The first phase consists out of the main balance sheet reporting series: the 720 series which replaces the 320 series. All Phase I returns are replacements of existing returns. Note that form 721 on repo's (replacing 320.5) has been moved to Phase III.
In this blog-post we provide an overview of the reporting requirements and background on the key reporting data concepts in Phase I. The goal is to give you a general idea about the extent of the reporting requirements and potential challenges. It is by no means intended to replace the 395 pages of reporting standards and accompanying guidelines published on APRA's website.
Who will need to submit phase I returns?
Banks & non-bank ADIs with a balance sheet total over AUD 200 Million and RFCs with a balance sheet over AUD 50 Million. The following table provides a further breakdown which includes the reporting frequency:
Which data is required?
All phase I returns relate to outstanding balance sheet positions at reporting date. ARF720_0(A/B) represents the full balance sheet on a domestic book basis. All other returns represent a sub-section of assets or liabilities broken down by instrument and counterparty data dimensions.
Overall we have identified 35 individual attributes required on the asset side and 22 individual attributes on the liability side. Product and counterparty data elements will have to be supplemented with general "accounting data" which typically resides in the GL system for certain balance sheet sections (e.g. fixed assets, equity, etc). One form also requires details about the "protection received" (e.g. the residential property serving as collateral for a mortgage loan).
The following represents an overview of the reporting attributes allocated to the individual Phase I Forms:
Counterparty Data
The key data dimensions at counterparty level are:
- Residency: most returns require a split between exposures to resident and non-residents - with substantially more detailed reporting requirements on residents.
- Economic Sector: Counterparty sectors have been updated since the previous domestic books collection, which was based on SESCA 2000. The most significant change between SESCA 2000 and 2008 is the separate sectoral classification for investment funds and securitisers; the addition of these new sectors reflects the importance of these institutions in the Australian financial system. ABS has also provided guidance on mapping ANZIC to SESCA codes in case the reporting institution has not captured the SESCA codes (link).
- Related Party Type: All balances with related parties have to be identified, including exposures sitting in SPVs and have to be reported as related party transactions. Special mention for SPVs that has been established for the purpose of holding assets in a cover pool for covered bonds - which have to be consolidated.
Instrument Data
We identified 26 instrument level data attributes which will be required for the phase I forms. The most detailed breakdown is required for the loans and advances (16). Some of the key instrument level data elements include:
- Product Types: different breakdowns by product type and contract attributes: revolving vs fixed term; fixed vs floating rate; at call vs not at call;
- Purpose Type: breakdown of loans by purpose is a key requirement and the agencies expect reporting institutions to actively maintain the purpose determination. The agencies have provided detailed guidelines on deriving the appropriate purpose reporting classification for multi-purpose loans.
- Secured assets: assets with underlying collateral(s) are identified separately together with specific collateral attributes (collateral type and location).
- Past Due information: all loans and finance leases in arrears are identified based on the number of days past due. The gross outstanding as well as the collective and individual provisions have to be reported for impaired and non-impaired assets.
- Other: other dimensions to be reported on include maturity, securitisation status, syndication status and trading vs banking book classification amongst others.
To receive a full list of all data attributes broken down by reporting form, please contact us.
In Summary
Phase I EFS reports are generally an updated version of current reporting forms and, although more detailed breakdowns are required on certain asset classes, generally speaking the data requirements are in line with the current reporting regime.
The agencies have provided (more) detailed guidance on the reporting concepts and instructions, including examples of situations where distinction between seemingly simple reporting concepts can quickly become more complex (e.g. loan purpose classifications for multi-purpose loans).
Feel free to contact us to discuss how the EFS reform will impact your organisation or with any other questions or feedback you may have.