Document ID: chunk:federal_register_of_legislation:F2018L00363:body:0:p7
Version: federal_register_of_legislation:F2018L00363
Segment Type: other
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Character Range: 16728–19867

reported in Reporting Form ARF 120.1 Securitisation – Regulatory Capital. The risk-weighted assets (RWA) relating to such securitisation exposures must also be reported in Reporting Form ARF 110.0.1 Capital Adequacy (Level 1) and Reporting Form ARF 110.0.2 Capital Adequacy (Level 2).

    2.             Where an ADI (or a member of its Level 2 consolidated group) participates in a securitisation that does not meet APRA's operational requirements for regulatory capital relief under APS 120, or the ADI undertakes a funding-only securitisation or synthetic securitisation such exposures are to be reported as on-balance sheet assets in APRA's regulatory reporting returns. In addition, these exposures must also be reported as a part of the ADI's total securitised assets within Reporting Form ARF 120.2 Securitisation – Supplementary Items.

Reporting period and timeframes for lodgement

The form is to be completed as at the last day of the stated reporting period (i.e. the relevant) quarter. The table below sets out the number of business days after the end of the relevant reporting period, within which each class of ADI must submit data to APRA.

Class of ADI                              Number of business days
Bank – Advanced or Applicant Advanced     30
Bank – Standardised                       20
Branch of a Foreign Bank                  20
Building Society                          15
Credit Union                              15
Provider of Purchased Payment Facilities  Not applicable
Other ADI[7]                              20

An immediate parent NOHC must submit data to APRA within the same timeframe as its subsidiary ADI.

Unit of measurement

This form should be completed in Australian dollars (AUD) and in accordance with the units set out for each class of ADI in the table below.

Class of ADI                              Units
Bank – Advanced or Applicant Advanced     Millions of dollars rounded to one decimal place
Bank – Standardised                       Millions of dollars rounded to one decimal place
Branch of a Foreign Bank                  Millions of dollars rounded to one decimal place
Building Society                          Whole dollars with no decimal place
Credit Union                              Whole dollars with no decimal place
Provider of Purchased Payment Facilities  Not applicable
Other ADI                                 Whole dollars with no decimal place

An immediate parent NOHC must complete this form in AUD and in accordance with the same units as its subsidiary ADI.

Amounts denominated in foreign currency are to be converted to AUD in accordance with AASB 121 The Effects of Changes in Foreign Exchange Rates.

Definitions

In this instruction guide and its corresponding reporting form (ARF 118.0), the following expressions have the defined meanings as set out below:

Principal amount

The principal amount refers to the face value or gross amount of a given off-balance sheet transaction and not the fair value. Absolute values should be reported.  Netting, as defined in APS 112, should not be applied.

Fair value

The fair value is