, governments or central banks (subject to satisfying the conditions in APS 112);
- 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 1959; and
- exposures to the extent that they have been written off or specifically provided for.
On-balance sheet refers to those assets, or exposure items, which are recognised or recorded on the statement of financial position of the reporting party, as determined in accordance with relevant accounting standards.
Financial Risk Exposures On Balance Sheet Net APS 221 Amount
This is the value, as at the relevant date, of all on-balance sheet exposures, excluding equity securities.
This item is to be reported net of the following on-balance sheet exposures:
- Exposures deducted from the reporting party's Level 1 (stand-alone) capital for capital adequacy purposes (refer to APS 111);
- Exposures to the extent that they are secured by cash deposits (subject to satisfying criteria set out in APS 112);
- Exposures to the extent that they are guaranteed by governments, or secured by government securities (subject to satisfying criteria set out in APS 110);
- 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.
This item is to be determined in accordance with relevant prudential standards.
Exposures represent the aggregate of all claims, commitments and contingent liabilities arising from on- and off- balance sheet transactions with the entity. This includes equity investments in the entity.
On-balance sheet exposures refer to items of assets that are recognised or recorded on the statement of financial position.
Financial Risk Exposures On Balance Sheet Other ARF 222 0 Amount
This is the value, as at the relevant date, of total on and off balance sheet exposures as required to be reported on form ARF_222_0.
This item is to be determined in accordance with relevant prudential standards.
Financial Risk Exposures Total ARF 222 0 Amount
This is the percentage, as at the relevant date, of the value of total exposures as required to be reported on form ARF_222_0, divided by the value of the reporting party's capital base, as determined in accordance with relevant prudential standards.
This item is to be reported as a percentage figure.
Financial Risk Exposures Total ARF 222 0 Capital Base Percent
This is the value, as at the relevant date, of total on and off-balance sheets exposures, as determined in accordance with Prudential Standard APS 221.
Total on and off-balance sheet exposures is calculated as the sum of the following amounts:
- On-balance sheet exposures, including all loans and advances, holding of debt and equity securities, and all other counterparty claims. Any accrued income associated with the exposure should also be included (e.g. interest, dividends);
- Non-market-related off-balance sheet exposures, including all contingencies and commitments, whether revocable or not, which have been advised to the counterparty. Any potential chargeback exposures to the counterparty 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 reporting party's discretion; and
- Market-related off-balance sheet exposures, including foreign exchange and interest rate derivative contracts etc.
This item is to be reported on a net basis, meaning net of the following exposures:
- exposures to the extent that they are secured by cash deposits (subject to satisfying the criteria in APS 112);
- exposures to the extent that they are guaranteed by, or secured against securities issued by, governments or central banks (subject to satisfying the conditions in APS 112);
- 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.
On-balance sheet refers to those assets, or exposure items, which are recognised or recorded on the statement of financial position of the reporting party, as determined in accordance with relevant accounting standards.
Off-balance sheet refers to assets or liabilities that are not recognised or recorded on the statement of financial position of the reporting party because they do not satisfy the asset or liability accounting recognition requirements.
Financial Risk Exposures Total Net Amount
This is the value, as at the relevant date, of total on and off-balance sheets exposures, as determined in accordance with Prudential Standard APS 221.
Total on and off-balance sheet exposures is calculated as the sum of the following amounts:
- On-balance sheet exposures, including all loans and advances, holding of debt and equity securities, and all other counterparty claims. Any accrued income associated with the exposure should also be included (e.g. interest, dividends);
- Non-market-related off-balance sheet exposures, including all contingencies and commitments, whether revocable or not, which have been advised to the counterparty. Any potential chargeback exposures to the counterparty 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 reporting party's discretion; and
- Market-related off-balance sheet exposures, including foreign exchange and interest rate derivative contracts etc.
This item is to be reported on a net basis, meaning net of exposures excluded under APS 221, specifically:
- exposures (e.g. claims or equity investments) deducted from the reporting party's capital (refer APS 111);
- exposures to the extent that they are secured by cash deposits (subject to satisfying the criteria in APS 112);
- exposures to the extent that they are guaranteed by, or secured against securities issued by, governments or central banks (subject to satisfying the conditions in APS 112);
- 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 1959; and
- exposures to the extent that they have been written off or specifically provided for.
On-balance sheet refers to those assets, or exposure items, which are recognised or recorded on the statement of financial position of the reporting party, as determined in accordance with relevant accounting standards.
Off-balance sheet refers to assets or liabilities that are not recognised or recorded on the statement of financial position of the reporting party because they do not satisfy the asset or liability accounting recognition requirements.
Financial Risk Exposures Total Net APS 221 Amount
This is the value, as at the relevant date, of the intangible component of investments in non-consolidated subsidiaries arising on acquisition, net of amortisation and impairment.
Intangible assets are defined in accordance with Accounting Standards, but also include any other assets designated as intangible under Prudential Standard APS 111.
Financial Risk Intangible Assets in Non Consolidated Subsidiaries APS 111 Amount
This is the value, as at the relevant date, of the interest rate sensitivity calculated on all relevant positions.
This item represents the net position/gap in the cashflows of each position due to interest rate repricing multiplied by the relevant weighting factor. Each resulting weighted position is added together to determine the net (positive or negative) weighting of all relevant positions. This provides an estimate of the sensitivity of earnings to changes in interest rates at varying durations.
Financial Risk Interest Rate Sensitivity Amount
This is the investment capital factor associated with the reported data as determined in accordance with relevant prudential standards.
The enumerated values are:
0 (Zero) = no risk charge applicable
1 = investment capital factor is 1%
2 = investment capital factor is 2%
3 = investment capital factor is 3%
4 = investment capital factor is 4%
5 = investment capital factor is 5%
6 = investment capital factor is 6%
7 = investment capital factor is 7%
8 = investment capital factor is 8%
Financial Risk Investment Capital Factor Code
This is the value, as at the relevant date, of the Maximum Event Retention (MER) calculated. This represents the Probable Maximum Loss (PML) plus claims handling expenses calculated, and net of allowable reinsurance. This item is to be determined in accordance with relevant Prudential Standards.
Probable Maximum Loss (PML) is the largest gross loss to which an insurer will be exposed (taking into account the probability of that loss) due to a concentration of risk exposures, without any allowance for potential reinsurance recoveries.
Financial Risk Maximum Event Retention Amount
This is the value, as at the relevant date, of the minimum capital requirement, being the amount of risk-based capital that is required for an entity to hold to meet its obligations under a wide range of circumstances determined in accordance with relevant prudential standards.
Financial Risk Minimum Capital Requirement Amount
This is the value, as at the relevant date, of the adjustments made to the Probable Maximum Loss (PML) for the reporting party, as determined in accordance with relevant Prudential Standards.
This item is reported to reflect a decrease in the sum insured and therefore PML as a result of the expiration of existing policies.
Probable Maximum Loss (PML) is the largest gross loss to which an insurer will be exposed (within the realms of possibility) due to a concentration of risk exposures, without any allowance for potential reinsurance assets.
Financial Risk Mortgages Adjustment To Probable Maximum Loss Amount
This is the value, as at the relevant date, of allowable reinsurance on the Probable Maximum Loss (PML) for the reporting party, as determined in accordance with relevant Prudential Standards.
This represents the lesser of available reinsurance and 60 per cent of the adjusted PML.
Probable Maximum Loss (PML) is the largest gross loss to which an insurer will be exposed (within the realms of possibility) due to a concentration of risk exposures, without any allowance for potential reinsurance assets.
Financial Risk Mortgages Allowable Reinsurance On Probable Maximum Loss Amount
This is the value, as at the relevant date, of available reinsurance on the Probable Maximum Loss (PML) for the reporting party, as determined in accordance with relevant Prudential Standards.
Probable Maximum Loss (PML) is the largest gross loss to which an insurer will be exposed (within the realms of possibility) due to a concentration of risk exposures, without any allowance for potential reinsurance assets.
Financial Risk Mortgages Available Reinsurance On Probable Maximum Loss Amount
This is the percentage, as at the relevant date, of insurance policies, by value, written under open policy.
Open policy represents a legal arrangement whereby a lender is given direct underwriting control for mortgage insurance policies without reference to the insurer, subject to the transaction meeting certain underwriting requirements.
Financial Risk Mortgages Insured Open Policy Percent
This is the value, as at the relevant date, of claims handling expenses on Probable Maximum Loss (PML) for the reporting party, net of allowable reinsurance, as determined in accordance with relevant Prudential Standards.
Claims handling expenses is calculated as five per cent of the adjusted PML for the mortgages insured by the reporting party.
Probable Maximum Loss (PML) is the largest gross loss to which an insurer will be exposed (within the realms of possibility) due to a concentration of risk exposures, without any allowance for potential reinsurance assets.
Financial Risk Mortgages Probable Maximum Loss Claims Handling Expenses Amount
This is the value, as at the relevant date, of the on the Probable Maximum Loss (PML) for the reporting party, net of allowable reinsurance amount, as determined in accordance with relevant Prudential Standards.
Probable Maximum Loss (PML) is the largest gross loss to which an insurer will be exposed (within the realms of possibility) due to a concentration of risk exposures, without any allowance for potential reinsurance assets.
Financial Risk Mortgages Probable Maximum Loss Net Of Allowable Reinsurance Amount
This is the value, as at the relevant date, of the sum of mortgages insured by the reporting party, as determined in accordance with relevant Prudential Standards.
The sum insured represents the original exposure amount as stated in the mortgage insurance policy.
Financial Risk Mortgages Sum Insured Amount
This is the value, as at the relevant date, of off-balance sheet exposures.
An off-balance sheet exposure are those that have not been recorded on the balance sheet of the reporting party.
The value of this item is to be determined in accordance with relevant Prudential Standards.
Financial Risk Off Balance Sheet Exposures Amount
This is the value, as at the relevant date, of off-balance sheet exposures.
An off-balance sheet exposure are those that have not been recorded on the balance sheet of the reporting party.
Financial Risk Off Balance Sheet Exposures Accounting Amount
This is the value, as at the relevant date, of all on-balance sheet exposures. Any accrued interest associated with the exposure should also be included.
This item is to be reported net of the following on-balance sheet exposures:
- Exposures to the extent that they are secured by cash deposits (subject to satisfying criteria set out in APS 112);
- Exposures to the extent that they are guaranteed by governments, or secured by government securities (subject to satisfying criteria set out in APS 110);
- 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.
This item is to be determined in accordance with relevant prudential standards.
Exposures represent the aggregate of all claims, commitments and contingent liabilities arising from on- and off- balance sheet transactions with the entity. This includes equity investments in the entity.
On-balance sheet exposures refer to items of assets that are recognised or recorded on the statement of financial position.
Financial Risk On Balance Sheet Exposures Total ARF 222 0 Amount
This is the book value, as at the relevant date, of on-balance sheet loans and advances provided by the reporting party.
This item is to be reported on a net basis, meaning net of exposures excluded under APS 221, specifically:
- exposures (e.g. claims or equity investments) deducted from the reporting party's capital (refer APS 111);
- exposures to the extent that they are secured by cash deposits (subject to satisfying the criteria in APS 112);
- exposures to the extent that they are guaranteed by, or secured against securities issued by, governments or central banks (subject to satisfying the conditions in APS 112);
- 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 1959; and
- exposures to the extent that they have been written off or specifically provided for.
On-balance sheet refers to those assets, or exposure items, which are recognised or recorded on the statement of financial position of the reporting party, as determined in accordance with relevant accounting standards.
Book value represents the current outstanding amount including accrued interest or revaluations, and net of any specific provision or associated depreciation.
Financial Risk On Balance Sheet Loans And Advances Net APS 221 Amount
This is the probability of sufficiency used when calculating the net outstanding claims liabilities for the purposes of the statement of financial position.
The probability of sufficiency is the probability that an estimated provision will prove to be sufficient for the purpose for which it was created.
Financial Risk Probability Of Sufficiency Percent
This is the value, as at the relevant date, of the following securitisation related items:
- gain-on-sale, including expected future income from a securitisation exposure that the reporting party reports as an on-balance sheet asset or profit, until irrevocably received;
- funds provided by the reporting party to establish a spread, reserve or similar account, until the funds are irrevocably paid to the reporting party;
- the difference between the book value and the amount received by the reporting party, where the originating entity transfers exposures to an SPV below their book value, unless it is written off in the reporting party's profit and loss (and capital) accounts; and
- any other specific deductions in accordance with Prudential Standard APS120.
This item excludes start-up and other establishment costs capitalised.
This item is calculated for capital adequacy purposes and is to be determined in accordance with relevant Prudential Standards.
Financial Risk Securitisation Costs Excluding Start Up And Establishment Amount
This is the value, as at the relevant date, of solvency coverage ratio, as determined in accordance with relevant prudential standards.
Solvency refers to the ability of an entity to meet its obligations (liabilities) under all contracts at any time.
Financial Risk Solvency Coverage Ratio Fraction
This is the value of the Basel II transitional floor adjusted risk weighted exposure of the reporting party determined in accordance with the relevant prudential standards.
The transitional floor adjusted RWA amount is used to calculate the reporting party's actual risk-based capital ratio and assess whether the entity is meeting its prudential capital ratio.
Financial Risk Transitional Floor Adjusted Exposure Amount
This is the value, as at the relevant date, of variations in capital charges as approved by APRA.
Financial Risk Variation In Capital Charges Approved By APRA Amount
This is the description, as at the relevant date, of the detailed line item comprising the variations in capital charges as approved by APRA.
Financial Risk Variation In Capital Charges Approved By APRA Description
This is the value, as at the relevant date, of variations in deduction as approved by APRA.
Financial Risk Variation In Deduction Approved By APRA Amount
This is the value, as at the relevant date, of all other Tier 1 capital adequacy deductions as advised by APRA.
This item is reported for capital adequacy purposes and is to be determined in accordance with relevant Prudential Standards.
Financial Risk Capital Adequacy APRA Advised Other Amount
This is the value, as at the relevant date, of any other adjustments to capital, as required by APRA.
Only report 50% of the resulting amount at this item.
Financial Risk Capital Adequacy APRA Other Capital Adjustments 50 Percent Amount
This is the value, as at the relevant date, of applicable assets to be reported on the APRA form GRF_110_0_G 'Capital Adequacy'. This includes assets listed under APRA form GRF_300_0_G Statement of Financial Position. This excludes derivatives and other assets that are subject to a risk charge under the APRA forms GRF_141_0_G and GRF_301_0_G.
Financial Risk Capital Adequacy Assets GRF 110 G Amount
This is the value, as at the relevant date, of the reporting party's capital base, representing the sum of total Tier 1 capital and Tier 2 capital, net of any deductions from capital.
This item is calculated for capital adequacy purposes and is determined in accordance with relevant prudential standards.
Financial Risk Capital Adequacy Capital Base Amount
This is the value, as at the relevant date, of capitalised costs associated with debt raisings and other similar transaction-related costs.
The balance of any transaction costs and like items that are capitalised and deferred as an asset must be netted off against the balance of any income deferred as a liability relating to the products giving rise to the capitalised transaction costs (i.e. only deferred costs and income in particular product portfolios may be netted).
Any positive net balance of capitalised transaction costs must be reported as a positive figure. Any surplus of up-front fee income received over deferred costs may be reported as a negative figure where the up-front fee income received satisfies the criteria set in Prudential Standard APS 111. Otherwise, report this item as zero.
This item is calculated for capital adequacy purposes and is to be determined in accordance with relevant Prudential Standards.
Financial Risk Capital Adequacy Capitalised Debt Raising Amount
This is the value, as at the relevant date, of capitalised information technology software costs, capitalised in accordance with accounting standards.
The balance of any transaction costs and like items that are capitalised and deferred as an asset must be netted off against the balance of any income deferred as a liability relating to the products giving rise to the capitalised transaction costs (i.e. only deferred costs and income in particular product portfolios may be netted).
Any positive net balance of capitalised transaction costs must be reported as a positive figure. Any surplus of up-front fee income received over deferred costs may be reported as a negative figure provided the up-front fee income received satisfies the criteria set under Prudential Standard APS 111. Otherwise, report this item as zero.
This item is calculated for capital adequacy purposes and is to be determined in accordance with the relevant Prudential Standards.
Financial Risk Capital Adequacy Capitalised Information Technology Software Amount
This is the value, as at the relevant date, of capitalised costs associated with issuing capital instruments.
The balance of any transaction costs and like items that are capitalised and deferred as an asset must be netted off against the balance of any income deferred as a liability relating to the products giving rise to the capitalised transaction costs (i.e. only deferred costs and income in particular product portfolios may be netted).
Any positive net balance of capitalised transaction costs must be reported as a positive figure. Any surplus of up-front fee income received over deferred costs may be reported as a negative figure provided the up-front fee income received satisfies the criteria set in the Prudential Standard APS 111. Otherwise, report this item as zero.
This item is calculated for capital adequacy purposes and is to be determined in accordance with relevant Prudential Standards.
Financial Risk Capital Adequacy Capitalised Issuing Capital Instruments Amount
This is a balancing item in the list in which it is being used.
This is the value, as at the relevant date, of capitalised expenses other than those already listed on ARF_110_0_1 and ARF_110_0_2 (where applicable). This includes capitalised expenses of a general nature, such as strategic business development initiatives, and other forms of transaction costs and like costs that are required to be deferred/capitalised and amortised in accordance with accounting standards.
This item is reported as a deduction from Tier 1 capital for capital adequacy purposes and is to be determined in accordance with the Banking Act 1959, relevant Prudential Standards and associated Guidance Notes.
The balance of any transaction costs and like items that are capitalised and deferred as an asset must be netted off against the balance of any income deferred as a liability relating to the products giving rise to the capitalised transaction costs (i.e. only deferred costs and income in particular product portfolios may be netted).
Any positive net balance of capitalised transaction costs must be deducted from Tier 1 capital in accordance with the relevant Prudential Standard. Any surplus of up-front fee income received over deferred costs may be added to Tier 1 capital provided the up-front fee income received satisfies the criteria set under Prudential Standard APS 111. Otherwise, up-front fee income received must not be added to capital.
Financial Risk Capital Adequacy Capitalised Other ARF 110 0 1 And ARF 110 0 2 Amount
This is, as at the relevant date, the total capital requirement applicable to all positions. This represents the capital requirements on positions giving rise to credit risk, operational risk, market risk, as well as any other capital requirements as imposed by APRA.
Financial Risk Capital Adequacy Capital Requirement Amount
This is the value, as at the relevant date, of all capital adequacy deductions that are required to be made 50 per cent from Tier 1 capital and 50 per cent from Tier 2 capital (i.e. 50/50 capital adequacy deductions). For the purposes of this item only report 50 per cent of the amount of the full deduction.
This item is calculated for capital adequacy purposes and is to be determined in accordance with relevant Prudential Standards.
Financial Risk Capital Adequacy Deductions Fifty Percent Amount
This is the value, as at the relevant date, of the aggregate deficits in employer-sponsored defined benefit superannuation plans, net of deferred tax assets (DTA).
Report this item for superannuation funds as follows, where applicable:
- At Level 1, in any of the reporting party's employer-sponsored defined benefit superannuation funds; or
- At Level 2, in any of the reporting party's or other Level 2 group member's employer-sponsored defined benefit superannuation funds.
For the purposes of this item, only include deficits to the extent not already reflected in Gross Tier 1 capital. Surpluses and deficits must not be netted across employer-sponsored defined benefit superannuation plans.
This item is calculated for capital adequacy purposes and is to be determined in accordance with relevant Prudential Standards.
Financial Risk Capital Adequacy Employer Sponsored Defined Benefit Plans Deficit Net Deferred Tax Assets Amount
This is the value, as at the relevant date, of the aggregate surpluses in employer-sponsored defined benefit superannuation plans, net of deferred tax liabilities (DTL).
Report this item for superannuation funds as follows, where applicable:
- At Level 1, in any of the reporting party's employer-sponsored defined benefit superannuation funds; or
- At Level 2, in any of the reporting party's or other Level 2 group member's employer-sponsored defined benefit superannuation funds.
Surpluses and deficits must not be netted across employer-sponsored defined benefit superannuation plans.
This item is calculated for capital adequacy purposes and is to be determined in accordance with relevant Prudential Standards.
Financial Risk Capital Adequacy Employer Sponsored Defined Benefit Plans Surplus Net Deferred Tax Liabilities Amount
This is the value, as at the relevant date, of equity exposures and other capital investments held by the reporting party.
Where a facility, including a guarantee, provided to a related party or a non-related party constitutes 'capital support', it must be treated as 'other capital investments'.
This item is calculated for capital adequacy purposes and is to be determined in accordance with relevant Prudential Standards.
Financial Risk Capital Adequacy Equity Exposures And Capital Investments Amount
This is the value, as at the relevant date, of equity exposures and other capital investments held by the reporting party, after deducting the intangible component of the investments where applicable.
This item is calculated for capital adequacy purposes and is to be determined in accordance with relevant Prudential Standards.
Financial Risk Capital Adequacy Equity Exposures and Capital Investments After Deducting Intangible Assets Fifty Per Cent Amount
This is the value, as at the relevant date, of equity exposures and other capital investments held by the reporting party.
For the purposes of this item, exclude equity exposures and other capital investments where:
(a) the equity exposure or other capital investment is held for trading purposes, in which case it is to be included in the reporting party's risk weighted assets (RWA).
(b) the equity exposure is acquired through underwriting of a new equity instrument and the equity instrument is disposed of within 90 days of the date of issue. If the equity instrument is not disposed of within 90 days of issuance, it must be deducted in accordance with the relevant limits for equity exposures and other capital investments, unless the position forms part of the reporting party's trading book; or
(c) the equity exposure or other capital investment is held under a legal agreement on behalf of:
(i) at Level 1 - an external third party, even if held in the name of the reporting party; or
(ii) at Level 2 - a party outside the Level 2 consolidated group, even if held in the name of the reporting party (or another member of its Level 2 consolidated group.).
Where a facility, including a guarantee, provided to a related party or a non-related party constitutes 'capital support', it must be treated as 'other capital investments'.
This item represents a 50/50 capital adequacy deduction, therefore only report 50 per cent of the asset amount at this item. This amount is to be deducted from both Tier 1 and Tier 2 capital.
This item is calculated for capital adequacy purposes and is to be determined in accordance with relevant Prudential Standards.
Financial Risk Capital Adequacy Equity Exposures And Capital Investments Fifty Per Cent Amount
This is the value, as at the relevant date, of any excess amounts of Tier 1 capital instruments ineligible for inclusion in Tier 1 capital due to the limits prescribed under relevant prudential standards, and which is now classed as Upper Tier 2 capital.
This item is calculated for capital adequacy purposes and is to be determined in accordance with relevant Prudential Standards.
Financial Risk Capital Adequacy Excess Tier 1 Capital Instruments Amount
This is the value, as at the relevant date, of General Reserve for Credit Losses (GRCL), net of tax, determined using the standardised approach to credit risk. Any deferred tax assets (DTA) associated with the collective provisions eligible to be included in the GRCL must be removed.
The amount reported at this item must be limited to 1.25% of Risk Weighted Assets.
This item is calculated for capital adequacy purposes and is to be determined in accordance with relevant Prudential Standards.
Financial Risk Capital Adequacy General Reserve For Credit Losses Net Deferred Tax Assets Standardised Approach Amount
This is the value, as at the relevant date, of surplus provisions on non-defaulted exposures, determined using the internal ratings based (IRB) approach to credit risk. This amount is to be reported net of deferred tax assets associated with eligible collective provisions, and is limited to 0.6% of credit risk weighted assets (RWA) of the reporting party.
For non-defaulted exposures, when there is a surplus of total eligible provisions over the total expected loss (EL) amount, the difference is reported at this item (to a maximum of 0.6% of credit RWA) where the surplus provisions are eligible to be treated as General Reserve for Credit Losses (GRCL).
This item is calculated for capital adequacy purposes and is to be determined in accordance with relevant Prudential Standards.
Financial Risk Capital Adequacy General Reserve For Credit Losses Surplus Provisions Non Defaulted Exposures Net Deferred Tax Assets Internal Ratings Based Approach Amount
This is the value, as at the relevant date, of General Reserves, as determined in accordance with Prudential Standard APS 111.
General reserves are created from the appropriation of profits by an entity (or the group of entities) after the payment of all dividends and tax. These may include:
(a) reserves representing the offset to a charge to profit and loss of the entity arising from equity-settled share-based payments (i.e. shares and/or share options) granted to employees as part of their remuneration package (including any shares or share options granted to employees by way of bonus arrangements associated with their employment, and shares or share options granted to employees of an acquired institution in return for continued services). This is provided that:
(i) the shares or share options granted relate only to the ordinary shares of the entity itself; and
(ii) there are no circumstances in which such remuneration (including bonuses) can be realised, in part or full, other than by way of the issue of ordinary shares of the entity i.e. there is no right for remuneration to be converted to a payment in another form (e.g. cash).
All other reserves associated with share-based payments (refer to Australian accounting standard AASB 2 Share-based Payment) must be excluded from this item; and
(b) cumulative unrealised gains or losses on hedges that offset gains or losses on reserves included in Tier 1 capital (e.g. movements in the currency value of foreign-currency-denominated hedging instruments which offset movements in foreign-currency-denominated items recognised in the foreign currency translation reserve). This includes fair value gains or losses on derivatives representing effective economic hedges of assets.
Exclude General Reserves for Credit Losses from this item.
Financial Risk Capital Adequacy General Reserves Amount
This is the value, as at the relevant date, of guarantees and credit derivatives that provide for a materiality threshold and where the is an equivalent to retained first loss positions.
Equivalents to retained first loss positions arise:
(a) where credit protection provides for a materiality threshold on payments below which no payment will be made in the event of loss.; and
(b) in the context of securitisation, where there is partial coverage of an underlying exposure by a credit derivative, there is a difference in seniority between protected and unprotected tranches, and the credit derivative contract contains a materiality threshold.
This amount is capped at the amount of capital the reporting party would be required to hold against the full value of the exposure or underlying expose, as appropriate.
This item represents a 50/50 capital adequacy deduction, therefore only report 50 per cent of the asset amount at this item. This amount is to be deducted from both Tier 1 and Tier 2 capital.
This item is calculated for capital adequacy purposes and is to be determined in accordance with relevant Prudential Standards.
Financial Risk Capital Adequacy Guarantees And Credit Derivatives That Provide Materiality Threshold Fifty Per Cent Amount
This is the value, as at the relevant date, of the reporting party's holdings of its own Lower Tier 2 capital instruments, unless exempted by APRA in writing, and include any unused trading limit on these instruments, where agreed with APRA in writing.
This item is calculated for capital adequacy purposes and is to be determined in accordance with relevant Prudential Standards.
Financial Risk Capital Adequacy Holdings Of Own Lower Tier 2 Capital Instruments Amount
This is the value, as at the relevant date, of the reporting party's holdings of its own Tier 1 capital instruments, unless exempted by APRA. Include any unused trading limit on these instruments where agreed with APRA.
This item is calculated for capital adequacy purposes and is to be determined in accordance with relevant Prudential Standards.
Financial Risk Capital Adequacy Holdings Of Own Tier 1 Capital Instruments Amount
This is the value, as at the relevant date, of the reporting party's holdings of its own Upper Tier 2 capital instruments, unless exempted by APRA in writing, and include any unused trading limit on these instruments, where agreed with APRA in writing.
This item is calculated for capital adequacy purposes and is to be determined in accordance with relevant Prudential Standards.
Financial Risk Capital Adequacy Holdings Of Own Upper Tier 2 Capital Instruments Amount
This is a balancing item in the list in which it is being used.
This is the value, as at the relevant date, of other intangible assets, as required to be reported on the APRA ARF_110_0 form series. This item consists of intangible assets other than those classified as any of the following:
- Goodwill;
- Other intangible components of investments in consolidated and non-consolidated subsidiaries and other entities;
- Information technology software costs capitalised as an intangible asset; or
- Capitalised expenditure.
This item is calculated for capital adequacy purposes and is to be determined in accordance with relevant Prudential Standards.
Financial Risk Capital Adequacy Intangible Assets Other ARF 110 0 Amount
This is the value, as at the relevant date, of all other adjustments to Lower Tier 2 capital approved by APRA, including any transition amounts affecting Lower Tier 2 capital.
Additions are to be reported as a positive figure and deductions are to be reported as a negative figure.
This item is calculated for capital adequacy purposes and is to be determined in accordance with relevant Prudential Standards.
Financial Risk Capital Adequacy Lower Tier 2 APRA Adjustments Amount
This is the value, as at the relevant date, of gross Lower Tier 2 capital.
Gross Lower Tier 2 capital represents all Lower Tier 2 capital before other adjustments approved by APRA and any Lower Tier 2 capital deductions.
This item is calculated for capital adequacy purposes and is to be determined in accordance with relevant Prudential Standards.
Financial Risk Capital Adequacy Lower Tier 2 Gross Amount
This is the value, as at the relevant date, of limited life redeemable preference shares classified as Lower Tier 2 capital.
This item is calculated for capital adequacy purposes and is to be determined in accordance with relevant Prudential Standards.
Financial Risk Capital Adequacy Lower Tier 2 Limited Life Redeemable Preference Shares Amount
This is the value, as at the relevant date, of limited life redeemable preference shares classified as Lower Tier 2 capital. Only report the amount that is eligible for inclusion at this item. This is calculated based on each instruments residual term to maturity.
This item is calculated for capital adequacy purposes and is to be determined in accordance with relevant Prudential Standards.
Financial Risk Capital Adequacy Lower Tier 2 Limited Life Redeemable Preference Shares Eligible Amount
This is the value, as at the relevant date, of net, or eligible, Lower Tier 2 capital.
Net, or eligible, Lower Tier 2 capital represents gross Lower Tier 2 capital, net of Lower Tier 2 capital deductions and any other adjustments to Lower Tier 2 capital approved by APRA.
This item is calculated for capital adequacy purposes and is to be determined in accordance with relevant Prudential Standards.
Financial Risk Capital Adequacy Lower Tier 2 Net Amount
This is a balancing item in the list in which it is being used.
This is the value, as at the relevant date, of all Lower Tier 2 capital instruments, other than those classified as term subordinated debt or limited life redeemable preference shares, as required to be reported in the APRA ARF_110_0 form series. Only report the amount that is eligible for inclusion at this item. This is calculated based on each instruments residual term to maturity.
This item is calculated for capital adequacy purposes and is to be determined in accordance with relevant Prudential Standards.
Financial Risk Capital Adequacy Lower Tier 2 Other Capital Instruments Eligible ARF 110 0 Amount
This is a balancing item in the list in which it is being used.
This is the value, as at the relevant date, of all Lower Tier 2 capital instruments, other than those classified as term subordinated debt or limited life redeemable preference shares, as required to be reported in the APRA GRF_120_0 form series.
This item is calculated for capital adequacy purposes and is to be determined in accordance with relevant Prudential Standards.
Financial Risk Capital Adequacy Lower Tier 2 Other Capital Instruments GRF 120 Amount
This is a balancing item in the list in which it is being used.
This is the value, as at the relevant date, of all Lower Tier 2 capital instruments, other than those classified as term subordinated debt as required to be reported in the APRA MRF_120_0 form.
This item is calculated for capital adequacy purposes and is to be determined in accordance with relevant Prudential Standards.
Financial Risk Capital Adequacy Lower Tier 2 Other Capital Instruments MRF 120 Amount
This is the value, as at the relevant date, of term subordinated debt classified as Lower Tier 2 capital.
Term subordinated debt instruments have significant deficiencies as constituents of capital in view of their fixed maturity and inability to absorb losses except in a liquidation. These deficiencies justify an additional restriction on the amount of such debt capital which is eligible for inclusion within the capital base.
This item is calculated for capital adequacy purposes and is to be determined in accordance with relevant prudential standards.
Financial Risk Capital Adequacy Lower Tier 2 Term Subordinated Debt Amount
This is the value, as at the relevant date, of term subordinated debt classified as Lower Tier 2 capital. Only report the amount that is eligible for inclusion at this item. This is calculated based on each instruments residual term to maturity, as determined in accordance with prudential standards.
Term subordinated debt instruments have significant deficiencies as constituents of capital in view of their fixed maturity and inability to absorb losses except in a liquidation. These deficiencies justify an additional restriction on the amount of such debt capital which is eligible for inclusion within the capital base.
This item is calculated for capital adequacy purposes and is to be determined in accordance with relevant prudential standards.
Financial Risk Capital Adequacy Lower Tier 2 Term Subordinated Debt Eligible Amount
This is the value, as at the relevant date, of net Tier 1 capital.
Net Tier 1 capital represents the sum of Fundamental Tier 1 capital and Residual Tier 1 capital, net of total Tier 1 capital deductions.
This item is calculated for capital adequacy purposes and is to be determined in accordance with relevant Prudential Standards.
Financial Risk Capital Adequacy Net Tier 1 Capital Amount
This is the value, as at the relevant date, of non-repayable loans advanced by the reporting party under APRA's certified industry support arrangements
This item represents a 50/50 capital adequacy deduction, therefore only report 50 per cent of the asset amount at this item. This amount is to be deducted from both Tier 1 and Tier 2 capital.
This item is calculated for capital adequacy purposes and is to be determined in accordance with relevant Prudential Standards.
