Division Section B: Risk Profile - Financial Sector (Collection of Data) (reporting standard) determination No. 11 of 2024 - Section B: Risk Profile

Section B: Risk ProfileSection B: Risk Profile

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Section B: Risk Profile

This section summarises an ADI’s RWA amounts for credit, operational and market risks and any other charges as required by APRA. To convert a capital charge for operational risk, market risk or any other item to a RWA equivalent amount, the amount of the charge must be multiplied by a factor of 12.5. The total RWA amount is used to calculate the capital adequacy ratio.

This form is designed to be used by all ADIs, irrespective of the approaches an individual ADI is applying to credit risk, operational risk and market risk. Consequently, not all line items are relevant to each ADI. An ADI must determine the line items it is required to complete based on the approaches it is applying.

Credit risk (excluding exposures in New Zealand subsidiaries)

This section captures the total credit risk-weighted amount of on-balance sheet assets and the risk-weighted credit equivalent amount of off-balance sheet exposures at Level 1/Level 2.

Securitisation exposures, risk-weighted in accordance with APS 120, are excluded from the amounts reported under section B, item 1.1 (refer to section B, item 1.2 below).

Column 1	Report the value.

Item 1.1	Credit risk as per ARS 112This item is automatically calculated based on information entered into the table for ARS 112.
Item 1.2	Credit risk as per ARS 113This item is automatically calculated based on information entered into the table for ARS 113.
Item 1.3	Report Securitisation (as per ARS 120)This item captures the total RWA amount that is attributable to an ADI’s securitisation exposures at Level 1 or Level 2, determined in accordance with APS 120.Report total RWA for securitisation exposures, as reported under ARF 120.1.
Item 1.4	Total RWA for credit riskDerived field calculating the total credit RWA amount for an ADI, irrespective of the approach (or approaches) it is using to credit risk

Operational risk

This section captures the RWA equivalent amount of the operational risk regulatory capital of an ADI at Level 1 or Level 2.

Items in this section are automatically populated

Item 2.1	Standardised approachThis item is automatically calculated based on information entered into the table for ARS 115.
Item 2.2	Calculated for non-SFIsThis item is automatically calculated as 10 per cent of Item 1.4– Total RWA for credit risk of Section B.
Item 2.3	Total RWA for operational riskThis item is automatically calculated.

Item 3.1	Report Interest rate risk in the banking book – Internal model approach.This item only applies to an ADI for which APRA has approved the use of an internal model approach to interest rate risk in the banking book (IRRBB) for determining regulatory capital (refer to Prudential Standard APS 117 Capital Adequacy: Interest Rate Risk in the Banking Book (Advanced ADIs) (APS 117)).Report the RWA equivalent amount of the IRRBB capital requirement, as captured in Reporting Form ARF 117.1 IRRBB (ARF 117.1).
Item 3.2	Report Traded market risk, foreign exchange and commodities – Standard method.Report the RWA equivalent amount of the traded market risk, foreign exchange and commodities (TFC) capital requirement calculated using the standard method (refer to APS 116), as captured in Reporting Form ARF 116.0 – Market risk (ARF 116.0).
Item 3.3	Report Traded market risk, foreign exchange and commodities – Internal model approach.Report the RWA equivalent amount of the TFC capital requirement calculated using the internal model approach (refer to APS 116), as captured in ARF 116.0.
Item 3.4	Report Total RWA for market risk.This is a derived field calculating the total RWA amount for an ADI’s TFC and IRRBB capital requirement, irrespective of the approach (or approaches) it is using.

Column 1	Report Exposure, defined as the sum of on-balance sheet and off-balance sheet (after credit conversion) exposures that is multiplied by an appropriate risk-weight. It is calculated after recognising credit risk mitigation benefits.
Column 2	Report the RWA value.The reported RWA value must include any RWA overlay and the ADI must not report the RWA overlay again in item 5.1.

