Document ID: chunk:federal_register_of_legislation:F2023L00405:body:0:p9
Version: federal_register_of_legislation:F2023L00405
Segment Type: other
Provision Reference: 
Character Range: 23532–26582

aggregate RWA in column 2 against the corresponding risk weight bucket.

              For item 1.2.5, report all senior securitisation exposures with a long-term credit rating grade and calculated risk weight greater than 140 per cent in column 1 and column 3 CET1 deduction.

              Item 1.2.6 derives the totals of column 1, column 2 and column 3.

Item 1.3  Report non-senior securitisation exposures that can be risk-weighted under the ERBA with a long-term credit rating grade in item 1.3. Risk weight buckets are pre-defined.

              For items 1.3.1 to 1.3.4, report the total corresponding non-senior securitisation exposures in column 1. Report the aggregate RWA in column 2 against the corresponding risk weight bucket.

              For item 1.3.5, report all non-senior securitisation exposures with a long-term credit rating grade and calculated risk weight greater than 140 per cent in column 1 and column 3 CET1 deduction.

              Item 1.3.6 derives the totals of column 1, column 2 and column 3.

Item 2  Report securitisation exposures subject to the Supervisory Formula Approach (SFA) in item 2. Risk weight buckets are pre-defined.

            For items 2.1.1 to 2.1.7, report the total corresponding securitisation exposures in column 1. Report the aggregate RWA in column 2 against the corresponding risk weight bucket.

            For item 2.1.8, report all securitisation exposures with a calculated risk weight of 1250 per cent or greater in column 1 and column 3 CET1 deduction.

            Item 2.1.9 derives the totals of column 1, column 2 and column 3.

Item 3  Report senior securitisation exposures subject to the risk-weight cap in item 3. Risk weight buckets are pre-defined.

            For items 3.1.1 to 3.1.7, report the total corresponding senior securitisation exposures in column 1. Report the aggregate RWA in column 2 against the corresponding risk weight bucket.

            Item 3.1.8 derives the totals of column 1 and column 2.

Item 4 collects information about all other securitisation exposures of an ADI.

Reporting basis: report item 4 as at the end of the reporting period.

Item 4  For item 4.1, report all other senior securitisation exposures where the ERBA, SFA or risk-weight cap approaches cannot be used to determine regulatory capital and are therefore required to be deducted from CET1 capital.

        For item 4.2, report all securitisation exposures which do not meet due diligence requirements.

        For item 4.3, report all resecuritisation exposures, excluding those that do not meet due diligence requirements and are reported under item 4.2 above.

        For item 4.4, report all other non-senior securitisation exposures that are required to be deducted from CET1 capital, excluding those that do not meet due diligence requirements reported under item 4.2 above.

        For item 4.5, report all securitisation start-up costs.

        For item 4.6, report all other CET1 regulatory adjustments relating to securitisation, excluding any