Document ID: chunk:federal_register_of_legislation:F2024L01075:body:0:p8
Version: federal_register_of_legislation:F2024L01075
Segment Type: other
Provision Reference: 
Character Range: 19779–22908

4.           equity investments in funds – fall-back approach.
Equity positions and equity investments in funds must be disclosed as 'national specific regulatory adjustments'.
 1.          An ADI is not required to make disclosures relating to the securitisation internal ratings-based (IRB) approach.
 2.          An ADI is not required to disclose the capital charge for switching between the trading book and banking book when disclosing its overview of RWA under the BCBS Standard.
 3.          When making market risk disclosures as part of an ADI's overview of RWA under the BCBS Standard, an ADI must disclose all components of its Traded Market Risk RWA (e.g. General Market Risk and Specific Market Risk), categorised under either the Standardised Approach or the Internal Model Approach.

Comparison of modelled and standardised RWA
 1.          When making disclosures relating to RWA calculated under the IRB and Standardised approaches, an ADI must use the relevant exposure classes set out in Reporting Standard ARS 112.0 Capital Adequacy: Standardised Approach to Credit Risk and the relevant asset classes set out in Prudential Standard APS 113 Capital Adequacy: Internal Ratings-based Approach to Credit Risk (APS 113). Where exposures are immaterial under an exposure class or asset class, an ADI may remove or consolidate asset classes in an approach consistent with paragraphs 20 and 39 of this Prudential Standard.

Remuneration
 1.          An ADI is not required to make remuneration disclosures under the BCBS Standard. An ADI must instead meet the remuneration disclosures as set out in Prudential Standard CPS 511 Remuneration.

Credit risk
 1.          An ADI must use the default rate consistent with that used to estimate probability of default under APS 113, rather than as defined under the BCBS Standard.
 2.          A reference to 'specific provisions' in the BCBS Standard means 'provisions held against non-performing exposures, or performing exposures that represent identified losses'.
 3.          A reference to 'general provisions' in the BCBS Standard means 'provisions held against performing exposures that represent a purely forward-looking amount for future losses that are presently unidentified'.
 4.          Provisions under the ECL accounting method referred to in the BCBS Standard must receive the following treatment for disclosures purposes:
         1.           12-month ECL Stage 1 provisions would be treated as general provisions;
         2.           ECL Stage 2 provisions would be treated as specific provisions where these provisions do not represent a purely forward-looking amount for future losses that are presently unidentified. If some Stage 2 loans do represent a purely forward-looking amount for future losses that are presently unidentified, they would be treated as general provisions; and
         3.           ECL Stage 3 provisions would be treated as specific provisions.
 5.          When completing templates and tables relating to credit risk, an ADI must use equivalent terminology relevant to other Prudential Standards, including:
         1.