Financial Sector (Collection of Data) (reporting standard) determination No. 50 of 2023

Reporting Standard ARS 113.0 Capital Adequacy: Internal Ratings-based Approach to Credit Risk

Financial Sector (Collection of Data) Act 2001

I, Michael Murphy, delegate of APRA, under paragraph 13(1)(a) of the Financial Sector (Collection of Data) Act 2001 (the Act) and subsection 33(3) of the Acts Interpretation Act 1901:

(a)   revoke Financial Sector (Collection of Data) (reporting standard) determination No. 3 of 2018, including -              Reporting Standard ARS 113.0 Foundation Internal Ratings-based (FIRB) Approach to Credit Risk  made under that Determination;

(b)   revoke Financial Sector (Collection of Data) (reporting standard) determination No. 4 of 2018, including -              Reporting Standard ARS 113.1 Advanced Internal Ratings-based (AIRB) Approach to Credit Risk  made under that Determination;

(c)   revoke Financial Sector (Collection of Data) (reporting standard) determination No. 5 of 2018, including -              Reporting Standard ARS 113.2 Internal Ratings-based (IRB) Approach to Credit Risk – Specialised Lending Supervisory Slotting  made under that Determination;

(d)   revoke Financial Sector (Collection of Data) (reporting standard) determination No. 6 of 2018, including -              Reporting Standard ARS 113.3 Internal Ratings-based (IRB) Approach to Credit Risk – Retail  made under that Determination;

(e)   revoke Financial Sector (Collection of Data) (reporting standard) determination No. 9 of 2012, including Reporting Standard ARS 113.4 Internal Ratings-based (IRB) Approach to Credit Risk – Other Assets, Claims and Exposures made under that Determination; and

(f)    determine Reporting Standard ARS 113.0 Capital Adequacy: Internal Ratings-based Approach to Credit Risk, in the form set out in the Schedule, which applies to the financial sector entities to the extent provided in paragraphs 3 and 4 of the reporting standard.

Under section 15 of the Act, I declare that the reporting standard shall begin to apply to those financial sector entities, and the revoked reporting standard shall cease to apply, on the day it is registered on the Federal Register of Legislation.

This instrument commences upon registration on the Federal Register of Legislation.

Dated: 31 March 2023

Michael Murphy

Acting Chief Data Officer

Technology and Data Division

Interpretation

In this Determination:

APRA means the Australian Prudential Regulation Authority.

Federal Register of Legislation means the register established under section 15A of the Legislation Act 2003.

financial sector entity has the meaning given by section 5 of the Act.

Schedule

Reporting Standard ARS 113.0 Capital Adequacy: Internal Ratings-based Approach to Credit Risk comprises the document commencing on the following page.

Reporting Standard ARS 113.0

Capital Adequacy: Internal Ratings-based Approach to Credit Risk

Objective of this Reporting Standard

Authority

1. This Reporting Standard is made under section 13 of the Financial Sector (Collection of Data) Act 2001.

Purpose

2.             The information reported to APRA under this Reporting Standard is used by APRA for the purpose of prudential supervision including assessing compliance with capital adequacy standards. It may also be used by the Reserve Bank of Australia (RBA) and the Australian Bureau of Statistics (ABS).

Application and commencement

3.              This Reporting Standard applies to an authorised deposit-taking institution (ADI) that is applying the internal ratings-based approach to credit risk to all or part of its exposures for capital adequacy purposes (refer to Prudential Standard APS 112 Capital Adequacy: Standardised Approach to Credit Risk (APS 112) or Prudential Standard APS 113 Capital Adequacy: Internal Ratings-based Approach to Credit Risk (APS 113), as appropriate).

4.             This Reporting Standard may also apply to the non-operating holding company (NOHC) of an ADI (refer to paragraph 7).

5.             This Reporting Standard applies for reporting periods ending on or after 31 March 2023.

Information required

6.             An ADI to which this Reporting Standard applies must provide APRA with the information required by this Reporting Standard designated for an ADI at Level 1 in respect of each reporting period.

7.              If an ADI to which this Reporting Standard applies is part of a Level 2 group, the ADI must also provide APRA with the information required by this Reporting Standard designated for an ADI at Level 2 for each reporting period, unless the ADI is a subsidiary of an authorised NOHC.  If the ADI is a subsidiary of an authorised NOHC, the ADI’s immediate parent NOHC must provide APRA with the information required by that form for each reporting period.  In doing so, the immediate parent NOHC must comply with this Reporting Standard (other than paragraphs 6 and 13) as if it were the relevant ADI.

