PET - Plain English Taxonomy

ARF_180_1: Standardised - Counterparty Credit Risk and CVA Risk
Effective date: 30 June 2022

Australian Business Number	Institution Name

Reporting Period	Scale Factor
	Millions to one decimal place for banks
	Whole dollars no decimal place for ADIs other than banks
Reporting Consolidation
Level 1 / Level 2

Section A: Bilateral exposures

1. Derivative exposures

	Notional principal amount - margined	Notional principal amount - unmargined	Credit conversion factor %	Potential future exposure	Current exposure	Credit equivalent amount	RWE
	(1)	(2)	(3)	(4)	(5)	(6)	(7)
1.1. Interest rate contracts
1.1.1. Residual maturity 1 year or less	CS26471	CS26472	CS26473	CS26474	CS26475	CS26476	CS26477
1.1.2. Residual maturity > 1 year to 5 years	CS26478	CS26479	CS26480	CS26481	CS26482	CS26483	CS26484
1.1.3. Residual maturity > 5 years	CS26485	CS26486	CS26487	CS26488	CS26489	CS26490	CS26491
1.1.4. Contracts with residual maturity > 1 year that are subject to a CCF floor	CS26492	CS26493	CS26494	CS26495	CS26496	CS26497	CS26498
1.1.5. Contracts with multiple exchanges of principal	CS26499	CS26500		CS26501	CS26502	CS26503	CS26504
1.1.6. Counterparty credit risk	CS26505	CS26506		CS26507	CS26508	CS26509	CS26510
1.1.7. Total							CS26511

1.2. Foreign exchange and gold contracts
1.2.1. Residual maturity 1 year or less	CS26512	CS26513	CS26514	CS26515	CS26516	CS26517	CS26518
1.2.2. Residual maturity > 1 year to 5 years	CS26519	CS26520	CS26521	CS26522	CS26523	CS26524	CS26525
1.2.3. Residual maturity > 5 years	CS26526	CS26527	CS26528	CS26529	CS26530	CS26531	CS26532
1.2.4. Contracts with multiple exchanges of principal	CS26533	CS26534		CS26535	CS26536	CS26537	CS26538
1.2.5. Counterparty credit risk	CS26539	CS26540		CS26541	CS26542	CS26543	CS26544
1.2.6. Total							CS26545

1.3. Equity contracts
1.3.1. Residual maturity 1 year or less	CS26546	CS26547	CS26548	CS26549	CS26550	CS26551	CS26552
1.3.2. Residual maturity > 1 year to 5 years	CS26553	CS26554	CS26555	CS26556	CS26557	CS26558	CS26559
1.3.3. Residual maturity > 5 years	CS26560	CS26561	CS26562	CS26563	CS26564	CS26565	CS26566
1.3.4. Contracts with multiple exchanges of principal	CS26567	CS26568		CS26569	CS26570	CS26571	CS26572
1.3.5. Counterparty credit risk	CS26573	CS26574		CS26575	CS26576	CS26577	CS26578
1.3.6. Total							CS26579

1.4. Precious metal contracts (other than gold)
1.4.1. Residual maturity 1 year or less	CS26580	CS26581	CS26582	CS26583	CS26584	CS26585	CS26586
1.4.2. Residual maturity > 1 year to 5 years	CS26587	CS26588	CS26589	CS26590	CS26591	CS26592	CS26593
1.4.3. Residual maturity > 5 years	CS26594	CS26595	CS26596	CS26597	CS26598	CS26599	CS26600
1.4.4. Contracts with multiple exchanges of principal	CS26601	CS26602		CS26603	CS26604	CS26605	CS26606
1.4.5. Counterparty credit risk	CS26607	CS26608		CS26609	CS26610	CS26611	CS26612
1.4.6. Total							CS26613

1.5. Other commodity contracts (other than precious metals)
1.5.1. Residual maturity 1 year or less	CS26614	CS26615	CS26616	CS26617	CS26618	CS26619	CS26620
1.5.2. Residual maturity > 1 year to 5 years	CS26621	CS26622	CS26623	CS26624	CS26625	CS26626	CS26627
1.5.3. Residual maturity > 5 years	CS26628	CS26629	CS26630	CS26631	CS26632	CS26633	CS26634
1.5.4. Contracts with multiple exchanges of principal	CS26635	CS26636		CS26637	CS26638	CS26639	CS26640
1.5.5. Counterparty credit risk	CS26641	CS26642		CS26643	CS26644	CS26645	CS26646
1.5.6. Total							CS26647