Item 4.1	Report Sovereign credit risk.For ADIs with IRB approval, this item captures sovereign exposures, as defined in the Reserve Bank of New Zealand (RBNZ)'s BPR 133 - IRB Credit Risk RWAs version 1 July 2024 (BPR 133), of a New Zealand banking subsidiary but are risk-weighted in accordance with the RBNZ’s BPR 131 – Standardised Credit Risk RWAs version 1 July 2024 (BPR 131).[8]For ADIs without IRB approval, this item captures claims on sovereigns, central banks and multilateral development banks and other international organisations as defined in the RBNZ’s BPR 131.
Item 4.2	Report Bank credit risk.For ADIs with IRB approval, this item captures bank exposures, as defined in the RBNZ's BPR 133, of a New Zealand banking subsidiary but are risk-weighted in accordance with the RBNZ’s BPR 131.For ADIs without IRB approval, this item captures claims on banks as defined in the RBNZ’s BPR 131.
Item 4.3	Report Corporate – Farm lending credit risk.This item only applies to ADIs with IRB approval. This item captures corporate – farm lending exposures, as defined in the RBNZ's BPR 133, of a New Zealand banking subsidiary.
Item 4.4	Report Corporate – IPRE credit risk.This item only applies to ADIs with IRB approval. This item captures corporate - IPRE exposures, as defined in the RBNZ's BPR 133, of a New Zealand banking subsidiary.
Item 4.5	Report Corporate – other credit risk.For ADIs with IRB approval, this item captures corporate – other exposures, as defined in the RBNZ's BPR 133, of a New Zealand banking subsidiary.For ADIs without IRB approval, this item captures claims on corporates as defined in the RBNZ’s BPR 131.
Item 4.6	Report Retail – residential mortgage credit risk.For ADIs with IRB approval, this item captures retail - residential mortgage exposures, as defined in the RBNZ's BPR 133, of a New Zealand banking subsidiary.For ADIs without IRB approval, this item captures residential mortgage loans (RML) as defined in the RBNZ’s BPR 131.
Item 4.7	Report Retail – other credit risk.This item only applies to ADIs with IRB approval. This item captures retail - other exposures, as defined in the RBNZ's BPR 133, of a New Zealand banking subsidiary.
Item 4.8	Report All other credit risk (including fixed assets, equity, leases, etc).This item captures all other credit risk exposures of a New Zealand banking subsidiary within the scope of the RBNZ’s BPR 133 and/or BPR 131 and not included in any of the above items.
Item 4.9	Total RWA for New Zealand subsidiaries.This item is automatically populated and is the sum of 4.1 to 4.8.

Item 4.1

Report Sovereign credit risk.For ADIs with IRB approval, this item captures sovereign exposures, as defined in the Reserve Bank of New Zealand (RBNZ)'s BPR 133 - IRB Credit Risk RWAs version 1 July 2024 (BPR 133), of a New Zealand banking subsidiary but are risk-weighted in accordance with the RBNZ’s BPR 131 – Standardised Credit Risk RWAs version 1 July 2024 (BPR 131).[8]For ADIs without IRB approval, this item captures claims on sovereigns, central banks and multilateral development banks and other international organisations as defined in the RBNZ’s BPR 131.

Item 4.2

Report Bank credit risk.For ADIs with IRB approval, this item captures bank exposures, as defined in the RBNZ's BPR 133, of a New Zealand banking subsidiary but are risk-weighted in accordance with the RBNZ’s BPR 131.For ADIs without IRB approval, this item captures claims on banks as defined in the RBNZ’s BPR 131.

Item 4.3

Report Corporate – Farm lending credit risk.This item only applies to ADIs with IRB approval. This item captures corporate – farm lending exposures, as defined in the RBNZ's BPR 133, of a New Zealand banking subsidiary.

Item 4.4

Report Corporate – IPRE credit risk.This item only applies to ADIs with IRB approval. This item captures corporate - IPRE exposures, as defined in the RBNZ's BPR 133, of a New Zealand banking subsidiary.

Item 4.5

Report Corporate – other credit risk.For ADIs with IRB approval, this item captures corporate – other exposures, as defined in the RBNZ's BPR 133, of a New Zealand banking subsidiary.For ADIs without IRB approval, this item captures claims on corporates as defined in the RBNZ’s BPR 131.

Item 4.6

Report Retail – residential mortgage credit risk.For ADIs with IRB approval, this item captures retail - residential mortgage exposures, as defined in the RBNZ's BPR 133, of a New Zealand banking subsidiary.For ADIs without IRB approval, this item captures residential mortgage loans (RML) as defined in the RBNZ’s BPR 131.

Item 4.7

Report Retail – other credit risk.This item only applies to ADIs with IRB approval. This item captures retail - other exposures, as defined in the RBNZ's BPR 133, of a New Zealand banking subsidiary.

Item 4.8

Report All other credit risk (including fixed assets, equity, leases, etc).This item captures all other credit risk exposures of a New Zealand banking subsidiary within the scope of the RBNZ’s BPR 133 and/or BPR 131 and not included in any of the above items.

Item 4.9

Total RWA for New Zealand subsidiaries.This item is automatically populated and is the sum of 4.1 to 4.8.

