Document ID: chunk:federal_register_of_legislation:F2023L01572:front:0:p15
Version: federal_register_of_legislation:F2023L01572
Segment Type: other
Provision Reference: 
Character Range: 38022–40955

APS 113, as appropriate. Where:
(a)          the loan has been assigned to an SPV under a securitisation arrangement;
(b)          the ADI has provided a facility to the SPV to fund a contractual commitment of the SPV to acquire any further advances by the ADI on the underlying loan; and
(c)          the facility provided by the ADI complies with Attachment D of this Prudential Standard,
    the ADI is not required to include the undrawn commitment in its risk-weighted assets as an exposure to the customer. Instead, the ADI that provides the facility to an SPV must treat the facility as a securitisation exposure in accordance with this Prudential Standard.[25]

Shared collateral
68.         Where an ADI retains an interest in collateral assigned to an SPV as a result of additional exposures secured against that collateral, such as an interest relating to arrangements to provide additional advances to customers, these additional exposures will not be eligible for a risk weight of less than 100 per cent unless a formal second mortgage arrangement is in place that meets the requirements of Attachment A of APS 112.

Implicit support and other risks
69.         If APRA considers that an ADI is providing implicit support to a securitisation, or otherwise does not comply with this Prudential Standard, APRA may require the ADI to hold additional regulatory capital considered by APRA to be commensurate with the risk to the ADI arising from the support or other non-compliance.
70.         If APRA considers that an ADI is providing implicit support to a securitisation, APRA may require the ADI to publicly disclose the implicit support.
71.         If APRA considers that the risks arising out of securitisation are not adequately managed by the ADI holding additional regulatory capital, APRA may impose limits (both quantitative and qualitative) on the extent to which additional exposures may be securitised by the ADI, the extent to which additional securitisation exposures are acquired by the ADI or the extent to which additional services are provided by the ADI.

Risk management framework
72.         An ADI must have, as part of its risk management framework (refer to Prudential Standard CPS 220 Risk Management), policies and procedures relating to its securitisation business. These policies and procedures must:
(a)          address the effects of an ADI's involvement in securitisation on its risk profile, including credit risk, liquidity risk and, where relevant, capital adequacy; and
(b)          address any reputational risk and how the ADI will ensure that it is not providing implicit support to a securitisation.

Self-assessment
73.         An ADI must assess, in writing, each securitisation in which it participates. The assessment must demonstrate compliance with this Prudential Standard including, where relevant, the applicable regulatory capital treatment. An ADI must provide to APRA,