Method of submission

8.             The information required by this Reporting Standard must be given to APRA:

(a)   in electronic format using an electronic method available on APRA’s website; or

(b)   by a method notified by APRA prior to submission.

Reporting periods and due dates

9.             Subject to paragraph 10, an ADI to which this Reporting Standard applies must provide the information required by this Reporting Standard for each quarter based on the financial year (within the meaning of the Corporations Act 2001) of the ADI.

10.         APRA may, by notice in writing, change the reporting periods, or specified reporting periods, for a particular ADI, to require it to provide the information required by this Reporting Standard more frequently, or less frequently, having regard to:

(a)          the particular circumstances of the ADI;

(b)          the extent to which the information is required for the purposes of the prudential supervision of the ADI; and

(c)          the requirements of the RBA or the ABS.

11.         The information required by this Reporting Standard must be provided to APRA within 35 calendar days after the end of the reporting period to which this information relates.

12.         APRA may grant an ADI an extension of a due date in writing, in which case the new due date for the provision of the information will be the date on the notice of extension.

Note: For the avoidance of doubt, if the due date for a particular reporting period falls on a day other than a usual business day, an ADI is nonetheless required to submit the information required no later than the due date.

Quality control

13.         All information provided by an ADI under this Reporting Standard (except for the information required under paragraph 7) must be the product of systems, processes and controls that have been reviewed and tested by the external auditor of the ADI as set out in Prudential Standard APS 310 Audit and Related Matters. Relevant standards and guidance statements issued by the Auditing and Assurance Standards Board provide information on the scope and nature of the review and testing required from external auditors. This review and testing must be done on an annual basis or more frequently if required by the external auditor to enable the external auditor to form an opinion on the accuracy and reliability of the information provided by an ADI under this Reporting Standard.

14.         All information provided by an ADI under this Reporting Standard must be subject to processes and controls developed by the ADI for the internal review and authorisation of that information. These systems, processes and controls are to assure the completeness and reliability of the information provided.

Authorisation

15.         When an officer or agent of an ADI provides the information required by this Reporting Standard using an electronic format, the officer or agent must digitally sign the relevant information using a digital certificate acceptable to APRA.

Variations

16.         APRA may, by written notice to the ADI, vary the reporting requirements of this Reporting Standard in relation to that ADI.

Transition

17.         An ADI must report under the old reporting standard in respect of a transitional reporting period. For these purposes:

old reporting standard means the reporting standard revoked by the determination that makes this Reporting Standard (being the reporting standard that this Reporting Standard replaces); and

transitional reporting period means a reporting period under the old reporting standard:

(a)          that ended before the date of revocation of the old reporting standard; and

(b)          in relation to which the ADI was required, under the old reporting standard, to report by a date on or after the date of revocation of the old reporting standard.

Note: For the avoidance of doubt, if an ADI was required to report under an old reporting standard, and the reporting documents were due before the date of revocation of the old reporting standard, the ADI is still required to provide any overdue reporting documents in accordance with the old reporting standard.

Interpretation

18.         In this Reporting Standard the following definitions are applicable:

AASB has the meaning in section 9 of the Corporations Act 2001.

ADI means an authorised deposit-taking institution within the meaning of the Banking Act 1959.

APRA means the Australian Prudential Regulation Authority established under the Australian Prudential Regulation Authority Act 1998.

APS 001 means Prudential Standard APS 001 Definitions.

authorised NOHC has the meaning given in the Banking Act 1959.

business days means ordinary business days, exclusive of Saturdays, Sundays and public holidays.

due date means the relevant due date under paragraph 11 or, if applicable, the date on a notice of extension given under paragraph 12.

foreign ADI has the meaning in section 5 of the Banking Act 1959.

highest parent entity means an ADI that satisfies all of the following conditions:

(a)          it is locally-incorporated;

(b)          it has at least one subsidiary (within the meaning of AASB 127 Consolidated and Separate Financial Statements (AASB 127)); and

(c)          it is not itself a subsidiary (within the meaning of AASB 127) of an ADI that is locally-incorporated.

immediate parent NOHC means an authorised NOHC, or a subsidiary of an authorised NOHC, that is an immediate parent NOHC.

IRB approach refers to the internal ratings-based approach to credit risk, as set out in APS 113.

Level 1 has the meaning given to that expression in APS 001.

