PET - Plain English Taxonomy

ARF_180_2: IRB - Counterparty Credit Risk and CVA Risk
Effective date: 20 February 2020

Australian Business Number	Institution Name

Reporting Period	Scale Factor
	Millions to one decimal place
Reporting Consolidation
Level 1 / Level 2

Section A: IRB bilateral exposures

1. Derivative exposures - AIRB or FIRB

PD %	Number of counterparties	Notional principal amount	Replacement cost excluding all collateral	Replacement cost with eligible collateral	Scaled IR AddOn	Scaled FX AddOn	Scaled CR AddOn
(1)	(2)	(3)	(4)	(5)	(6)	(7)	(8)
CS26727	CS26728	CS26729	CS26730	CS26731	CS26732	CS26733	CS26734

PD %	Scaled EQ AddOn	Scaled CMDTY AddOn	Potential future exposure	EAD	Incurred CVA loss	Weighted average LGD	Weighted average maturity	RWE
(1)	(9)	(10)	(11)	(12)	(13)	(14)	(15)	(16)
CS26735	CS26736	CS26737	CS26738	CS26739	CS26740	CS26741	CS26742	CS26743

1.1. Total RWE								CS26744

2. Securities financing transactions - AIRB or FIRB

PD %	Number of counterparties	Notional principal amount	Adjusted exposure amount	Weighted average LGD	Weighted average maturity	RWE
(1)	(2)	(3)	(4)	(5)	(6)	(7)
CS26745	CS26746	CS26747	CS26748	CS26749	CS26750	CS26751

2.1. Total RWE						CS26752

3. Derivative exposures - supervisory slotting

Slotting category	Number of counterparties	Notional principal amount	Replacement cost excluding all collateral	Replacement cost with eligible collateral	Scaled IR AddOn	Scaled FX AddOn	Scaled CR AddOn
(1)	(2)	(3)	(4)	(5)	(6)	(7)	(8)
CS26753	CS26754	CS26755	CS26756	CS26757	CS26758	CS26759	CS26760
Strong
Good
Satisfactory
Weak
Default

Slotting category	Scaled EQ AddOn	Scaled CMDTY AddOn	Potential future exposure	EAD	Incurred CVA loss	RWE
(1)	(9)	(10)	(11)	(12)	(13)	(14)
CS26761	CS26762	CS26763	CS26764	CS26765	CS26766	CS26767
Strong
Good
Satisfactory
Weak
Default

3.1. Total RWE						CS26768

4. Securities financing transactions - supervisory slotting

Slotting category	Number of counterparties	Notional principal amount	Adjusted exposure amount	RWE
(1)	(2)	(3)	(4)	(5)
CS26769	CS26770	CS26771	CS26772	CS26773
Strong
Good
Satisfactory
Weak
Default

4.1. Total RWE				CS26774

Section B: Other IRB and non-IRB bilateral exposures

5. Derivative exposures

Exposure type	Number of counterparties	Notional principal amount	Replacement cost excluding all collateral	Replacement cost with eligible collateral	Scaled IR AddOn	Scaled FX AddOn	Scaled CR AddOn
(1)	(2)	(3)	(4)	(5)	(6)	(7)	(8)
CS26775	CS26776	CS26777	CS26778	CS26779	CS26780	CS26781	CS26782
Other IRB
Non-IRB

Exposure type	Scaled EQ AddOn	Scaled CMDTY AddOn	Potential future exposure	EAD	Incurred CVA loss	RWE
(1)	(9)	(10)	(11)	(12)	(13)	(14)
CS26783	CS26784	CS26785	CS26786	CS26787	CS26788	CS26789
Other IRB
Non-IRB

5.1. Total RWE						CS26790

6. Securities financing transactions

Exposure type	Number of counterparties	Notional principal amount	Adjusted exposure amount	RWE
(1)	(2)	(3)	(4)	(5)
CS26791	CS26792	CS26793	CS26794	CS26795
Other IRB
Non-IRB

