Part Specific instructions - Financial Sector (Collection of Data) (reporting standard) determination No. 12 of 2024 - Specific instructions

Specific instructions

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 under Prudential Standard APS 111 Capital Adequacy: Measurement of Capital (APS 111);
securitisation exposures, which are subject to the requirements of APS 120; and
exposures of an overseas banking subsidiary that is prudentially regulated by a prescribed New Zealand authority.

Reporting basis

Complete Table 1 for all exposures that use the standardised 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

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.

Table 1: Standardised Approach to Credit Risk

	Name	Unique Identifier	Valid values	Description

1	Exposure classification	Y	Residential property - owner occupied and principal and interest - standardResidential property - other - standardResidential property - non-standard - reverse mortgagesResidential property - non-standard - otherCommercial property - dependent - standardCommercial property - dependent - non-standardCommercial property - not dependent on cashflows - standardCommercial property - not dependent on cashflows - non-standardADC - risk-weighted at 100%ADC - otherSovereignDomestic PSEBank - long-term exposureBank - short-term exposureBank - short-term issue-specific credit ratingCovered bondGeneral corporate - short-term issue-specific credit ratingGeneral corporate - SME corporateGeneral corporate - SME retailGeneral corporate - otherSpecialised lending - project financeSpecialised lending - object financeSpecialised lending - commodities financeRetail - credit cardRetail - otherMargin lending - secured by eligible financial collateralMargin lending - secured by other collateralSubordinated debtEquity - listed on a recognised exchangeEquity - not listed on a recognised exchangeLeases (excluding residual value)Residual value for leases (<= 10% of Tier 1 capital)Residual value for leases (> 10% Tier 1 capital)Exposures through a third partyCash owned and held at the ADI or in transitCash items in the process of collectionGold bullionInvestments in premises, plant and equipment, and all other fixed assetsUnsettled DvP transactions 5 to 15 business days after settlement dateUnsettled DvP transactions 16 to 30 business days after settlement dateUnsettled DvP transactions 31 to 45 business days after settlement dateUnsettled DvP transactions 46 business days or more after settlement dateUnsettled non-DvP transactions < 5 business daysUnsettled non-DvP transactions >= 5 business daysMarket-related exposureAll 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 includes gold 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 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; andc) for an IRB 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	SovereignDomestic PSEBank - long-term exposureBank - short-term exposureBank - short-term issue-specific credit ratingGeneral corporate – short-term issue-specific credit ratingGeneral corporate - otherGeneral corporate - SME corporateGeneral corporate - SME retailRetail - otherExposure with currency mismatchImmaterial non-DvP transactionNot 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 sheetOff-balance sheetNot 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.
4	Nature of transaction	Y	Direct credit substitutesSale and repurchase agreements and asset sales with recourseLending of securities or posting of securities as collateralForward asset purchases, forward deposits and partly paid shares and securitiesOther off-balance sheet items that are credit substitutesUnsettled securities, commodities and foreign exchange transactions accounted for at settlement dateOther commitments with certain drawdownNote issuance and revolving underwriting facilitiesPerformance-related contingenciesOther commitmentsShort-term self-liquidating trade letters of credit arising from the movement of goodsIntraday limitsIrrevocable standby commitments under industry support arrangementsNot 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 sheet Residential 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	YesNoNot Applicable	For Residential property - owner occupied and principal and interest - standard and Residential property - other - standard, report Yes for exposures with eligible LMI and No for exposures without eligible LMI.For all other exposures report Not Applicable.
7	Defaulted	Y	Defaulted residential property exposureOther defaulted exposure - provisions >= 20% of outstanding amountOther defaulted exposure - provisions < 20% of outstanding amountNon-defaultedNot 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 amountOther 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	YesNoNot 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.
9	Credit rating grade	Y	Credit rating grade 1Credit rating grade 2Credit rating grade 3Credit rating grade 4Credit rating grade 5Credit rating grade 6Unrated exposure subject to a 20% risk weightUnrated exposure subject to a 50% risk weightUnrated exposure subject to a 60% risk weightUnrated exposure subject to a 75% risk weightUnrated exposure subject to an 85% risk weightUnrated exposure subject to a 100% risk weightUnrated exposure subject to a 110% risk weightUnrated exposure subject to a 150% risk weightNot Applicable	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 – otherSovereignDomestic PSEBank (including all sub-categories)Covered bondGeneral corporate (including all sub-categories)Specialised lending (including all sub-categories)Leases (excluding residual value)Unsettled non-DvP transactions < 5 business daysreport credit rating grade 1 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)		00.10.20.250.30.350.3750.40.450.50.5250.550.60.650.6750.70.750.80.8250.850.90.950.97511.051.11.1251.21.2751.51.5752.546.259.37512.5	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.For Exposure with currency mismatch in column 2, report the risk weight after the application of the 1.5 times multiplier required by paragraph 43 of Attachment B to APS 112.
13	Risk-weighted assets (RWA)		Whole dollars	This is a derived field on this table and RWA will be automatically calculated in accordance with APS 112.

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Specific instructions

Table 1: Capital Adequacy: Standardised Approach to Credit Risk

Reporting basis

Units of measurement

Table 1: Standardised Approach to Credit Risk