Financial Risk Capital Adequacy Non Repayable Loans APRA Certified Industry Support Arrangements Fifty Per Cent Amount
This is the value, as at the relevant date, of other deductions as required for either GRF_110_0_B or GRF_110_0_L, as determined in accordance with relevant prudential standards.
Financial Risk Capital Adequacy Other Deductions GRF 110 0 B And GRF 110 0 L Amount
This is the value, as at the relevant date, of other deductions as required to be reported on the APRA GRF_120_0 form series, as determined in accordance with relevant prudential standards.
Financial Risk Capital Adequacy Other Deductions GRF 120 0 Amount
This is a balancing item in the list in which it appears.
This is the value, as at the relevant date, of all other capital adequacy deductions that are required to be made 50 per cent from Tier 1 capital and 50 per cent from Tier 2 capital (i.e. 50/50 capital adequacy deductions), as required to be reported on APRA forms ARF_110_0_1 and ARF_110_0_2.
This item is calculated for capital adequacy purposes and is to be determined in accordance with relevant Prudential Standards.
Financial Risk Capital Adequacy Other Fifty Percent ARF 110 0 1 And ARF 110 0 2 Amount
This is the value, as at the relevant date, of paid up perpetual cumulative preference shares on issue by the reporting party.
This item is reported for capital adequacy purposes and is to be determined in accordance with relevant Prudential Standards.
Financial Risk Capital Adequacy Perpetual Cumulative Preference Shares Amount
This is the value, as at the relevant date, of paid up perpetual cumulative subordinated debt on issue by the reporting party.
This item is calculated for capital adequacy purposes and is to be determined in accordance with relevant prudential standards.
Financial Risk Capital Adequacy Perpetual Cumulative Subordinated Debt Amount
This is the value, as at the relevant date, of paid up perpetual cumulative mandatory preference shares on issue by the reporting party.
This item is calculated for capital adequacy purposes and is to be determined in accordance with relevant Prudential Standards.
Financial Risk Capital Adequacy Perpetual Mandatory Preference Shares Amount
This is, as at the relevant date, the capital adequacy ratio of the reporting party as determined in accordance with relevant prudential standards.
Financial Risk Capital Adequacy Ratio Percent
This is, as at the relevant date, the risk based capital ratio of the reporting party. This represents the total capital base divided by total risk-weighted assets (or where applicable, total transitional floor adjusted risk-weighted assets).
This item is calculated for capital adequacy purposes and is to be determined in accordance with relevant prudential standards.
Financial Risk Capital Adequacy Risk Based Capital Ratio Percent
This is a balancing item in the list in which it is being used.
This is the value, as at the relevant date, of unrated securitisation credit exposures that are deductible from capital, plus all other applicable securitisation related amounts.
Other securitisation related amounts represent total securitisation-related amounts, other than those amounts classified as any of the following:
- start-up and other establishment costs of a securitisation, where the costs have been capitalised.
- gain-on-sale, including expected future income from a securitisation exposure that the reporting party reports as an on-balance sheet asset or profit, until irrevocably received;
- funds provided by the reporting party to establish a spread, reserve or similar account, until the funds are irrevocably paid to the reporting party;
- the difference between the book value and the amount received by the reporting party, where the originating reporting party transfers exposures to an SPV below their book value, unless it is written off in the reporting party's profit and loss (and capital) accounts; and
- any other applicable amounts;
This item represents a 50/50 capital adequacy deduction, therefore only report 50 per cent of the asset amount at this item. This amount is to be deducted from both Tier 1 and Tier 2 capital.
This item is calculated for capital adequacy purposes and is to be determined in accordance with relevant Prudential Standards.
A securitisation represents a structure (a special purpose vehicle, or SPV) where the cash flows from a pool (of assets, or interests in assets) is used to service obligations to creditors (typically holders of debt securities) who fund the SPV.
Financial Risk Capital Adequacy Securitisation Related Items Other And Deductible Credit Exposures Fifty Percent Amount
This is the value, as at the relevant date, of capitalised securitisation start-up costs.
The balance of any transaction costs and like items that are capitalised and deferred as an asset must be netted off against the balance of any income deferred as a liability relating to the products giving rise to the capitalised transaction costs (i.e. only deferred costs and income in particular product portfolios may be netted).
Any positive net balance of capitalised transaction costs must be reported as a positive figure. Any surplus of up-front fee income received over deferred costs may be reported as a negative figure provided the up-front fee income received satisfies the criteria set under Prudential Standard APS 111. Otherwise, report this item as zero.
This item is calculated for capital adequacy purposes and is to be determined in accordance with relevant Prudential Standards.
Financial Risk Capital Adequacy Securitisation Start Up And Establishment Costs Amount
This is the value, as at the relevant date, of the shortfall in provisions for credit losses.
The reporting party must compare:
(a) the total expected loss (EL) amount (before any tax effects) for non-defaulted Internal Ratings Based (IRB) exposures to the total eligible provisions (net of any associated DTA) for non-defaulted IRB exposures; and
(b) the total EL amount (before any tax effects) for defaulted IRB exposures to the total eligible provisions (net of any associated DTA) for defaulted IRB exposures.
In both cases, where the EL amount is higher than the eligible provisions, 50% of the difference must be reported at this item.
This item represents a 50/50 capital adequacy deduction, therefore only report 50 per cent of the asset amount at this item. This amount is to be deducted from both Tier 1 and Tier 2 capital.
This item is calculated for capital adequacy purposes and is to be determined in accordance with relevant Prudential Standards.
Financial Risk Capital Adequacy Shortfall Provisions For Credit Losses IRB Fifty Percent Amount
This is the balancing item in the list in which it is being used.
This is the value, as at the relevant date, of any other adjustments to Tier 1 capital as approved by APRA. This includes both reductions in deductions and additions to Tier 1 capital as well as transition amounts affecting Tier 1 capital.
This item is calculated for capital adequacy purposes and is to be determined in accordance with relevant Prudential Standards.
Financial Risk Capital Adequacy Tier 1 Adjustments APRA Approved Other Amount
This is the value, as at the relevant date, of minority interests arising from consolidation at Level 2 of the Tier 1 capital of subsidiaries. This item is reported for capital adequacy purposes and is to be determined in accordance with relevant prudential standard APS.
Financial Risk Capital Adequacy Tier 1 Attributable To Minority Interests Amount
This is the value, as at the relevant date, of total Tier 1 capital deductions.
This item is calculated for capital adequacy purposes and is to be determined in accordance with relevant Prudential Standards.
Financial Risk Capital Adequacy Tier 1 Capital Deductions Amount
This is a balancing item in the list in which it is being used.
This is the value, as at the relevant date, of Tier 1 deductions other than:.
- Goodwill;
- Identifiable intangible assets; and
- Deferred tax assets (net of any deferred tax liabilities).
This item is calculated for capital adequacy purposes and is to be determined in accordance with relevant Prudential Standards.
Financial Risk Capital Adequacy Tier 1 Capital Deductions Other MRF120 Amount
This is the value, as at the relevant date, of any deductions (refer to APS 111) from Tier 1 capital due to a shortfall in Tier 2 capital. This occurs where the reporting party does not hold sufficient capital to absorb required deductions from Tier 2 capital, and it must deduct an amount equivalent to the shortfall in its Tier 2 capital from its Tier 1 capital.
This item is calculated for capital adequacy purposes and is to be determined in accordance with relevant Prudential Standards.
Financial Risk Capital Adequacy Tier 1 Deduction Due to Shortfall in Tier 2 Capital Amount
This is the value, as at the relevant date, of Fundamental Tier 1 capital. This item is reported for capital adequacy purposes and is to be determined in accordance with relevant Prudential Standards.
This item is to be reported gross of any applicable capital adequacy deductions.
Financial Risk Capital Adequacy Tier 1 Fundamental Amount
This is the value, as at the relevant date, of Gross Tier 1 capital. This item is reported for capital adequacy purposes and is to be determined in accordance with relevant Prudential Standards.
Gross Tier 1 capital represents the sum of Fundamental Tier 1 capital and Residual Tier 1 capital, gross of Tier 1 capital deductions.
Financial Risk Capital Adequacy Tier 1 Gross Amount
This is a balancing item in the list in which it is being used.
This is the value, as at the relevant date, of Tier 1 capital instruments other than:
- Paid-up ordinary shares;
- Reserves;
- Retained earnings;
- Technical provisions in excess of liability valuation; and
- Tax effect of excess technical provision.
This item is reported for capital adequacy purposes and is to be determined in accordance with relevant Prudential Standards.
Tier 1 capital is the highest quality capital, e.g. ordinary shares, retained earnings, perpetual non-cumulative preference shares.
Financial Risk Capital Adequacy Tier 1 Gross Other MRF120 Amount
This is the value, as at the relevant date, of Residual Tier 1 capital. This item is reported for capital adequacy purposes and is to be determined in accordance with relevant Prudential Standards.
Residual Tier 1 capital represents the sum of Non-innovative Residual Tier 1 capital and Innovative Residual Tier 1 capital. Report this item gross of any applicable capital adequacy deductions.
Residual Tier 1 capital is limited to 25 per cent of net Tier 1 capital. Any excess amount is counted as Upper Tier 2 capital.
Financial Risk Capital Adequacy Tier 1 Residual Amount
This is the value, as at the relevant date, of Innovative Tier 1 capital. This item is reported for capital adequacy purposes and is to be determined in accordance with relevant Prudential Standards.
Innovative Tier 1 capital is limited to 15 per cent of net Tier 1 capital, except for entities that are subject to APRA-approved transition arrangements. Any excess amount is counted as Upper Tier 2 capital.
This item to be reported gross of any applicable capital adequacy deductions.
Financial Risk Capital Adequacy Tier 1 Residual Innovative Amount
This is the value, as at the relevant date, of Non-Innovative Residual Tier 1 capital. This item is reported for capital adequacy purposes and is to be determined in accordance with relevant Prudential Standards.
This item is to be reported gross of any applicable capital adequacy deductions.
Financial Risk Capital Adequacy Tier 1 Residual Non Innovative Amount
This is a balancing item in the list in which it is being used.
This is the value, as at the relevant date, of any other Tier 1 specific capital deductions, as required to be reported on APRA forms ARF_110_0_1 and ARF_110_0_2.
This item is reported as a deduction to Tier 1 capital for capital adequacy purposes and is to be determined in accordance with relevant Prudential.
Financial Risk Capital Adequacy Tier 1 Specific Deductions Other ARF 110 0 1 And ARF 110 0 2 Amount
This is the value, as at the relevant date, of total Tier 2 specific capital deductions.
This item is calculated for capital adequacy purposes and is to be determined in accordance with relevant Prudential Standards.
Financial Risk Capital Adequacy Tier 2 Deductions Amount
This is the value, as at the relevant date, of all other Tier 2 capital deductions, as advised by APRA.
This item is calculated for capital adequacy purposes and is to be determined in accordance with relevant Prudential Standards.
Financial Risk Capital Adequacy Tier 2 Deductions Other APRA Advised Amount
This is the value, as at the relevant date, of gross Tier 2 capital.
Gross Tier 2 capital represents the sum of net Upper Tier 2 capital and net Lower Tier 2 capital, gross of any Tier 2 capital deductions.
This item is calculated for capital adequacy purposes and is to be determined in accordance with relevant Prudential Standards.
Financial Risk Capital Adequacy Tier 2 Gross Amount
This is the value, as at the relevant date, of net, or eligible, Tier 2 capital.
Net, or eligible, Tier 2 capital represents the sum of net Upper Tier 2 capital and net Lower Tier 2 capital, net of any Tier 2 capital deductions.
This item is calculated for capital adequacy purposes and is to be determined in accordance with relevant Prudential Standards.
Financial Risk Capital Adequacy Tier 2 Net Amount
This is the value, as at the relevant date, of undercapitalised non-consolidated subsidiaries. This represents an amount that APRA has required the reporting party to deduct from its capital to cover the undercapitalisation of a non-consolidated subsidiary (or subsidiaries) of the reporting party.
This item represents a 50/50 capital adequacy deduction, therefore only report 50 per cent of the asset amount at this item. This amount is to be deducted from both Tier 1 and Tier 2 capital.
This item is calculated for capital adequacy purposes and is to be determined in accordance with relevant Prudential Standards.
Financial Risk Capital Adequacy Undercapitalised Non Consolidation Subsidiaries Fifty Percent Amount
This is the net value, as at the relevant date, of any cumulative unrealised fair value gains and (losses) on effective cash flow hedges reflected in retained earnings or reserves included in Tier 1 capital, which do not offset gains or losses on revaluations in reserves included in Tier 1 capital.
This item is reported for capital adequacy purposes and is to be determined in accordance with relevant Prudential Standards.
Financial Risk Capital Adequacy Unrealised Fair Value Gains Net Effective Cash Flow Hedges Amount
This is the value, as at the relevant date, of unsettled non-DvP transactions. This represents the value transferred (including any replacement costs) and the positive current exposure of non-delivery-versus-payment (non-DvP) transactions that remain unsettled for five business days or more after their due delivery dates (refer APS 112 or APS 113, as appropriate)..
This item represents a 50/50 capital adequacy deduction, therefore only report 50 per cent of the asset amount at this item. This amount is to be deducted from both Tier 1 and Tier 2 capital.
This item is calculated for capital adequacy purposes and is to be determined in accordance with relevant Prudential Standards.
Financial Risk Capital Adequacy Unsettled Non DvP Transactions Fifty Percent Amount
This is the value, as at the relevant date, of all other adjustments to Upper Tier 2 capital approved by APRA.
This item is calculated for capital adequacy purposes and is to be determined in accordance with relevant Prudential Standards.
Financial Risk Capital Adequacy Upper Tier 2 APRA Adjustments Amount
This is the value, as at the relevant date, of reserves arising from the revaluation of the Eligible Component of Investments in Associates, Joint Ventures and non-consolidated Subsidiaries, and which can be classified as Upper Tier 2 capital.
Where a particular asset belongs to a class of assets for which the Asset Revaluation Reserve (ARR) are included in Upper Tier 2 capital and the asset has been identified as impaired and losses arise, the losses may be offset against any existing revaluations of the asset or class of revalued assets.
If the ARR is negative after adjustment for revaluations of assets included in the reserve, for losses due to impairment of assets covered by the reserve, and for any gains or losses on hedges offsetting revaluations of assets included in the reserve, report zero at this item.
This item is net of any fair value gains and losses, and any gains or losses on hedges offsetting revaluations included in reserves.
For the purposes of this item, do not include any ARR amounts that have been included as Capital Profit Reserves.
This item is calculated for capital adequacy purposes and is to be determined in accordance with relevant Prudential Standards.
Financial Risk Capital Adequacy Upper Tier 2 Asset Revaluation Reserve Eligible Component Of Investments Amount
This is the value, as at the relevant date, of reserves arising from the revaluation of the Eligible Component of Investments in Associates, Joint Ventures and non-consolidated Subsidiaries, and which can be classified as Upper Tier 2 capital. The amount to be reported at this item is limited to 45 percent of the pre-tax revaluation reserves for this category of ARR.
Where a particular asset belongs to a class of assets for which the Asset Revaluation Reserve (ARR) are included in Upper Tier 2 capital and the asset has been identified as impaired and losses arise, the losses may be offset against any existing revaluations of the asset or class of revalued assets.
If the ARR is negative after adjustment for revaluations of assets included in the reserve, for losses due to impairment of assets covered by the reserve, and for any gains or losses on hedges offsetting revaluations of assets included in the reserve, report zero at this item.
This item is net of any fair value gains and losses, and any gains or losses on hedges offsetting revaluations included in reserves.
For the purposes of this item, do not include any ARR amounts that have been included as Capital Profit Reserves.
This item is calculated for capital adequacy purposes and is to be determined in accordance with relevant Prudential Standards.
Financial Risk Capital Adequacy Upper Tier 2 Asset Revaluation Reserve Eligible Component Of Investments 45 Percent Amount
This is the value, as at the relevant date, of reserves arising from the revaluation of Investments in non-consolidated controlled entities not held at fair value, and which can be classified as Upper Tier 2 capital.
For the purposes of this item, exclude any reserve recognised from the revaluation of the goodwill component of investments in subsidiaries not held at fair value.
This item is calculated for capital adequacy purposes and is to be determined in accordance with relevant Prudential Standards.
Financial Risk Capital Adequacy Upper Tier 2 Asset Revaluation Reserve Of Investments In Non Consolidated Controlled Entities Amount
This is the value, as at the relevant date, of reserves arising from the revaluation of readily marketable securities, but only where those securities are classified as Upper Tier 2 capital. The amount to be reported at this item is limited to 45 percent of the pre-tax revaluation reserves for this category of ARR.
Where a particular asset belongs to a class of assets for which the Asset Revaluation Reserve (ARR) are included in Upper Tier 2 capital and the asset has been identified as impaired and losses arise, the losses may be offset against any existing revaluations of the asset or class of revalued assets.
If the ARR is negative after adjustment for revaluations of assets included in the reserve, for losses due to impairment of assets covered by the reserve, and for any gains or losses on hedges offsetting revaluations of assets included in the reserve, report zero at this item.
This item is net of any fair value gains and losses, and any gains or losses on hedges offsetting revaluations included in reserves.
For the purposes of this item, do not include any ARR amounts that have been included as Capital Profit Reserves.
This item is calculated for capital adequacy purposes and is to be determined in accordance with relevant Prudential Standards.
Financial Risk Capital Adequacy Upper Tier 2 Asset Revaluation Reserve Readily Marketable Securities Amount
This is the value, as at the relevant date, of reserves arising from the revaluation of property (including owner-occupied and investment property readily available to be sold), but only where that property is classified as Upper Tier 2 capital.
Where a particular asset belongs to a class of assets for which the Asset Revaluation Reserve (ARR) are included in Upper Tier 2 capital and the asset has been identified as impaired and losses arise, the losses may be offset against any existing revaluations of the asset or class of revalued assets.
If the ARR is negative after adjustment for revaluations of assets included in the reserve, for losses due to impairment of assets covered by the reserve, and for any gains or losses on hedges offsetting revaluations of assets included in the reserve, report zero at this item.
This item is net of any fair value gains and losses, and any gains or losses on hedges offsetting revaluations included in reserves.
For the purposes of this item, do not include any ARR amounts that have been included as Capital Profit Reserves.
This item is calculated for capital adequacy purposes and is to be determined in accordance with relevant Prudential Standards.
Financial Risk Capital Adequacy Upper Tier 2 Asset Revaluation Reserves Property Amount
This is the value, as at the relevant date, of reserves arising from the revaluation of property (including owner-occupied and investment property readily available to be sold), but only where that property is classified as Upper Tier 2 capital. The amount to be reported at this item is limited to 45 percent of the pre-tax revaluation reserves for this category of ARR.
Where a particular asset belongs to a class of assets for which the Asset Revaluation Reserve (ARR) are included in Upper Tier 2 capital and the asset has been identified as impaired and losses arise, the losses may be offset against any existing revaluations of the asset or class of revalued assets.
If the ARR is negative after adjustment for revaluations of assets included in the reserve, for losses due to impairment of assets covered by the reserve, and for any gains or losses on hedges offsetting revaluations of assets included in the reserve, report zero at this item.
This item is net of any fair value gains and losses, and any gains or losses on hedges offsetting revaluations included in reserves.
For the purposes of this item, do not include any ARR amounts that have been included as Capital Profit Reserves.
This item is calculated for capital adequacy purposes and is to be determined in accordance with relevant Prudential Standards.
Financial Risk Capital Adequacy Upper Tier 2 Asset Revaluation Reserves Property 45 Percent Amount
This is the value, as at the relevant date, of gross Upper Tier 2 capital.
Gross Upper Tier 2 capital represents all Upper Tier 2 capital before other adjustments approved by APRA and any Upper Tier 2 capital deductions.
This item is calculated for capital adequacy purposes and is to be determined in accordance with relevant Prudential Standards.
Financial Risk Capital Adequacy Upper Tier 2 Gross Amount
This is the value, as at the relevant date, of net, or eligible, Upper Tier 2 capital.
Upper Tier 2 capital is comprised of components that are essentially permanent in nature, including some forms of hybrid capital instruments.
Net Upper Tier 2 capital represents gross Upper Tier 2 capital, net of Upper Tier 2 capital deductions and any other adjustments to Upper Tier 2 capital approved by APRA.
This item is calculated for capital adequacy purposes and is to be determined in accordance with relevant Prudential Standards.
Financial Risk Capital Adequacy Upper Tier 2 Net Amount
This is a balancing item in the list in which it is being used.
This is the value, as at the relevant date, of all other Upper Tier 2 capital instruments perpetual and cumulative in nature,, as required to be reported on the APRA ARF_110_0 form series. These capital instruments must satisfy the relevant criteria under Prudential Standard APS 111.
This item is calculated for capital adequacy purposes and is to be determined in accordance with relevant Prudential Standards.
Financial Risk Capital Adequacy Upper Tier 2 Perpetual Cumulative Capital Instruments Other ARF 110 0 Amount
This is a balancing item in the list in which it is being used.
This is the value, as at the relevant date, of all other Upper Tier 2 capital instruments perpetual and cumulative in nature, as required to be reported on the APRA GRF_120_0 form series.
This item is calculated for capital adequacy purposes and is to be determined in accordance with relevant Prudential Standards.
Financial Risk Capital Adequacy Upper Tier 2 Perpetual Cumulative Capital Instruments Other GRF 120 0 Amount
This is a balancing item in the list in which it is being used.
This is the value, as at the relevant date, of all other Upper Tier 2 capital instruments perpetual and cumulative in nature, as required to be reported on the APRA GRF_120_0 form series.
This item is calculated for capital adequacy purposes and is to be determined in accordance with relevant Prudential Standards.
Financial Risk Capital Adequacy Upper Tier 2 Perpetual Cumulative Capital Instruments Permanent Nature Other GRF 120 Amount
This is the value, as at the relevant date, of on and off balance sheet credit exposures.
A credit exposure represents an asset, liability, claim or commitment of an entity, which may be recorded on or off the balance sheet and which gives rise to credit risk.
This item is calculated for capital adequacy purposes and is to be determined in accordance with relevant Prudential Standards.
Financial Risk Credit Asset Exposures Amount
This is the value, as at the relevant date, of any potential credit exposures arising from assets sold with recourse.
Assets sold with recourse are asset sales (to the extent that such assets are not included on-balance sheet) by an entity where the holder of the asset is entitled to 'put' the asset back to the entity within an agreed period or under certain prescribed circumstances (e.g. deterioration in the value or credit quality of the asset concerned).
Financial Risk Credit Assets Sold With Recourse Amount
This is the value, as at the relevant date, of claims (other than equity) on Australian and International corporate counterparties (including insurance and securities companies) and commercial public sector entities.
Financial Risk Credit Claims On Corporate And Commercial Public Sector Entities Excluding Equity Amount
This is the value, as at the relevant date, of claims on fixed assets under operating leases.
Financial Risk Credit Claims On Fixed Assets Under Operating Lease Amount
This is the value, as at the relevant date, of Australian dollar claims on, or claims to the extent that they are guaranteed by or secured against securities issued by, the Australian Commonwealth Government.
Financial Risk Credit Claims On Guaranteed By Or Secured Against Australian Commonwealth Government Australian Dollar Amount
This is the value, as at the relevant date, of claims on, or claims to the extent that they are guaranteed by or secured against securities issued by:
- State or Territory Governments in Australia, including State and Territory central borrowing authorities; or
- Overseas central, state and regional governments.
This item also includes all foreign currency claims on the Australian Commonwealth Government.
State and Territory central borrowing authorities in Australia include the following corporations established by State and Territory governments to provide finance for government authorities and to manage their surplus funds:
(a) New South Wales Treasury Corporation (NSW TCorp);
(b) Treasury Corporation of Victoria (TCV);
(c) Queensland Treasury Corporation (QTC);
(d) South Australian Government Financing Authority (SAFA);
(e) Western Australian Treasury Corporation (WATC);
(f) Tasmanian Public Finance Corporation (Tas Corp);
(g) Northern Territory Treasury Corporation (NT TCorp); and
(h) ACT Treasury.
Financial Risk Credit Claims On Guaranteed By Or Secured Against Australian State Territory And Overseas Governments And Foreign Currency Claim Australian Commonwealth Government Amount
This is the value, as at the relevant date, of claims (other than equity) on, or claims to the extent that they are guaranteed by, or secured against securities issued by, Authorised Deposit-taking Institutions and overseas banks.
Authorised Deposit-taking Institutions (ADIs) have an authority under subsection 9(3) of the Banking Act 1959 to carry on banking business in Australia. ADIs include:
(a) Australian-owned banks;
(b) foreign subsidiary banks;
(c) branches of foreign banks;
(d) credit unions, credit societies and credit co-operatives;
(e) building societies;
(f) Specialist Credit Card Institutions (SCCIs);
(g) providers of purchased payment facilities; and
(h) other ADIs.
Note: ADIs do not include merchant banks in Australia.
An Overseas Bank represents a financial institution in another country (i.e. not Australia) that:
(a) has the power to accept deposits in the regular course of business;
(b) is supervised by the supervisor of banks or by state-based regulatory agencies; and
(c) is subject to the same prudential requirements as banks (including capital adequacy).
Financial Risk Credit Claims On Guaranteed By Secured Against ADIs And Overseas Banks Excluding Equity Amount
This is the value, as at the relevant date, of claims on, or claims to the extent that they are guaranteed by, or secured against securities issued by, international banking agencies and multilateral regional development banks.
International banking agencies and multilateral regional development banks include, for example, the IMF, the International Bank for Reconstruction and Development, the Bank for International Settlements and the Asian Development Bank.
Financial Risk Credit Claims On Guaranteed By Secured Against International Banking Agencies And Multilateral Regional Development Banks Amount
This is the value, as at the relevant date, of claims on, or claims to the extent that they are guaranteed by, or secured against securities issued by, local governments in Australia and non-commercial public sector entities in Australia and Overseas.
Financial Risk Credit Claims On Guaranteed By Secured Against Local Government In Australia And Public Sector Entities Amount
This is the value, as at the relevant date, of claims on, or claims to the extent that they are guaranteed by, or secured against securities issued by, overseas central banks and foreign currency claims on the Reserve Bank of Australia.
Financial Risk Credit Claims On Guaranteed By Secured Against Overseas Central Banks And RBA Foreign Currency Amount
This is the value, as at the relevant date, of claims (other than equity) on private sector entities. This excludes claims on ADIs, overseas banks and corporate counterparties.
Authorised Deposit-taking Institutions (ADIs) have an authority under subsection 9(3) of the Banking Act 1959 to carry on banking business in Australia. ADIs include:
(a) Australian-owned banks;
(b) foreign subsidiary banks;
(c) branches of foreign banks;
(d) credit unions, credit societies and credit co-operatives;
(e) building societies;
(f) Specialist Credit Card Institutions (SCCIs);
(g) providers of purchased payment facilities; and
(h) other ADIs.
Note: ADIs do not include merchant banks in Australia.
An Overseas Bank represents a financial institution in another country (i.e. not Australia) that:
(a) has the power to accept deposits in the regular course of business;
(b) is supervised by the supervisor of banks or by state-based regulatory agencies; and
(c) is subject to the same prudential requirements as banks (including capital adequacy).
Financial Risk Credit Claims On Private Sector Entities Excluding Equity Amount
This is the value, as at the relevant date, of loans and all other on-balance sheet claims secured against eligible residential mortgages.
For the purposes of this item, the repayment of funds advanced must have been secured through an eligible residential mortgage to satisfy the debt in the case of default by the borrower, as determined in accordance with relevant prudential standards.
Financial Risk Credit Claims Secured Against Eligible Residential Mortgages Amount
This is the value, as at the relevant date, of loans and all other claims secured against non-standard eligible residential mortgages, and which are not insured with an acceptable Lenders Mortgage Insurer (LMI).
For the purposes of this item, lenders mortgage insurance must provide cover for all losses up to at least 40 percent of the higher of the original loan amount and outstanding loan amount. An acceptable LMI must meet APRA's requirements or those of the overseas host supervisor, as detailed in relevant prudential standards.
For the purposes of this item, the repayment of funds advanced must have been secured through a non-standard eligible residential mortgage to satisfy the debt in the case of default by the borrower, as determined in accordance with relevant prudential standards.
A non-standard eligible mortgage is an eligible mortgage that does not meet the requirements of a standard eligible mortgage, as detailed below.
A standard eligible mortgage is defined as a residential mortgage where the reporting party has:
- prior to loan approval and as part of the loan origination and approval process, documented, assessed and verified the ability of the borrowers to meet their repayment obligation;
- valued any residential property offered as security; and
- established that any property offered as security for the loan is readily marketable.
The reporting party must also revalue any property offered as security for such loans when it becomes aware of a material change in the market value of property in an area or region.
Financial Risk Credit Claims Secured Against Non Standard Eligible Residential Mortgages No Mortgage Insurance Amount
This is the value, as at the relevant date, of loans and all other claims secured against non-standard eligible residential mortgages, and which are insured with an acceptable Lenders Mortgage Insurer (LMI).
For the purposes of this item, lenders mortgage insurance must provide cover for all losses up to at least 40 percent of the higher of the original loan amount and outstanding loan amount. An acceptable LMI must meet APRA's requirements or those of the overseas host supervisor, as detailed in relevant prudential standards.
For the purposes of this item, the repayment of funds advanced must have been secured through a non-standard eligible residential mortgage to satisfy the debt in the case of default by the borrower, as determined in accordance with relevant prudential standards.
A non-standard eligible mortgage is an eligible mortgage that does not meet the requirements of a standard eligible mortgage, as detailed below.
A standard eligible mortgage is defined as a residential mortgage where the reporting party has:
- prior to loan approval and as part of the loan origination and approval process, documented, assessed and verified the ability of the borrowers to meet their repayment obligation;
- valued any residential property offered as security; and
- established that any property offered as security for the loan is readily marketable.
The reporting party must also revalue any property offered as security for such loans when it becomes aware of a material change in the market value of property in an area or region.
Financial Risk Credit Claims Secured Against Non Standard Eligible Residential Mortgages With Mortgage Insurance Amount
This is the value, as at the relevant date, of loans and all other claims secured against standard eligible residential mortgages, and which are not insured with an acceptable Lenders Mortgage Insurer (LMI).
For the purposes of this item, lenders mortgage insurance must provide cover for all losses up to at least 40 percent of the higher of the original loan amount and outstanding loan amount. An acceptable LMI must meet APRA's requirements or those of the overseas host supervisor, as detailed in relevant prudential standards.
For the purposes of this item, the repayment of funds advanced must have been secured through a standard eligible residential mortgage to satisfy the debt in the case of default by the borrower, as determined in accordance with relevant prudential standards.
A standard eligible mortgage is defined as a residential mortgage where the reporting party has:
- prior to loan approval and as part of the loan origination and approval process, documented, assessed and verified the ability of the borrowers to meet their repayment obligation;
- valued any residential property offered as security; and
- established that any property offered as security for the loan is readily marketable.
The reporting party must also revalue any property offered as security for such loans when it becomes aware of a material change in the market value of property in an area or region.
Financial Risk Credit Claims Secured Against Standard Eligible Residential Mortgages No Mortgage Insurance Amount
This is the value, as at the relevant date, of loans and all other claims secured against standard eligible residential mortgages, and which are insured with an acceptable Lenders Mortgage Insurer (LMI).
For the purposes of this item, lenders mortgage insurance must provide cover for all losses up to at least 40 percent of the higher of the original loan amount and outstanding loan amount. An acceptable LMI must meet APRA's requirements or those of the overseas host supervisor, as detailed in relevant prudential standards.
For the purposes of this item, the repayment of funds advanced must have been secured through a standard eligible residential mortgage to satisfy the debt in the case of default by the borrower, as determined in accordance with relevant prudential standards.
A standard eligible mortgage is defined as a residential mortgage where the reporting party has:
- prior to loan approval and as part of the loan origination and approval process, documented, assessed and verified the ability of the borrowers to meet their repayment obligation;
- valued any residential property offered as security; and
- established that any property offered as security for the loan is readily marketable.
The reporting party must also revalue any property offered as security for such loans when it becomes aware of a material change in the market value of property in an area or region.
Financial Risk Credit Claims Secured Against Standard Eligible Residential Mortgages With Mortgage Insurance Amount
This is the value, as at the relevant date, of the unsecured portion of any claim (other than a loan or claim secured against eligible residential mortgages) where the specific provisions against those claims represent less than 20 percent of the outstanding amount of the claim or impaired asset.
Financial Risk Credit Claims Unsecured Portion Where Specific Provision Less Than Twenty Percent Amount
This is the value, as at the relevant date, of the unsecured portion of any claim (other than a loan or claim secured against eligible residential mortgages) where the specific provisions against those claims represent no less than 20 percent of the outstanding amount of the claim or impaired asset.
Financial Risk Credit Claims Unsecured Portion Where Specific Provision No Less Than Twenty Percent Amount
This is the past due amount of credit card balances receivable by the reporting party as at the relevant date, i.e. the amount that has remained continuously outside contractual or approved arrangements.
A credit card is a card whose holder has been granted a revolving credit line up to a pre-arranged limit.
Financial Risk Credit Credit Card Past Due Amount
This is the value of all exposures of the reporting party that give rise to counterparty credit risk determined in accordance with the relevant prudential standards.
Financial Risk Credit Credit Exposures Amount
This is the outstanding balance of accounts at the relevant date classified by the reporting party as Category Four facilities, being overdrawn savings accounts and overdrawn limits on credit cards, overdrafts and line of credit advances.