Level 2 has the meaning given to that expression in APS 001.

locally incorporated means incorporated in Australia or in a State or Territory of Australia, by or under a Commonwealth, State or territory law.

reporting period means a period mentioned in paragraph 9 or, if applicable, paragraph 10.

19.         Unless the contrary intention appears, a reference to an Act, Prudential Standard, Reporting Standard, Australian Accounting or Auditing and Assurance Standard is a reference to the instrument as in force from time to time.

Reporting Standard ARS 113.0

Capital Adequacy: Internal Ratings-based Approach to Credit Risk

General instructions

Securitisation deconsolidation principle

Except as otherwise specified in these instructions, the following applies:

1. Where an ADI (or a member of its Level 2 consolidated group) participates in a securitisation that meets APRA’s operational requirements for regulatory capital relief under Prudential Standard APS 120 Securitisation (APS 120):

(a)          special purpose vehicles (SPVs) holding securitised assets may be treated as non-consolidated independent third parties for regulatory reporting purposes, irrespective of whether the SPVs (or their assets) are consolidated for accounting purposes;

(b)          the assets, liabilities, revenues and expenses of the relevant SPVs may be excluded from the ADI’s reported amounts in APRA’s regulatory reporting returns; and

(c)          the underlying assets (i.e. the pool) under such a securitisation may be excluded from the calculation of regulatory capital (refer to APS 120), however, the ADI must still hold regulatory capital for  any securitisation exposure[1] that it retains or acquires and such exposures are to be reported in Reporting Form ARF 120.1 Securitisation – Regulatory Capital. The risk-weighted assets (RWA) relating to such securitisation exposures must also be reported in ARS 110.0.

2.             Where an ADI (or a member of its Level 2 consolidated group) participates in a securitisation that does not meet APRA’s operational requirements for regulatory capital relief under APS 120, or the ADI undertakes a funding-only securitisation or synthetic securitisation, such assets are to be reported as on-balance sheet in APRA’s regulatory reporting returns.

Requirements applying to certain ADIs

An ADI that has received IRB approval under APS 113 and has approval for partial use of the standardised approach under APS 112 is expected to report under this reporting form in respect of relevant operations that are covered by the IRB approach. There are reporting obligations under ARS 112 in respect of operations that remain under standardised approach.

An ADI that is operating under the APS 112 standardised approach to credit risk, but has applied to adopt IRB approach is expected to meet the requirements of this standard for those exposures they are seeking approval to use the IRB approach under APS 113.

 Definitions

All terms highlighted in bold italics in this Reporting Standard are as defined in APS 113.

Specific instructions

Table 1: Capital Adequacy: Internal Ratings-based Approach to Credit Risk

Scope

Table 1 captures the credit risk-weighted assets (RWA) and risk components of all exposures under the internal ratings-based approach to credit risk, except the following specifically excluded items (refer to APS 113):

Reporting basis

Complete Table 1 for all exposures that use the internal ratings-based approach to credit risk, excluding exposures held by New Zealand subsidiaries.

The table is to be completed at Level 1 and Level 2 by all ADIs other than foreign ADIs and providers of purchased payment facilities.  

If an ADI is a subsidiary of a NOHC, the report at Level 2 is to be provided by the ADI’s immediate parent NOHC.[2]

Report data as at the end of the reporting period.

When used together, the symbols <= mean less than or equal to and the symbols >= mean greater than or equal to. 

Reporting tables

The table described in this reporting standard lists each of the data fields required to be reported. The data fields are listed sequentially in the column order that they will appear in the reported data set. Constraints on the data that can be reported for each field have also been provided. The Unique identifier column indicates which field or fields form the primary key of the table. Where a field has ‘Y’ in the Unique identifier column, this denotes that this field forms part of the primary key for the table. A blank cell in the Unique identifier column means that the field does not form part of the primary key for the table. Any specific combination of values in the fields that form the primary key of a table must not appear on more than one row in that table when reported

Units of measurement

Unless otherwise specified, report all values in whole Australian dollars (no decimal place).

Percentages are to be reported as an unconverted number to two decimal places or as specified. For example, 12.34 per cent is to be reported as 0.1234.

Convert amounts denominated in foreign currency to Australian dollars in accordance with Australian Accounting Standards.

Table 1: Internal Ratings-based Approach to Credit Risk

[1]  “securitisation exposure” is defined in accordance with APS 120.

[2]  Refer to paragraph 7 of this reporting standard.