Document ID: chunk:federal_register_of_legislation:F2019L01196:body:0:p5
Version: federal_register_of_legislation:F2019L01196
Segment Type: other
Provision Reference: 
Character Range: 10871–13752

the securitisation exposures[2] that it retains or acquires, and such exposures are to be 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 timeframe for lodgement

This form is to be completed as at the last day of the stated reporting period (i.e. the relevant quarter) and submitted to APRA within 30 business days after the end of the relevant reporting period.

Unit of measurement

This form should be completed in millions of Australian dollars (AUD) rounded to one decimal place, unless otherwise specified in this instruction guide.

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

Scope

An ADI is to report in ARF 117.1 the values calculated with reference to all "banking book items", as defined in APS 117.

Specific instructions

The following instructions are applicable at Level 1 and (where relevant) Level 2.

The repricing assumptions, other relevant assumptions and the definition of "economic value of the banking book" (EVBB) adopted by the ADI should comply with the requirements set out in APS 117.  The same repricing assumptions should be used for completing both sections A and B of this form.

To convert amounts denominated in foreign currencies to AUD, an ADI should use the spot foreign exchange rates at the balance date to which the calculation relates.

Section A: Impact of standard interest rate shock on the economic value of the banking book

An ADI is to report in this section, the impact of a 200 basis point increase and decrease in the yield curve of each relevant currency or composite of currencies on the EVBB, separately for the results "excluding earnings offset" and "including earnings offset".

Column 1. Currency

Select the three character alphabetic ISO code[3] of each material currency[4] in which    an ADI has exposures from the dropdown list.  Where an ADI has exposures in currencies that do not meet the definition of material currency (i.e. immaterial currencies), these exposures may be