Outstanding balances should be reported net of interest and other income not taken to profit, and net of any amounts written off. For overdraft facilities and revolving lines of credit, the outstanding balance is to be reported as the total amount of the facility outstanding, and not the amount that the facility exceeds the previously approved limit. For overdrawn savings accounts, the outstanding balance represents the debit balance of the account.
Financial Risk Credit Credit Exposures Category Four Facilities Amount
This is the number of accounts at the relevant date classified by the reporting party as Category Four facilities, being overdrawn savings accounts and overdrawn limits on credit cards, overdrafts and line of credit advances.
Financial Risk Credit Credit Exposures Category Four Facilities Count
This is the outstanding balance of accounts at the relevant date classified by the reporting party as Category One facilities, being:
(a) an exposure that is secured by a registered first mortgage against a residential property and is insured by an eligible lenders mortgage insurer for 100 per cent of the outstanding balance;
(b) an exposure that is secured by a registered first mortgage against a residential property, where the ratio of the outstanding balance, less the amount of mortgage insurance, to the valuation of the security is no more than 80 per cent (where the exposure is 6 months or more worth of payments past due, the valuation must be no older than 12 months); and
(c) an exposure that is secured by a qualifying registered second mortgage where:
(i) the ratio of the outstanding balances of the facilities secured by both first and second mortgages to the valuation of the residential property does not exceed 80 per cent, and the first mortgage cannot be extended without it being subordinated to the second mortgage; or
(ii) where the ratio of the outstanding balances of the facilities secured by both first and second mortgages to the valuation of the residential property exceeds 80 per cent, and the first mortgage cannot be extended without it being subordinated to the second mortgage, and the outstanding balance is 100 per cent mortgage insured by an eligible lenders mortgage insurer.
Outstanding balances should be reported net of interest and other income not taken to profit, and net of any amounts written off. For overdraft facilities and revolving lines of credit, the outstanding balance is to be reported as the total amount of the facility outstanding, and not the amount that the facility exceeds the previously approved limit. For overdrawn savings accounts, the outstanding balance represents the debit balance of the account.
Financial Risk Credit Credit Exposures Category One Facilities Amount
This is the number of accounts at the relevant date classified by the reporting party as Category One facilities, being:
(a) an exposure that is secured by a registered first mortgage against a residential property and is insured by an eligible lenders mortgage insurer for 100 per cent of the outstanding balance;
(b) an exposure that is secured by a registered first mortgage against a residential property, where the ratio of the outstanding balance, less the amount of mortgage insurance, to the valuation of the security is no more than 80 per cent (where the exposure is 6 months or more worth of payments past due, the valuation must be no older than 12 months); and
(c) an exposure that is secured by a qualifying registered second mortgage where:
(i) the ratio of the outstanding balances of the facilities secured by both first and second mortgages to the valuation of the residential property does not exceed 80 per cent, and the first mortgage cannot be extended without it being subordinated to the second mortgage; or
(ii) where the ratio of the outstanding balances of the facilities secured by both first and second mortgages to the valuation of the residential property exceeds 80 per cent, and the first mortgage cannot be extended without it being subordinated to the second mortgage, and the outstanding balance is 100 per cent mortgage insured by an eligible lenders mortgage insurer.
Financial Risk Credit Credit Exposures Category One Facilities Count
This is the outstanding balance of accounts at the relevant date that meet the provisioning requirements in accordance with the Prescribed Provisioning methodology outlined in the relevant prudential standards, but have not been classified by the reporting party as Category One, Two or Four facilities.
Outstanding balances should be reported net of interest and other income not taken to profit, and net of any amounts written off. For overdraft facilities and revolving lines of credit, the outstanding balance is to be reported as the total amount of the facility outstanding, and not the amount that the facility exceeds the previously approved limit. For overdrawn savings accounts, the outstanding balance represents the debit balance of the account.
Financial Risk Credit Credit Exposures Category Three Facilities Amount
This is the number of accounts at the relevant date that meet the provisioning requirements in accordance with the Prescribed Provisioning methodology outlined in the relevant prudential standards, but have not been classified by the reporting party as Category One, Two or Four facilities.
Financial Risk Credit Credit Exposures Category Three Facilities Count
This is the adjusted balance of accounts at the relevant date that meet the provisioning requirements in accordance with the Prescribed Provisioning methodology outlined in the relevant prudential standards, but have not been classified by the reporting party as Category One, Two or Four facilities.
The adjusted balance is the "Outstanding balance" (see below) offset by the amount of any collateral security held that satisfies the requirements of the relevant prudential standards, or APRA has agreed on an appropriate basis to ascribe value for security purposes.
Outstanding balances should be reported net of interest and other income not taken to profit, and net of any amounts written off. For overdraft facilities and revolving lines of credit, the outstanding balance is to be reported as the total amount of the facility outstanding, and not the amount that the facility exceeds the previously approved limit. For overdrawn savings accounts, the outstanding balance represents the debit balance of the account.
Financial Risk Credit Credit Exposures Category Three Facilities Adjusted Balance Amount
This is the outstanding balance of accounts at the relevant date classified by the reporting party as Category Two facilities, being an exposure that is secured by a registered first mortgage against a residential property, where the ratio of the outstanding balance, less the amount of mortgage insurance, to the valuation of the security is greater than 80 per cent but no more than 100 per cent (where the loan is 6 months or more worth of payments past due, the valuation must be no older than 12 months).
Outstanding balances should be reported net of interest and other income not taken to profit, and net of any amounts written off. For overdraft facilities and revolving lines of credit, the outstanding balance is to be reported as the total amount of the facility outstanding, and not the amount that the facility exceeds the previously approved limit. For overdrawn savings accounts, the outstanding balance represents the debit balance of the account. The balance outstanding should not be adjusted for any collateral value.
Financial Risk Credit Credit Exposures Category Two Facilities Amount
This is the number of accounts at the relevant date classified by the reporting party as Category Two facilities, being an exposure that is secured by a registered first mortgage against a residential property, where the ratio of the outstanding balance, less the amount of mortgage insurance, to the valuation of the security is greater than 80 per cent but no more than 100 per cent (where the loan is 6 months or more worth of payments past due, the valuation must be no older than 12 months).
Financial Risk Credit Credit Exposures Category Two Facilities Count
This is the value of all exposures of the reporting party that give rise to counterparty credit risk, determined in accordance with the relevant prudential standards, that have been newly classified as impaired during the relevant period.
Financial Risk Credit Credit Exposures Newly Impaired Amount
This is the value of all exposures of the reporting party that give rise to counterparty credit risk, determined in accordance with the relevant prudential standards, where the estimates of future interest income are zero and no specific provision for impairment has been raised in respect of it.
Financial Risk Credit Credit Exposures Non Accrual Without Provisions Amount
This is the value of all exposures of the reporting party that give rise to counterparty credit risk, determined in accordance with the relevant prudential standards, where the estimates of future interest income are zero; no specific provision for impairment has been raised in respect of it; and the reporting party is receiving full contractual payments.
Financial Risk Credit Credit Exposures Non Accrual Without Provisions Full Performance Amount
This is the amount of any income forgone during the relevant period from all exposures of the reporting party that give rise to counterparty credit risk, determined in accordance with the relevant prudential standards, where the estimates of future interest income are zero; no specific provision for impairment has been raised in respect of it; and the reporting party is receiving full contractual payments.
Income forgone is the difference between what the reporting party would have received had the exposure performed as expected and that income actually received.
Financial Risk Credit Credit Exposures Non Accrual Without Provisions Full Performance Income Forgone Amount
This is the amount of any income forgone during the relevant period from all exposures of the reporting party that give rise to counterparty credit risk, determined in accordance with the relevant prudential standards, where the estimates of future interest income are zero and no specific provision for impairment has been raised in respect of it.
Income forgone is the difference between what the reporting party would have received had the exposure performed as expected and that income actually received.
Financial Risk Credit Credit Exposures Non Accrual Without Provisions Income Forgone Amount
This is the value of all exposures of the reporting party that give rise to counterparty credit risk, determined in accordance with the relevant prudential standards, where the estimates of future interest income are zero; no specific provision for impairment has been raised in respect of it; and the reporting party is receiving no, or only sporadic, payments.
Financial Risk Credit Credit Exposures Non Accrual Without Provisions No Performance Amount
This is the amount of any income forgone during the relevant period from all exposures of the reporting party that give rise to counterparty credit risk, determined in accordance with the relevant prudential standards, where the estimates of future interest income are zero; no specific provision for impairment has been raised in respect of it; and the reporting party is receiving no, or only sporadic, payments.
Income forgone is the difference between what the reporting party would have received had the exposure performed as expected and that income actually received.
Financial Risk Credit Credit Exposures Non Accrual Without Provisions No Performance Income Forgone Amount
This is the value of all exposures of the reporting party that give rise to counterparty credit risk, determined in accordance with the relevant prudential standards, where the estimates of future interest income are zero; no specific provision for impairment has been raised in respect of it; and the reporting party is receiving only partial payments relative to the contractual obligations.
Financial Risk Credit Credit Exposures Non Accrual Without Provisions Partial Performance Amount
This is the amount of any income forgone during the relevant period from all exposures of the reporting party that give rise to counterparty credit risk, determined in accordance with the relevant prudential standards, where the estimates of future interest income are zero; no specific provision for impairment has been raised in respect of it; and the reporting party is receiving only partial payments relative to the contractual obligations.
Income forgone is the difference between what the reporting party would have received had the exposure performed as expected and that income actually received.
Financial Risk Credit Credit Exposures Non Accrual Without Provisions Partial Performance Income Forgone Amount
This is the total value of security held in relation to all exposures of the reporting party that give rise to counterparty credit risk, determined in accordance with the relevant prudential standards, where the estimates of future interest income are zero and no specific provision for impairment has been raised in respect of it.
Financial Risk Credit Credit Exposures Non Accrual Without Provisions Security Held Amount
This is the value of all exposures of the reporting party that give rise to counterparty credit risk, determined in accordance with the relevant prudential standards, where the estimates of future interest income are zero and a specific provision for impairment has been raised in respect of it.
Financial Risk Credit Credit Exposures Non Accrual With Provisions Amount
This is the value of all exposures of the reporting party that give rise to counterparty credit risk, determined in accordance with the relevant prudential standards, where the estimates of future interest income are zero; a specific provision for impairment has been raised in respect of it; and the reporting party is receiving full contractual payments.
Financial Risk Credit Credit Exposures Non Accrual With Provisions Full Performance Amount
This is the value of the provision for impairment in relation to all exposures of the reporting party that give rise to counterparty credit risk, determined in accordance with the relevant prudential standards, where the estimates of future interest income are zero; a specific provision for impairment has been raised in respect of it; and the reporting party is receiving full contractual payments.
Financial Risk Credit Credit Exposures Non Accrual With Provisions Full Performance Impairment Amount
This is the amount of any income forgone during the relevant period from all exposures of the reporting party that give rise to counterparty credit risk, determined in accordance with the relevant prudential standards, where the estimates of future interest income are zero; a specific provision for impairment has been raised in respect of it; and the reporting party is receiving full contractual payments.
Income forgone is the difference between what the reporting party would have received had the exposure performed as expected and that income actually received.
Financial Risk Credit Credit Exposures Non Accrual With Provisions Full Performance Income Forgone Amount
This is the value of the provision for impairment in relation to all exposures of the reporting party that give rise to counterparty credit risk, determined in accordance with the relevant prudential standards, where the estimates of future interest income are zero.
Financial Risk.Credit Credit Exposures Non Accrual With Provisions Impairment Amount
This is the amount of any forgone received during the relevant period from all exposures of the reporting party that give rise to counterparty credit risk, determined in accordance with the relevant prudential standards, where the estimates of future interest income are zero and a specific provision for impairment has been raised in respect of it.
Income forgone is the difference between what the reporting party would have received had the exposure performed as expected and that income actually received.
Financial Risk Credit Credit Exposures Non Accrual With Provisions Income Forgone Amount
This is the value of all exposures of the reporting party that give rise to counterparty credit risk, determined in accordance with the relevant prudential standards, where the estimates of future interest income are zero; a specific provision for impairment has been raised in respect of it; and the reporting party is receiving no, or only sporadic, payments.
Financial Risk Credit Credit Exposures Non Accrual With Provisions No Performance Amount
This is the value of the provisions for impairment in relation to all exposures of the reporting party that give rise to counterparty credit risk, determined in accordance with the relevant prudential standards, where the estimates of future interest income are zero; a specific provision for impairment has been raised in respect of it; and the reporting party is receiving no, or only sporadic, payments.
Financial Risk Credit Credit Exposures Non Accrual With Provisions No Performance Impairment Amount
This is the amount of any income forgone during the relevant period from all exposures of the reporting party that give rise to counterparty credit risk, determined in accordance with the relevant prudential standards, where the estimates of future interest income are zero; a specific provision for impairment has been raised in respect of it; and the reporting party is receiving no, or only sporadic, payments.
Income forgone is the difference between what the reporting party would have received had the exposure performed as expected and that income actually received.
Financial Risk Credit Credit Exposures Non Accrual With Provisions No Performance Income Forgone Amount
This is the value of all exposures of the reporting party that give rise to counterparty credit risk, determined in accordance with the relevant prudential standards, where the estimates of future interest income are zero; a specific provision for impairment has been raised in respect of it; and the reporting party is receiving only partial payments relative to the contractual obligations.
Financial Risk Credit Credit Exposures Non Accrual With Provisions Partial Performance Amount
This is the value of the provision for impairment in relation to all exposures of the reporting party that give rise to counterparty credit risk, determined in accordance with the relevant prudential standards, where the estimates of future interest income are zero; a specific provision for impairment has been raised in respect of it; and the reporting party is receiving only partial payments relative to the contractual obligations.
Financial Risk Credit Credit Exposures Non Accrual With Provisions Partial Performance Impairment Amount
This is the amount of any income forgone during the relevant period from all exposures of the reporting party that give rise to counterparty credit risk, determined in accordance with the relevant prudential standards, where the estimates of future interest income are zero; a specific provision for impairment has been raised in respect of it; and the reporting party is receiving only partial payments relative to the contractual obligations.
Income forgone is the difference between what the reporting party would have received had the exposure performed as expected and that income actually received.
Financial Risk Credit Credit Exposures Non Accrual With Provisions Partial Performance Income Forgone Amount
This is the total value of any security held in relation to all exposures of the reporting party that give rise to counterparty credit risk, determined in accordance with the relevant prudential standards, where the estimates of future interest income are zero and a specific provision for impairment has been raised in respect of it.
Financial Risk Credit Credit Exposures Non Accrual With Provisions Security Held Amount
This is the value of all real estate acquired by the reporting party in full or partial settlement of a loan or similar facility through enforcement of security arrangements. This category excludes property controlled under 'mortgagee in possession' rights.
Financial Risk Credit Credit Exposures OREO Amount
This is the value of the provision for impairment in relation to all real estate acquired by the reporting party in full or partial settlement of a loan or similar facility through enforcement of security arrangements. This category excludes property controlled under 'mortgagee in possession' rights.
Financial Risk Credit Credit Exposures OREO Impairment Amount
This is the amount of any income forgone during the relevant period from all real estate acquired by the reporting party in full or partial settlement of a loan or similar facility through enforcement of security arrangements. This category excludes property controlled under 'mortgagee in possession' rights.
Income forgone is the difference between what the reporting party would have received had the exposure performed as expected and that income actually received.
Financial Risk Credit Credit Exposures OREO Income Forgone Amount
This is the value of all assets other than real estate acquired by the reporting party in full or partial settlement of a loan or similar facility through enforcement of security arrangements.
Financial Risk Credit Credit Exposures Other Assets Amount
This is the value of the provision for impairment in relation to all assets other than real estate acquired by the reporting party in full or partial settlement of a loan or similar facility through enforcement of security arrangements.
Financial Risk Credit Credit Exposures Other Assets Impairment Amount
This is the amount of any income forgone during the relevant period from all assets other than real estate acquired by the reporting party in full or partial settlement of a loan or similar facility through enforcement of security arrangements.
Income forgone is the difference between what the reporting party would have received had the exposure performed as expected and that income actually received.
Financial Risk Credit Credit Exposures Other Assets Income Forgone Amount
This is a balancing item in the list in which it is being used.
This is the value, as at the relevant date, of all other exposures of the reporting party that give rise to counterparty credit risk, as determined in accordance with the relevant prudential standards, as required to be reported on forms ARF_220_0_L and ARF_220_0_C.
Financial Risk Credit Credit Exposures Personal Other ARF 220 0 Amount
This is the outstanding balance of accounts at the relevant date classified and measured by the reporting party as Category One, Two, Three or Four facilities in accordance with the Prescribed Provisioning methodology outlined in the relevant prudential standards.
Financial Risk Credit Credit Exposures Prescribed Provisioning Facilities Amount
This is the number of accounts at the relevant date classified by the reporting party as Category One, Two, Three or Four facilities in accordance with the Prescribed Provisioning methodology outlined in the relevant prudential standards.
Financial Risk Credit Credit Exposures Prescribed Provisioning Facilities Count
This is the value of all exposures of the reporting party that give rise to counterparty credit risk, determined in accordance with the relevant prudential standards, where:
(a) the estimates of future interest income are not zero;
(b) no specific provision for impairment has been raised in respect of it; and
(c) the original contractual terms have been modified via a formal (written) agreement to provide for concessions of interest or principal for reasons related to the financial difficulties of the counterparty, rendering the facility non-commercial to the reporting party. In considering whether a facility is non-commercial, the reporting party needs to consider whether it would extend credit on similar terms and conditions to a new counterparty exhibiting similar risk characteristics.
Financial Risk Credit Credit Exposures Restructured Without Provisions Amount
This is the amount of any income forgone during the relevant period from all exposures of the reporting party that give rise to counterparty credit risk, determined in accordance with the relevant prudential standards, where:
(a) the estimates of future interest income are not zero;
(b) no specific provision for impairment has been raised in respect of it; and
(c) the original contractual terms have been modified via a formal (written) agreement to provide for concessions of interest or principal for reasons related to the financial difficulties of the counterparty, rendering the facility non-commercial to the reporting party. In considering whether a facility is non-commercial, the reporting party needs to consider whether it would extend credit on similar terms and conditions to a new counterparty exhibiting similar risk characteristics.
Income forgone is the difference between what the reporting party would have received had the exposure performed as expected and that income actually received.
Financial Risk Credit Credit Exposures Restructured Without Provisions Income Forgone Amount
This is the total value of security held in relation to all exposures of the reporting party that give rise to counterparty credit risk, determined in accordance with the relevant prudential standards, where:
(a) the estimates of future interest income are not zero;
(b) no specific provision for impairment has been raised in respect of it; and
(c) the original contractual terms have been modified via a formal (written) agreement to provide for concessions of interest or principal for reasons related to the financial difficulties of the counterparty, rendering the facility non-commercial to the reporting party. In considering whether a facility is non-commercial, the reporting party needs to consider whether it would extend credit on similar terms and conditions to a new counterparty exhibiting similar risk characteristics.
Financial Risk Credit Credit Exposures Restructured Without Provisions Security Held Amount
This is the value of all exposures of the reporting party that give rise to counterparty credit risk, determined in accordance with the relevant prudential standards, where:
(a) the estimates of future interest income are not zero;
(b) a specific provision for impairment has been raised in respect of it; and
(c) the original contractual terms have been modified via a formal (written) agreement to provide for concessions of interest or principal for reasons related to the financial difficulties of the counterparty, rendering the facility non-commercial to the reporting party. In considering whether a facility is non-commercial, the reporting party needs to consider whether it would extend credit on similar terms and conditions to a new counterparty exhibiting similar risk characteristics.
Financial Risk Credit Credit Exposures Restructured With Provisions Amount
This is the value of the provision for impairment in relation to all exposures of the reporting party that give rise to counterparty credit risk, determined in accordance with the relevant prudential standards, where:
(a) the estimates of future interest income are not zero;
(b) a specific provision for impairment has been raised in respect of it; and
(c) the original contractual terms have been modified via a formal (written) agreement to provide for concessions of interest or principal for reasons related to the financial difficulties of the counterparty, rendering the facility non-commercial to the reporting party. In considering whether a facility is non-commercial, the reporting party needs to consider whether it would extend credit on similar terms and conditions to a new counterparty exhibiting similar risk characteristics.
Financial Risk Credit Credit Exposures Restructured With Provisions Impairment Amount
This is the amount of any income forgone during the relevant period from all exposures of the reporting party that give rise to counterparty credit risk, determined in accordance with the relevant prudential standards, where:
(a) the estimates of future interest income are not zero;
(b) a specific provision for impairment has been raised in respect of it; and
(c) the original contractual terms have been modified via a formal (written) agreement to provide for concessions of interest or principal for reasons related to the financial difficulties of the counterparty, rendering the facility non-commercial to the reporting party. In considering whether a facility is non-commercial, the reporting party needs to consider whether it would extend credit on similar terms and conditions to a new counterparty exhibiting similar risk characteristics.
Income forgone is the difference between what the reporting party would have received had the exposure performed as expected and that income actually received.
Financial Risk Credit Credit Exposures Restructured With Provisions Income Forgone Amount
This is the total value of security held in relation to all exposures of the reporting party that give rise to counterparty credit risk, determined in accordance with the relevant prudential standards, where:
(a) the estimates of future interest income are not zero;
(b) a specific provision for impairment has been raised in respect of it; and
(c) the original contractual terms have been modified via a formal (written) agreement to provide for concessions of interest or principal for reasons related to the financial difficulties of the counterparty, rendering the facility non-commercial to the reporting party. In considering whether a facility is non-commercial, the reporting party needs to consider whether it would extend credit on similar terms and conditions to a new counterparty exhibiting similar risk characteristics.
Financial Risk Credit Credit Exposures Restructured With Provisions Security Held Amount
This is the past due amount of all credit facilities as at the relevant date.
The past due amount is calculated as:
(1) if the facility is not subject to a regular repayment schedule it is the amount that has remained continuously outside contractual or approved arrangements; or
(2) if the facility is subject to a regular repayment schedule then it is the total amount of contractual payments that remain unpaid beyond their due dates.
Financial Risk Credit Credit Facilities Past Due Amount
This is a balancing item in the list in which it is being used.
This is the value, as at the relevant date, of other past due amounts of the reporting party, as required to be reported on Part 2B of forms ARF_220_0_L and ARF_220_0_C.
Financial Risk Credit Credit Facilities Past Due Other ARF 220 0 Part2B Amount
This is the value, as at the relevant date, of bills that have been endorsed under bill endorsement lines, but have not been accepted by, or have the prior endorsement of, another ADI. Report only bills that constitute direct credit substitutes.
A direct credit substitute is any irrevocable off-balance sheet obligation that carries the same credit risk as a direct extension of credit, such as an undertaking to make a payment to a third party in the event that a counterparty fails to meet a financial obligation, or an undertaking to a counterparty to acquire a potential claim on another party in the event of default by that party (i.e. the risk of loss depends on the creditworthiness of the counterparty or the party on that a potential claim is acquired).
Financial Risk Credit Direct Credit Substitutes Bill Endorsements Amount
This is the value, as at the relevant date, of guarantees that constitute direct credit substitutes.
A guarantee is a pledge or agreement to be responsible for another party's debt or contractual performance if that other party does not pay or perform.
A direct credit substitute is any irrevocable off-balance sheet obligation that carries the same credit risk as a direct extension of credit, such as an undertaking to make a payment to a third party in the event that a counterparty fails to meet a financial obligation, or an undertaking to a counterparty to acquire a potential claim on another party in the event of default by that party (i.e. the risk of loss depends on the creditworthiness of the counterparty or the party on that a potential claim is acquired).
Financial Risk Credit Direct Credit Substitutes Guarantees Amount
This is a balancing item in the list in which it is being used.
This is the value, as at the relevant date, of any potential credit exposures arising from the issue of direct credit substitutes which are not classified as any of the following:
- Guarantees;
- Credit derivatives - sold protection in the banking book;
- Standby letters of credit; or
- Bill endorsements.
A direct credit substitute is any irrevocable off-balance sheet obligation that carries the same credit risk as a direct extension of credit, such as an undertaking to make a payment to a third party in the event that a counterparty fails to meet a financial obligation, or an undertaking to a counterparty to acquire a potential claim on another party in the event of default by that party, constitutes a direct credit substitute (i.e. the risk of loss depends on the creditworthiness of the counterparty or the party on that a potential claim is acquired).
Financial Risk Credit Direct Credit Substitutes Other Amount
This is the value, as at the relevant date, of standby letters of credit on issue that are serving as financial guarantees for loans, securities and any other financial liabilities. Report only standby letters of credit that constitute direct credit substitutes.
A direct credit substitute is any irrevocable off-balance sheet obligation that carries the same credit risk as a direct extension of credit, such as an undertaking to make a payment to a third party in the event that a counterparty fails to meet a financial obligation, or an undertaking to a counterparty to acquire a potential claim on another party in the event of default by that party (i.e. the risk of loss depends on the creditworthiness of the counterparty or the party on that a potential claim is acquired).
Financial Risk Credit Direct Credit Substitutes Standby Letters Of Credit Amount
This is the value, as at the relevant date, of discounts on defaulted assets that form part of the reporting party's total eligible provisions. This is on an after-tax basis and net of any associated deferred tax assets (DTA).
This item is calculated for capital adequacy purposes and is to be determined in accordance with relevant prudential standards.
Financial Risk Credit Discounts On Defaulted Assets Net Of Deferred Tax Assets Amount
This is the value, as at the relevant date, of eligible collateral provided to the reporting party, as determined in accordance with relevant prudential standard.
Eligible collateral includes any form of security that supports the value of assets held by the reporting party other than guarantees and letters of credit.
Financial Risk Credit Eligible Collateral Amount
This is the value, as at the relevant date, of investment risk charge rebate in relation to eligible collateral, guarantees or letters of credit provided to the reporting party, as determined in accordance with relevant prudential standard.
Eligible collateral includes any form of security that supports the value of assets held by the reporting party other than guarantees and letters of credit.
Financial Risk Credit Eligible Collateral Guarantees Letters Of Credit Rebate Investment Risk Charge Amount
This is the value, as at the relevant date, of investment risk charge rebate in relation to eligible collateral provided to the reporting party, as determined in accordance with relevant prudential standard.
Eligible collateral includes any form of security that supports the value of assets held by the reporting party other than guarantees and letters of credit.
Financial Risk Credit Eligible Collateral Rebate Investment Risk Charge Amount
This is the value, as at the relevant date, of eligible provisions. This is on an after-tax basis and net of any associated deferred tax assets (DTA).
This item represents the sum of, where applicable, credit-related provisions, partial write-offs and discounts on defaulted assets.
This item is calculated for capital adequacy purposes and is to be determined in accordance with relevant prudential standards.
Financial Risk Credit Eligible Provisions Net Of Deferred Tax Assets Amount
This is the value, as at the relevant date, of equity exposures.
Equity exposures are defined according to the economic substance of the instrument. This includes both direct and indirect ownership interests, whether voting or non-voting, in the assets and income of a commercial enterprise or financial institutions, and holdings of units in unit trusts.
Exclude equity securities:
- which are deducted from capital for capital adequacy purposes; and
- held in the reporting party's trading book, with the exception of those exposures that give rise to counterparty credit risk.
Short positions held in the banking book are permitted to offset long positions in the same individual equities provided that these instruments have been explicitly designated as hedges of specific equity holdings and that they have remaining maturities of at least one year.
Financial Risk Credit Equity Exposures Amount
This is the value, as at the relevant date, of expected losses (EL) arising from both on-balance sheet and off-balance sheet credit exposures (refer APS 113).
This item is reported for capital adequacy purposes and is to be determined in accordance with relevant prudential standards.
Financial Risk Credit Expected Losses Amount
This is the value, as at the relevant date, of credit exposures, before required APRA adjustments.
A credit exposure represents asset, liability, claim or commitment of an entity, which may be recorded on or off the balance sheet and which gives rise to credit risk.
Financial Risk Credit Exposures Amount
This is the value, as at the relevant date, of any other adjustments to credit exposures, as required by APRA .
A credit exposure represents asset, liability, claim or commitment of an entity, which may be recorded on or off the balance sheet and which gives rise to credit risk.
Financial Risk Credit Exposures APRA Other Adjustments Amount
This is the value, as at the relevant date, of exposures arising from undrawn eligible facilities, excluding eligible servicer cash advance facilities and applicable revolving facilities.
Revolving facility exposures are exposures arising from redrawable facilities, other than exposures in the nature of redrawable home loans where the amounts likely to be redrawn are expected to be immaterial relative to the size of the pool. Revolving facilities are only applicable to this item where the reporting party transfers a pool of revolving exposures into a securitisation that contains an early amortisation provision.
Financial Risk Credit Exposures Eligible Facilities Excl Servicer Cash Advance And Revolving With Early Amortisation Amount
This is the value, as at the relevant date, of credit exposures excluding those related to applicable revolving facilities.
Revolving facility exposures are exposures arising from redrawable facilities, other than exposures in the nature of redrawable home loans where the amounts likely to be redrawn are expected to be immaterial relative to the size of the pool. Revolving facilities are only applicable to this item where the reporting party transfers a pool of revolving exposures into a securitisation that contains an early amortisation provision, as determined in accordance with relevant prudential standards.
A credit exposure represents an asset, liability, claim or commitment of an entity, which may be recorded on or off the balance sheet and which gives rise to credit risk.
Financial Risk Credit Exposures Excl Revolving Facilities With Early Amortisation Provision Amount
This is the value, as at the relevant date, of credit exposures (on and off-balance sheet) excluding those related to revolving facilities with early amortisation provisions.
Revolving facility exposures are exposures arising from redrawable facilities, other than exposures in the nature of redrawable home loans where the amounts likely to be redrawn are expected to be immaterial relative to the size of the pool. Revolving facilities are excluded from this item where the reporting party transfers a pool of revolving exposures into a securitisation that contains an early amortisation provision.
A credit exposure represents an asset, liability, claim or commitment of an entity, which may be recorded on or off the balance sheet and which gives rise to credit risk.
Only report 50% of the resulting amount at this item.
Financial Risk Credit Exposures Excl Revolving Facilities With Early Amortisation Provision 50 Percent Amount
This is the value, as at the relevant date, of credit exposures excluding the following:
- those related to applicable revolving facilities, being exposures arising from redrawable facilities, other than exposures in the nature of redrawable home loans where the amounts likely to be redrawn are expected to be immaterial relative to the size of the pool;
- the most senior exposure in a securitisation (e.g. the most senior tranche of securities issued by the SPV or an obligation under a facility that ranks ahead of the first tranche);
- asset-backed commercial paper securitisation (i.e. where the securities issued are predominantly commercial paper with an original maturity of one year or less) exposures in a second loss, or better, position;
- undrawn eligible facilities; and
- undrawn eligible servicer cash facilities.
Revolving facilities are only applicable to this item where the reporting party transfers a pool of revolving exposures into a securitisation that contains an early amortisation provision.
A credit exposure represents asset, liability, claim or commitment of an entity, which may be recorded on or off the balance sheet and which gives rise to credit risk.
Financial Risk Credit Exposures Excl Revolving Facilities With Early Amortisation Provision And Other Exceptions Amount
This is the value, as at the relevant date, of credit exposures (on and off-balance sheet) excluding the following:
- those related to revolving facilities, being exposures arising from redrawable facilities, other than exposures in the nature of redrawable home loans where the amounts likely to be redrawn are expected to be immaterial relative to the size of the pool;
- the most senior exposure in a securitisation (e.g. the most senior tranche of securities issued by the SPV or an obligation under a facility that ranks ahead of the first tranche);
- asset-backed commercial paper securitisation (i.e. where the securities issued are predominantly commercial paper with an original maturity of one year or less) exposures in a second loss, or better, position;
- undrawn eligible facilities; and
- undrawn eligible servicer cash facilities.
Only exclude those revolving facility exposures where the reporting party has transferred a pool of the revolving exposures into a securitisation that contains an early amortisation provision.
A credit exposure represents asset, liability, claim or commitment of an entity, which may be recorded on or off the balance sheet and which gives rise to credit risk.
Only report 50% of the resulting amount at this item.
Financial Risk Credit Exposures Excl Revolving Facilities With Early Amortisation Provision And Other Exceptions 50 Percent Amount
This is the value, as at the relevant date, of credit exposures (on and off-balance sheet), other than those arising from the following:
- senior positions and eligible senior exposures to facilities;
- tranches backed by non-granular pools; or
- those relating to revolving facilities.
A credit exposure represents an asset, liability, claim or commitment of an entity, which may be recorded on or off the balance sheet and which gives rise to credit risk.
Revolving facility exposures are those exposures arising from redrawable facilities, other than exposures in the nature of redrawable home loans where the amounts likely to be redrawn are expected to be immaterial relative to the size of the pool. Only exclude those revolving facility exposures where the reporting party has transferred a pool of the revolving exposures into a securitisation that contains an early amortisation provision.
Financial Risk Credit Exposures Excl Senior Positions Eligible Senior Facilities And Tranches Backed By Non Granular Pools And Revolving Facilities With Early Amortisation Provision Amount
This is the value, as at the relevant date, of credit exposures, excluding assets included in the equity IRB asset class.
