Document ID: chunk:federal_register_of_legislation:F2023L00313:body:0:p7
Version: federal_register_of_legislation:F2023L00313
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111.0.1 and ARF 111.0.2

Fair Values

Instruction Guide

This instruction guide is designed to assist in the completion of the following forms:

    (a)          Form ARF 111.0.1 Fair Values (Level 1); and

    (b)          Form ARF 111.0.2 Fair Values (Level 2).

These forms set out the disclosure of certain information relating to assets and liabilities that are held at fair value by an ADI at Level 1 and Level 2.[2]

General directions and notes

Reporting entity

The forms are to be completed at Level 1 and Level 2 by all ADIs other than branches of a foreign bank and providers of purchased payment facilities.

If an ADI is a subsidiary of a NOHC, the report at Level 2 is to be provided by the ADI's immediate parent NOHC.[3]

Securitisation deconsolidation principle

Except as otherwise specified in these instructions, the following applies:

     1. Where an ADI (or a member of its Level 2 consolidated group) participates in a securitisation that meets APRA's operational requirements for regulatory capital relief under Prudential Standard APS 120 Securitisation (APS 120):

       (a)          special purpose vehicles (SPVs) holding securitised assets may be treated as non-consolidated independent third parties for regulatory reporting purposes irrespective of whether the SPVs (or their assets) are consolidated for accounting purposes;

       (b)          the assets, liabilities, revenues and expenses of the relevant SPVs may be excluded from the ADI's reported amounts in APRA's regulatory reporting returns; and

       (c)          the underlying exposures (i.e. the pool) under such a securitisation may be excluded from the calculation of regulatory capital (refer to APS 120). However, the ADI must still hold regulatory capital for the securitisation exposures[4] that it retains or acquires and such exposures are to be reported in Form ARF 120.0 Standardised – Securitisation (ARF 120.0) or Forms ARF 120.1A to ARF 120.1C IRB – Securitisation (ARF 120.1A, ARF 120.1B and ARF 120.1C) (as appropriate). The risk-weighted assets (RWA) relating to such securitisation exposures must also be reported in Form ARF 110.0 Capital Adequacy.

    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 elects to treat the securitised assets as on-balance sheet assets under Prudential Standard APS 112 Capital Adequacy: Standardised Approach to Credit Risk (APS 112) or Prudential Standard APS 113 Capital Adequacy: Internal Ratings-based Approach to Credit Risk (APS 113), 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 Form ARF 120.2 Securitisation – Supplementary Items (ARF 120.2).

Reporting period and timeframes for lodgement

The forms are