| Label: |
On-Balance Sheet Credit Exposures |
| Concept Guidance: |
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.
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| Form-Specifc Guidance: |
Refer to Attachment B to APS 113 for details of the FIRB approach to the recognition of CRM.
Allocate exposures after CRM according to the following loss given default (LGD) categories for each assigned PD:
1. Column 4.1: Subordinated claims;
2. Column 4.2: CRE and/or RRE;
3. Column 4.3: Eligible financial receivables;
4. Column 4.4: Eligible financial collateral; and
5. Column 4.5: Senior unsecured claims.
For reporting under these five categories, the following applies:
(a) if a claim is a subordinated claim, report the full amount of EAD after CRM in column 4.1;
(b) if a senior claim is secured by commercial and/or residential real estate (CRE and/or RRE), the exposure should be allocated to the LGD categories as follows (refer to Attachment B to APS 113):
(i) where the level of collateralisation exceeds 140 per cent, report the full amount of EAD after CRM in column 4.2;
(ii) where the level of collateralisation is between 140 per cent and 30 per cent, the exposure is divided into fully collateralised and uncollateralised portions as detailed in Attachment B to APS 113. Report the fully collateralised portion in column 4.2 and the uncollateralised portion in column 4.5; and
(iii) where the level of collateralisation is below 30 per cent, the collateral is not recognised. Report the full amount of EAD after CRM in column 4.5;
(c) if a senior claim is secured by eligible financial receivables, the exposure should be allocated to the relevant LGD categories as follows:
(i) where the level of collateralisation exceeds 125 per cent, report the full amount of EAD after CRM in column 4.3;
(ii) where the level of collateralisation is between 125 per cent and 0 per cent, the exposure is divided into fully collateralised and uncollateralised portions as detailed in Attachment B to APS 113. Report the fully collateralised portion in column 4.3 and the uncollateralised portion in column 4.5;
(d) if a senior claim is secured by eligible financial collateral, report the exposure value after CRM as detailed in Attachment B to APS 113 in column 4.4. Report the uncollateralised portion in column 4.5;
(e) for claims secured by pools of eligible collateral, the portions fully covered by eligible financial collateral and eligible financial receivables are to be reported in the respective LGD categories. In the case of a residual portion covered by CRE and/or RRE, report the exposure in column 4.5 if the ratio of the sum of the value of CRE and RRE to the residual exposure is below 30 per cent;
(f) if a senior claim is not secured by eligible collateral, report the full amount of EAD after CRM in column 4.5.
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