6.1. Total RWE				CS26796

Section C: Exposures to central counterparties

7. Derivative exposures

Name of central counterparty	Risk weight	Notional principal amount	Trade exposure	RWE	Total collateral posted
(1)	(2)	(3)	(4)	(5)	(6)
CS26797	CS26798	CS26799	CS26800	CS26801	CS26802
	0
	0.02
	0.04


7.1. Other central counterparties

Risk weight	Notional principal amount	Trade exposure	RWE	Total collateral posted
(1)	(2)	(3)	(4)	(5)
CS26803	CS26804	CS26805	CS26806	CS26807
0
0.02
0.04

7.2. Total RWE for centrally cleared derivatives	CS26808	CS26809	CS26810
7.2.1. As a clearing member ADI: exposures eligible for a 0% risk weight	CS26811	CS26812	CS26813
7.2.2. As a clearing member ADI: exposures eligible for a 2% risk weight	CS26814	CS26815	CS26816
7.2.3. As a clearing member ADI: exposures eligible for a 4% risk weight	CS26817	CS26818	CS26819

8. Securities financing transactions

Name of central counterparty	Risk weight	Notional principal amount	Trade exposure	RWE	Total collateral posted
(1)	(2)	(3)	(4)	(5)	(6)
CS26820	CS26821	CS26822	CS26823	CS26824	CS26825
	0
	0.02
	0.04

8.1. Other central counterparties

Risk weight	Notional principal amount	Trade exposure	RWE	Total collateral posted
(1)	(2)	(3)	(4)	(5)
CS26826	CS26827	CS26828	CS26829	CS26830
0
0.02
0.04

8.2. Total RWE for centrally cleared SFTs			CS26831

9. 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)
CS26832	CS26833	CS26834	CS26835	CS26836	CS26837

9.1. Other qualifying central counterparties					CS26838
9.2. Total QCCP default fund capital charge					CS26839

10. 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)
CS26840	CS26841	CS26842	CS26843	CS26844	CS26845

10.1. Other qualifying central counterparties	CS26846	CS26847	CS26848	CS26849	CS26850
10.2. Total		CS26851			CS26852

Section D: CVA risk capital charge

11. CVA risk capital charge

	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)
11.1. CVA capital charge components, credit rating grade = 1	CS23635	CS23636	CS23637	CS23638	CS23639	CS23640
11.2. CVA capital charge components, credit rating grade = 2	CS23641	CS23642	CS23643	CS23644	CS23645	CS23646
11.3. CVA capital charge components, credit rating grade = 3	CS23647	CS23648	CS23649	CS23650	CS23651	CS23652
11.4. CVA capital charge components, credit rating grade = 4 or unrated	CS23653	CS23654	CS23655	CS23656	CS23657	CS23658
11.5. CVA capital charge components, credit rating grade = 5	CS23659	CS23660	CS23661	CS23662	CS23663	CS23664
11.6. CVA capital charge components, credit rating grade = 6	CS23665	CS23666	CS23667	CS23668	CS23669	CS23670
11.7. Total CVA capital charge components					CS23671	CS23672
11.8. Total CVA capital charge						CS23685

Section E: Summary

12. Market related off-balance sheet exposures

12.1. Bilateral exposures - IRB default risk RWE (including supervisory slotting)	CS26853
12.2. Bilateral exposures - Other IRB and Non-IRB default risk RWE	CS26854
12.3. CCP trade exposure RWE	CS26855
12.4. CCP default fund RWE	CS26856
12.5. CVA RWE	CS26857

13. Securities financing transaction exposures

13.1. Total SFT trade exposure RWE	CS26858
13.1.1. Bilateral SFT - IRB RWE (including supervisory slotting)	CS26859
13.1.2. Bilateral SFT - Other IRB and Non-IRB RWE	CS26860
13.1.3. Centrally cleared SFT RWE	CS26861