Document ID: chunk:federal_register_of_legislation:F2023L01572:front:0:p10
Version: federal_register_of_legislation:F2023L01572
Segment Type: other
Provision Reference: 
Character Range: 24279–27325

to Attachment B). APRA will not regard residential mortgages with redraw facilities as revolving exposures, i.e. a securitisation of revolving credit facilities, provided the redraws or further advances are not expected to be material in relation to the size of the pool.
37.         An originating ADI[15] of an ABCP securitisation must treat the securitisation as a funding-only securitisation and comply with the operational requirements for funding-only securitisation (refer to Attachment B).
38.         An originating ADI of a self-securitisation must treat the securitisation as a funding-only securitisation and comply with the operational requirements for funding-only securitisation (refer to Attachment B) from the time the securities are used as collateral in order to obtain funding via a repurchase agreement with the RBA.

Synthetic securitisation
39.         An originating ADI of a synthetic securitisation must include the underlying exposures in the pool in the calculation of its regulatory capital for credit risk under APS 112 or APS 113.
40.         For a synthetic securitisation, an originating ADI is not required to hold regulatory capital in respect of credit risk for facilities or exposures to the SPV held by the originating ADI that relate to the pool.

Treatment of securitisation exposures
41.         Subject to paragraphs 35 and 40, an ADI must hold regulatory capital for credit risk against its securitisation exposures, including credit risk mitigation (CRM) (i.e. eligible collateral, guarantees and credit derivatives) provided by the ADI to a securitisation exposure or to an underlying pool of exposures.
42.         With the exception of those exposures required to be deducted from Common Equity Tier 1 Capital under this Prudential Standard, securitisation exposures must be risk weighted. The risk-weighted asset amount of a securitisation exposure is calculated by multiplying the exposure amount (paragraph 43) by the appropriate risk weight (Attachment C).
43.         The exposure amount of a securitisation exposure for regulatory capital purposes is the sum of the on-balance sheet amount of the exposure (including the drawn amount of a facility), net of purchase price discounts and specific provisions, and the off-balance sheet exposure amount (including the undrawn amount of a facility), if any.
44.         An ADI must measure the exposure amount of its off-balance sheet securitisation exposures as follows:
(a)          for off-balance sheet exposures subject to CRM, the treatment in paragraphs 45 to 50;
(b)          for derivatives transactions other than credit derivatives, the measurement approach that applies to the ADI under APS 112;
(c)          for undrawn servicer cash advances that meet the requirements of paragraph 3 of Attachment D, by applying a credit conversion factor (CCF) of zero per cent; and
(d)          for all other exposures, by applying a CCF of 100 per cent.

Treatment of credit risk mitigation for securitisation exposures
45.         An ADI must not