A credit exposure represents an asset, liability, claim or commitment of an entity, which may be recorded on or off the balance sheet and which gives rise to credit risk.
This item is reported for capital adequacy purposes and is to be determined under the Internal-Ratings-based approach to credit risk in accordance with relevant prudential standards.
Financial Risk Credit Exposures Excluding Equity IRB Approach Amount
This is the value, as at the relevant date, of leases that expose the reporting party to residual value risk, excluding discounted lease payment streams.
This item is reported as part of the credit risk component for capital adequacy purposes and is to be determined in accordance with relevant prudential standards.
Financial Risk Credit Exposures Leases Residual Value Risk Amount
This is the value, as at the relevant date, of credit exposures (on and off-balance sheet) arising from the following:
- the most senior exposure in a securitisation (e.g. the most senior tranche of securities issued by the SPV or an obligation under a facility that ranks ahead of the first tranche);
- asset-backed commercial paper securitisation (i.e. where the securities issued are predominantly commercial paper with an original maturity of one year or less) exposures in a second loss, or better, position.
Financial Risk Credit Exposures Most Senior And ABCP Securitisations Amount
This is the balancing item in the list in which it is being used.
This is the value of all other exposures for the purposes of form ARF_113_4.
This item is reported for capital adequacy purposes and is to be determined in accordance with relevant prudential standards.
Financial Risk Credit Exposures Other ARF 113 4 Amount
This is the value, as at the relevant date, of exposures (on and off balance sheet) arising from revolving facilities, being exposures arising from redrawable facilities, other than exposures in the nature of redrawable home loans where the amounts likely to be redrawn are expected to be immaterial relative to the size of the pool.
Revolving facilities are only applicable to this item where the reporting party transfers a pool of revolving exposures into a securitisation that contains an early amortisation provision.
Financial Risk Credit Exposures Revolving With Early Amortisation Excl Immaterial Home Loans Amount
This is the value, as at the relevant date, of credit exposures arising from the following:
- the most senior exposure in a securitisation (e.g. the most senior tranche of securities issued by the SPV or an obligation under a facility that ranks ahead of the first tranche);
- asset-backed commercial paper securitisation (i.e. where the securities issued are predominantly commercial paper with an original maturity of one year or less) exposures in a second loss, or better, position;
- undrawn facilities; and
- undrawn servicer cash facilities.
This item excludes those exposures related to applicable revolving facilities, being exposures arising from redrawable facilities, other than exposures in the nature of redrawable home loans where the amounts likely to be redrawn are expected to be immaterial relative to the size of the pool. Revolving facilities are only applicable to this item where the reporting party transfers a pool of revolving exposures into a securitisation that contains an early amortisation provision.
A credit exposure represents asset, liability, claim or commitment of an entity, which may be recorded on or off the balance sheet and which gives rise to credit risk.
Financial Risk Credit Exposures Senior And ABCP Securitisation And Eligible Facilities Excl Revolving Early Amortisation Amount
This is the value, as at the relevant date, of credit exposures (on and off-balance sheet) arising from senior positions and, where applicable, eligible senior exposures to facilities, excluding those relating to revolving facilities.
An exposure is treated as a senior tranche if it is effectively secured by a first claim on the entire amount of the exposures in the pool. For this purpose, the reporting party does not have to take into consideration taxes and similar imposts, fees to service providers, amounts due under interest rate swaps, currency swaps or eligible servicer cash advances.
A credit exposure represents an asset, liability, claim or commitment of an entity, which may be recorded on or off the balance sheet and which gives rise to credit risk.
Revolving facility exposures are those exposures arising from redrawable facilities, other than exposures in the nature of redrawable home loans where the amounts likely to be redrawn are expected to be immaterial relative to the size of the pool. Only exclude those revolving facility exposures where the reporting party has transferred a pool of the revolving exposures into a securitisation that contains an early amortisation provision.
Financial Risk Credit Exposures Senior Positions And Eligible Senior Facilities Excl Revolving Facilities With Early Amortisation Provision Amount
This is the value, as at the relevant date, of exposures arising from undrawn servicer cash advance facilities, excluding applicable revolving facilities.
Revolving facility exposures are exposures arising from redrawable facilities, other than exposures in the nature of redrawable home loans where the amounts likely to be redrawn are expected to be immaterial relative to the size of the pool. Revolving facilities are only applicable to this item where the reporting party transfers a pool of revolving exposures into a securitisation that contains an early amortisation provision.
Financial Risk Credit Exposures Servicer Cash Advance Facilities Excl Revolving With Early Amortisation Amount
This is the value, as at the relevant date, of credit exposures (on and off-balance sheet) arising from tranches backed by non-granular pools, excluding those relating to revolving facilities.
A credit exposure represents an asset, liability, claim or commitment of an entity, which may be recorded on or off the balance sheet and which gives rise to credit risk.
Revolving facility exposures are those exposures arising from redrawable facilities, other than exposures in the nature of redrawable home loans where the amounts likely to be redrawn are expected to be immaterial relative to the size of the pool. Only exclude those revolving facility exposures where the reporting party has transferred a pool of the revolving exposures into a securitisation that contains an early amortisation provision.
Financial Risk Credit Exposures Tranches Backed By Non Granular Pools Excl Revolving Facilities With Early Amortisation Provision Amount
This is, as at the relevant date, the exposure weighted average firm size of credit exposures.
This item is calculated for capital adequacy purposes and is to be determined in accordance with relevant prudential standards.
Weighted average firm size = SIGMAi Salesi x EADi / SIGMAi EADi
Where:
Salesi = the level of annual sales associated with the ith exposure.
EADi = the exposure at default(EAD) associated with the ith exposure.
A credit exposure represents an asset, liability, claim or commitment of an entity, which may be recorded on or off the balance sheet and which gives rise to credit risk.
Financial Risk Credit Exposures Weighted Average Firm Size Amount
This is, as at the relevant date, the exposure weighted average loss given default (LGD) of credit exposures.
This item is calculated for capital adequacy purposes and is to be determined risk in accordance with relevant prudential standards.
Weighted average LGD = SIGMAi LGDi x EADi / SIGMAi EADi
Where:
LGDi = the LGD associated with the ith exposure in the group.
EADi = the EAD associated with the ith exposure in the group.
Loss given default (LGD) represents an entities economic loss upon the default of an obligor.
A credit exposure represents an asset, liability, claim or commitment of an entity, which may be recorded on or off the balance sheet and which gives rise to credit risk.
Financial Risk Credit Exposures Weighted Average LGD Percent
As at the relevant date, report in years the exposure weighted average effective maturity (M) of credit exposures.
This item is reported for capital adequacy purposes and is to be determined in accordance with relevant prudential standards.
Weighted average maturity = SIGMAi Mi x EADi / SIGMAi EADi
Where:
Mi = the maturity associated with the ith exposure in the group.
EADi = the EAD associated with the ith exposure in the group.
A credit exposure represents an asset, liability, claim or commitment of an entity, which may be recorded on or off the balance sheet and which gives rise to credit risk.
Financial Risk Credit Exposures Weighted Average Maturity Number
This is, as at the relevant date, the exposure weighted average probability of default (PD) for on-balance sheet and off-balance sheet credit exposures.
Probability of default (PD) represents the risk of obligor default.
A credit exposure represents an asset, liability, claim or commitment of an entity, which may be recorded on or off the balance sheet and which gives rise to credit risk.
This item is calculated for capital adequacy purposes and is to be determined in accordance with relevant prudential standards.
Financial Risk Credit Exposures Weighted Average PD Percent
This is the value, as at the relevant date, of investments in fixed or operational assets. The measurement and classification basis used is to be in accordance with relevant accounting standards.
For the purpose of this item include property held for both operational and investment purposes.
Financial Risk Credit Fixed Assets Including Investment Property Amount
This is the value, as at the relevant date, of fixed or operational assets held by the reporting party. The measurement and classification basis used is to be in accordance with the accounting standards.
For the purpose of this item include property held for both operational and investment purposes, and claims on fixed assets under operating leases.
This item is reported as part of the credit risk component for capital adequacy purposes and is to be determined in accordance with relevant prudential standards.
Financial Risk Credit Fixed Assets Including Investment Property And Assets Under Operating Leases Amount
This is the value, as at the relevant date, of General Reserve for Credit Losses (GRCL), net of tax. Any deferred tax assets (DTA) associated with the collective provisions eligible to be included in the GRCL must be removed.
General Reserve for Credit Losses represents a reserve established that, as a minimum, covers credit losses prudently estimated but not certain to arise over the full life of all the individual facilities making up the business of an entity. GRCL is to be determined in accordance with Prudential Standard APS 220.
Financial Risk Credit General Reserve For Credit Losses Amount
This is the value, as at the relevant date, of investment risk charge rebate in relation to guarantees or letters of credit provided to the reporting party, as determined in accordance with relevant prudential standard.
Financial Risk Credit Guarantees Letters Of Credit Rebate Investment Risk Charge Amount
This is the value, as at the relevant date, of guarantees and standby letters of credit provided to the reporting party, as determined in accordance with relevant prudential standard.
A guarantee is a pledge or agreement to be responsible for another party's debt or contractual performance if that other party does not pay or perform.
A standby letter of credit is an irrevocable undertaking given by a third party to pay an amount owing to the reporting party should the original counterparty default.
Financial Risk Credit Guarantees Letters Of Credit Received Amount
This is the value of the High Quality Liquid Assets (HQLA) Adjusted Liability Base determined in accordance with prudential standards.
This is calculated as the Total Liabilities plus Shareholders Equity as determined in accordance with accounting standards; less the Eligible Capital Base; plus Off Balance Sheet Irrevocable Commitments.
The Eligible Capital Base is comprised of the Total Capital Base as determined in accordance with prudential standards; less the value of Adjusted HQLA Placements.
Adjusted HQLA Placements are calculated as follows:
If the total deposits placed with the reporting party by other Approved Deposit-taking Institutions (ADIs) exceed the amount of total deposits the reporting party has placed with ADIs, then this amount is the total deposits the reporting party has placed with other ADIs (i.e. deposit assets), otherwise it is the total deposits placed with the reporting party (i.e. deposit liabilities) by other ADIs.
Off Balance Sheet Irrevocable Commitments comprise the following:
- the value, as at the relevant date, of any potential credit exposures arising from direct credit substitutes, which are irrevocable off-balance sheet obligations that carry the same credit risk as a direct extension of credit, such as an undertaking to make a payment to a third party in the event that a counterparty fails to meet a financial obligation;
- the value, as at the relevant date, of any potential credit exposures arising from trade-related contingencies, which are contingent liabilities arising from a trade-related obligation that is secured against an underlying shipment of goods for both issuing and confirming parties;
- the value, as at the relevant date, of any potential credit exposures arising from performance-related contingencies, which represent contingent liabilities involving an irrevocable obligation to pay a third party in the event that a counterparty fails to fulfil or perform a contractual non-monetary obligation, such as delivery of goods by a specified date, (i.e. the risk of loss depends on a future event that is not directly related to the creditworthiness of the counterparty involved);
- the value, as at the relevant date, of any potential credit exposures arising from sale and repurchase agreements ('Repos'), which represent arrangements whereby an entity sells a loan, security or other asset to another party with a commitment to repurchase the asset at an agreed price on an agreed future date;
- the value, as at the relevant date, of any potential credit exposures arising from assets sold with recourse, being asset sales (to the extent that such assets are not included on-balance sheet) by an entity where the holder of the asset is entitled to 'put' the asset back to the entity within an agreed period or under certain prescribed circumstances (e.g. deterioration in the value or credit quality of the asset concerned);
- the value, as at the relevant date, of any potential credit exposures arising from forward asset purchases deemed non-market-related off-balance sheet transactions. These are commitments to purchase at a specified future date, and on pre-arranged terms, a loan, security or other asset from another entity, including written put options on specified assets with the character of a credit enhancement;
- the value, as at the relevant date, of undrawn irrevocable commitments in the form of formal standby facilities and credit lines to the reporting party's customers and APRA industry support arrangements only. This represents the maximum unused portion of the commitment that could be drawn during the remaining period to maturity. This does not include standby facilities in place to support the reporting party's operations;
- the value, as at the relevant date, of overdraft facilities available to the reporting party; and
- the value, as at the relevant date, of undrawn irrevocable non-market-related commitments available for redraw under redraw facilities, but which are not certain of drawdown. This represents the maximum unused portion of the commitment that could be drawn during the remaining period to maturity but not does include amounts related to revolving credit facilities.
Financial Risk Credit HQLA Adjusted Liability Base Amount
This is the value of the High Quality Liquid Assets (HQLA) Ratio as at the relevant date determined in accordance with the relevant prudential standards.
Financial Risk Credit HQLA Ratio Percent
This is the value, as at the relevant date, of any potential credit exposures arising from the lending of securities or the posting of securities as collateral. This includes, but is not limited to, repurchase/reverse repurchase agreements and securities lending/borrowing transactions.
Financial Risk Credit Lending Of Securities Or Posting Of Securities As Collateral Standardised Approach Amount
This is the value, as at the relevant date, of investment risk charge rebate in relation to loans and advances made to directors of the reporting party, directors of entities related to the reporting party (as determined in accordance with relevant accounting standard) and spouses of these directors.
Financial Risk Credit Loans And Advances Rebate Investment Risk Charge Directors Amount
This is the value, as at the relevant date, of investment risk charge rebate in relation to loans and advances individually greater than AUD $1,000 made to employees of the reporting party.
Financial Risk Credit Loans And Advances Rebate Investment Risk Charge Employees Amount
This is the total value of any security held in relation to loans and advances receivable by the reporting party determined in accordance with the relevant accounting standards.
Loans and advances are those financial assets categorised as "Loans and receivables" in the accounting standards other than "Trade receivables" and "Cash".
Financial Risk Credit Loans And Advances Security Held Amount
This is the value of the lowest High Quality Liquid Assets (HQLA) Ratio, determined in accordance with the relevant prudential standards, that the reporting party maintained during the relevant period.
Financial Risk Credit Lowest HQLA Ratio Percent
This is the value of the reporting party's minimum targeted High Quality Liquid Assets (HQLA) Ratio as contained in its Liquidity Management Strategy.
Financial Risk Credit Minimum Targeted HQLA Ratio Percent
This is the value, as at the relevant date, of any potential credit exposures arising from forward asset purchases deemed non-market-related off-balance sheet transactions..
A forward asset purchase is a commitment to purchase at a specified future date, and on pre-arranged terms, a loan, security or other asset from another entity, including written put options on specified assets with the character of a credit enhancement.
For the purposes of this item, non-market-related off-balance sheet forward asset purchases exclude:
- commitments where the entity purchasing the asset has an unequivocal right to substitute cash settlement in place of accepting delivery of the asset, and the price on settlement is calculated with reference to a general market price indicator (and not to the financial condition of any specific entity). This is deemed a market-related off-balance sheet transaction; and
- written put options expressed in terms of market rates for currencies or financial instruments bearing no credit risk. This is also deemed a market-related off-balance sheet transaction.
Financial Risk Credit Non Market Related Forward Asset Purchases Amount
This is the value, as at the relevant date, of any potential credit exposures arising from note issuance and revolving underwriting facilities.
Note issuance and revolving underwriting facilities are off-balance sheet arrangements whereby a borrower may draw down funds up to a prescribed limit over a predefined period by making repeated note issues to the market, and where, should the issue prove unable to be placed in the market, the unplaced amount is to be taken up or funds made available by the reporting entity being committed as an underwriter of the facility.
Financial Risk Credit Note Issuance And Revolving Underwriting Facilities Amount
This is the value, as at the relevant date, of credit exposures arising from off-balance sheet business.
The measurement and classification basis used is to be determined in accordance with relevant prudential standards.
A credit exposure represents an asset, liability, claim or commitment of an entity, which may be recorded on or off the balance sheet and which gives rise to credit risk. For the purposes of this item, only report off-balance sheet credit exposures.
Financial Risk Credit Off Balance Sheet Business Amount
This is the value, as at the relevant date, of expected losses arising from off-balance sheet credit exposures.
This item is calculated for capital adequacy purposes and is to be determined in accordance with relevant prudential standards.
Financial Risk Credit Off Balance Sheet Expected Losses Amount
This is the value, as at the relevant date, of expected losses from off-balance sheet credit exposures arising from purchased receivables.
This item is reported for capital adequacy purposes and is to be determined in accordance with relevant prudential standards.
Financial Risk Credit Off Balance Sheet Expected Losses Purchased Receivables Amount
This is the value, as at the relevant date, of off-balance sheet credit exposures.
A credit exposure represents an asset, liability, claim or commitment of an entity, which may be recorded on or off the balance sheet and which gives rise to credit risk.
This item is calculated for capital adequacy purposes and is to be determined in accordance with relevant Prudential Standards.
Financial Risk Credit Off Balance Sheet Exposures Amount
This is, as at the relevant date, the exposure weighted average firm size of off-balance sheet credit exposures.
This item is reported for capital adequacy purposes and is to be determined in accordance with relevant prudential standards.
Weighted average firm size = SIGMAi Salesi x EADi / SIGMAi EADi
Where:
Salesi = the level of annual sales associated with the ith exposure.
EADi = the exposure at default(EAD) associated with the ith exposure.
A credit exposure represents an asset, liability, claim or commitment of an entity, which may be recorded on or off the balance sheet and which gives rise to credit risk.
Financial Risk Credit Off Balance Sheet Exposures Weighted Average Firm Size Amount
This is, as at the relevant date, the exposure weighted average loss given default (LGD) of off-balance sheet credit exposures.
This item is calculated for capital adequacy purposes and is to be determined in accordance with relevant prudential standards.
Weighted average LGD = SIGMAi LGDi x EADi / SIGMAi EADi
Where:
LGDi = the LGD associated with the ith exposure in the group.
EADi = the EAD associated with the ith exposure in the group.
Loss given default (LGD) represents an entities economic loss upon the default of an obligor.
A credit exposure represents an asset, liability, claim or commitment of an entity, which may be recorded on or off the balance sheet and which gives rise to credit risk.
Financial Risk Credit Off Balance Sheet Exposures Weighted Average LGD Percent
Report in years, as at the relevant date, the exposure weighted average effective maturity (M) of off-balance sheet credit exposures.
This item is reported for capital adequacy purposes and is to be in accordance with relevant prudential standards.
Weighted average maturity = SIGMAi Mi x EADi / SIGMAi EADi
Where:
Mi = the maturity associated with the ith exposure in the group.
EADi = the EAD associated with the ith exposure in the group.
A credit exposure represents an asset, liability, claim or commitment of an entity, which may be recorded on or off the balance sheet and which gives rise to credit risk.
Financial Risk Credit Off Balance Sheet Exposures Weighted Average Maturity Number
This is, as at the relevant date, the exposure weighted average probability of default (PD) of off-balance sheet credit exposures.
Probability of default (PD) represents the risk of obligor default.
A credit exposure represents an asset, liability, claim or commitment of an entity, which may be recorded on or off the balance sheet and which gives rise to credit risk.
This item is calculated for capital adequacy purposes and is to be determined in accordance with relevant prudential standards.
Financial Risk Credit Off Balance Sheet Exposures Weighted Average PD Percent
This is a balancing item in the list in which it is being used.
This is the value, as at the relevant date, of other market-related off-balance sheet contracts (including credit derivatives), as required on form ARF_112_2A.
This item is reported for capital adequacy purposes and is to be determined in accordance with the relevant prudential standards. The reporting party may net claims and obligations with a counterparty that are covered by a legally binding eligible bilateral netting agreement.
This balancing item represents the value of total market-related off-balance sheet contracts (including credit derivatives) less those contracts which are classed as any of the following:
- Interest rate contracts;
- Foreign exchange contracts;
- Equity contracts; or
- Precious metal, Gold and other commodity contracts.
Derivatives are generally defined as those instruments/contracts, where the value is based on other products, and/or on prices associated with financial products. Derivative contracts involve:
- Future delivery, receipt or exchange of financial items such as cash or another derivative instrument; or
- Future exchange of real assets for financial items where the contract may be tradeable and has a market value.
The contracts can either be binding on both parties (e.g. as with a currency swap) or subject to the exercise by one party of a right contained within the contract (as with options).
Report this item regardless of whether favourable or unfavourable to the reporting entity.
Financial Risk Credit Off Balance Sheet Market Related Contracts Other ARF 112 2A Amount
This is the value, as at the relevant date, of credit exposures arising from market-related off-balance sheet business.
This item is to be determined in accordance with relevant prudential standards.
A credit exposure represents an asset, liability, claim or commitment of an entity, which may be recorded on or off the balance sheet and which gives rise to credit risk. For the purposes of this item, only report off-balance sheet market-related credit exposures.
Financial Risk Credit Off Balance Sheet Market Related Exposures Amount
This is the value, as at the relevant date, of non-market-related off-balance sheet business giving rise to credit risk.
Financial Risk Credit Off Balance Sheet Non Market Related Business Amount
This is the description of the transaction that gives rise to the non-market related off-balance sheet credit exposure, and for which the Credit Conversion Factor (CCF) is other than 100%.
This item is calculated for capital adequacy purposes and is to be determined in accordance with Prudential Standard APS 113.
Financial Risk Credit Off Balance Sheet Non Market Related Exposure Credit Conversion Factor Not 100 Percent Description
This is the value, as at the relevant date, of any credit exposure arising from non-market-related off-balance sheet business.
This item is calculated for capital adequacy purposes and is to be determined in accordance with relevant prudential standards.
A credit exposure represents an asset, liability, claim or commitment of an entity, which may be recorded on or off the balance sheet and which gives rise to credit risk.
Financial Risk Credit Off Balance Sheet Non Market Related Exposures Amount
This is the description of the transaction that gives rise to the non-market related off-balance sheet credit exposures.
This item is calculated for capital adequacy purposes and is to be determined in accordance with relevant Prudential Standards.
Financial Risk Credit Off Balance Sheet Non Market Related Exposures Description
This is the value, as at the relevant date, of non-market related off-balance sheet credit exposures, and for which the applicable Credit Conversion Factor (CCF) is other than 100%.
A credit exposure represents an asset, liability, claim or commitment of an entity, which may be recorded on or off the balance sheet and which gives rise to credit risk.
This item is calculated for capital adequacy purposes and is to be determined in accordance with Prudential Standard APS 113.
Financial Risk Credit Off Balance Sheet Non Market Related Exposures Credit Conversion Factor Not 100 Percent Amount
This is a balancing item in the list in which it is being used.
This is the value, as at the relevant date, of all other non-market-related off-balance sheet transactions giving rise to credit risk, as to be reported on form ARF_112_2A.
This item represents total non-market related off-balance sheet transactions giving rise to credit risk, other than those transactions classified as any of the following:
- Direct credit substitutes;
- Performance-related contingencies;
- Trade-related contingencies;
- Lending of securities or posting of securities as collateral;
- Assets sold with recourse;
- Forward asset purchases;
- Partly paid shares and securities;
- Placements of forward deposits;
- Note issuance and underwriting facilities;
- Credit derivatives used for acquiring credit risk exposure; or
- Other commitments.
Financial Risk Credit Off Balance Sheet Non Market Related Other Transactions ARF 112 2A Amount
This is a balancing item in the list in which it is being used.
This is the value, as at the relevant date, of all other non-market-related off-balance sheet transactions giving rise to credit risk, as to be reported on form ARF_118_1.
This item represents total non-market related off-balance sheet transactions giving rise to credit risk, other than those transactions classified as any of the following:
- Direct credit substitutes;
- Performance-related contingencies;
- Trade-related contingencies;
- Lending of securities or posting of securities as collateral;
- Assets sold with recourse;
- Forward asset purchases;
- Partly paid shares and securities;
- Placements of forward deposits;
- Note issuance and underwriting facilities;
- Credit derivatives used for acquiring credit risk exposure; or
- Other commitments.
Financial Risk Credit Off Balance Sheet Non Market Related Other Transactions ARF 118 1 Amount
This is a balancing item in the list in which it is being used.
This is the value, as at the relevant date, of all other non-market-related off-balance sheet transactions giving rise to credit risk, as to be reported on form GRF_130_0.
This item represents total non-market related off-balance sheet transactions giving rise to credit risk, other than those transactions classified as any of the following:
- Direct credit substitutes;
- Trade-related contingencies;
- Sale and repurchase agreements;
- Assets sold with recourse;
- Forward asset purchases;
- Partly paid shares and securities;
- Placements of forward deposits; or
- Surety bonds.
Financial Risk Credit Off Balance Sheet Non Market Related Other Transactions GRF 130L0 Amount
This is the value, as at the relevant date, of off-balance sheet credit exposures arising from purchased receivables.
A credit exposure represents an asset, liability, claim or commitment of an entity, which may be recorded on or off the balance sheet and which gives rise to credit risk.
This item is reported for capital adequacy purposes and is to be determined under the Internal-Ratings-based approach to credit risk in accordance with relevant prudential standards.
Financial Risk Credit Off Balance Sheet Purchased Receivables Amount
This is the value, as at the relevant date, of expected losses (EL) arising from on-balance sheet credit exposures (refer APS 113)
This item is calculated for capital adequacy purposes and is to be determined in accordance with relevant prudential standards.
Financial Risk Credit On Balance Sheet Expected Losses Amount
This is the value, as at the relevant date, of expected losses from on-balance sheet credit exposures arising from purchased receivables.
This item is reported for capital adequacy purposes and is to be determined in accordance with relevant prudential standards.
Financial Risk Credit On Balance Sheet Expected Losses Purchased Receivables Amount
This is the value, as at the relevant date, of on-balance sheet credit exposures.
A credit exposure represents an asset, liability, claim or commitment of an entity, which may be recorded on or off the balance sheet and which gives rise to credit risk.
This item is calculated for capital adequacy purposes and is to be determined in accordance with relevant prudential standards.
Financial Risk Credit On Balance Sheet Exposures Amount
This is, as at the relevant date, the exposure weighted average loss given default (LGD) for on-balance sheet credit exposures.
This item is calculated for capital adequacy purposes and is to be determined in accordance with relevant prudential standards.
Weighted average LGD = SIGMAi LGDi x EADi / SIGMAi EADi
Where:
LGDi = the LGD associated with the ith exposure in the group.
EADi = the EAD associated with the ith exposure in the group.
Loss given default (LGD) represents an entities economic loss upon the default of an obligor.
Financial Risk Credit On Balance Sheet Exposures Weighted Average LGD Percent
Report in years, calculated as at the relevant date, the exposure weighted average effective maturity (M) for on-balance sheet credit exposures.
This item is calculated for capital adequacy purposes and is to be determined in accordance with relevant prudential standards.
Weighted average maturity = SIGMAi Mi x EADi / SIGMAi EADi
Where:
Mi = the maturity associated with the ith exposure in the group.
EADi = the EAD associated with the ith exposure in the group.
Financial Risk Credit On Balance Sheet Exposures Weighted Average Maturity Number
This is, as at the relevant date, the exposure weighted average probability of default (PD) for on-balance sheet credit exposures.
Probability of default (PD) represents the risk of obligor default.
A credit exposure represents an asset, liability, claim or commitment of an entity, which may be recorded on or off the balance sheet and which gives rise to credit risk.
This item is calculated for capital adequacy purposes and is to be determined in accordance with relevant prudential standards.
Financial Risk Credit On Balance Sheet Exposures Weighted Average PD Percent
This is, as at the relevant date, the exposure weighted average firm size of on-balance sheet credit exposures.
This item is calculated for capital adequacy purposes and is to be determined in accordance with relevant prudential standards.
Weighted average firm size = SIGMAi Salesi x EADi / SIGMAi EADi
Where:
Salesi = the level of annual sales associated with the ith exposure.
EADi = the exposure at default(EAD) associated with the ith exposure.
Financial Risk Credit On Balance Sheet Exposure Weighted Average Firm Size Amount
This is the value, as at the relevant date, of on-balance sheet credit exposures arising from purchased receivables.
A credit exposure represents an asset, liability, claim or commitment of an entity, which may be recorded on or off the balance sheet and which gives rise to credit risk.
This item is reported for capital adequacy purposes and is to be determined in accordance with relevant prudential standards.
Financial Risk Credit On Balance Sheet Purchased Receivables Amount
This is a balancing item in the list in which it is being used.
This is the value, as at the relevant date, of all other claims and assets not allocated elsewhere on form ARF_112_1A.
Financial Risk Credit Other Claims And Assets ARF 112 1A Amount
This is the value, as at the relevant date, of any partial write-offs of assets that form part of the reporting party's total eligible provisions. This is on an after-tax basis and net of any associated deferred tax assets (DTA).
This item is calculated for capital adequacy purposes and is to be determined in accordance with relevant prudential standards.
Financial Risk Credit Partial Write Off Net Of Deferred Tax Assets Amount
This is the value, as at the relevant date, of any potential credit exposures (off-balance sheet) arising from partly paid shares and securities. This includes any amounts owing on the uncalled portion of partly paid shares, as well as securities held by an entity that represent commitments with certain drawdown by the issuer at a future date.
Financial Risk Credit Partly Paid Shares And Securities Amount
This is a balancing item in the list in which it is being used.
This is the value, as at the relevant date, of all other past due amounts of the reporting party, as required to be reported on Part 2A on APRA forms ARF_220_0_L and ARF_220_0_C.
Financial Risk Credit Past Due Other ARF 220 0 Part2A Amount
This is the value, as at the relevant date, of any potential credit exposures arising from performance-related contingencies.
A performance-related contingency represents a contingent (off-balance sheet) liability that involves an irrevocable obligation to pay a third party in the event that a counterparty fails to fulfil or perform a contractual non-monetary obligation, such as delivery of goods by a specified date, etc (i.e. the risk of loss depends on a future event that is not directly related to the creditworthiness of the counterparty involved). This includes but is not limited to the following:
- issue of performance bond;
- bid bonds;
- warranties;
- indemnities; and
- standby letters of credit in relation to a non-monetary obligation of a counterparty under a particular transaction.
Financial Risk Credit Performance Related Contingencies Amount
This is the value, as at the relevant date, of any potential credit exposures relating to the placements of forward deposits.
Placements of forward deposits are off-balance sheet transactions that relate to any agreement between an entity and another party whereby the entity will place a deposit at an agreed rate of interest with that party at a predetermined future date.
Financial Risk Credit Placements Of Forward Deposits Amount
The prescribed provision for Category Four facilities as determined in accordance with the prudential standards.
Category Four facilities are overdrawn savings accounts and overdrawn limits on credit cards, overdrafts and line of credit advances.
Financial Risk Credit Prescribed Provision Category Four Amount
The percentage to be applied to the outstanding balance, or other relevant amount, as prescribed in the prudential standards for calculating the prescribed provision for Category Four facilities of the reporting party as at the relevant date..
Category Two facilities are any overdrawn savings accounts and overdrawn limits on credit cards, overdrafts and line of credit advances.
Financial Risk Credit Prescribed Provision Category Four Percent
The prescribed provision for Category Three facilities as determined in accordance with the prudential standards.
Category Three facilities are any exposures at the relevant date that meet the provisioning requirements in accordance with the Prescribed Provisioning methodology outlined in the relevant prudential standards, but have not been classified by the reporting party as Category One, Two or Four facilities.
Financial Risk Credit Prescribed Provision Category Three Amount
The percentage to be applied to the outstanding balance, or other relevant amount, as prescribed in the prudential standards for calculating the prescribed provision for Category Three facilities of the reporting party as at the relevant date..
Category Three facilities are any exposures at the relevant date that meet the provisioning requirements in accordance with the Prescribed Provisioning methodology outlined in the relevant prudential standards, but have not been classified by the reporting party as Category One, Two or Four facilities.
Financial Risk Credit Prescribed Provision Category Three Percent
The prescribed provision for Category Two facilities as determined in accordance with the prudential standards.
Category Two facilities are any exposure that is secured by a registered first mortgage against a residential property, where the ratio of the outstanding balance, less the amount of mortgage insurance, to the valuation of the security is greater than 80 per cent but no more than 100 per cent (where the loan is 6 months or more worth of payments past due, the valuation must be no older than 12 months).
Financial Risk Credit Prescribed Provision Category Two Amount
The percentage to be applied to the outstanding balance, or other relevant amount, as prescribed in the prudential standards for calculating the prescribed provision for Category Two facilities of the reporting party as at the relevant date..
Category Two facilities are any exposure that is secured by a registered first mortgage against a residential property, where the ratio of the outstanding balance, less the amount of mortgage insurance, to the valuation of the security is greater than 80 per cent but no more than 100 per cent (where the loan is 6 months or more worth of payments past due, the valuation must be no older than 12 months).
Financial Risk Credit Prescribed Provision Category Two Percent
The prescribed provision for all facilities as determined in accordance with the prudential standards.
Financial Risk Credit Prescribed Provision Total Amount
This is the value, as at the relevant date, of credit-related provisions for impairment.
This represents provisions on credit exposures and includes both specific provisions and the amount in the general reserve for credit losses. This amount is on an after-tax basis and is net of any associated deferred tax assets (DTA).
This item is calculated for capital adequacy purposes and is to be determined in accordance with relevant accounting and prudential standards.
Financial Risk Credit Provisions Net Of Deferred Tax Assets Amount
This is the past due amount (see below) of all revolving credit facilities.
The past due amount is calculated as:
(1) if the facility is not subject to a regular repayment schedule it is the amount that has remained continuously outside contractual or approved arrangements; or
(2) if the facility is subject to a regular repayment schedule then it is the total amount of contractual payments that remain unpaid beyond their due dates.
