Financial Sector (Collection of Data) (reporting standard) determination No. 12 of 2024
Reporting Standard ARS 112.0 Capital Adequacy: Standardised Approach to Credit Risk
Financial Sector (Collection of Data) Act 2001
I, Andrew Robertson, 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:
revoke Financial Sector (Collection of Data) (reporting standard) determination No. 49 of 2023, including Reporting Standard ARS 112.0 Capital Adequacy: Standardised Approach to Credit Risk made under that Determination; and
determine Reporting Standard ARS 112.0 Capital Adequacy: Standardised 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 that reporting standard.
Under section 15 of the Act, I declare that Reporting Standard ARS 112.0 Capital Adequacy: Standardised Approach to Credit Risk shall begin to apply to those financial sector entities, and the revoked reporting standard shall cease to apply, on the day after this instrument is registered on the Federal Register of Legislation.
This instrument commences on the day after it is registered on the Federal Register of Legislation.
Dated: 5 September 2024
Andrew Robertson
General Manager - Chief Data Officer
Technology and Data Division
Interpretation
In this Determination:
APRA means the Australian Prudential Regulation Authority.
financial sector entity has the meaning given by section 5 of the Act.
Schedule
Reporting Standard ARS 112.0 Capital Adequacy: Standardised Approach to Credit Risk comprises the document commencing on the following page.
Reporting Standard ARS 112.0
Capital Adequacy: Standardised Approach to Credit Risk
Objective of this Reporting Standard
This Reporting Standard sets out requirements for the provision of information to APRA relating to an authorised deposit-taking institution’s on- and off-balance sheet exposures that are subject to calculations using the standardised approach to credit risk.
It includes associated instructions (all of which are attached and form part of this Reporting Standard) and should be read in conjunction withPrudential Standard APS 112 Capital Adequacy: Standardised Approach to Credit Risk.
This Reporting Standard is made under section 13 of the Financial Sector (Collection of Data) Act 2001.
Purpose
The information reported to APRA under this Reporting Standardis 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).
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.
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
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.
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
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
APRA may, by written notice to the ADI, vary the reporting requirements of this Reporting Standard in relation to that ADI.
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 within the meaning given in the old reporting standard:
that ended before 30 September 2024; and
in relation to which the ADI would have been required, if the old reporting standard had not been revoked, 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.
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.
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 112.0
Capital Adequacy: Standardised Approach to Credit Risk
General instructions
Application to an IRB or an applicant IRB ADI
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 operations that remain under standardised approach.
An ADIthat is operating under the APS 112 standardised approach to credit risk, but has applied to adopt IRB approach is expected to continue to meet the requirements of this standard for all exposures. In addition, the ADI is expected to meet the requirements in ARS 113 for those exposures they are seeking approval to use the IRB approach under APS 113 and separately report under this form in respect of operations that will remain under standardised approach (i.e. partial use).
Securitisation deconsolidation principle
Except as otherwise specified in these instructions, the following applies:
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):
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;
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
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.
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.
Table 1: Capital Adequacy: Standardised Approach to Credit Risk
Scope
The risk-weighting process used for measuring the credit RWA of an ADI covers all or part of the ADI’s exposures that are subject to the standardised approach, except the following specifically excluded items:
those assets or investments that are required to be deducted from Tier 1 and/or Tier 2 capital underPrudential Standard APS 111 Capital Adequacy: Measurement of Capital(APS 111);
securitisation exposures, which are subject to the requirements ofAPS 120; and
exposures of an overseas banking subsidiary that is prudentially regulated by a prescribed New Zealand authority.
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
Report all values in whole Australian dollars (no decimal place).
Convert amounts denominated in foreign currency to Australian dollars in accordance with Australian Accounting Standards.
Unsettled DvP transactions 16 to 30 business days after settlement date
Unsettled DvP transactions 31 to 45 business days after settlement date
Unsettled DvP transactions 46 business days or more after settlement date
Unsettled non-DvP transactions < 5 business days
Unsettled non-DvP transactions >= 5 business days
Market-related exposure
All other exposures not specified elsewhere
Exposure classes are as defined in APS 112. Also refer to Prudential Practice Guide APG 112 Standardised Approach to Credit Risk as existing at the commencement of this reporting standard (APG 112) for further details of the definitions.