1.6. Other market-related contracts
1.6.1. Residual maturity 1 year or less	CS26648	CS26649	CS26650	CS26651	CS26652	CS26653	CS26654
1.6.2. Residual maturity > 1 year to 5 years	CS26655	CS26656	CS26657	CS26658	CS26659	CS26660	CS26661
1.6.3. Residual maturity > 5 years	CS26662	CS26663	CS26664	CS26665	CS26666	CS26667	CS26668
1.6.4. Contracts with multiple exchanges of principal	CS26669	CS26670		CS26671	CS26672	CS26673	CS26674
1.6.5. Counterparty credit risk	CS26675	CS26676		CS26677	CS26678	CS26679	CS26680
1.6.6. Total							CS26681

1.7. Total RWE for bilateral derivative exposures							CS26682

2. Securities financing transactions

Credit rating grade	Number of counterparties	Notional principal amount	Adjusted exposure amount	RWE
(1)	(2)	(3)	(4)	(5)
CS26683	CS26684	CS26685	CS26686	CS26687
Credit rating grade 1
Credit rating grade 2
Credit rating grade 3
Credit rating grade 4
Credit rating grade 5
Credit rating grade 6
Unrated

2.1. Total RWE for bilateral SFTs				CS26688

Section B: Exposures to central counterparties

3. Derivative exposures

Risk weight	Notional principal amount	Trade exposure	RWE
(1)	(2)	(3)	(4)
CS26689	CS26690	CS26691	CS26692
0
0.02
0.04

3.1. Total RWE for centrally cleared derivatives			CS26693

4. Securities financing transactions

Risk weight	Notional principal amount	Trade exposure	RWE
(1)	(2)	(3)	(4)
CS26694	CS26695	CS26696	CS26697
0
0.02
0.04

4.1. Total RWE for centrally cleared SFTs			CS26698

5. Default fund contribution to a qualifying central counterparty

Name of central counterparty	K_QCCP	DF_ADI	DF_CM	DF_CCP	K_ADI
(1)	(2)	(3)	(4)	(5)	(6)
CS26699	CS26700	CS26701	CS26702	CS26703	CS26704

5.1. Other qualifying central counterparties					CS26705
5.2. Total QCCP default fund capital charge					CS26706

6. Trade exposure RWE and default fund contribution to a non-qualifying central counterparty

Name of central counterparty	Trade exposure	Trade exposure RWE	Prefunded default fund contribution	Unfunded default fund contribution	Default fund RWE
(1)	(2)	(3)	(4)	(5)	(6)
CS26707	CS26708	CS26709	CS26710	CS26711	CS26712

6.1. Other non-qualifying central counterparties	CS26713	CS26714	CS26715	CS26716	CS26717
6.2. Total		CS26718			CS26719

Section C: CVA risk capital charge

7. CVA risk capital charge

						Approach
7.1. Approach for calculating CVA risk capital charge						OI14336
						Simplified approach
						Standardised formula

	Rating grade weighting	CVA capital formula component 1	CVA capital formula component 2	CVA capital formula component 3	Derived quantity 1	Derived quantity 2
	(1)	(2)	(3)	(4)	(5)	(6)
7.2. CVA capital charge components, credit rating grade = 1	CS23635	CS23636	CS23637	CS23638	CS23639	CS23640
7.3. CVA capital charge components, credit rating grade = 2	CS23641	CS23642	CS23643	CS23644	CS23645	CS23646
7.4. CVA capital charge components, credit rating grade = 3	CS23647	CS23648	CS23649	CS23650	CS23651	CS23652
7.5. CVA capital charge components, credit rating grade = 4 or unrated	CS23653	CS23654	CS23655	CS23656	CS23657	CS23658
7.6. CVA capital charge components, credit rating grade = 5	CS23659	CS23660	CS23661	CS23662	CS23663	CS23664
7.7. CVA capital charge components, credit rating grade = 6	CS23665	CS23666	CS23667	CS23668	CS23669	CS23670
7.8. Total CVA capital charge components					CS23671	CS23672
7.9. Total CVA capital charge (standardised formula)						CS23685
7.10. Total CVA RWE (simplified approach)						CS23686
7.11. Total CVA RWE						CS23687

Section D: Summary

8. Market related off-balance sheet exposures

8.1. Bilateral exposures - default risk RWE	CS26720
8.2. CCP trade exposure RWE	CS26721
8.3. CCP default fund RWE	CS26722
8.4. CVA RWE	CS26723

9. Securities financing transaction exposures

9.1. Total SFT trade exposure RWE	CS26724
9.1.1. Bilateral SFT RWE	CS26725
9.1.2. Centrally cleared SFT RWE	CS26726