Revolving credit is a loan arrangement in which the borrowing party may repay funds on loan and immediately borrow it again up to an agreed limit.
Financial Risk Credit Revolving Credit Past Due Amount
This is the value, as at the relevant date, of any potential credit exposures arising from sale and repurchase agreements ('Repos').
Sale and repurchase agreements represent arrangements whereby an entity sells a loan, security or other asset to another party with a commitment to repurchase the asset at an agreed price on an agreed future date.
Financial Risk Credit Sale And Repurchase Agreements Amount
This is the scaling factor applicable to the risk weighted assets of the reporting party.
Report 1 at this item where:
- the reporting party is not using the IRB approach to credit risk;
- RWA is derived from specific (defined) risk-weights (i.e. RWA amounts for specialised lending supervisory slotting and other assets, claims and exposures); or
- the scaling factor has already been applied, the ADI should enter a value of 1 in this field.
Report 1.06 at this item where:
- the reporting party is using the IRB approach to credit risk;
- RWA is derived from the IRB risk-weight functions; or
- the scaling factor has not been applied, the ADI should enter a value of 1.06 in this field.
Financial Risk Credit Scaling Factor IRB Approach Number
This is the value, as at the relevant date, of credit derivatives used for acquiring credit risk exposures other than those classified as direct credit substitutes.
This item is reported for capital adequacy purposes and is to be determined in accordance with relevant prudential standards.
A sold credit derivative is a credit derivative that has been sold, or written, by an entity. A credit derivative enables the user to transfer the credit risk of an underlying asset from one party, the protection buyer, to another, the protection seller, in isolation from other risks.
A direct credit substitute is an irrevocable off-balance sheet obligation that carries the same credit risk as a direct extension of credit, such as an undertaking to make a payment to a third party in the event that a counterparty fails to meet a financial obligation.
Financial Risk Credit Sold Credit Derivatives Excluding Direct Credit Substitutes Amount
This is the value, as at the relevant date, of surety bonds which are treated as a type of direct credit substitute by the reporting party, in accordance with relevant prudential standards.
A surety bond means an undertaking given by the reporting party at the request of a person (Customer) pursuant to an agreement (Surety Agreement) between the reporting party and the Customer made in the following circumstances:
(a) the Customer enters into the Surety Agreement in order to enable the Customer to meet a requirement of another agreement (Principal Agreement) between the Customer, or a person associated with the Customer, and a person other than the reporting party (Principal);
(b) under the surety bond, the reporting party undertakes to make a payment to, or perform an obligation for the benefit of, the Principal or another person nominated by the Principal (Beneficiary) in the circumstances specified in the surety bond;
(c) the surety bond is issued to the Principal or the Beneficiary in relation to or in connection with an obligation owed by the Customer, or a person associated with the Customer, to the Principal under the Principal Agreement being an obligation which:
(i) is a performance obligation or contains an element of performance on the part of the Customer, or a person associated with the Customer; and
(ii) does not relate solely to the payment of money by the Customer, or a person associated with the Customer, to the Principal; and
(d) under the Surety Agreement, the Customer is liable to the reporting party if the reporting party makes a payment or incurs a liability to the Principal or the Beneficiary under the surety bond.
Financial Risk Credit Surety Bond Amount
This is the past due amount of term loans receivable by the reporting party as at the relevant date.
The past due amount is calculated as:
(1) if the facility is not subject to a regular repayment schedule it is the amount that has remained continuously outside contractual or approved arrangements; or
(2) if the facility is subject to a regular repayment schedule then it is the total amount of contractual payments that remain unpaid beyond their due dates.
Term loans are non securitised debt financing with a specified maturity date by which the loan must be repaid.
Financial Risk Credit Term Loans Past Due Amount
This is the value, as at the relevant date, of any potential credit exposures arising from trade-related contingencies.
A trade-related contingency is a contingent (off-balance sheet) liability arising from a trade-related obligation that is secured against an underlying shipment of goods for both issuing and confirming parties. This includes but is not limited to:
- documentary letters of credit issued;
- acceptances on trade bills;
- shipping guarantees issued; and
- any other trade-related contingencies.
Financial Risk Credit Trade Related Contingencies Amount
This is the value, as at the relevant date, of delivery-versus-payment (DvP) transactions that remain unsettled after their due delivery dates.
Exclude repurchase and reverse-repurchase agreements as well as securities lending and borrowing.
Delivery-versus-payment transactions are those transactions of securities using a settlement mechanism which links the securities transfer and the funds transfer in such a way as to ensure that delivery occurs if, and only if, the corresponding payment occurs.
Financial Risk Credit Unsettled Delivery Versus Payment Transactions Amount
This is the value, as at the relevant date, of the sum of delivery-versus-payment (DvP) transactions that remain unsettled 5 business days or more after their due delivery dates, and non-DvP transactions that remain unsettled for 4 or less business days after their due delivery dates.
Exclude repurchase and reverse-repurchase agreements as well as securities lending and borrowing.
Delivery-versus-payment transactions are those transactions of securities using a settlement mechanism which links the securities transfer and the funds transfer in such a way as to ensure that delivery occurs if, and only if, the corresponding payment occurs.
This item is reported as part of the credit risk component for capital adequacy purposes and is to be determined under the standardised approach to credit risk in accordance with relevant prudential standards.
Financial Risk Credit Unsettled DvP And Non DvP Transactions Standardised Approach Amount
This is the value, as at the relevant date, of non-delivery-versus-payment (non-DvP) transactions that remain unsettled after their due delivery dates.
Delivery-versus-payment transactions are those transactions of securities using a settlement mechanism which links the securities transfer and the funds transfer in such a way as to ensure that delivery occurs if, and only if, the corresponding payment occurs.
Financial Risk Credit Unsettled Non Delivery Versus Payment Transactions Amount
This is the average value at risk (VaR), calculated over the most recent 60 trading days prior to and including the relevant date, for positions giving rise to market risk, as determined in accordance with relevant prudential standards.
Market risk positions include holdings of, or positions giving rise to:
- interest rate risk;
- equity position risk;
- foreign exchange risk; and
- commodities risk.
VaR, or Value at Risk, is a technique used to estimate the likelihood of losses in a portfolio based on analysis of historical price movements and volatilities over a specified observation period.
For the purposes of this item the amount reported is the average of the 99% ten-day VaR number calculated daily over the most recent 60 trading days prior to and including the relevant date. A 99% ten-day VaR represents a simulated mark-to-market loss for which there is a 1% probability of occurrence over the next ten days, assuming there is no trading of the portfolio.
Financial Risk Market Average VaR Past 60 Trading Days Amount
This is the average value at risk (VaR), calculated over the most recent 60 trading days prior to and including the relevant date, for positions giving rise to commodities risk, as determined in accordance with relevant prudential standards.
Commodity positions include both on and off-balance sheet exposures which are affected by changes in commodity prices. This includes holdings of, or positions in:
- commodity forwards;
- commodity futures;
- commodity swaps;
- and other applicable commodity instruments (e.g. commodity options).
VaR, or Value at Risk, is a technique used to estimate the likelihood of losses in a portfolio based on analysis of historical price movements and volatilities over a specified observation period.
For the purposes of this item the amount reported is the average of the 99% ten-day VaR number calculated daily over the most recent 60 trading days prior to and including the relevant date. A 99% ten-day VaR represents a simulated mark-to-market loss for which there is a 1% probability of occurrence over the next ten days, assuming there is no trading of the portfolio.
Financial Risk Market Average VaR Past 60 Trading Days Commodity Positions Amount
This is the average value at risk (VaR), calculated over the most recent 60 trading days prior to and including the relevant date, for positions giving rise to market risk.
Equity positions include both on and off-balance sheet exposures which are affected by changes in equity price. This includes holdings of, or positions in:
- ordinary shares, whether voting or non-voting;
- convertible securities that behave like equities;
- commitments to buy or sell equity securities; and
- any other instruments that exhibit market behaviour similar to equities.
VaR, or Value at Risk, is a technique used to estimate the likelihood of losses in a portfolio based on analysis of historical price movements and volatilities over a specified observation period.
For the purposes of this item the amount reported is the average of the 99% ten-day VaR number calculated daily over the most recent 60 trading days prior to and including the relevant date. A 99% ten-day VaR represents a simulated mark-to-market loss for which there is a 1% probability of occurrence over the next ten days, assuming there is no trading of the portfolio.
Financial Risk Market Average VaR Past 60 Trading Days Equity Positions Amount
This is the average value at risk (VaR), calculated over the most recent 60 trading days prior to and including the relevant date, for positions giving rise to foreign exchange risk, as determined in accordance with relevant prudential standards.
Foreign exchange positions include on and off-balance sheet exposures which are affected by changes in foreign exchange rates. This includes holdings of, or positions in:
(a) the net spot position, i.e. all asset items less all liability items, including accrued interest and other accrued income and accrued expenses, denominated in the currency in question;
(b) the net forward position, i.e. all amounts to be received less all amounts to be paid under forward foreign exchange transactions, including currency futures, the principal on currency swaps not included in the spot position, and interest rate transactions such as futures and swaps denominated in a foreign currency; This amount should represent the value of positions at current spot market exchange rates or using net present values;
(c) guarantees (and similar instruments) that are certain to be called and likely to be irrecoverable; and
(d) any other item representing a profit or loss in foreign currencies.
For the purposes of this item:
- include unearned but expected future interest and anticipated expenses if the amounts are certain and the reporting party has hedged them; and
- exclude structural positions, where permitted by the relevant prudential standards.
VaR, or Value at Risk, is a technique used to estimate the likelihood of losses in a portfolio based on analysis of historical price movements and volatilities over a specified observation period.
For the purposes of this item the amount reported is the average of the 99% ten-day VaR number calculated daily over the most recent 60 trading days prior to and including the relevant date. A 99% ten-day VaR represents a simulated mark-to-market loss for which there is a 1% probability of occurrence over the next ten days, assuming there is no trading of the portfolio.
Financial Risk Market Average VaR Past 60 Trading Days Foreign Exchange Positions Amount
This is the average value at risk (VaR), calculated over the most recent 60 trading days prior to and including the relevant date, for positions which are sensitive to foreign exchange rate movements, assuming all other factors (e.g. foreign exchange rate volatility) remain equal, as determined in accordance with relevant prudential standards.
Delta, in this context, represents the impact of underlying foreign exchange rate movements on the overall portfolio value.
VaR, or Value at Risk, is a technique used to estimate the likelihood of losses in a portfolio based on analysis of historical price movements and volatilities over a specified observation period.
For the purposes of this item the amount reported is the average of the 99% ten-day VaR number calculated daily over the most recent 60 trading days prior to and including the relevant date. A 99% ten-day VaR represents a simulated mark-to-market loss for which there is a 1% probability of occurrence over the next ten days, assuming there is no trading of the portfolio.
Financial Risk Market Average VaR Past 60 Trading Days Foreign Exchange Positions Delta Amount
This is the average value at risk (VaR), calculated over the most recent 60 trading days prior to and including the relevant date, for positions which are sensitive to changes in foreign exchange rate volatility, as determined in accordance with relevant prudential standards.
Volatility represents a measure of risk based on the standard deviation of the asset return. Volatility is a variable that appears in option pricing formulas, where it denotes the volatility of the underlying asset return from now to the expiration of the option.
VaR, or Value at Risk, is a technique used to estimate the likelihood of losses in a portfolio based on analysis of historical price movements and volatilities over a specified observation period.
For the purposes of this item the amount reported is the average of the 99% ten-day VaR number calculated daily over the most recent 60 trading days prior to and including the relevant date. A 99% ten-day VaR represents a simulated mark-to-market loss for which there is a 1% probability of occurrence over the next ten days, assuming there is no trading of the portfolio.
Financial Risk Market Average VaR Past 60 Trading Days Foreign Exchange Positions Volatility Amount
This is the average value at risk (VaR), calculated over the most recent 60 trading days prior to and including the relevant date, for positions giving rise to interest rate risk.
Interest rate positions include both on and off-balance sheet exposures which are affected by changes in interest rates. This includes holdings of, or positions in:
- debt securities, including non-convertible preference shares and other quasi-debt securities/instruments that behave like debt (convertible bonds are to be included as debt securities if they trade like debt securities, but not if they trade like equities);
- forward transactions in foreign exchange, equities and commodities; and
- options that are subject to a change in value following a change in interest rates.
VaR represents Value at Risk and is a technique used to estimate the likelihood of losses in a portfolio based on analysis of historical price movements and volatilities, over a specified observation period.
For the purposes of this item the amount reported is the average of the 99% ten-day VaR number calculated daily over the most recent 60 trading days prior to and including the relevant date. A 99% ten-day VaR represents a simulated mark-to-market loss for which there is a 1% probability of occurrence over the next ten days, assuming there is no trading of the portfolio.
Financial Risk Market Average VaR Past 60 Trading Days Interest Rate Positions Amount
This is the average value at risk (VaR), calculated over the most recent 60 trading days prior to and including the relevant date, for positions which are sensitive to interest rate movements, assuming all other factors (e.g. interest rate volatility) remain equal.
Delta, in this context, represents the impact of underlying interest rate movements on the overall portfolio value.
VaR represents Value at Risk and is a technique used to estimate the likelihood of losses in a portfolio based on analysis of historical price movements and volatilities, over a specified observation period.
For the purposes of this item the amount reported is the average of the 99% ten-day VaR number calculated daily over the most recent 60 trading days prior to and including the relevant date. A 99% ten-day VaR represents a simulated mark-to-market loss for which there is a 1% probability of occurrence over the next ten days, assuming there is no trading of the portfolio.
Financial Risk Market Average VaR Past 60 Trading Days Interest Rate Positions Delta Amount
This is the average value at risk (VaR), calculated over the most recent 60 trading days prior to and including the relevant date, for positions which are sensitive to changes in interest rate volatility, as determined in accordance with relevant prudential standards.
Volatility represents a measure of risk based on the standard deviation of the asset return. Volatility is a variable that appears in option pricing formulas, where it denotes the volatility of the underlying asset return from now to the expiration of the option.
VaR, or Value at Risk, is a technique used to estimate the likelihood of losses in a portfolio based on analysis of historical price movements and volatilities over a specified observation period.
For the purposes of this item the amount reported is the average of the 99% ten-day VaR number calculated daily over the most recent 60 trading days prior to and including the relevant date. A 99% ten-day VaR represents a simulated mark-to-market loss for which there is a 1% probability of occurrence over the next ten days, assuming there is no trading of the portfolio.
Financial Risk Market Average VaR Past 60 Trading Days Interest Rate Positions Volatility Amount
This is the average value at risk (VaR), calculated over the most recent 60 trading days prior to and including the relevant date, in relation to positions which are sensitive to volatility changes, as determined in accordance with relevant prudential standards.
Volatility represents a measure of risk based on the standard deviation of the asset return. Volatility is a variable that appears in option pricing formulas, where it denotes the volatility of the underlying asset return from now to the expiration of the option.
VaR, or Value at Risk, is a technique used to estimate the likelihood of losses in a portfolio based on analysis of historical price movements and volatilities over a specified observation period.
For the purposes of this item the amount reported is the average of the 99% ten-day VaR number calculated daily over the most recent 60 trading days prior to and including the relevant date. A 99% ten-day VaR represents a simulated mark-to-market loss for which there is a 1% probability of occurrence over the next ten days, assuming there is no trading of the portfolio.
Financial Risk Market Average VaR Past 60 Trading Days Volatility Amount
This is the value, as at the relevant date, of the market risk capital charge calculated for commodities risk (excluding gold price risk), as determined in accordance with relevant prudential standards.
Financial Risk Market Capital Charge Commodities Risk Amount
This is the value, as at the relevant date, of the market risk capital charge calculated for equity position risk, as determined in accordance with relevant prudential standards.
Financial Risk Market Capital Charge Equity Position Risk Amount
This is the value, as at the relevant date, of the market risk capital charge calculated for foreign exchange risk (including gold price risk), as determined in accordance with relevant prudential standards.
Financial Risk Market Capital Charge Foreign Exchange Risk Amount
This is the value, as at the relevant date, of the market risk capital charge calculated for interest rate risk, as determined in accordance with relevant prudential standards.
Financial Risk Market Capital Charge Interest Rate Risk Amount
This is, as at the relevant date, the any additional capital requirement applicable to positions giving rise to risks other than credit risk, operational risk, or market risk, as imposed by APRA.
Financial Risk Market Capital Requirement Other Imposed By APRA Amount
This is the value, as at the relevant date, in relation to long positions giving rise to commodities risk (excluding gold risk), as determined in accordance with relevant prudential standards.
This item includes long positions (both on-balance sheet and off-balance sheet) in:
- commodity forwards;
- commodity futures;
- commodity swaps; and
- other applicable commodity instruments (e.g. commodity options, where the entity uses a particular capital treatment approach).
Long positions represent assets, or instruments, that have been purchased with the expectation that the asset will rise in value.
For the purposes of this item and subject to prior approval from APRA, positions in foreign currency denominated commodities may be segmented into a commodities exposure and a foreign currency exposure. Only report the commodities exposure at this item.
Financial Risk Market Commodities Long Positions Amount
This is the value, as at the relevant date, in relation to positions giving rise to commodities risk (excluding gold risk), as determined in accordance with relevant prudential standards.
This item includes positions (both on-balance sheet and off-balance sheet) in:
- commodity forwards;
- commodity futures;
- commodity swaps;
- and other applicable commodity instruments (e.g. commodity options, where the entity uses a particular capital treatment approach).
For the purposes of this item and subject to prior approval from APRA, positions in foreign currency denominated commodities may be segmented into a commodity exposure and a foreign currency exposure. Only report the commodity exposure at this item.
Financial Risk Market Commodities Positions Amount
This is the value, as at the relevant date, in relation to short positions giving rise to commodities risk (excluding gold risk), as determined in accordance with relevant prudential standards.
This item includes short positions (both on-balance sheet and off-balance sheet) in:
- commodity forwards;
- commodity futures;
- commodity swaps; and
- other applicable commodity instruments (e.g. commodity options, where the entity uses a particular capital treatment approach).
Short positions represent borrowed assets, or instruments, that have been sold with the expectation that the asset will fall in value.
For the purposes of this item and subject to prior approval from APRA, positions in foreign currency denominated commodities may be segmented into a commodities exposure and a foreign currency exposure. Only report the commodities exposure at this item.
Financial Risk Market Commodities Short Positions Amount
This is the value of the fifth largest daily loss experienced by the reporting party over the relevant period due to market movements.
Financial Risk Market Daily Loss Fifth Largest Amount
This is the date of the largest daily loss experienced by the reporting party over the relevant period due to market movements.
Financial Risk Market Daily Loss Fifth Largest Date
This is the value of the fourth largest daily loss experienced by the reporting party over the relevant period due to market movements.
Financial Risk Market Daily Loss Fourth Largest Amount
This is the date of the fourth largest daily loss experienced by the reporting party over the relevant period due to market movements.
Financial Risk Market Daily Loss Fourth Largest Date
This is the value of the largest daily loss experienced by the reporting party over the relevant period due to market movements.
Financial Risk Market Daily Loss Largest Amount
This is the date of the largest daily loss experienced by the reporting party over the relevant period due to market movements.
Financial Risk Market Daily Loss Largest Date
This is the value of the second largest daily loss experienced by the reporting party over the relevant period due to market movements.
Financial Risk Market Daily Loss Second Largest Amount
This is the date of the second largest daily loss experienced by the reporting party over the relevant period due to market movements.
Financial Risk Market Daily Loss Second Largest Date
This is the value of the third largest daily loss experienced by the reporting party over the relevant period due to market movements.
Financial Risk Market Daily Loss Third Largest Amount
This is the date of the third largest daily loss experienced by the reporting party over the relevant period due to market movements.
Financial Risk Market Daily Loss Third Largest Date
This is the value at risk (VaR), calculated as at the relevant date, for positions giving rise to commodities risk, as determined in accordance with relevant prudential standards.
Commodity positions include both on and off-balance sheet exposures which are affected by changes in commodity prices. This includes holdings of, or positions in:
- commodity forwards;
- commodity futures;
- commodity swaps; and
- other applicable commodity instruments (e.g. commodity options).
VaR, or Value at Risk, is a technique used to estimate the likelihood of losses in a portfolio based on analysis of historical price movements and volatilities over a specified observation period.
For the purposes of this item the amount reported is the 99% ten-day VaR number calculated as at the relevant date. Therefore, the number reported will represent a simulated mark-to-market loss for which there is a 1% probability of occurrence over the next ten days, assuming there is no trading of the portfolio.
Financial Risk Market End Of Period VaR Commodities Positions Amount
This is the value at risk (VaR), calculated as at the relevant date, in relation to positions which are sensitive to foreign exchange rate movements, assuming all other factors (e.g. foreign exchange rate volatility) remain equal, as determined in accordance with relevant prudential standards.
Delta, in this context, represents the impact of underlying foreign exchange rate movements on the overall portfolio value.
VaR, or Value at Risk, is a technique used to estimate the likelihood of losses in a portfolio based on analysis of historical price movements and volatilities over a specified observation period.
For the purposes of this item the amount reported is the 99% ten-day VaR number calculated as at the relevant date. Therefore, the number reported will represent a simulated mark-to-market loss for which there is a 1% probability of occurrence over the next ten days, assuming there is no trading of the portfolio.
Financial Risk Market End Of Period VaR Foreign Exchange Positions Delta Amount
This is the value at risk (VaR), calculated as at the relevant date, in relation to positions which are sensitive to changes in interest rate volatility, as determined in accordance with relevant prudential standards.
Volatility represents a measure of risk based on the standard deviation of the asset return. Volatility is a variable that appears in option pricing formulas, where it denotes the volatility of the underlying asset return from now to the expiration of the option.
VaR, or Value at Risk, is a technique used to estimate the likelihood of losses in a portfolio based on analysis of historical price movements and volatilities over a specified observation period.
For the purposes of this item the amount reported is the 99% ten-day VaR number calculated as at the relevant date. Therefore, the number reported will represent a simulated mark-to-market loss for which there is a 1% probability of occurrence over the next ten days, assuming there is no trading of the portfolio.
Financial Risk Market End Of Period VaR Interest Rate Positions Volatility Amount
This is the value, as at the relevant date, in relation to positions giving rise to equity position risk, as determined in accordance with relevant prudential standards.
This item includes holdings of, or positions in:
- ordinary shares, whether voting or non-voting;
- convertible securities that behave like equities;
- commitments to buy or sell equity securities; and
- any other instruments that exhibit market behaviour similar to equities.
Financial Risk Market Equity Positions Amount
This is the value of the reporting party's actual exposure to commercial property, which should include:
- claims and commitments recorded on-balance sheet; and
- the credit equivalent amounts of off-balance sheet claims and commitments.
Commercial property exposure is defined according to the nature of the risk. An exposure should be classified as commercial property risk, if the exposure is subject to the performance of the property market.
For reporting purposes, an exposure exists when a facility has been provided for the development, acquisition or improvement of commercial property, and the servicing and repayment of the facility is dependent on the cash flows generated by the property itself through sale or rental income, and/or from cash flows generated from other commercial properties owned by the borrower.
Financial Risk Market Exposure Actual Property Commercial Amount
This is a balancing item in the list in which it is being used.
This is the value, as at the relevant date, of the reporting party's actual exposure to other commercial property, as required to be reported on APRA form ARF_230_0.
Actual exposures include:
- claims and commitments recorded on-balance sheet; and
- the credit equivalent amounts of off-balance sheet claims and commitments
Commercial property exposure is defined according to the nature of the risk. An exposure should be classified as commercial property risk, if the exposure is subject to the performance of the property market.
Financial Risk Market Exposure Actual Property Commercial Other ARF 230 0 Amount
This is the value of the reporting party's actual exposure to residential commercial property, which should include:
- claims and commitments recorded on-balance sheet; and
- the credit equivalent amounts of off-balance sheet claims and commitments.
Commercial property exposure is defined according to the nature of the risk. An exposure should be classified as commercial property risk, if the exposure is subject to the performance of the property market.
For reporting purposes, an exposure exists when a facility has been provided for the development, acquisition or improvement of residential buildings, and the servicing and repayment of the facility is dependent on the cash flows generated by the commercial residential property itself through sale or rental income, and/or from cash flows generated from other commercial residential properties owned by the borrower.
Commercial residential property exposure is that related to property used for housing but not for owner occupied housing or loans to households for investment residential property.
Financial Risk Market Exposure Actual Property Commercial Residential Amount
This is the value of the reporting party's actual exposure to commercial industrial property, which should include:
- claims and commitments recorded on-balance sheet; and
- the credit equivalent amounts of off-balance sheet claims and commitments.
Commercial property exposure is defined according to the nature of the risk. An exposure should be classified as commercial property risk, if the exposure is subject to the performance of the property market.
For reporting purposes, an exposure exists when a facility has been provided for the development, acquisition or improvement of Industrial property, and the servicing and repayment of the facility is dependent on the cash flows generated by the Industrial property itself through sale or rental income, and/or from cash flows generated from other Industrial properties owned by the borrower.
Commercial industrial property may include for example, warehouses and factories.
Financial Risk Market Exposure Actual Property Industrial Amount
This is the value of the reporting party's actual commercial property exposure to land development and subdivision, which should include:
- claims and commitments recorded on-balance sheet; and
- the credit equivalent amounts of off-balance sheet claims and commitments.
Commercial property exposure is defined according to the nature of the risk. An exposure should be classified as commercial property risk, if the exposure is subject to the performance of the property market.
For reporting purposes, an exposure exists when a facility has been provided for the development and/or subdivision of land, and the servicing and repayment of the facility is dependent on the cash flows generated through sale of the land, and/or from cash flows generated from other land development or subdivision activity owned by the borrower.
Financial Risk Market Exposure Actual Property Land Development Amount
This is the value of the reporting party's actual exposure to tourism and leisure commercial property, which should include:
- claims and commitments recorded on-balance sheet; and
- the credit equivalent amounts of off-balance sheet claims and commitments.
Commercial property exposure is defined according to the nature of the risk. An exposure should be classified as commercial property risk, if the exposure is subject to the performance of the property market.
For reporting purposes, an exposure exists when a facility has been provided for the development, acquisition or improvement of land and buildings used in the tourism and leisure or hospitality industries, and the servicing and repayment of the facility is dependent on the cash flows generated by the property itself through sale or rental income, and/or from cash flows generated from other tourism and leisure properties owned by the borrower.
Tourism & leisure commercial property may include for example, hotels, motels and lodgings, recreational and sporting facilities, hotel developments, time-share developments and other hospitality industries.
Financial Risk Market Exposure Actual Property Leisure Amount
This is the value of the reporting party's actual exposure to Office commercial property, which should include:
- claims and commitments recorded on-balance sheet; and
- the credit equivalent amounts of off-balance sheet claims and commitments.
Commercial property exposure is defined according to the nature of the risk. An exposure should be classified as commercial property risk, if the exposure is subject to the performance of the property market.
For reporting purposes, an exposure exists when a facility has been provided for the development, acquisition or improvement of office buildings, and the servicing and repayment of the facility is dependent on the cash flows generated by the office property itself through sale or rental income, and/or from cash flows generated from other office properties owned by the borrower.
Financial Risk Market Exposure Actual Property Office Amount
This is the value of the reporting party's actual exposure to Retail commercial property, which should include:
- claims and commitments recorded on-balance sheet; and
- the credit equivalent amounts of off-balance sheet claims and commitments.
Commercial property exposure is defined according to the nature of the risk. An exposure should be classified as commercial property risk, if the exposure is subject to the performance of the property market.
For reporting purposes, an exposure exists when a facility has been provided for the development, acquisition or improvement of retail buildings, and the servicing and repayment of the facility is dependent on the cash flows generated by the retail property itself through sale or rental income, and/or from cash flows generated from other retail properties owned by the borrower.
Financial Risk Market Exposure Actual Property Retail Amount
This is the value of the reporting party's total on and off balance sheet exposure to commercial property.
Commercial property exposure is defined according to the nature of the risk. An exposure should be classified as commercial property risk, if the exposure is subject to the performance of the property market.
For reporting purposes, an exposure exists when a facility has been provided for the development, acquisition or improvement of commercial property, and the servicing and repayment of the facility is dependent on the cash flows generated by the property itself through sale or rental income, and/or from cash flows generated from other commercial properties owned by the borrower.
Financial Risk Market Exposure Property Commercial Amount
This is the value of provisions for impairment of the reporting party's exposure to commercial property.
Commercial property exposure is defined according to the nature of the risk. An exposure should be classified as commercial property risk, if the exposure is subject to the performance of the property market.
For reporting purposes, an exposure exists when a facility has been provided for the development, acquisition or improvement of commercial property, and the servicing and repayment of the facility is dependent on the cash flows generated by the property itself through sale or rental income, and/or from cash flows generated from other commercial properties owned by the borrower.
Financial Risk Market Exposure Property Commercial Impairment Amount
This is a balancing item in the list in which it is being used.
This is the value, as at the relevant date, of the reporting party's on and off balance sheet exposure to other commercial property, as required to be reported on APRA form ARF_230_0.
Commercial property exposure is defined according to the nature of the risk. An exposure should be classified as commercial property risk, if the exposure is subject to the performance of the property market.
Financial Risk Market Exposure Property Commercial Other ARF 230 0 Amount
This is a balancing item in the list in which it is being used.
This is the value, as at the relevant date, of the amount of provisions for impairment of the reporting party's exposure to other commercial property, as required to be reported on APRA form ARF_230_0.
Commercial property exposure is defined according to the nature of the risk. An exposure should be classified as commercial property risk, if the exposure is subject to the performance of the property market.
Financial Risk Market Exposure Property Commercial Other Impairment ARF 320 0 Amount
This is a balancing item in the list in which it is being used.
This is the value, as at the relevant date, of the amount of security held in relation to the reporting party's exposure to other commercial property, as required to be reported on APRA form ARF_230_0.
Commercial property exposure is defined according to the nature of the risk. An exposure should be classified as commercial property risk, if the exposure is subject to the performance of the property market.
Financial Risk Market Exposure Property Commercial Other Security Held ARF 230 0 Amount
This is the value of the reporting party's total on and off balance sheet exposure to residential commercial property.
Commercial property exposure is defined according to the nature of the risk. An exposure should be classified as commercial property risk, if the exposure is subject to the performance of the property market.
For reporting purposes, an exposure exists when a facility has been provided for the development, acquisition or improvement of residential buildings, and the servicing and repayment of the facility is dependent on the cash flows generated by the commercial residential property itself through sale or rental income, and/or from cash flows generated from other commercial residential properties owned by the borrower.
Commercial residential property exposure is that related to property used for housing but not for owner occupied housing or loans to households for investment residential property.
Financial Risk Market Exposure Property Commercial Residential Amount
This is the value of provisions for impairment of the reporting party's exposure to residential commercial property.
Commercial property exposure is defined according to the nature of the risk. An exposure should be classified as commercial property risk, if the exposure is subject to the performance of the property market.
For reporting purposes, an exposure exists when a facility has been provided for the development, acquisition or improvement of residential buildings, and the servicing and repayment of the facility is dependent on the cash flows generated by the commercial residential property itself through sale or rental income, and/or from cash flows generated from other commercial residential properties owned by the borrower.
Commercial residential property exposure is that related to property used for housing but not for owner occupied housing or loans to households for investment residential property.
Financial Risk Market Exposure Property Commercial Residential Impairment Amount
This is the value of security held in relation to the reporting party's exposure to residential commercial property.
Commercial property exposure is defined according to the nature of the risk. An exposure should be classified as commercial property risk, if the exposure is subject to the performance of the property market.
For reporting purposes, an exposure exists when a facility has been provided for the development, acquisition or improvement of residential buildings, and the servicing and repayment of the facility is dependent on the cash flows generated by the commercial residential property itself through sale or rental income, and/or from cash flows generated from other commercial residential properties owned by the borrower.
Commercial residential property exposure is that related to property used for housing but not for owner occupied housing or loans to households for investment residential property.
Financial Risk Market Exposure Property Commercial Residential Security Held Amount
This is the value of security held in relation to the reporting party's exposure to commercial property.
Commercial property exposure is defined according to the nature of the risk. An exposure should be classified as commercial property risk, if the exposure is subject to the performance of the property market.
For reporting purposes, an exposure exists when a facility has been provided for the development, acquisition or improvement of commercial property, and the servicing and repayment of the facility is dependent on the cash flows generated by the property itself through sale or rental income, and/or from cash flows generated from other commercial properties owned by the borrower.
Financial Risk Market Exposure Property Commercial Security Held Amount
This is the value of the reporting party's total on and off balance sheet exposure to industrial commercial property.
Commercial property exposure is defined according to the nature of the risk. An exposure should be classified as commercial property risk, if the exposure is subject to the performance of the property market.
For reporting purposes, an exposure exists when a facility has been provided for the development, acquisition or improvement of Industrial property, and the servicing and repayment of the facility is dependent on the cash flows generated by the Industrial property itself through sale or rental income, and/or from cash flows generated from other Industrial properties owned by the borrower.
Industrial commercial property may include for example, warehouses and factories.
Financial Risk Market Exposure Property Industrial Amount
This is the value of provisions for impairment of the reporting party's exposure to industrial commercial property.
Commercial property exposure is defined according to the nature of the risk. An exposure should be classified as commercial property risk, if the exposure is subject to the performance of the property market.