Guidance on specific exposure classes:
Bank - short-term exposure captures exposures that meet the requirements in paragraph 9 of Attachment B to APS 112. Bank - short-term issue-specific credit rating captures short-term bank exposures with an issue-specific external credit rating. Bank - long-term exposure captures all other bank exposures.
Covered bond captures exposures that are risk-weighted in accordance with paragraph 14 of Attachment B to APS 112.
General corporate – short-term issue-specific credit rating captures short-term general corporate exposures with an issue-specific external credit rating. General corporate - SME corporate and General corporate - SME retail capture exposures risk-weighted in accordance with paragraph 23 of Attachment B to APS 112. General corporate - other captures all other general corporate exposures.
Equity - listed on a recognised exchange includes equity exposure to ADI’s banking or insurance subsidiary at Level 1.
Gold bullion includesgold bullion held at the ADI or held in another ADI on an allocated basis, to the extent the gold bullion assets are backed by gold bullion liabilities.
Leases (excluding residual value) captures exposures risk-weighted in accordance with paragraph 39 of Attachment B to APS 112.
Use Market-related exposure to report RWA for market-related off-balance sheet exposures. Specifically, where Market-related exposure is selected:
a)populate columns 2 to 10 with Not Applicable or 0 as appropriate;
b)for a Standardised ADI, report in column 11 total RWA for market-related off-balance sheet credit exposures (including default riskRWE, trade exposureRWEand default fundRWE) plus 12.5 times the sum of CVA capital charge and default fund capital charge, determined in accordance with APS 180; and
c)for anIRB ADI, report in column 11 the total RWA for market-related off-balance sheet non-IRB credit exposures (including non-IRB default risk RWE, trade exposure RWE and default fund RWE) plus 12.5 times the sum of CVA capital charge and default fund capital charge, determined in accordance with APS 180.
2
Exposure subclass
Y
Sovereign
Domestic PSE
Bank - long-term exposure
Bank - short-term exposure
Bank - short-term issue-specific credit rating
General corporate – short-term issue-specific credit rating
General corporate - other
General corporate - SME corporate
General corporate - SME retail
Retail - other
Exposure with currency mismatch
Immaterial non-DvP transaction
Not Applicable
This column is applicable to Commercial property - not dependent on cashflows - standard, Commercial property - not dependent on cashflows - non-standard, Lease (excluding residual value) and Unsettled non-DvP transactions < 5 business days, and certain exposures with currency mismatch.
For Commercial property - not dependent on cashflows - standard, Commercial property - not dependent on cashflows - non-standard, Lease (excluding residual value) and Unsettled non-DvP transactions < 5 business days, select the relevant counterparty in this column. The counterparty selected should be consistent with the risk weight applied to the exposure.
For non-DvP transactions risk-weighted in accordance with paragraph 5(b) of Attachment D to APS 112, select Immaterial non-DvP transaction in this column.
For exposures with currency mismatch and are subject to a 1.5 times multiplier as per paragraph 43 of Attachment B to APS 112, select Exposure with currency mismatch in this column.
For all other exposures report Not Applicable.
3
On/off balance sheet
Y
On-balance sheet
Off-balance sheet
Not Applicable
Off-balance sheet exposures should only include non-market-related exposures as market-related off-balance sheet exposures are captured separately in column 1.
Report Not Applicable for market-related exposures.
Sale and repurchase agreements and asset sales with recourse
Lending of securities or posting of securities as collateral
Forward asset purchases, forward deposits and partly paid shares and securities
Other off-balance sheet items that are credit substitutes
Unsettled securities, commodities and foreign exchange transactions accounted for at settlement date
Other commitments with certain drawdown
Note issuance and revolving underwriting facilities
Performance-related contingencies
Other commitments
Short-term self-liquidating trade letters of credit arising from the movement of goods
Intraday limits
Irrevocable standby commitments under industry support arrangements
Not Applicable
This column is applicable only to off-balance sheet exposures.