Item 5.1	Report the RWA equivalent amount of the adjustment to credit risk regulatory capital charge if APRA has required an additional credit risk regulatory capital requirement that is not captured by ARS 112.0 or ARS 113.0.Unless directed otherwise by APRA, RWA overlays associated with exposures within the scope of ARS 112 must be reported in item 5.1 of ARS 110 only.Unless directed otherwise by APRA, RWA overlays associated with exposures within the scope of ARS 113 must be reported in ARS 113 only.Unless directed otherwise by APRA, RWA overlays associated with exposures within the scope of ARS 110 Section B items 4.1 to 4.8 (Credit risk New Zealand subsidiaries) must be reported in ARS 110 Section B items 4.1 to 4.8 only.
Item 5.2	Report the RWA equivalent amount of the adjustment to operational risk regulatory capital charge if APRA has required an additional operational risk regulatory capital requirement that is not captured by ARS 115.0.
Item 5.3	Report the RWA equivalent amount of the adjustment to IRRBB regulatory capital charge if APRA has required an additional IRRBB regulatory capital requirement that is not captured by ARS 117.1.
Item 5.4	Report the RWA equivalent amount of the adjustment to market risk regulatory capital charge if APRA has required an additional market risk regulatory capital requirement that is not captured by ARS 116.0.
Item 5.5	Report the RWA equivalent amount of any other adjustment to the regulatory capital charge as advised by APRA.
Item 5.6	Total other charges as required by APRA.This is a derived item that is calculated as the sum of items 5.1, 5.2, 5.3, 5.4 and 5.5.

Item 6.1	For IRB ADIs, capital requirement as per standardised approach, excluding New Zealand subsidiaries.This item is for the purpose of the RWA floor calculation, as detailed in APS 110.This item is automatically populated.
Item 6.2	Report for IRB ADIs, credit capital requirement as per standardised approach, due to New Zealand subsidiaries.Report the credit RWA of a New Zealand subsidiary if fully re-computed under the standardised approach as defined in RBNZ’s BPR 131.This item is for the purpose of the RWA floor calculation, as detailed in APS 110.
Item 6.3	Adjustment to RWA with respect to the floor.This item only applies to an ADI with approval to use the internal-ratings based (IRB) approach to credit risk (refer to APS 113).This item is automatically populated.
Item 6.4	Total RWA.This is a derived field that sums the RWA amounts for all categories. This figure forms the denominator for calculating the risk-based capital ratios of an ADI.

Item 2.1	ADI-specific countercyclical capital buffer requirement.This is a derived field and is automatically calculated from items 2.1.1 to 2.1.3, in accordance with Attachment C of APS 110. For an ADI with exposures in Australia only, the ADI-specific buffer is equal to the Australian jurisdictional countercyclical buffer.
Item 2.1.1	Report Countercyclical capital buffer requirement for assets held in Australia.
Item 2.1.2	Report Countercyclical capital buffer requirement for assets held in New Zealand.
Item 2.1.3	Report Countercyclical capital buffer requirement for assets held elsewhere.

Column 1	Report the value of Defaulted exposures.
Column 2	Report the value of Non-defaulted exposures.
Column 3	Report the Total value of exposures.

Item 1.1	Report Credit-related provisions.This item relates to both defaulted and non-defaulted exposures. Include specific provisions and the amount of provisions held against performing exposures that represent unidentified losses.
Item 1.2	Report Partial write-offs.Report the amount of any partial write-offs that form part of the ADI’s total eligible provisions.
Item 1.3	Report Discounts on defaulted assets.Report the total amount of discounts on defaulted assets (refer to APS 113).
Item 1.4	Report Total eligible provisions.This is a derived item which for:defaulted exposures – sums credit-related provisions on defaulted exposures, partial write–offs, and discounts on defaulted assets;non-defaulted exposures – equals the amount of credit-related provisions.
Item 1.5	Report Total expected losses.Report the amount of total expected losses on defaulted and non-defaulted exposures (refer to APS 113).

Item 1.1	Common Equity Tier 1.This is a derived field calculated by dividing item 1.1.3 Common Equity Tier 1 Capital of section A by item 6.4 Total RWA of section B.
Item 1.2	Tier 1.This is a derived field calculated by dividing item 1.4 Tier 1 Capital of section A by item 6.4 Total RWA of section B.
Item 1.3	Total Capital.This is a derived field calculated by dividing item 3 Level 1/ Level 2 Total Capital of section A by item 6.4 Total RWA of section B.

Item 3.1	Report On-balance sheet exposures, as set out in APS 110.
Item 3.2	Report Non-market related off-balance sheet exposures, as set out in APS 110.
Item 3.3	Report Derivative exposures, as set out in APS 110.
Item 3.4	Report Securities financing transaction exposures, as set out in APS 110.
Item 3.5	Total exposures is a derived field calculated as the sum of items 3.1, 3.2, 3.3 and 3.4 above.