For reporting purposes, an exposure exists when a facility has been provided for the development, acquisition or improvement of Industrial property, and the servicing and repayment of the facility is dependent on the cash flows generated by the Industrial property itself through sale or rental income, and/or from cash flows generated from other Industrial properties owned by the borrower.
Industrial commercial property may include for example, warehouses and factories.
Financial Risk Market Exposure Property Industrial Impairment Amount
This is the value of security held in relation to the reporting party's exposure to industrial commercial property.
Commercial property exposure is defined according to the nature of the risk. An exposure should be classified as commercial property risk, if the exposure is subject to the performance of the property market.
For reporting purposes, an exposure exists when a facility has been provided for the development, acquisition or improvement of Industrial property, and the servicing and repayment of the facility is dependent on the cash flows generated by the Industrial property itself through sale or rental income, and/or from cash flows generated from other Industrial properties owned by the borrower.
Industrial commercial property may include for example, warehouses and factories.
Financial Risk Market Exposure Property Industrial Security Held Amount
This is the value of the reporting party's total on and off balance sheet commercial property exposure to land development and subdivision.
Commercial property exposure is defined according to the nature of the risk. An exposure should be classified as commercial property risk, if the exposure is subject to the performance of the property market.
For reporting purposes, an exposure exists when a facility has been provided for the development and/or subdivision of land, and the servicing and repayment of the facility is dependent on the cash flows generated through sale of the land, and/or from cash flows generated from other land development or subdivision activity owned by the borrower.
Financial Risk Market Exposure Property Land Development Amount
This is the value of provisions for impairment of the reporting party's commercial property exposure to land development and subdivision.
Commercial property exposure is defined according to the nature of the risk. An exposure should be classified as commercial property risk, if the exposure is subject to the performance of the property market.
For reporting purposes, an exposure exists when a facility has been provided for the development and/or subdivision of land, and the servicing and repayment of the facility is dependent on the cash flows generated through sale of the land, and/or from cash flows generated from other land development or subdivision activity owned by the borrower.
Financial Risk Market Exposure Property Land Development Impairment Amount
This is the value of security held in relation to the reporting party's commercial property exposure to land development and subdivision.
Commercial property exposure is defined according to the nature of the risk. An exposure should be classified as commercial property risk, if the exposure is subject to the performance of the property market.
For reporting purposes, an exposure exists when a facility has been provided for the development and/or subdivision of land, and the servicing and repayment of the facility is dependent on the cash flows generated through sale of the land, and/or from cash flows generated from other land development or subdivision activity owned by the borrower.
Financial Risk Market Exposure Property Land Development Security Held Amount
This is the value of the reporting party's total on and off balance sheet exposure to tourism and leisure commercial property.
Commercial property exposure is defined according to the nature of the risk. An exposure should be classified as commercial property risk, if the exposure is subject to the performance of the property market.
For reporting purposes, an exposure exists when a facility has been provided for the development, acquisition or improvement of land and buildings used in the tourism and leisure or hospitality industries, and the servicing and repayment of the facility is dependent on the cash flows generated by the property itself through sale or rental income, and/or from cash flows generated from other tourism and leisure properties owned by the borrower.
Tourism & leisure commercial property may include for example, hotels, motels and lodgings, recreational and sporting facilities, hotel developments, time-share developments and other hospitality industries.
Financial Risk Market Exposure Property Leisure Amount
This is the value of provisions for impairment of the reporting party's exposure to tourism and leisure commercial property.
Commercial property exposure is defined according to the nature of the risk. An exposure should be classified as commercial property risk, if the exposure is subject to the performance of the property market.
For reporting purposes, an exposure exists when a facility has been provided for the development, acquisition or improvement of land and buildings used in the tourism and leisure or hospitality industries, and the servicing and repayment of the facility is dependent on the cash flows generated by the property itself through sale or rental income, and/or from cash flows generated from other tourism and leisure properties owned by the borrower.
Tourism & leisure commercial property may include for example, hotels, motels and lodgings, recreational and sporting facilities, hotel developments, time-share developments and other hospitality industries.
Financial Risk Market Exposure Property Leisure Impairment Amount
This is the value of security held in relation to the reporting party's exposure to tourism and leisure commercial property.
Commercial property exposure is defined according to the nature of the risk. An exposure should be classified as commercial property risk, if the exposure is subject to the performance of the property market.
For reporting purposes, an exposure exists when a facility has been provided for the development, acquisition or improvement of land and buildings used in the tourism and leisure or hospitality industries, and the servicing and repayment of the facility is dependent on the cash flows generated by the property itself through sale or rental income, and/or from cash flows generated from other tourism and leisure properties owned by the borrower.
Tourism & leisure commercial property may include for example, hotels, motels and lodgings, recreational and sporting facilities, hotel developments, time-share developments and other hospitality industries.
Financial Risk Market Exposure Property Leisure Security Held Amount
This is the value of the reporting party's total on and off balance sheet exposure to Office commercial property.
Commercial property exposure is defined according to the nature of the risk. An exposure should be classified as commercial property risk, if the exposure is subject to the performance of the property market.
For reporting purposes, an exposure exists when a facility has been provided for the development, acquisition or improvement of office buildings, and the servicing and repayment of the facility is dependent on the cash flows generated by the office property itself through sale or rental income, and/or from cash flows generated from other office properties owned by the borrower.
Financial Risk Market Exposure Property Office Amount
This is the value of provisions for impairment of the reporting party's exposure to Office commercial property.
Commercial property exposure is defined according to the nature of the risk. An exposure should be classified as commercial property risk, if the exposure is subject to the performance of the property market.
For reporting purposes, an exposure exists when a facility has been provided for the development, acquisition or improvement of office buildings, and the servicing and repayment of the facility is dependent on the cash flows generated by the office property itself through sale or rental income, and/or from cash flows generated from other office properties owned by the borrower.
Financial Risk Market Exposure Property Office Impairment Amount
This is the value of security held in relation to the reporting party's exposure to Office commercial property.
Commercial property exposure is defined according to the nature of the risk. An exposure should be classified as commercial property risk, if the exposure is subject to the performance of the property market.
For reporting purposes, an exposure exists when a facility has been provided for the development, acquisition or improvement of office buildings, and the servicing and repayment of the facility is dependent on the cash flows generated by the office property itself through sale or rental income, and/or from cash flows generated from other office properties owned by the borrower.
Financial Risk Market Exposure Property Office Security Held Amount
This is the value of the reporting party's total on and off balance sheet exposure to Retail commercial property.
Commercial property exposure is defined according to the nature of the risk. An exposure should be classified as commercial property risk, if the exposure is subject to the performance of the property market.
For reporting purposes, an exposure exists when a facility has been provided for the development, acquisition or improvement of retail buildings, and the servicing and repayment of the facility is dependent on the cash flows generated by the retail property itself through sale or rental income, and/or from cash flows generated from other retail properties owned by the borrower.
Financial Risk Market Exposure Property Retail Amount
This is the value of provisions for impairment of the reporting party's exposure to Retail commercial property.
Commercial property exposure is defined according to the nature of the risk. An exposure should be classified as commercial property risk, if the exposure is subject to the performance of the property market.
For reporting purposes, an exposure exists when a facility has been provided for the development, acquisition or improvement of retail buildings, and the servicing and repayment of the facility is dependent on the cash flows generated by the retail property itself through sale or rental income, and/or from cash flows generated from other retail properties owned by the borrower.
Financial Risk Market Exposure Property Retail Impairment Amount
This is the value of security held in relation to the reporting party's exposure to Retail commercial property.
Commercial property exposure is defined according to the nature of the risk. An exposure should be classified as commercial property risk, if the exposure is subject to the performance of the property market.
For reporting purposes, an exposure exists when a facility has been provided for the development, acquisition or improvement of retail buildings, and the servicing and repayment of the facility is dependent on the cash flows generated by the retail property itself through sale or rental income, and/or from cash flows generated from other retail properties owned by the borrower.
Financial Risk Market Exposure Property Retail Security Held Amount
This is the value, as at the relevant date, in relation to positions giving rise to foreign exchange risk and gold price risk, as determined in accordance with relevant prudential standards.
The overall net open positions amount represents the sum of:
- the absolute value of the larger of the sum of long positions and the sum of short positions giving rise to foreign exchange risk; and
- the absolute value of positions giving rise to gold price risk.
Financial Risk Market Foreign Exchange And Gold Positions Amount
This is, as at the relevant date, the larger of the sum of long positions or the sum of short positions giving rise to foreign exchange risk, as determined in accordance with relevant prudential standards.
This item represents the following:
(a) the net spot position, i.e. all asset items less all liability items, including accrued interest and other accrued income and accrued expenses, denominated in the currency in question;
(b) the net forward position, i.e. all amounts to be received less all amounts to be paid under forward foreign exchange transactions, including currency futures, the principal on currency swaps not included in the spot position, and interest rate transactions such as futures and swaps denominated in a foreign currency; This amount should represent the value of positions at current spot market exchange rates or using net present values;
(c) guarantees (and similar instruments) that are certain to be called and likely to be irrecoverable; and
(d) any other item representing a profit or loss in foreign currencies.
For the purposes of this item:
- include unearned but expected future interest and anticipated expenses if the amounts are certain and the reporting party has hedged them; and
- exclude any structural positions, where permitted by the relevant prudential standards.
Financial Risk Market Foreign Exchange Higher Of Aggregate Long Or Short Positions Amount
This is the value, as at the relevant date, in relation to positions giving rise to foreign exchange risk, as determined in accordance with relevant prudential standards.
This item represents the following:
(a) the net spot position, i.e. all asset items less all liability items, including accrued interest and other accrued income and accrued expenses, denominated in the currency in question;
(b) the net forward position, i.e. all amounts to be received less all amounts to be paid under forward foreign exchange transactions, including currency futures, the principal on currency swaps not included in the spot position, and interest rate transactions such as futures and swaps denominated in a foreign currency; This amount should represent the value of positions at current spot market exchange rates or using net present values;
(c) guarantees (and similar instruments) that are certain to be called and likely to be irrecoverable; and
(d) any other item representing a profit or loss in foreign currencies.
For the purposes of this item:
- include unearned but expected future interest and anticipated expenses if the amounts are certain and the reporting party has hedged them; and
- exclude any structural positions, where permitted by the relevant prudential standards.
Financial Risk Market Foreign Exchange Positions Amount
This is the value, as at the relevant date, in relation to positions giving rise to gold price risk, as determined in accordance with relevant prudential standards.
For the purposes of this item, gold positions reported in AUD equivalents amounts may be segmented into a gold exposure and a USD exposure.
Financial Risk Market Gold Positions Amount
This is the value, calculated as at the relevant date, of the regulatory capital default risk on trading book positions that is incremental to the risk captured by the Value at Risk (VaR) based calculation of the reporting party. This item is to be reported where the VaR measures include an estimation of the specific risk charge, and is to be determined in accordance with relevant prudential standards.
Financial Risk Market Incremental Default Risk Charge Amount
This is the value, as at the relevant date, that relates to long positions giving rise to interest rate risk, as determined in accordance with relevant prudential standards.
This item includes long positions in:
- debt securities, including non-convertible preference shares and other quasi-debt securities/instruments that behave like debt (convertible bonds are to be included as debt securities if they trade like debt securities, but not if they trade like equities);
- forward transactions in foreign exchange, equities and commodities; and
- options that are subject to a change in value following a change in interest rates.
Long positions represent purchased assets, or instruments, that have been purchased with the expectation that the asset will rise in value.
Financial Risk Market Interest Rate Long Positions Amount
This is the value, as at the relevant date, in relation to positions giving rise to interest rate risk, as determined in accordance with relevant prudential standards.
This item includes holdings of, or positions in:
- debt securities, including non-convertible preference shares and other quasi-debt securities/instruments that behave like debt (convertible bonds are to be included as debt securities if they trade like debt securities, but not if they trade like equities);
- forward transactions in foreign exchange, equities and commodities; and
- options that are subject to a change in value following a change in interest rates.
Financial Risk Market Interest Rate Positions Amount
This is the change in the economic value of the banking book (EVBB), as at the relevant date, given a shock to interest rates, without taking into account the earnings offset.
This item is to be determined in accordance with relevant prudential standards.
Financial Risk Market Interest Rate Shock Impact On EVBB Excluding Earnings Offset Amount
This is the change in the economic value of the banking book (EVBB), as at the relevant date, given a shock to interest rates, taking into account the earnings offset.
This item is to be determined in accordance with relevant prudential standards.
Financial Risk Market Interest Rate Shock Impact On EVBB Including Earnings Offset Amount
This is the value, as at the relevant date, that relates to short positions giving rise to interest rate risk, calculated in accordance to the relevant prudential standards.
This item includes short positions in:
- debt securities, including non-convertible preference shares and other quasi-debt securities/instruments that behave like debt (convertible bonds are to be included as debt securities if they trade like debt securities, but not if they trade like equities);
- forward transactions in foreign exchange, equities and commodities; and
- options that are subject to a change in value following a change in interest rates.
Short positions represent borrowed assets, or instruments, that have been sold with the expectation that the asset will fall in value.
Financial Risk Market Interest Rate Short Positions Amount
This is the value, as at the relevant date, of the reporting party's interest rate risk in the banking book (IRRBB) capital requirement, as determined in accordance with relevant prudential standards. For the purposes of this item a floor of zero is applied.
IRRBB capital requirement represents the regulatory capital that an entity is required to hold against its exposure to IRRBB in accordance with Prudential Standards. For the purposes of this item
Financial Risk Market IRRBB Capital Requirement Amount
This is the value, as at the relevant date, of the maximum potential change in the economic value of the reporting party's banking book items over the following year, for a 99 per cent confidence level, arising from basis risk, estimated as part of the interest rate risk in the banking book (IRRBB) capital requirement, as determined in accordance with relevant prudential standards.
IRRBB capital requirement represents the regulatory capital that an entity is required to hold against its exposure to IRRBB in accordance with Prudential Standards.
Basis risk represents the risk of loss in earnings or economic value arising from differences between the actual and expected interest margins on banking book items, where 'margin' means the difference between the interest rate on the items and the implied cost of funds for those items.
Financial Risk Market IRRBB Capital Requirement Basis Risk Amount
This is the value, as at the relevant date, of the interest rate risk in the banking book (IRRBB) capital requirement, for the relevant currency or composite of currencies, as determined in accordance with relevant prudential standards.
IRRBB capital requirement represents the regulatory capital that an entity is required to hold against its exposure to IRRBB in accordance with Prudential Standards.
Financial Risk Market IRRBB Capital Requirement Currency Or Composite Currencies Amount
This is the value, as at the relevant date, of the maximum potential change in the economic value of banking book items in the relevant currency or composite of currencies over the following year, for a 99 per cent confidence level, arising from basis risk
Basis risk represents the risk of loss in earnings or economic value arising from differences between the actual and expected interest margins on banking book items, where 'margin' means the difference between the interest rate on the items and the implied cost of funds for those items.
Financial Risk Market IRRBB Capital Requirement Currency Or Composite Of Currencies Basis Risk Amount
This is the value, as at the relevant date, of the assumed diversification benefits between estimated repricing yield curve risks, basis risk and optionality risk, for banking book items in the relevant currency or composite of currencies. This will reduce the interest rate risk in the banking book (IRRBB) capital requirement for the relevant currency or composite of currencies.
IRRBB capital requirement represents the regulatory capital that an entity is required to hold against its exposure to IRRBB in accordance with prudential standards.
Repricing risk represents the risk of loss in earnings or economic value caused by a change in the overall level of interest rates (that is, a 'parallel shift' in the yield curve). This risk arises from mismatches in the repricing dates of an entity's banking book items.
Yield curve risk represents the risk of loss in earnings or economic value caused by a change in the relative levels of interest rates for different tenors (that is, a change in the slope or shape of the yield curve). This risk arises from mismatches in the repricing dates of an entity's banking book items.
Basis risk represents the risk of loss in earnings or economic value arising from differences between the actual and expected interest margins on banking book items, where 'margin' means the difference between the interest rate on the items and the implied cost of funds for those items.
Optionality risk represents the risk of loss in earnings or economic value due to the existence of stand-alone or embedded options, to the extent that the potential for those losses is not included in the measurement of repricing, yield curve or basis risks.
Financial Risk Market IRRBB Capital Requirement Currency Or Composite Of Currencies Diversification Benefit Between Risks Amount
This is the embedded loss or gain amount, for the relevant currency or composite of currencies, as at the relevant date, defined as the sum of the book value of all banking book items minus the constant value of EV0 (the economic value of the banking book minus an earnings offset). This represents part of the interest rate risk in the banking book (IRRBB) capital requirement, as determined in accordance with relevant prudential standards.
IRRBB capital requirement represents the regulatory capital that an entity is required to hold against its exposure to IRRBB in accordance with prudential standards.
Financial Risk Market IRRBB Capital Requirement Currency Or Composite Of Currencies Embedded Loss Or Gain Amount
This is the value, as at the relevant date, of the maximum potential change in the economic value of banking book items in the relevant currency or composite of currencies over the following year, for a 99 per cent confidence level, arising from optionality risk.
Optionality risk represents the risk of loss in earnings or economic value due to the existence of stand-alone or embedded options, to the extent that the potential for those losses is not included in the measurement of repricing, yield curve or basis risks.
Financial Risk Market IRRBB Capital Requirement Currency Or Composite Of Currencies Optionality Risk Amount
This is the value, as at the relevant date, of the maximum potential change in the economic value of banking book items in the relevant currency or composite of currencies, as a consequence of changes in interest rates, for a 99 per cent confidence level and over a one year holding period, assuming that all banking book items reprice in accordance with the repricing assumptions. This represents the interest rate risk in the banking book (IRRBB) capital requirement for repricing and yield curve risks for the relevant currency or composite of currencies, as determined in accordance with relevant prudential standards,
IRRBB capital requirement represents the regulatory capital that an entity is required to hold against its exposure to IRRBB in accordance with prudential standards.
Repricing risk represents the risk of loss in earnings or economic value caused by a change in the overall level of interest rates (that is, a 'parallel shift' in the yield curve). This risk arises from mismatches in the repricing dates of an entity's banking book items.
Yield curve risk represents the risk of loss in earnings or economic value caused by a change in the relative levels of interest rates for different tenors (that is, a change in the slope or shape of the yield curve). This risk arises from mismatches in the repricing dates of an entity's banking book items.
Financial Risk Market IRRBB Capital Requirement Currency Or Composite Of Currencies Repricing And Yield Curve Risks Amount
This is the value, as at the relevant date, of assumed diversification benefits between currencies, for the reporting party's interest rate risk in the banking book (IRRBB) capital requirement. This amount will reduce the reporting part's total IRRBB capital requirement, as determined in accordance with relevant prudential standards.
IRRBB capital requirement represents the regulatory capital that an entity is required to hold against its exposure to IRRBB in accordance with Prudential Standards.
Financial Risk Market IRRBB Capital Requirement Diversification Benefit Between Currencies Amount
This is the value, as at the relevant date, of assumed diversification benefits between currencies for the assumed benefit of diversification between repricing and yield curve risks, basis risk and optionality risk. This represents part of the reporting party's total IRRBB capital requirement, as determined in accordance with relevant prudential standards.
IRRBB capital requirement represents the regulatory capital that an entity is required to hold against its exposure to IRRBB in accordance with Prudential Standards.
Repricing risk represents the risk of loss in earnings or economic value caused by a change in the overall level of interest rates (that is, a 'parallel shift' in the yield curve). This risk arises from mismatches in the repricing dates of an entity's banking book items.
Yield curve risk represents the risk of loss in earnings or economic value caused by a change in the relative levels of interest rates for different tenors (that is, a change in the slope or shape of the yield curve). This risk arises from mismatches in the repricing dates of an entity's banking book items.
Basis risk represents the risk of loss in earnings or economic value arising from differences between the actual and expected interest margins on banking book items, where 'margin' means the difference between the interest rate on the items and the implied cost of funds for those items.
Optionality risk represents the risk of loss in earnings or economic value due to the existence of stand-alone or embedded options, to the extent that the potential for those losses is not included in the measurement of repricing, yield curve or basis risks.
Financial Risk Market IRRBB Capital Requirement Diversification Benefit Between Currencies And Risks Amount
This is the value, as at the relevant date, of assumed diversification benefits between currencies for the estimated basis risk. This amount will reduce the reporting party's total IRRBB capital requirement, as determined in accordance with relevant prudential standards.
IRRBB capital requirement represents the regulatory capital that an entity is required to hold against its exposure to IRRBB in accordance with Prudential Standards.
Basis risk represents the risk of loss in earnings or economic value arising from differences between the actual and expected interest margins on banking book items, where 'margin' means the difference between the interest rate on the items and the implied cost of funds for those items.
Financial Risk Market IRRBB Capital Requirement Diversification Benefit Between Currencies On Basis Risk Amount
This is the value, as at the relevant date, of assumed diversification benefits between currencies for the estimated optionality risk. This amount will reduce the reporting party's total IRRBB capital requirement, as determined in accordance with relevant prudential standards.
IRRBB capital requirement represents the regulatory capital that an entity is required to hold against its exposure to IRRBB in accordance with Prudential Standards.
Optionality risk represents the risk of loss in earnings or economic value due to the existence of stand-alone or embedded options, to the extent that the potential for those losses is not included in the measurement of repricing, yield curve or basis risks.
Financial Risk Market IRRBB Capital Requirement Diversification Benefit Between Currencies On Optionality Risk Amount
This is the value, as at the relevant date, of assumed diversification benefits between currencies for the estimated repricing and yield curve risks. This amount will reduce the reporting party's total IRRBB capital requirement, as determined in accordance with relevant prudential standards.
IRRBB capital requirement represents the regulatory capital that an entity is required to hold against its exposure to IRRBB in accordance with Prudential Standards.
Repricing risk represents the risk of loss in earnings or economic value caused by a change in the overall level of interest rates (that is, a 'parallel shift' in the yield curve). This risk arises from mismatches in the repricing dates of an entity's banking book items.
Yield curve risk represents the risk of loss in earnings or economic value caused by a change in the relative levels of interest rates for different tenors (that is, a change in the slope or shape of the yield curve). This risk arises from mismatches in the repricing dates of an entity's banking book items.
Financial Risk Market IRRBB Capital Requirement Diversification Benefit Between Currencies On Repricing And Yield Curve Risks Amount
This is the value, as at the relevant date, of the reporting party's assumed diversification benefits between estimated repricing and yield curve risks, basis risk and optionality risk. This will reduce the reporting party's interest rate risk in the banking book (IRRBB) capital requirement, as determined in accordance with relevant prudential standards.
IRRBB capital requirement represents the regulatory capital that an entity is required to hold against its exposure to IRRBB in accordance with Prudential Standards.
Repricing risk represents the risk of loss in earnings or economic value caused by a change in the overall level of interest rates (that is, a 'parallel shift' in the yield curve). This risk arises from mismatches in the repricing dates of an entity's banking book items.
Yield curve risk represents the risk of loss in earnings or economic value caused by a change in the relative levels of interest rates for different tenors (that is, a change in the slope or shape of the yield curve). This risk arises from mismatches in the repricing dates of an entity's banking book items.
Basis risk represents the risk of loss in earnings or economic value arising from differences between the actual and expected interest margins on banking book items, where 'margin' means the difference between the interest rate on the items and the implied cost of funds for those items.
Optionality risk represents the risk of loss in earnings or economic value due to the existence of stand-alone or embedded options, to the extent that the potential for those losses is not included in the measurement of repricing, yield curve or basis risks.
Financial Risk Market IRRBB Capital Requirement Diversification Benefit Between Risks Amount
This is the value, as at the relevant date, of the maximum potential change in the economic value of the reporting party's banking book items over the following year, for a 99 per cent confidence level, arising from optionality risk, estimated as part of the interest rate risk in the banking book (IRRBB) capital requirement, as determined in accordance with relevant prudential standards.
IRRBB capital requirement represents the regulatory capital that an entity is required to hold against its exposure to IRRBB in accordance with Prudential Standards.
Optionality risk represents the risk of loss in earnings or economic value due to the existence of stand-alone or embedded options, to the extent that the potential for those losses is not included in the measurement of repricing, yield curve or basis risks.
Financial Risk Market IRRBB Capital Requirement Optionality Risk Amount
This is the value, as at the relevant date, of the maximum potential change in the economic value of the reporting party's banking book, as a consequence of changes in interest rates, for a 99 per cent confidence level and over a one year holding period, assuming that all banking book items reprice in accordance with the repricing assumptions. This represents the reporting entity's interest rate risk in the banking book (IRRBB) capital requirement for repricing and yield curve risks, as determined in accordance with relevant prudential standards,
IRRBB capital requirement represents the regulatory capital that an entity is required to hold against its exposure to IRRBB in accordance with Prudential Standards.
Repricing risk represents the risk of loss in earnings or economic value caused by a change in the overall level of interest rates (that is, a 'parallel shift' in the yield curve). This risk arises from mismatches in the repricing dates of an entity's banking book items.
Yield curve risk represents the risk of loss in earnings or economic value caused by a change in the relative levels of interest rates for different tenors (that is, a change in the slope or shape of the yield curve). This risk arises from mismatches in the repricing dates of an entity's banking book items.
Financial Risk Market IRRBB Capital Requirement Repricing And Yield Curve Risks Amount
This is the value, as at the relevant date, of commodities (excluding gold) options, as determined in accordance with relevant prudential standards.
A commodities contract is any contract that transfers the commodity price risk of an underlying asset from one party to another.
An option provides the purchasing entity with the right but not the obligation to buy or sell a specific amount of the underlying asset at a pre-agreed price, on or before a specific future date.
Financial Risk Market Options Commodities Amount
This is the value, as at the relevant date, of purchased commodity (excluding gold) call options covered with a short position in underlying assets, as determined in accordance with relevant prudential standards.
For the purposes of this item, option positions which are partially covered should be reported only to the extent of their fully covered amount.
Covered positions represent those positions which are backed by underlying assets, and are generally entered into for the purposes of hedging against movements in the value of the underlying.
A bought, or purchased, call option is a call option that has been purchased by an entity. It provides the purchasing entity with the right but not the obligation to buy a specific amount of the underlying asset at a pre-agreed price, on or before a specific future date.
A commodity contract is any contract that transfers the commodity price risk of an underlying commodity from one party to another.
Financial Risk Market Options Commodities Purchased Call Covered Positions Amount
This is the value, as at the relevant date, of uncovered, or naked, commodity (excluding gold) call options the entity purchased, as determined in accordance with relevant prudential standards.
For the purposes of this item, option positions which are partially covered should be reported only to the extent of their uncovered amount.
Uncovered, or naked, positions represent those positions which are not backed by underlying assets, and are generally entered into for speculative trading purposes.
A bought, or purchased, call option is a call option that has been purchased by an entity. It provides the purchasing entity with the right but not the obligation to buy a specific amount of the underlying asset at a pre-agreed price, on or before a specific future date.
A commodity contract is any contract that transfers the commodity price risk of an underlying commodity from one party to another.
Financial Risk Market Options Commodities Purchased Call Naked Positions Amount
This is the value, as at the relevant date, of commodities (excluding gold) options the entity has purchased, as determined in accordance with relevant prudential standards.
A bought option includes both put and call options that have been purchased by an entity. It provides the purchasing entity with the right but not the obligation to buy or sell a specific amount of the underlying asset at a pre-agreed price, on or before a specific future date.
A commodity contract is any contract that transfers the commodity price risk of an underlying asset from one party to another.
Financial Risk Market Options Commodities Purchased Positions Amount
This is the value, as at the relevant date, of uncovered, or naked, commodity (excluding gold) put options the entity purchased, as determined in accordance with relevant prudential standards.
For the purposes of this item, option positions which are partially covered should be reported only to the extent of their uncovered amount.
Uncovered, or naked, positions represent those positions which are not backed by underlying assets, and are generally entered into for speculative trading purposes.
A bought, or purchased, put option is a put option that has been purchased by an entity. It provides the purchasing entity with the right but not the obligation to sell a specific amount of the underlying asset at a pre-agreed price, on or before a specific future date.
A commodity contract is any contract that transfers the commodity price risk of an underlying commodity from one party to another.
Financial Risk Market Options Commodities Purchased Put Naked Positions Amount
This is the value, as at the relevant date, in relation to the purchased commodities (excluding gold) put options covered with a long position in underlying assets, as determined in accordance with relevant prudential standards.
For the purposes of this item, option positions which are partially covered should be reported only to the extent of their fully covered amount.
Covered positions represent those positions which are backed by underlying assets, and are generally entered into for the purposes of hedging against movements in the value of the underlying.
A bought, or purchased, put option is a put option that has been purchased by an entity. It provides the purchasing entity with the right but not the obligation to sell a specific amount of the underlying asset at a pre-agreed price, on or before a specific future date.
A commodity contract is any contract that transfers the commodity price risk of an underlying commodity from one party to another.
Financial Risk Market Options Commodity Purchased Put Covered Positions Amount
This is the value, as at the relevant date, of equity options, as determined in accordance with relevant prudential standards.
An equity contract is any contract that transfers the equity price risk of an underlying asset from one party to another.
An option provides the purchasing entity with the right but not the obligation to buy or sell a specific amount of the underlying asset at a pre-agreed price, on or before a specific future date.
Financial Risk Market Options Equity Amount
This is the value, as at the relevant date, of purchased equity call options covered with a short position in underlying assets, as determined in accordance with relevant prudential purposes.
For the purposes of this item, option positions which are partially covered should be reported only to the extent of their fully covered amount.
Covered positions represent those positions which are backed by underlying assets, and are generally entered into for the purposes of hedging against movements in the value of the underlying.
A bought, or purchased, call option is a call option that has been purchased by an entity. It provides the purchasing entity with the right but not the obligation to buy a specific amount of the underlying asset at a pre-agreed price, on or before a specific future date.
An equity contract is any contract that transfers the equity price risk of an underlying equity security from one party to another.
Financial Risk Market Options Equity Purchased Call Covered Positions Amount
This is the value, as at the relevant date, of uncovered, or naked, equity call options the entity purchased, as determined in accordance with the relevant prudential standards.
For the purposes of this item, option positions which are partially covered should be reported only to the extent of their uncovered amount.
Uncovered, or naked, positions represent those positions which are not backed by underlying assets, and are generally entered into for speculative trading purposes.
A bought, or purchased, call option is a call option that has been purchased by an entity. It provides the purchasing entity with the right but not the obligation to buy a specific amount of the underlying asset at a pre-agreed price, on or before a specific future date.
An equity contract is any contract that transfers the equity price risk of an underlying equity security from one party to another.
Financial Risk Market Options Equity Purchased Call Naked Positions Amount
This is the value, as at the relevant date, of equity options the entity has purchased, as determined in accordance with relevant prudential standards.
A bought option includes both put and call options that have been purchased by an entity. It provides the purchasing entity with the right but not the obligation to buy or sell a specific amount of the underlying asset at a pre-agreed price, on or before a specific future date.
An equity contract is any contract that at least partly transfers the equity risk of an underlying equity security from one party to another.
Financial Risk Market Options Equity Purchased Positions Amount
This is the value, as at the relevant date, in relation to purchased equity put options covered with a long position in underlying assets, as determined in accordance with relevant prudential standards.
For the purposes of this item, option positions which are partially covered should be reported only to the extent of their fully covered amount.
Covered positions represent those positions which are backed by underlying assets, and are generally entered into for the purposes of hedging against movements in the value of the underlying.
A bought, or purchased, put option is a put option that has been purchased by an entity. It provides the purchasing entity with the right but not the obligation to sell a specific amount of the underlying asset at a pre-agreed price, on or before a specific future date.
An equity contract is any contract that transfers the equity price risk of an underlying equity security from one party to another.
Financial Risk Market Options Equity Purchased Put Covered Positions Amount
This is the value, as at the relevant date, of uncovered, or naked, equity put options the entity purchased, as determined in accordance with relevant prudential standards.
For the purposes of this item, option positions which are partially covered should be reported only to the extent of their uncovered amount.
Uncovered, or naked, positions represent those positions which are not backed by underlying assets, and are generally entered into for speculative trading purposes.
A bought, or purchased, put option is a put option that has been purchased by an entity. It provides the purchasing entity with the right but not the obligation to sell a specific amount of the underlying asset at a pre-agreed price, on or before a specific future date.
An equity contract is any contract that transfers the equity price risk of an underlying equity security from one party to another.
Financial Risk Market Options Equity Purchased Put Naked Positions Amount
This is the value, as at the relevant date, of foreign exchange (including gold) options, as determined in accordance with relevant prudential standards.
A foreign exchange contract is any contract that transfers the foreign exchange rate risk of an underlying asset from one party to another.
An option provides the purchasing entity with the right but not the obligation to buy or sell a specific amount of the underlying asset at a pre-agreed price, on or before a specific future date.
Financial Risk Market Options Foreign Exchange Amount
This is the value, as at the relevant date, of purchased foreign exchange (including gold) call options covered with a short position in underlying assets, as determined in accordance with relevant prudential standards.
For the purposes of this item, option positions which are partially covered should be reported only to the extent of their fully covered amount.
Covered positions represent those positions which are backed by underlying assets, and are generally entered into for the purposes of hedging against movements in the value of the underlying.
A bought, or purchased, call option is a call option that has been purchased by an entity. It provides the purchasing entity with the right but not the obligation to buy a specific amount of the underlying asset at a pre-agreed price, on or before a specific future date.