Refer to Attachment C of APS 112 and APG 112 for further details of the definitions of the non-market-related transactions.
For all other exposures report Not Applicable.
5
Loan-to-valuation-ratio (LVR)
Y
0 to <= 5%
5.01% to <=10%
10.01% to <=15%
15.01% to <=20%
20.01% to <=25%
25.01% to <=30%
30.01% to <=35%
35.01% to <=40%
40.01% to <=45%
45.01% to <=50%
50.01% to <=55%
55.01% to <=60%
60.01% to <=65%
65.01% to <=70%
70.01% to <=75%
75.01% to <=80%
80.01% to <=85%
85.01% to <=90%
90.01% to <=95%
95.01% to <=100%
>100%
Not Applicable
This column is applicable to on- and off-balance sheetResidential property and Commercial property (including all sub-categories) exposures in column 1.
Allocate exposures to the appropriate band based on the calculated LVR.
LVR of exposures should be calculated in accordance with Attachment A of APS 112.
For all other exposures report Not Applicable.
6
Lenders Mortgage Insurance (LMI)
Y
Yes
No
Not Applicable
For Residential property - owner occupied and principal and interest - standardandResidential property - other - standard,report Yes for exposures with eligible LMI and No for exposures without eligible LMI.
Other defaulted exposure - provisions >= 20% of outstanding amount
Other defaulted exposure - provisions < 20% of outstanding amount
Non-defaulted
Not Applicable
Use Defaulted residential property exposure to report residential property exposures in default, as defined in APS 112.
For other exposures, use either:
Other defaulted exposure - provisions greater than or equal to 20% of outstanding amount
Other defaulted exposure - or provisions less than 20% of outstanding amount.
Use Non-defaulted to group exposures not in default.
Report Not Applicable for market-related exposures and all unsettled DvP or unsettled non-DVP transactions.
8
Government guarantee
Y
Yes
No
Not Applicable
For Residential property - owner occupied and principal and interest - standard and Residential property - other - standard, report Yes if the residential property exposure has a Government guarantee, as defined in paragraph 17 of Attachment A to APS 112, or No if it doesn’t.
Report Not Applicable for all other exposures, including market-related exposures.
For non-defaulted exposures in the following exposure classes:
Commercial property - not dependent on cashflows (standard and non-standard) except where the exposure subclass (column 2) is Retail – other
Sovereign
Domestic PSE
Bank (including all sub-categories)
Covered bond
General corporate (including all sub-categories)
Specialised lending (including all sub-categories)
Leases (excluding residual value)
Unsettled non-DvP transactions < 5 business days
report credit rating grade1 to 6, as defined in Attachment F of APS 112, where the exposure is rated. Where the exposure is unrated (including unrated bank exposures subject to a sovereign risk-weight floor and unrated bank or general corporate exposures with a prescribed risk weight), select Unrated exposure subject to an X% risk weight, where X is the risk weight applied to the exposure.
For sovereign exposures eligible for a zero per cent risk weight (e.g. certain MDB), select Credit rating grade 1.
For all other exposures report Not Applicable.
10
Exposure before CRM and CCF
Whole dollars
For each row other than Market-related exposure in column 1, report exposure before credit risk mitigation (CRM) as defined in APS 112 and before CCF.
For Market-related exposure in column 1, report 0.
11
Exposure after CRM and CCF
Whole dollars
For each row other than Market-related exposure in column 1, report exposure after credit risk mitigation (CRM) and after CCF.
For Market-related exposure in column 1, report RWA calculated in accordance with APS 112 and APS 180.
12
Risk weight (RW)
0
0.1
0.2
0.25
0.3
0.35
0.375
0.4
0.45
0.5
0.525
0.55
0.6
0.65
0.675
0.7
0.75
0.8
0.825
0.85
0.9
0.95
0.975
1
1.05
1.1
1.125
1.2
1.275
1.5
1.575
2.5
4
6.25
9.375
12.5
Report relevant RW for the exposure as a decimal by selecting the relevant valid decimal value.
For Market-related exposure in column 1, report 1.