Document ID: chunk:federal_register_of_legislation:F2024L01074:body:0:p36
Version: federal_register_of_legislation:F2024L01074
Segment Type: other
Provision Reference: 
Character Range: 97989–101035

disclosure requirements detailed in Prudential Standard APS 330 Public Disclosure. The data must be sufficiently detailed to facilitate ongoing improvements to the ADI's rating systems and enable retrospective re-rating of borrowers and facilities when such improvements are envisaged.
 2.          Where an ADI sells a credit obligation at a material credit-related economic loss, the ADI must:
        1.           maintain an internal register of these credit obligations;
        2.           consider the data contained in the register in its rating system design and validation processes. The subsequent inclusion in, or exclusion from, those processes of any data contained in the register must be justified by the ADI and must not result in lower LGD estimates; and
        3.           ensure that the creation and use of data contained in the register is transparent to independent reviewers of the ADI's rating systems, such as the ADI's internal or external auditors and APRA.

Additional requirements for corporate, sovereign and financial institution exposures
 1.          An ADI must maintain rating histories of borrowers and eligible guarantors or credit protection providers, including initial and subsequent ratings, the dates that ratings were assigned, the methodology and key data used to derive ratings and the officer responsible for the most recent rating.
 2.          An ADI must retain data on PD estimates, rating migrations and realised default rates associated with borrower grades.
 3.          An ADI using the AIRB approach must maintain a history of data on LGD estimates associated with each facility, the methodology and key data used to derive LGD estimates, the officer responsible for the most recent rating, and realised LGD rates associated with each defaulted facility.
 4.          Where an ADI uses the AIRB approach and reflects the risk-mitigating effects of guarantees or credit derivatives through its LGD estimates, it must retain data on the LGD of the facility before and after evaluation of the effects of the guarantee or credit derivative.
 5.          For each defaulted exposure, an ADI must retain information about the identity of the borrower and facility, the timing and circumstances of the default, and the components of loss and recovery, including amounts and sources of recoveries (e.g. collateral, liquidation proceeds and guarantees or credit derivatives), timing of cash flows and administrative costs.
 6.          Where an ADI uses supervisory estimates for LGD or EAD, it must retain sufficient data to validate the supervisory estimates.
 7.          An ADI must retain data on realised losses for specialised lending exposures subject to the supervisory slotting approach.

Additional requirements for retail exposures
 1.          An ADI must retain data used in the process of allocating retail exposures to pools. This includes data on borrower and transaction risk characteristics used either directly or through the use of a model as well as data on delinquency.
 2.