A foreign exchange contract is any contract that transfers the exchange rate risk of an underlying asset from one party to another.
Financial Risk Market Options Foreign Exchange Purchased Call Covered Positions Amount
This is the value, as at the relevant date, of uncovered, or naked, foreign exchange call options the entity purchased, as determined in accordance with relevant prudential standards.
For the purposes of this item, option positions which are partially covered should be reported only to the extent of their uncovered amount.
Uncovered, or naked, positions represent those positions which are not backed by underlying assets, and are generally entered into for speculative trading purposes.
A bought, or purchased, call option is a call option that has been purchased by an entity. It provides the purchasing entity with the right but not the obligation to buy a specific amount of the underlying asset at a pre-agreed price, on or before a specific future date.
A foreign exchange contract is any contract that transfers the exchange rate risk of an underlying asset from one party to another.
Financial Risk Market Options Foreign Exchange Purchased Call Naked Positions Amount
This is the value, as at the relevant date, of foreign exchange (including gold) options the entity has purchased, as determined in accordance with relevant prudential standards.
A bought option includes both put and call options that have been purchased by an entity. It provides the purchasing entity with the right but not the obligation to buy or sell a specific amount of the underlying asset at a pre-agreed price, on or before a specific future date.
A foreign exchange contract is any contract that transfers the exchange rate risk of an underlying asset from one party to another.
A gold contract is any contract that transfers the gold price risk associated with an underlying asset from one party to another.
Financial Risk Market Options Foreign Exchange Purchased Positions Amount
This is the value, as at the relevant date, in relation to purchased foreign exchange (including gold) put options covered with a long position in underlying assets, as determined in accordance with relevant prudential standards.
For the purposes of this item, option positions which are partially covered should be reported only to the extent of their fully covered amount.
Covered positions represent those positions which are backed by underlying assets, and are generally entered into for the purposes of hedging against movements in the value of the underlying.
A bought, or purchased, put option is a put option that has been purchased by an entity. It provides the purchasing entity with the right but not the obligation to sell a specific amount of the underlying asset at a pre-agreed price, on or before a specific future date.
A foreign exchange contract is any contract that transfers the exchange rate risk of an underlying asset from one party to another.
Financial Risk Market Options Foreign Exchange Purchased Put Covered Positions Amount
This is the value, as at the relevant date, of uncovered, or naked, foreign exchange put options the entity purchased, as determined in accordance with relevant prudential standards.
For the purposes of this item, option positions which are partially covered should be reported only to the extent of their uncovered amount.
Uncovered, or naked, positions represent those positions which are not backed by underlying assets, and are generally entered into for speculative trading purposes.
A bought, or purchased, put option is a put option that has been purchased by an entity. It provides the purchasing entity with the right but not the obligation to sell a specific amount of the underlying asset at a pre-agreed price, on or before a specific future date.
A foreign exchange contract is any contract that transfers the exchange rate risk of an underlying asset from one party to another.
Financial Risk Market Options Foreign Exchange Purchased Put Naked Positions Amount
This is the value, as at the relevant date, of interest rate options, as determined in accordance with relevant prudential standards.
An interest rate contract is any contract that transfers the interest rate risk of an underlying asset from one party to another.
An option provides the purchasing entity with the right but not the obligation to buy or sell a specific amount of the underlying asset at a pre-agreed price, on or before a specific future date.
Financial Risk Market Options Interest Rate Amount
This is the value, as at the relevant date, of purchased interest rate call options covered with a short position in underlying assets, as determined in accordance with relevant prudential standards.
For the purposes of this item, option positions which are partially covered should be reported only to the extent of their fully covered amount.
Covered positions represent those positions which are backed by underlying assets, and are generally entered into for the purposes of hedging against movements in the value of the underlying.
A bought, or purchased, call option is a call option that has been purchased by an entity. It provides the purchasing entity with the right but not the obligation to buy a specific amount of the underlying asset at a pre-agreed price, on or before a specific future date.
An interest rate contract is any contract that transfers the interest rate risk of an underlying asset from one party to another.
Financial Risk Market Options Interest Rate Purchased Call Covered Positions Amount
This is the value, as at the relevant date, of uncovered, or naked, interest rate call options the entity purchased, as determined in accordance with relevant prudential standards.
For the purposes of this item, option positions which are partially covered should be reported only to the extent of their uncovered amount.
Uncovered, or naked, positions represent those positions which are not backed by underlying assets, and are generally entered into for speculative trading purposes.
A bought, or purchased, call option is a call option that has been purchased by an entity. It provides the purchasing entity with the right but not the obligation to buy a specific amount of the underlying asset at a pre-agreed price, on or before a specific future date.
An interest rate contract is any contract that transfers the interest rate risk of an underlying asset from one party to another.
Financial Risk Market Options Interest Rate Purchased Call Naked Positions Amount
This is the value, as at the relevant date, of interest rate options the entity has purchased, as determined in accordance with relevant prudential standards.
A bought option includes both put and call options that have been purchased by an entity. It provides the purchasing entity with the right but not the obligation to buy or sell a specific amount of the underlying asset at a pre-agreed price, on or before a specific future date.
An interest rate contract is any contract that transfers the interest rate risk of an underlying asset from one party to another.
Financial Risk Market Options Interest Rate Purchased Positions Amount
This is the value, as at the relevant date, that relates to purchased interest rate put options covered with a long position in underlying assets, as determined in accordance with relevant prudential standards.
For the purposes of this item, option positions which are partially covered should be reported only to the extent of their fully covered amount.
Covered positions represent those positions which are backed by underlying assets, and are generally entered into for the purposes of hedging against movements in the value of the underlying.
A bought, or purchased, put option is a put option that has been purchased by an entity. It provides the purchasing entity with the right but not the obligation to sell a specific amount of the underlying asset at a pre-agreed price, on or before a specific future date.
An interest rate contract is any contract that transfers the interest rate risk of an underlying asset from one party to another.
Financial Risk Market Options Interest Rate Purchased Put Covered Positions Amount
This is the value, as at the relevant date, of uncovered, or naked, interest rate put options the entity purchased, as determined in accordance with relevant prudential standards.
For the purposes of this item, option positions which are partially covered should be reported only to the extent of their uncovered amount.
Uncovered, or naked, positions represent those positions which are not backed by underlying assets, and are generally entered into for speculative trading purposes.
A bought, or purchased, put option is a put option that has been purchased by an entity. It provides the purchasing entity with the right but not the obligation to sell a specific amount of the underlying asset at a pre-agreed price, on or before a specific future date.
An interest rate contract is any contract that transfers the interest rate risk of an underlying asset from one party to another.
Financial Risk Market Options Interest Rate Purchased Put Naked Positions Amount
This is the scaled average value at risk (VaR) for positions giving rise to commodities risk, as determined in accordance with relevant prudential standards. This represents the average VaR, calculated over the most recent 60 trading days prior to and including the relevant date, multiplied by the scaling factor applicable.
Commodity positions include both on and off-balance sheet exposures which are affected by changes in commodity prices. This includes holdings of, or positions in:
- commodity forwards;
- commodity futures;
- commodity swaps; and
- other applicable commodity instruments (e.g. commodity options).
VaR, or Value at Risk, is a technique used to estimate the likelihood of losses in a portfolio, based on the analysis of historical price movements and volatilities, over a specified observation period.
For the purposes of this item the amount reported is the average of the 99% ten-day VaR number calculated daily over the relevant period. A 99% ten-day VaR represents a simulated mark-to-market loss for which there is a 1% probability of occurrence over the next ten days, assuming there is no trading of the portfolio.
The scaling factor consists of a multiplication factor and a plus factor, as determined in accordance with relevant prudential standards. The multiplication factor is set for each reporting party by APRA, and is subject to a minimum of three. A plus factor may also be required by APRA. This factor relates directly to back-testing results from the most recent 250 trading days prior to and including the relevant date.
Financial Risk Market Scaled Average VaR Commodity Excluding Gold Positions Amount
This is the scaled average value at risk (VaR) for positions which are sensitive to changes in foreign exchange rate volatility, as determined in accordance with relevant prudential standards. This represents the average VaR, calculated over the most recent 60 trading days prior to and including the relevant date, multiplied by the scaling factor applicable.
Volatility represents a measure of risk based on the standard deviation of the asset return. Volatility is a variable that appears in option pricing formulas, where it denotes the volatility of the underlying asset return from now to the expiration of the option.
VaR, or Value at Risk, is a technique used to estimate the likelihood of losses in a portfolio, based on the analysis of historical price movements and volatilities, over a specified observation period.
For the purposes of this item the amount reported is the average of the 99% ten-day VaR number calculated daily over the relevant period. A 99% ten-day VaR represents a simulated mark-to-market loss for which there is a 1% probability of occurrence over the next ten days, assuming there is no trading of the portfolio.
The scaling factor consists of a multiplication factor and a plus factor, as determined in accordance with relevant prudential standards. The multiplication factor is set for each reporting party by APRA, and is subject to a minimum of three. A plus factor may also be required by APRA. This factor relates directly to back-testing results from the most recent 250 trading days prior to and including the relevant date.
Financial Risk Market Scaled Average VaR Foreign Exchange Positions Volatility Amount
This is the scaled average value at risk (VaR) for positions giving rise to market risk. This represents the average VaR, calculated over the most recent 60 trading days prior to and including the relevant date, multiplied by the scaling factor applicable.
Market risk positions include the following holdings of, or positions giving rise to:
- interest rate risk;
- equity position risk;
- foreign exchange risk; and
- commodities risk.
VaR, or Value at Risk, is a technique used to estimate the likelihood of losses in a portfolio, based on the analysis of historical price movements and volatilities, over a specified observation period.
For the purposes of this item the amount reported is the average of the 99% ten-day VaR number calculated daily over the relevant period. A 99% ten-day VaR represents a simulated mark-to-market loss for which there is a 1% probability of occurrence over the next ten days, assuming there is no trading of the portfolio.
The scaling factor consists of a multiplication factor and a plus factor, as determined in accordance with relevant prudential standards. The multiplication factor is set for each reporting party by APRA, and is subject to a minimum of three. A plus factor may also be required by APRA. This factor relates directly to back-testing results from the most recent 250 trading days prior to and including the relevant date.
Financial Risk Market Scaled Average VaR Past 60 Trading Days Amount
This is the scaled average value at risk (VaR) for positions giving rise to equity position risk, as determined in accordance with relevant prudential standards. This represents the average VaR, calculated over the most recent 60 trading days prior to and including the relevant date, multiplied by the scaling factor applicable.
Equity positions include on and off-balance sheet exposures which are affected by changes in Equity prices. This includes holdings of, or positions in:
- ordinary shares, whether voting or non-voting;
- convertible securities that behave like equities;
- commitments to buy or sell equity securities; and
- any other instruments that exhibit market behaviour similar to equities.
VaR, or Value at Risk, is a technique used to estimate the likelihood of losses in a portfolio, based on the analysis of historical price movements and volatilities, over a specified observation period.
For the purposes of this item the amount reported is the average of the 99% ten-day VaR number calculated daily over the relevant period. A 99% ten-day VaR represents a simulated mark-to-market loss for which there is a 1% probability of occurrence over the next ten days, assuming there is no trading of the portfolio.
The scaling factor consists of a multiplication factor and a plus factor, as determined in accordance with relevant prudential standards. The multiplication factor is set for each reporting party by APRA, and is subject to a minimum of three. A plus factor may also be required by APRA. This factor relates directly to back-testing results from the most recent 250 trading days prior to and including the relevant date.
Financial Risk Market Scaled Average VaR Past 60 Trading Days Equity Positions Amount
This is the scaled average value at risk (VaR) for positions giving rise to foreign exchange risk. This represents the average VaR, calculated over the most recent 60 trading days prior to and including the relevant date, multiplied by the scaling factor applicable.
Foreign exchange positions include on and off-balance sheet exposures which are affected by changes in foreign exchange rates. This includes holdings of, or positions in:
(a) the net spot position, i.e. all asset items less all liability items, including accrued interest and other accrued income and accrued expenses, denominated in the currency in question;
(b) the net forward position, i.e. all amounts to be received less all amounts to be paid under forward foreign exchange transactions, including currency futures, the principal on currency swaps not included in the spot position, and interest rate transactions such as futures and swaps denominated in a foreign currency; This amount should represent the value of positions at current spot market exchange rates or using net present values;
(c) guarantees (and similar instruments) that are certain to be called and likely to be irrecoverable; and
(d) any other item representing a profit or loss in foreign currencies.
For the purposes of this item:
- include unearned but expected future interest and anticipated expenses if the amounts are certain and the reporting party has hedged them; and
- exclude structural positions, where permitted by the relevant prudential standards.
VaR, or Value at Risk, is a technique used to estimate the likelihood of losses in a portfolio, based on the analysis of historical price movements and volatilities, over a specified observation period.
For the purposes of this item the amount reported is the average of the 99% ten-day VaR number calculated daily over the relevant period. A 99% ten-day VaR represents a simulated mark-to-market loss for which there is a 1% probability of occurrence over the next ten days, assuming there is no trading of the portfolio.
The scaling factor consists of a multiplication factor and a plus factor, as determined in accordance with relevant prudential standards. The multiplication factor is set for each reporting party by APRA, and is subject to a minimum of three. A plus factor may also be required by APRA. This factor relates directly to back-testing results from the most recent 250 trading days prior to and including the relevant date.
Financial Risk Market Scaled Average VaR Past 60 Trading Days Foreign Exchange Positions Amount
This is the scaled average value at risk (VaR) for positions which are sensitive to foreign exchange rate movements, assuming all other factors (e.g. foreign exchange rate volatility) remain equal, as determined in accordance with relevant prudential standards. This represents the average VaR, calculated over the most recent 60 trading days prior to and including the relevant date, multiplied by the scaling factor applicable.
Delta, in this context, represents the impact of underlying foreign exchange rate movements on the overall portfolio value.
VaR, or Value at Risk, is a technique used to estimate the likelihood of losses in a portfolio, based on the analysis of historical price movements and volatilities, over a specified observation period.
For the purposes of this item the amount reported is the average of the 99% ten-day VaR number calculated daily over the relevant period. A 99% ten-day VaR represents a simulated mark-to-market loss for which there is a 1% probability of occurrence over the next ten days, assuming there is no trading of the portfolio.
The scaling factor consists of a multiplication factor and a plus factor, as determined in accordance with relevant prudential standards. The multiplication factor is set for each reporting party by APRA, and is subject to a minimum of three. A plus factor may also be required by APRA. This factor relates directly to back-testing results from the most recent 250 trading days prior to and including the relevant date.
Financial Risk Market Scaled Average VaR Past 60 Trading Days Foreign Exchange Positions Delta Amount
This is the scaled average value at risk (VaR) for positions giving rise to interest rate risk. This represents the average VaR, calculated over the most recent 60 trading days prior to and including the relevant date, multiplied by the scaling factor applicable.
Interest rate positions include both on and off-balance sheet exposures which are affected by changes in interest rates. This includes holdings of, or positions in:
- debt securities, including non-convertible preference shares and other quasi-debt securities/instruments that behave like debt (convertible bonds are to be included as debt securities if they trade like debt securities, but not if they trade like equities);
- forward transactions in foreign exchange, equities and commodities; and
- options that are subject to a change in value following a change in interest rates.
VaR, or Value at Risk, is a technique used to estimate the likelihood of losses in a portfolio, based on the analysis of historical price movements and volatilities, over a specified observation period.
For the purposes of this item the amount reported is the average of the 99% ten-day VaR number calculated daily over the relevant period. A 99% ten-day VaR represents a simulated mark-to-market loss for which there is a 1% probability of occurrence over the next ten days, assuming there is no trading of the portfolio.
The scaling factor consists of a multiplication factor and a plus factor, as determined in accordance with relevant prudential standards. The multiplication factor is set for each reporting party by APRA, and is subject to a minimum of three. A plus factor may also be required by APRA. This factor relates directly to back-testing results from the most recent 250 trading days prior to and including the relevant date.
Financial Risk Market Scaled Average VaR Past 60 Trading Days Interest Rate Positions Amount
This is the scaled average value at risk (VaR) for positions which are sensitive to interest rate movements, assuming all other factors (e.g. interest rate volatility) remain stable, as determined in accordance with relevant prudential standards. This represents the average VaR, calculated over the most recent 60 trading days prior to and including the relevant date, multiplied by the scaling factor applicable.
Delta, in this context, represents the impact of underlying interest rate movements on the overall portfolio value.
VaR, or Value at Risk, is a technique used to estimate the likelihood of losses in a portfolio, based on the analysis of historical price movements and volatilities, over a specified observation period.
For the purposes of this item the amount reported is the average of the 99% ten-day VaR number calculated daily over the relevant period. A 99% ten-day VaR represents a simulated mark-to-market loss for which there is a 1% probability of occurrence over the next ten days, assuming there is no trading of the portfolio.
The scaling factor consists of a multiplication factor and a plus factor, as determined in accordance with relevant prudential standards. The multiplication factor is set for each reporting party by APRA, and is subject to a minimum of three. A plus factor may also be required by APRA. This factor relates directly to back-testing results from the most recent 250 trading days prior to and including the relevant date.
Financial Risk Market Scaled Average VaR Past 60 Trading Days Interest Rate Positions Delta Amount
This is the scaled average value at risk (VaR) for positions which are sensitive to changes in interest rate volatility, as determined in accordance with relevant prudential standards. This represents the average VaR, calculated over the most recent 60 trading days prior to and including the relevant date, multiplied by the scaling factor applicable.
Volatility represents a measure of risk based on the standard deviation of the asset return. Volatility is a variable that appears in option pricing formulas, where it denotes the volatility of the underlying asset return from now to the expiration of the option.
VaR, or Value at Risk, is a technique used to estimate the likelihood of losses in a portfolio, based on the analysis of historical price movements and volatilities, over a specified observation period.
For the purposes of this item the amount reported is the average of the 99% ten-day VaR number calculated daily over the relevant period. A 99% ten-day VaR represents a simulated mark-to-market loss for which there is a 1% probability of occurrence over the next ten days, assuming there is no trading of the portfolio.
The scaling factor consists of a multiplication factor and a plus factor, as determined in accordance with relevant prudential standards. The multiplication factor is set for each reporting party by APRA, and is subject to a minimum of three. A plus factor may also be required by APRA. This factor relates directly to back-testing results from the most recent 250 trading days prior to and including the relevant date.
Financial Risk Market Scaled Average VaR Past 60 Trading Days Interest Rate Positions Volatility Amount
This is the scaled average value at risk (VaR) for positions which are sensitive to volatility changes, as determined in accordance with relevant prudential standards. This represents the average VaR, calculated over the most recent 60 trading days prior to and including the relevant date, multiplied by the scaling factor applicable.
Volatility represents a measure of risk based on the standard deviation of the asset return. Volatility is a variable that appears in option pricing formulas, where it denotes the volatility of the underlying asset return from now to the expiration of the option.
VaR, or Value at Risk, is a technique used to estimate the likelihood of losses in a portfolio, based on the analysis of historical price movements and volatilities, over a specified observation period.
For the purposes of this item the amount reported is the average of the 99% ten-day VaR number calculated daily over the relevant period. A 99% ten-day VaR represents a simulated mark-to-market loss for which there is a 1% probability of occurrence over the next ten days, assuming there is no trading of the portfolio.
The scaling factor consists of a multiplication factor and a plus factor, as determined in accordance with relevant prudential standards. The multiplication factor is set for each reporting party by APRA, and is subject to a minimum of three. A plus factor may also be required by APRA. This factor relates directly to back-testing results from the most recent 250 trading days prior to and including the relevant date.
Financial Risk Market Scaled Average VaR Past 60 Trading Days Volatility Amount
This is the scaling factor applicable.
The scaling factor consists of a multiplication factor and a plus factor, as determined in accordance with relevant prudential standards. The multiplication factor is set for each reporting party by APRA, and is subject to a minimum of three. A plus factor may also be required by APRA. This factor relates directly to back-testing results from the most recent 250 trading days prior to the relevant date.
Back-testing represents the process of comparing the daily trading outcome (profit or loss) with the corresponding VaR number for that day.
Financial Risk Market Scaling Factor Number
This is the scaling factor applicable, for positions giving rise to commodities risk, as determined in accordance with relevant prudential standards.
The scaling factor consists of a multiplication factor and a plus factor, as determined in accordance with relevant prudential standards. The multiplication factor is set for each reporting party by APRA, and is subject to a minimum of three. A plus factor may also be required by APRA. This factor relates directly to back-testing results from the most recent 250 trading days prior to the relevant date.
Commodity positions include both on and off-balance sheet exposures which are affected by changes in commodity prices. This includes holdings of, or positions in:
- commodity forwards;
- commodity futures;
- commodity swaps; and
- other applicable commodity instruments (e.g. commodity options).
Back-testing represents the process of comparing the daily trading outcome (profit or loss) with the corresponding VaR number for that day.
Financial Risk Market Scaling Factor Commodity Positions Number
This is the scaling factor applicable for positions giving rise to equity position risk.
The scaling factor consists of a multiplication factor and a plus factor, as determined in accordance with relevant prudential standards. The multiplication factor is set for each reporting party by APRA, and is subject to a minimum of three. A plus factor may also be required by APRA. This factor relates directly to back-testing results from the most recent 250 trading days prior to the relevant date.
Equity positions include on and off-balance sheet exposures which are affected by changes in Equity prices. This includes holdings of, or positions in:
- ordinary shares, whether voting or non-voting;
- convertible securities that behave like equities;
- commitments to buy or sell equity securities; and
- any other instruments that exhibit market behaviour similar to equities.
Back-testing represents the process of comparing the daily trading outcome (profit or loss) with the corresponding VaR number for that day.
Financial Risk Market Scaling Factor Equity Positions Number
This is the scaling factor applicable, for positions giving rise to foreign exchange risk, as determined in accordance with relevant prudential standards.
The scaling factor consists of a multiplication factor and a plus factor, as determined in accordance with relevant prudential standards. The multiplication factor is set for each reporting party by APRA, and is subject to a minimum of three. A plus factor may also be required by APRA. This factor relates directly to back-testing results from the most recent 250 trading days prior to the relevant date.
Foreign exchange positions include on and off-balance sheet exposures which are affected by changes in foreign exchange rates. This includes holdings of, or positions in:
(a) the net spot position, i.e. all asset items less all liability items, including accrued interest and other accrued income and accrued expenses, denominated in the currency in question;
(b) the net forward position, i.e. all amounts to be received less all amounts to be paid under forward foreign exchange transactions, including currency futures, the principal on currency swaps not included in the spot position, and interest rate transactions such as futures and swaps denominated in a foreign currency; This amount should represent the value of positions at current spot market exchange rates or using net present values;
(c) guarantees (and similar instruments) that are certain to be called and likely to be irrecoverable; and
(d) any other item representing a profit or loss in foreign currencies.
For the purposes of this item:
- include unearned but expected future interest and anticipated expenses if the amounts are certain and the reporting party has hedged them; and
- exclude structural positions, where permitted by the relevant prudential standards.
Back-testing represents the process of comparing the daily trading outcome (profit or loss) with the corresponding VaR number for that day.
Financial Risk Market Scaling Factor Foreign Exchange Positions Number
This is the scaling factor applicable for positions which are sensitive to foreign exchange rate movements, assuming all other factors (e.g. foreign exchange rate volatility) remain equal.
Delta, in this context, represents the impact of underlying foreign exchange rate movements on the overall portfolio value.
The scaling factor consists of a multiplication factor and a plus factor, as determined in accordance with relevant prudential standards. The multiplication factor is set for each reporting party by APRA, and is subject to a minimum of three. A plus factor may also be required by APRA. This factor relates directly to back-testing results from the most recent 250 trading days prior to the relevant date.
Back-testing represents the process of comparing the daily trading outcome (profit or loss) with the corresponding VaR number for that day.
Financial Risk Market Scaling Factor Foreign Exchange Positions Delta Number
This is the scaling factor applicable for positions which are sensitive to changes in foreign exchange rate volatility, as determined in accordance with relevant prudential standards.
Volatility represents a measure of risk based on the standard deviation of the asset return. Volatility is a variable that appears in option pricing formulas, where it denotes the volatility of the underlying asset return from now to the expiration of the option.
The scaling factor consists of a multiplication factor and a plus factor, as determined in accordance with relevant prudential standards. The multiplication factor is set for each reporting party by APRA, and is subject to a minimum of three. A plus factor may also be required by APRA. This factor relates directly to back-testing results from the most recent 250 trading days prior to the relevant date.
Back-testing represents the process of comparing the daily trading outcome (profit or loss) with the corresponding VaR number for that day.
Financial Risk Market Scaling Factor Foreign Exchange Positions Volatility Number
This is the scaling factor applicable, for positions giving rise to interest rate risk.
The scaling factor consists of a multiplication factor and a plus factor, as determined in accordance with relevant prudential standards. The multiplication factor is set for each reporting party by APRA, and is subject to a minimum of three. A plus factor may also be required by APRA. This factor relates directly to back-testing results from the most recent 250 trading days prior to the relevant date.
Interest rate positions include both on and off-balance sheet exposures which are affected by changes in interest rates. This includes holdings of, or positions in:
- debt securities, including non-convertible preference shares and other quasi-debt securities/instruments that behave like debt (convertible bonds are to be included as debt securities if they trade like debt securities, but not if they trade like equities);
- forward transactions in foreign exchange, equities and commodities; and
- options that are subject to a change in value following a change in interest rates.
Back-testing represents the process of comparing the daily trading outcome (profit or loss) with the corresponding VaR number for that day.
Financial Risk Market Scaling Factor Interest Rate Positions Number
This is the scaling factor applicable for positions which are sensitive to interest rate movements, assuming all other factors (e.g. interest rate volatility) remain equal.
Delta, in this context, represents the impact of underlying interest rate movements on the overall portfolio value.
The scaling factor consists of a multiplication factor and a plus factor, as determined in accordance with relevant prudential standards. The multiplication factor is set for each reporting party by APRA, and is subject to a minimum of three. A plus factor may also be required by APRA. This factor relates directly to back-testing results from the most recent 250 trading days prior to the relevant date.
Back-testing represents the process of comparing the daily trading outcome (profit or loss) with the corresponding VaR number for that day.
Financial Risk Market Scaling Factor Interest Rate Positions Delta Number
This is the scaling factor applicable for positions which are sensitive to changes in interest rate volatility.
Volatility represents a measure of risk based on the standard deviation of the asset return. Volatility is a variable that appears in option pricing formulas, where it denotes the volatility of the underlying asset return from now to the expiration of the option.
The scaling factor consists of a multiplication factor and a plus factor, as determined in accordance with relevant prudential standards. The multiplication factor is set for each reporting party by APRA, and is subject to a minimum of three. A plus factor may also be required by APRA. This factor relates directly to back-testing results from the most recent 250 trading days prior to the relevant date.
Back-testing represents the process of comparing the daily trading outcome (profit or loss) with the corresponding VaR number for that day.
Financial Risk Market Scaling Factor Interest Rate Positions Volatility Number
This is the scaling factor applicable for positions which are sensitive to volatility changes, as determined in accordance with relevant prudential standards.
Volatility represents a measure of risk based on the standard deviation of the asset return. Volatility is a variable that appears in option pricing formulas, where it denotes the volatility of the underlying asset return from now to the expiration of the option.
The scaling factor consists of a multiplication factor and a plus factor, as determined in accordance with relevant prudential standards. The multiplication factor is set for each reporting party by APRA, and is subject to a minimum of three. A plus factor may also be required by APRA. This factor relates directly to back-testing results from the most recent 250 trading days prior to the relevant date.
Back-testing represents the process of comparing the daily trading outcome (profit or loss) with the corresponding VaR number for that day.
Financial Risk Market Scaling Factor Volatility Number
This is the value, as at the relevant date, of the effect on positions in base metals due to movements in prices and volatilities as specified in stress testing scenarios. This represents the change in the portfolio value of these positions given stress testing scenarios applied.
All positions in base metals (including copper, aluminium, zinc, nickel and tin) must be included in the stress test portfolio revaluations.
For the purposes of this item, in assessing the change in portfolio value, positions in the same based metal, but with differing maturities, may be netted.
Financial Risk Market Stress Testing Base Metal Scenarios Amount
This is the value, as at the relevant date, of the effect on positions in energy commodities due to movements in prices and volatilities as specified in stress testing scenarios. This represents the change in the portfolio value of these positions given stress testing scenarios applied.
All positions in energy commodities (including oil, gas, and electricity) must be included in the stress test portfolio revaluations.
For the purposes of this item, in assessing the change in portfolio value, positions in the same energy commodity, but with differing maturities, may be netted.
Financial Risk Market Stress Testing Energy Commodities Scenarios Amount
This is the value, as at the relevant date, of the effect on equity positions (both short and long) due to movements in prices and volatilities as specified in stress testing scenarios. This represents the change in the portfolio value of these positions given stress testing scenarios applied.
For the purposes of this item the reporting party may report long and short positions in instruments relating to the same issuer on a net basis.
Financial Risk Market Stress Testing Equity Scenarios Amount
This is the value, as at the relevant date, of the effect on all exchange rate sensitive positions (excluding positions in gold), as determined in accordance with relevant prudential standards, due to movements in prices and volatilities as specified in stress testing scenarios. This represents the change in the portfolio value of these positions given stress testing scenarios applied.
Financial Risk Market Stress Testing Exchange Rate Scenarios Amount
This is the value, as at the relevant date, of the effect on interest rate options due to interest rate volatility changes as specified in the stress testing scenarios. This represents the change in value of these positions given stress testing scenarios applied.
An option provides the purchasing entity with the right but not the obligation to buy or sell a specific amount of the underlying asset at a pre-agreed price, on or before a specific future date.
An interest rate contract is any contract that transfers the interest rate risk of an underlying asset from one party to another.
Financial Risk Market Stress Testing Interest Rate Volatility Scenario Amount
This is the value, as at the relevant date, of the effect on positions in precious metals due to movements in prices and volatilities as specified in stress testing scenarios. This represents the change in the portfolio value of these positions given stress testing scenarios applied.
All positions in gold and other precious metals (including silver, platinum and palladium) must be included in the stress test portfolio revaluations.
For the purposes of this item, in assessing the change in portfolio value, positions in the same precious metal, but with differing maturities, may be netted.
Financial Risk Market Stress Testing Precious Metal Scenarios Amount
This is the value, as at the relevant date, of the effect on positions in soft commodities due to movements in prices and volatilities as specified in stress testing scenarios. This represents the change in the portfolio value of these positions given stress testing scenarios applied.
All positions in soft commodities (e.g. wool, wheat, corn, and sugar) must be included in the stress test portfolio revaluations.
For the purposes of this item, in assessing the change in portfolio value, positions in the same soft commodity, but with differing maturities, may be netted.
Financial Risk Market Stress Testing Soft Commodities Scenarios Amount
This is the value, as at the relevant date, of the effect on debt or other interest rate related securities due to interest rate movements as specified in yield curve scenarios. This represents the change in value of these positions given stress testing scenarios applied.
All positions forming part of the trading book in debt or other interest rate related securities must be included in the stress test calculations. The reporting party should use the same interpolation method used within their internal model to obtain intermediate points on the yield curve.
Financial Risk Market Stress Testing Yield Curve Scenarios Amount
This is the value, as at the relevant date, of the traded market risk, as determined in accordance with relevant prudential standards.
Financial Risk.Market Traded Amount
This is the value, as at the relevant date, of the traded and non-traded market risk, as determined in accordance with relevant prudential standards..
Financial Risk Market Traded And Non Traded Amount
This is the value at risk (VaR), calculated as at the relevant date, for positions giving rise to market risk, as determined in accordance with relevant prudential standards.
Market risk positions include holdings of, or positions giving rise to:
- interest rate risk;
- equity position risk;
- foreign exchange risk; and
- commodities risk.
VaR, or Value at Risk, is a technique used to estimate the likelihood of losses in a portfolio based on analysis of historical price movements and volatilities over a specified observation period.
For the purposes of this item the amount reported is the 99% ten-day VaR number calculated as at the relevant date. Therefore, the number reported will represent a simulated mark-to-market loss for which there is a 1% probability of occurrence over the next ten days, assuming there is no trading of the portfolio.
Financial Risk Market VaR Amount
This is the number of back-testing exceptions calculated for the duration of the relevant period, as determined in accordance with relevant prudential standards.
Back-testing represents the process of comparing the daily trading outcome (profit or loss) with the corresponding VaR number for that day.
For the purposes of this item, exceptions are reported where the trading outcome on a particularly day is a loss that exceeds the corresponding VaR number for that day.
VaR, or Value at Risk, is a technique used to estimate the likelihood of losses in a portfolio based on analysis of historical price movements and volatilities, over a specified observation period.
For the purposes of this item the VaR used is to be the 99% ten-day VaR number calculated daily over the relevant period. A 99% ten-day VaR represents a simulated mark-to-market loss for which there is a 1% probability of occurrence over the next ten days, assuming there is no trading of the portfolio.
Financial Risk Market VaR Back Testing Exceptions Count
This is the number of back-testing exceptions calculated for the duration of the relevant period in relation to positions giving rise to commodities risk, as determined in accordance with relevant prudential standards.
