Document ID: chunk:federal_register_of_legislation:F2024L01124:body:0:p23
Version: federal_register_of_legislation:F2024L01124
Segment Type: other
Provision Reference: 
Character Range: 62864–65793

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.

     1.      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 112
          This item is automatically calculated based on information entered into the table for ARS 112.
Item 1.2  Credit risk as per ARS 113
          This 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 risk
          Derived field calculating the total credit RWA amount for an ADI, irrespective of the approach (or approaches) it is using to credit risk

     1.      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

Column 1  The values for this table are automatically calculated.

Item 2.1  Standardised approach
          This item is automatically calculated based on information entered into the table for ARS 115.
Item 2.2  Calculated for non-SFIs
          This 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 risk
          This item is automatically calculated.

     1.      Market risk

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

Column 1  Report the value.

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,