Commodity positions include both on and off-balance sheet exposures which are affected by changes in commodity prices. This includes holdings of, or positions in:
- commodity forwards;
- commodity futures;
- commodity swaps; and
- applicable commodity instruments (e.g. commodity options).
Back-testing represents the process of comparing the daily trading outcome (profit or loss) with the corresponding VaR number for that day.
For the purposes of this item, exceptions are reported where the trading outcome on a particularly day is a loss that exceeds the corresponding VaR number for that day.
VaR, or Value at Risk, is a technique used to estimate the likelihood of losses in a portfolio based on analysis of historical price movements and volatilities over a specified observation period.
For the purposes of this item the VaR used is to be the 99% ten-day VaR number calculated daily over the relevant period. A 99% ten-day VaR represents a simulated mark-to-market loss for which there is a 1% probability of occurrence over the next ten days, assuming there is no trading of the portfolio.
Financial Risk Market VaR Back Testing Exceptions Commodity Positions Count
This is the number of back-testing exceptions calculated over the duration of the relevant period in relation to positions giving rise to equity position risk, as determined in accordance with relevant prudential standards.
Equity positions include on and off-balance sheet exposures which are affected by changes in Equity prices. This includes holdings of, or positions in:
- ordinary shares, whether voting or non-voting;
- convertible securities that behave like equities;
- commitments to buy or sell equity securities; and
- any other instruments that exhibit market behaviour similar to equities.
Back-testing represents the process of comparing the daily trading outcome (profit or loss) with the corresponding VaR number for that day.
For the purposes of this item, exceptions are reported where the trading outcome on a particularly day is a loss that exceeds the corresponding VaR number for that day.
VaR, or Value at Risk, is a technique used to estimate the likelihood of losses in a portfolio based on analysis of historical price movements and volatilities, over a specified observation period.
For the purposes of this item the VaR used is to be the 99% ten-day VaR number calculated daily over the relevant period. A 99% ten-day VaR represents a simulated mark-to-market loss for which there is a 1% probability of occurrence over the next ten days, assuming there is no trading of the portfolio.
Financial Risk Market VaR Back Testing Exceptions Equity Positions Count
This is the number of back-testing exceptions calculated for the duration of the relevant period in relation to positions giving rise to foreign exchange risk, as determined in accordance with relevant prudential standards.
Foreign exchange positions include on and off-balance sheet exposures which are affected by changes in foreign exchange rates. This includes holdings of, or positions in:
(a) the net spot position, i.e. all asset items less all liability items, including accrued interest and other accrued income and accrued expenses, denominated in the currency in question;
(b) the net forward position, i.e. all amounts to be received less all amounts to be paid under forward foreign exchange transactions, including currency futures, the principal on currency swaps not included in the spot position, and interest rate transactions such as futures and swaps denominated in a foreign currency; This amount should represent the value of positions at current spot market exchange rates or using net present values;
(c) guarantees (and similar instruments) that are certain to be called and likely to be irrecoverable; and
(d) any other item representing a profit or loss in foreign currencies.
For the purposes of this item:
- include unearned but expected future interest and anticipated expenses if the amounts are certain and the reporting party has hedged them; and
- exclude structural positions, where permitted by the relevant prudential standards.
Back-testing represents the process of comparing the daily trading outcome (profit or loss) with the corresponding VaR number for that day.
For the purposes of this item, exceptions are reported where the trading outcome on a particularly day is a loss that exceeds the corresponding VaR number for that day.
VaR, or Value at Risk, is a technique used to estimate the likelihood of losses in a portfolio based on analysis of historical price movements and volatilities over a specified observation period.
For the purposes of this item the VaR used is to be the 99% ten-day VaR number calculated daily over the relevant period. A 99% ten-day VaR represents a simulated mark-to-market loss for which there is a 1% probability of occurrence over the next ten days, assuming there is no trading of the portfolio.
Financial Risk Market VaR Back Testing Exceptions Foreign Exchange Positions Count
This is the number of back-testing exceptions, calculated over the duration of the relevant period, in relation to positions which are sensitive to foreign exchange rate movements, assuming all other factors (e.g. foreign exchange rate volatility) remain equal, as determined in accordance with relevant prudential standards.
Delta, in this context, represents the impact of underlying foreign exchange rate movements on the overall portfolio value.
Back-testing represents the process of comparing the daily trading outcome (profit or loss) with the corresponding VaR number for that day.
For the purposes of this item, exceptions are reported where the trading outcome on a particularly day is a loss that exceeds the corresponding VaR number for that day.
VaR, or Value at Risk, is a technique used to estimate the likelihood of losses in a portfolio based on analysis of historical price movements and volatilities, over a specified observation period.
For the purposes of this item the VaR used is to be the 99% ten-day VaR number calculated daily over the relevant period. A 99% ten-day VaR represents a simulated mark-to-market loss for which there is a 1% probability of occurrence over the next ten days, assuming there is no trading of the portfolio.
Financial Risk Market VaR Back Testing Exceptions Foreign Exchange Positions Delta Count
This is the number of back-testing exceptions, calculated over the duration of the relevant period, in relation to positions which are sensitive to changes in foreign exchange rate volatility, as determined in accordance with relevant prudential standards.
Volatility represents a measure of risk based on the standard deviation of the asset return. Volatility is a variable that appears in option pricing formulas, where it denotes the volatility of the underlying asset return from now to the expiration of the option.
Back-testing represents the process of comparing the daily trading outcome (profit or loss) with the corresponding VaR number for that day.
For the purposes of this item, exceptions are reported where the trading outcome on a particularly day is a loss that exceeds the corresponding VaR number for that day.
VaR, or Value at Risk, is a technique used to estimate the likelihood of losses in a portfolio based on analysis of historical price movements and volatilities, over a specified observation period.
For the purposes of this item the VaR used is to be the 99% ten-day VaR number calculated daily over the relevant period. A 99% ten-day VaR represents a simulated mark-to-market loss for which there is a 1% probability of occurrence over the next ten days, assuming there is no trading of the portfolio.
Financial Risk Market VaR Back Testing Exceptions Foreign Exchange Positions Volatility Count
This is the number of back-testing exceptions calculated for the duration of the relevant period in relation to positions giving rise to interest rate risk.
Interest rate positions include both on and off-balance sheet exposures which are affected by changes in interest rates. This includes holdings of, or positions in:
- debt securities, including non-convertible preference shares and other quasi-debt securities/instruments that behave like debt (convertible bonds are to be included as debt securities if they trade like debt securities, but not if they trade like equities);
- forward transactions in foreign exchange, equities and commodities; and
- options that are subject to a change in value following a change in interest rates.
Back-testing represents the process of comparing the daily trading outcome (profit or loss) with the corresponding VaR number for that day.
For the purposes of this item, exceptions are reported where the trading outcome on a particularly day is a loss that exceeds the corresponding VaR number for that day.
VaR, or Value at Risk, is a technique used to estimate the likelihood of losses in a portfolio based on analysis of historical price movements and volatilities, over a specified observation period.
For the purposes of this item the VaR used is to be the 99% ten-day VaR number calculated daily over the relevant period. A 99% ten-day VaR represents a simulated mark-to-market loss for which there is a 1% probability of occurrence over the next ten days, assuming there is no trading of the portfolio.
Financial Risk Market VaR Back Testing Exceptions Interest Rate Positions Count
This is the number of back-testing exceptions, calculated over the duration of the relevant period, in relation to positions which are sensitive to interest rate movements, assuming all other factors (e.g. interest rate volatility) remain equal, as determined in accordance with relevant prudential standards.
Delta, in this context, represents the impact of underlying interest rate movements on the overall portfolio value.
Back-testing represents the process of comparing the daily trading outcome (profit or loss) with the corresponding VaR number for that day.
For the purposes of this item, exceptions are reported where the trading outcome on a particularly day is a loss that exceeds the corresponding VaR number for that day.
VaR, or Value at Risk, is a technique used to estimate the likelihood of losses in a portfolio based on analysis of historical price movements and volatilities, over a specified observation period.
For the purposes of this item the VaR used is to be the 99% ten-day VaR number calculated daily over the relevant period. A 99% ten-day VaR represents a simulated mark-to-market loss for which there is a 1% probability of occurrence over the next ten days, assuming there is no trading of the portfolio.
Financial Risk Market VaR Back Testing Exceptions Interest Rate Positions Delta Count
This is the number of back-testing exceptions, calculated over the duration of the relevant period, in relation to positions which are sensitive to changes in interest rate volatility, as determined in accordance with relevant prudential standards.
Volatility represents a measure of risk based on the standard deviation of the asset return. Volatility is a variable that appears in option pricing formulas, where it denotes the volatility of the underlying asset return from now to the expiration of the option.
Back-testing represents the process of comparing the daily trading outcome (profit or loss) with the corresponding VaR number for that day.
For the purposes of this item, exceptions are reported where the trading outcome on a particularly day is a loss that exceeds the corresponding VaR number for that day.
VaR, or Value at Risk, is a technique used to estimate the likelihood of losses in a portfolio based on analysis of historical price movements and volatilities, over a specified observation period.
For the purposes of this item the VaR used is to be the 99% ten-day VaR number calculated daily over the relevant period. A 99% ten-day VaR represents a simulated mark-to-market loss for which there is a 1% probability of occurrence over the next ten days, assuming there is no trading of the portfolio.
Financial Risk Market VaR Back Testing Exceptions Interest Rate Positions Volatility Count
This is the number of back-testing exceptions, calculated over the duration of the relevant period, in relation to positions which are sensitive to volatility changes, as determined in accordance with relevant prudential standards.
Volatility represents a measure of risk based on the standard deviation of the asset return. Volatility is a variable that appears in option pricing formulas, where it denotes the volatility of the underlying asset return from now to the expiration of the option.
Back-testing represents the process of comparing the daily trading outcome (profit or loss) with the corresponding VaR number for that day.
For the purposes of this item, exceptions are reported where the trading outcome on a particularly day is a loss that exceeds the corresponding VaR number for that day.
VaR, or Value at Risk, is a technique used to estimate the likelihood of losses in a portfolio based on analysis of historical price movements and volatilities over a specified observation period.
For the purposes of this item the VaR used is to be the 99% ten-day VaR number calculated daily over the relevant period. A 99% ten-day VaR represents a simulated mark-to-market loss for which there is a 1% probability of occurrence over the next ten days, assuming there is no trading of the portfolio.
Financial Risk Market VaR Back Testing Exceptions Volatility Count
This is the value, calculated as at the relevant date, of the Value-at-Risk method capital requirement, as determined in accordance with relevant prudential standards.
The capital requirement is the larger of 'End of Period VaR' and 'Scaled Average VaR' across asset classes.
VaR, or Value at Risk, is a technique used to estimate the likelihood of losses in a portfolio, based on the analysis of historical price movements and volatilities, over a specified observation period.
Scaled average VaR represents the average VaR, calculated over the most recent 60 trading days prior to and including the relevant date, multiplied by the scaling factor applicable.
For the purposes of this item the amount reported is the average of the 99% ten-day VaR number calculated daily over the relevant period. A 99% ten-day VaR represents a simulated mark-to-market loss for which there is a 1% probability of occurrence over the next ten days, assuming there is no trading of the portfolio.
Financial Risk Market VaR Capital Requirement Amount
This is the value, calculated as at the relevant date, of the Value-at-Risk method capital requirement, as determined in accordance with relevant prudential standards.
The capital requirement is the larger of 'End of Period VaR' and 'Scaled Average VaR' across asset classes plus the 'Incremental Default Risk Charge'.
VaR, or Value at Risk, is a technique used to estimate the likelihood of losses in a portfolio, based on the analysis of historical price movements and volatilities, over a specified observation period.
Scaled average VaR represents the average VaR, calculated over the most recent 60 trading days prior to and including the relevant date, multiplied by the scaling factor applicable.
For the purposes of this item the amount reported is the average of the 99% ten-day VaR number calculated daily over the relevant period. A 99% ten-day VaR represents a simulated mark-to-market loss for which there is a 1% probability of occurrence over the next ten days, assuming there is no trading of the portfolio.
Financial Risk Market VaR Capital Requirement Including Incremental Default Risk Charge Amount
This is the value at risk (VaR), calculated as at the relevant date, for positions giving rise to equity risk, as determined in accordance with relevant prudential standards.
Equity positions include both on and off-balance sheet exposures which are affected by changes in equity price. This includes holdings of, or positions in:
- ordinary shares, whether voting or non-voting;
- convertible securities that behave like equities;
- commitments to buy or sell equity securities; and
- any other instruments that exhibit market behaviour similar to equities.
VaR, or Value at Risk, is a technique used to estimate the likelihood of losses in a portfolio based on analysis of historical price movements and volatilities over a specified observation period.
For the purposes of this item the amount reported is the 99% ten-day VaR number calculated as at the relevant date. Therefore, the number reported will represent a simulated mark-to-market loss for which there is a 1% probability of occurrence over the next ten days, assuming there is no trading of the portfolio.
Financial Risk Market VaR Equity Positions Amount
This is the value at risk (VaR), calculated as at the business day preceding the date the fifth largest daily loss was experienced by the reporting party over the relevant period due to market movements.
VaR is a technique used to estimate the likelihood of losses in a portfolio based on analysis of historical price movements and volatilities.
For the purposes of this item the amount reported is the 99% one-day VaR number calculated as at the previous business day.
Financial Risk Market VaR For Date Of Fifth Largest Daily Loss Amount
This is the value at risk (VaR), calculated as at the business day preceding the date the fourth largest daily loss was experienced by the reporting party over the relevant period due to market movements.
VaR is a technique used to estimate the likelihood of losses in a portfolio based on analysis of historical price movements and volatilities.
For the purposes of this item the amount reported is the 99% one-day VaR number calculated as at the previous business day.
Financial Risk Market VaR For Date Of Fourth Largest Daily Loss Amount
This is the value at risk (VaR), calculated as at the business day preceding the date the largest daily loss was experienced by the reporting party over the relevant period due to market movements.
VaR is a technique used to estimate the likelihood of losses in a portfolio based on analysis of historical price movements and volatilities.
For the purposes of this item the amount reported is the 99% one-day VaR number calculated as at the previous business day.
Financial Risk Market VaR For Date Of Largest Daily Loss Amount
This is the value at risk (VaR), calculated as at the business day preceding the date the second largest daily loss was experienced by the reporting party over the relevant period due to market movements.
VaR is a technique used to estimate the likelihood of losses in a portfolio based on analysis of historical price movements and volatilities.
For the purposes of this item the amount reported is the 99% one-day VaR number calculated as at the previous business day.
Financial Risk Market VaR For Date Of Second Largest Daily Loss Amount
This is the value at risk (VaR), calculated as at the business day preceding the date the third largest daily loss was experienced by the reporting party over the relevant period due to market movements.
VaR is a technique used to estimate the likelihood of losses in a portfolio based on analysis of historical price movements and volatilities.
For the purposes of this item the amount reported is the 99% one-day VaR number calculated as at the previous business day.
Financial Risk Market VaR For Date Of Third Largest Daily Loss Amount
This is the value at risk (VaR), calculated as at the relevant date, for positions giving rise to foreign exchange risk, as determined in accordance with relevant prudential standards.
Foreign exchange positions include on and off-balance sheet exposures which are affected by changes in foreign exchange rates. This includes holdings of, or positions in:
(a) the net spot position, i.e. all asset items less all liability items, including accrued interest and other accrued income and accrued expenses, denominated in the currency in question;
(b) the net forward position, i.e. all amounts to be received less all amounts to be paid under forward foreign exchange transactions, including currency futures, the principal on currency swaps not included in the spot position, and interest rate transactions such as futures and swaps denominated in a foreign currency; This amount should represent the value of positions at current spot market exchange rates or using net present values;
(c) guarantees (and similar instruments) that are certain to be called and likely to be irrecoverable; and
(d) any other item representing a profit or loss in foreign currencies.
For the purposes of this item:
- include unearned but expected future interest and anticipated expenses if the amounts are certain and the reporting party has hedged them; and
- exclude structural positions where permitted by the relevant prudential standards.
VaR, or Value at Risk, is a technique used to estimate the likelihood of losses in a portfolio based on analysis of historical price movements and volatilities, typically over a specified observation period.
For the purposes of this item the amount reported is the 99% ten-day VaR number calculated as at the relevant date. Therefore, the number reported will represent a simulated mark-to-market loss for which there is a 1% probability of occurrence over the next ten days, assuming there is no trading of the portfolio.
Financial Risk Market VaR Foreign Exchange Positions Amount
This is the value at risk (VaR), calculated as at the relevant date, in relation to positions which are sensitive to changes in foreign exchange rate volatility, as determined in accordance with relevant prudential standards.
Volatility represents a measure of risk based on the standard deviation of the asset return. Volatility is a variable that appears in option pricing formulas, where it denotes the volatility of the underlying asset return from now to the expiration of the option.
VaR, or Value at Risk, is a technique used to estimate the likelihood of losses in a portfolio based on analysis of historical price movements and volatilities over a specified observation period.
For the purposes of this item the amount reported is the 99% ten-day VaR number calculated as at the relevant date. Therefore, the number reported will represent a simulated mark-to-market loss for which there is a 1% probability of occurrence over the next ten days, assuming there is no trading of the portfolio.
Financial Risk Market VaR Foreign Exchange Positions Volatility Amount
This is the value at risk (VaR), calculated as at the relevant date, for positions giving rise to interest rate risk, as determined in accordance with relevant prudential standards.
Interest rate positions include both on and off-balance sheet exposures which are affected by changes in interest rates. This includes holdings of, or positions in:
- debt securities, including non-convertible preference shares and other quasi-debt securities/instruments that behave like debt (convertible bonds are to be included as debt securities if they trade like debt securities, but not if they trade like equities);
- forward transactions in foreign exchange, equities and commodities; and
- options that are subject to a change in value following a change in interest rates.
VaR, or Value at Risk, is a technique used to estimate the likelihood of losses in a portfolio based on analysis of historical price movements and volatilities over a specified observation period.
For the purposes of this item the amount reported is the 99% ten-day VaR number calculated as at the relevant date. Therefore, the number reported will represent a simulated mark-to-market loss for which there is a 1% probability of occurrence over the next ten days, assuming there is no trading of the portfolio.
Financial Risk Market VaR Interest Rate Positions Amount
This is the value at risk (VaR), calculated as at the relevant date, in relation to positions which are sensitive to interest rate movements, assuming all other factors (e.g. interest rate volatility) remain equal, as determined in accordance with relevant prudential standards.
Delta, in this context, represents the impact of underlying interest rate movements on the overall portfolio value.
VaR, or Value at Risk, is a technique used to estimate the likelihood of losses in a portfolio based on analysis of historical price movements and volatilities over a specified observation period.
For the purposes of this item the amount reported is the 99% ten-day VaR number calculated as at the relevant date. Therefore, the number reported will represent a simulated mark-to-market loss for which there is a 1% probability of occurrence over the next ten days, assuming there is no trading of the portfolio.
Financial Risk Market VaR Interest Rate Positions Delta Amount
This is the value at risk (VaR), calculated as at the relevant date, in relation to positions which are sensitive to volatility changes, as determined in accordance with relevant prudential standards.
Volatility represents a measure of risk based on the standard deviation of the asset return. Volatility is a variable that appears in option pricing formulas, where it denotes the volatility of the underlying asset return from now to the expiration of the option.
VaR, or Value at Risk, is a technique used to estimate the likelihood of losses in a portfolio based on analysis of historical price movements and volatilities over a specified observation period.
For the purposes of this item the amount reported is the 99% ten-day VaR number calculated as at the relevant date. Therefore, the number reported will represent a simulated mark-to-market loss for which there is a 1% probability of occurrence over the next ten days, assuming there is no trading of the portfolio.
Financial Risk Market VaR Volatility Amount
This is the number of operational risk-related credit loss events, where the discovery date is during the relevant period. For the purposes of this item, report only those losses which exceed the threshold that the reporting party has established for operational risk-related credit losses and that are treated as credit risk for the purpose of calculating the reporting party's regulatory capital. This item is to be determined in accordance with relevant prudential standards.
For entities with foreign operations, report only the loss events exceeding the equivalent global reporting threshold.
For the purposes of this item, report both open and closed events. Open events are those events that have been identified but may not yet have been finalised.
Operational risk represents the risk of loss resulting from inadequate or failed internal processes, people and systems or from external events. This includes legal risk, but excludes strategic and reputational risks.
Financial Risk Operational Credit Loss Events Count
This is the value, as at the relevant date, of any expected loss offset amounts. This item is to be determined in accordance with relevant prudential standards.
Financial Risk Operational Expected Loss Offsets Amount
This is the value of the gross loss (prior to any recoveries) discovered during the relevant period. Report only those losses that are treated as operational risk losses, as determined in accordance with relevant prudential standards.
For entities with foreign operations, report only the loss events exceeding the equivalent global reporting threshold after currency conversions.
For the purposes of this item, report both open and closed events. Open events are those events that have been identified but may not yet have been finalised. For open loss events, report the best estimate of the loss, as at the time of reporting.
Operational risk represents the risk of loss resulting from inadequate or failed internal processes, people and systems or from external events. This includes legal risk, but excludes strategic and reputational risks.
Financial Risk Operational Gross Loss Amount
This is the value, as at the relevant date, of insurance offset amount, as determined in accordance with relevant prudential standards.
Insurance offset represents that amount of insurance that will cover potential operational risk losses and which is deemed an appropriate operational risk mitigation method.
Financial Risk Operational Insurance Offset Amount
This is the percentage, as at the relevant date, of the insurance offset amount to regulatory capital before insurance offsets, as determined in accordance with relevant prudential standards.
Insurance offset represents that amount of insurance that will cover potential operational risk losses and which is deemed an appropriate operational risk mitigation method.
Financial Risk Operational Insurance Offset To Regulatory Capital Before Insurance Offsets Percent
This is the number of loss events, where the discovery date is during the relevant period. Report only those losses that are treated as operational risk losses, as determined in accordance with relevant prudential standards.
For entities with foreign operations, report only the loss events exceeding the equivalent global reporting threshold.
For the purposes of this item, report both open and closed events. Open events are those events that have been identified but may not yet have been finalised. For open loss events, report the best estimate of the loss, as at the time of reporting.
Operational risk represents the risk of loss resulting from inadequate or failed internal processes, people and systems or from external events. This includes legal risk, but excludes strategic and reputational risks.
Financial Risk Operational Loss Events Count
This is the value of the net operational risk-related credit loss discovered during the relevant period. Report only those losses which exceed the threshold that the reporting party has established for operational risk-related credit losses and that are treated as credit risk for the purpose of calculating the reporting party's regulatory capital. This item is to be determined in accordance with relevant prudential standards.
For entities with foreign operations, report only the loss events exceeding the equivalent global reporting threshold after currency conversions.
For the purposes of this item, report both open and closed events. Open events are those events that have been identified but may not yet have been finalised. For open loss events, report the best estimate of the loss, as at the time of reporting.
Operational risk represents the risk of loss resulting from inadequate or failed internal processes, people and systems or from external events. This includes legal risk, but excludes strategic and reputational risks.
Financial Risk Operational Net Credit Loss Amount
This is the value of the net loss discovered during the relevant period. Report only those losses that are treated as operational risk losses, as determined in accordance with relevant prudential standards.
For entities with foreign operations, report only the loss events exceeding the equivalent global reporting threshold after currency conversions.
For the purposes of this item, report both open and closed events. Open events are those events that have been identified but may not yet have been finalised. For open loss events, report the best estimate of the loss, as at the time of reporting.
Net loss amount represents the gross loss amount after subtracting any non-insurance recoveries or expected recoveries.
Operational risk represents the risk of loss resulting from inadequate or failed internal processes, people and systems or from external events. This includes legal risk, but excludes strategic and reputational risks.
Financial Risk Operational Net Loss Amount
This is the value of the largest (maximum) single net loss discovered during the relevant period. Report only those losses that are treated as operational risk losses, as determined in accordance with relevant prudential standards.
For entities with foreign operations, report only the loss events exceeding the equivalent global reporting threshold after currency conversions.
For the purposes of this item, report both open and closed events. Open events are those events that have been identified but may not yet have been finalised. For open loss events, report the best estimate of the loss, as at the time of reporting.
Net loss amount represents the gross loss amount after subtracting any non-insurance recoveries or expected recoveries.
Operational risk represents the risk of loss resulting from inadequate or failed internal processes, people and systems or from external events. This includes legal risk, but excludes strategic and reputational risks.
Financial Risk Operational Net Loss Single Largest Amount
This is a balancing item in the list in which it is being used.
This is the value of other adjustments to operating income from continuing operations during the relevant period, which are not included elsewhere on ARF 114, as determined in accordance with relevant prudential standards.
Financial Risk Operational Operating Income From Continuing Operations Adjustments Other ARF 114 0 Amount
This is the value of adjustments to operating income from continuing operations during the relevant period, which primarily relate to the retail and commercial banking areas of business, as determined in accordance with relevant prudential standards.
As good practice, examples of income items that would typically be included within this adjustment:
(a) net interest income from total gross outstanding loans and advances and securities included in the retail and commercial banking areas of business;
(b) fee income from automated teller machine networks;
(c) fee income from retail and commercial transaction accounts;
(d) fee income from other payment facilities that map to retail and commercial banking such as EFTPOS;
(e) fee income from total gross outstanding loans and advances included in the retail banking and commercial banking areas of business (e.g. loan establishment fees, administration fees and penalty fees);
(f) income from insurance recoveries;
(g) realised profit or losses from the sale of banking book items;
(h) dividends; and
(i) other irregular items.
Financial Risk Operational Operating Income From Continuing Operations Adjustments Retail Commercial Banking Amount
This is the value of adjusted operating income from continuing operations during the relevant period, as determined in accordance with relevant prudential standards.
This item represents the following:
- Total operating income from continuing operations, as determined in accordance with relevant accounting standards; less
- Adjustments relating to the retail banking and commercial banking areas of business, as determined in accordance with relevant prudential standards; less
- Any other relevant adjustments, as determined in accordance with relevant prudential standards.
Financial Risk Operational Operating Income from Continuing Operations Before Tax Adjusted Amount
This is the value, as at the relevant date, of operational risk regulatory capital requirements, after taking into consideration any insurance offsets and diversification benefits but prior to the recognition of any expected loss offset amounts. This item is to be determined in accordance with relevant prudential standards.
Financial Risk Operational Requirements Before Expected Loss Offsets Amount
This is the value, as at the relevant date, of operational risk requirements, after taking into consideration diversification benefits and expected loss offset amounts, but prior to the recognition of the insurance offset amount. This item is to be determined in accordance with relevant prudential standards.
Financial Risk Operational Requirements Before Insurance Offset Amount
This is the threshold for collection of data on operational risk-related credit losses, as determined according to relevant prudential standards.
Operational risk represents the risk of loss resulting from inadequate or failed internal processes, people and systems or from external events. This includes legal risk, but excludes strategic and reputational risks.
Financial Risk Operational Threshold For Credit Loss Amount
This is the threshold for collection of data on internal operational risk loss events, including operational risk losses related to market risk, as determined according to relevant prudential standards.
Operational risk represents the risk of loss resulting from inadequate or failed internal processes, people and systems or from external events. This includes legal risk, but excludes strategic and reputational risks.
Financial Risk Operational Threshold For Risk Loss Events Amount
This is the value, as at the relevant date, of total operational risk requirements, as determined in accordance with relevant prudential standards.
Financial Risk Operational Total Requirements Amount
This is the maximum term, expressed in months, of fixed interest investments. This refers to the maximum term of the instruments invested in by the First Home Saver Account (FHSA) provider, at any time during the relevant period.
Financial Services First Home Saver Account Fixed Interest Maximum Term Count
This is the number, during the relevant date, of investment strategy options offered to the First Home Saver Account (FHSA) holder by the reporting party.
Financial Services First Home Saver Account Investment Strategy Options Count
Report 'Yes' if the reporting party provided a First Home Saver Account (FHSA) at any time during the relevant period.
Financial Services First Home Saver Account Provider Text
This is the investment return, the change in unit price or crediting rate, for the relevant period.
Financial Services Investment Return Percent
This is the value, as at the relevant date, of the Atypical exemption category by applicable risk class, as determined in accordance with the relevant insurance regulations.
The atypical exemption applies to an insured (policyholder) of a contract of insurance for an atypical risk to the extent that it insures against the loss or liability for one of the following risks:
Nuclear = loss or liability arising from the hazardous properties (including radioactive, toxic or explosive properties) of nuclear fuel, nuclear material or nuclear waste;
Biological = loss or liability arising from the hazardous biological material or biological waste;
War = loss or liability arising from war or warlike activities;
Terrorism = ensuring against loss or liability arising from a terrorist act;
Medical clinical trials = ensuring against liability arising from a health-care related research;
Space = loss or liability arising from the operation of a space object (within the meaning given by the relevant section of the Space Activities Act);
Aviation liability = to insure against liability arising from the ownership of an aircraft, excluding loss of aircraft or its cargo;
Shipowners' Protection and Indemnity = Being liability and expenses arising from a person owning, chartering, managing, operating or being in possession of a vessel other than a pleasure craft (within the meaning given by the relevant section in the Insurance Contracts act); or
Equine = for ensuring against loss or liability arising from equine mortality or fertility and related risks, excluding equestrian packages.
Financial Services Insurance Atypical Risk Class Type Code
This item represents the basis used by which premiums liabilities are reported.
Allowable values for this item are:
- GPS 310 basis;
- AASB basis; and
- Combination of GPS 310 and AASB basis
Financial Services Insurance Basis Used Premiums Liabilities Code
This is the reason provided, as at the relevant date, for an insurance contract placed with an unauthorised foreign insurer (UFI), under the Customised exemption arrangement.
The custom exemption, as defined in the relevant insurance regulations, can apply to an insured (policyholder) when the general insurance intermediary is satisfied, on reasonable grounds, that the policyholder is insuring for the following risks:
Availability = no Australian insurer available to insure against the particular risk;
Terms = the terms (including price) on which any regulated insurer (as defined by APRA) will insure against the risk are substantially less favourable to the insured that the terms on which a UFI will insure against the risk;
Other = any other customised exemption arrangement reason.
Financial Services Insurance Customised Exemption Reason Code
This is the value, as at the relevant date, of the exemption category, as determined in the relevant insurance regulations, where Australian insurance risks can be placed with unauthorised foreign insurers.
The list of limited exemptions, as defined in the relevant insurance regulations, are:
HVI = a high-value insured exemption;
Atypical = an atypical risk exemption;
Custom = a customised exemption; and
Foreign = a foreign law exemption.
Financial Services Insurance Exemption Type Code
Report the value of insurance premium invoiced during the reporting period.
For the purposes of this item, premium is:
- net of any premium refunds and rebates;
- exclusive of fire service levy or other levies imposed by state and territory governments;
- exclusive of charges payable such as survey and underwriting fees;
- inclusive of commissions payable; and
- inclusive of non-resident withholding tax.
Financial Services Insurance Premium Invoiced Amount
Report the date the insurance premium was invoiced.
Financial Services Insurance Premium Invoiced Date
Report the date the invoiced insurance premium takes effect.
Financial Services Insurance Premium Invoiced Effective Date
Provide a self-explanatory description for the composite of immaterial currencies being reported.
Miscellaneous Composite Of Immaterial Currencies Description
Indicates the entity's preferred method for receiving APRA levy invoices.
Miscellaneous Preferred Invoice Format Code
Has the person been assessed under the entity's Fit and Proper Policy? If the appointment has been made with a pending fit and proper assessment, select 'Interim'.
The valid enumerated values are:
Yes = the person has been assessed under the entity's Fit and Proper Policy.
No = the person has not been assessed under the entity's Fit and Proper Policy.
Interim = the appointment has been made with a pending fit and proper assessment.
Regulatory Disclosures Assessed Fit And Proper Code
Is the responsible person, as determined in accordance with relevant Prudential Standards, a director of the company?
A choice of TRUE/FALSE values
TRUE = the responsible person, as determined in accordance with relevant Prudential Standards, is a director of the company.
FALSE = the responsible person, as determined in accordance with relevant Prudential Standards, is not a director of the company.
Regulatory Disclosures Director Indicator
This is the number of outstanding claims, including the actuarial gross central estimate of the number of insurance claims outstanding, as at the relevant date.
Regulatory Disclosures Insurance Outstanding Claims Number
This is the accumulated number of insurance claims reported, as at the relevant date.
Regulatory Disclosures Insurance Reported Claims Number
This is the value of the entity in which the reporting party has invested, calculated as the value, as at the relevant date, of the reporting party's holding in the entity divided by the reporting party's percentage of ownership of the entity.
Regulatory Disclosures Investment Entity Value Amount
Has the person who has ceased to be a responsible person ceased because they are no longer fit and proper?
A choice of TRUE/FALSE values
TRUE = the person has ceased to be a responsible person because they are no longer fit and proper
FALSE = the person who has ceased to be a responsible person did not cease because they are no longer fit and proper
Regulatory Disclosures No Longer Fit And Proper Indicator
Is the responsible person the Senior Officer outside Australia, as required and determined in accordance with relevant Prudential Standards?
A choice of TRUE/FALSE values
TRUE = the responsible person is the Senior Officer outside Australia, as required and determined in accordance with relevant Prudential Standards.
FALSE = the responsible person is not the Senior Officer outside Australia, as required and determined in accordance with relevant Prudential Standards.
Regulatory Disclosures Senior Officer Outside Australia Indicator