Document ID: chunk:federal_register_of_legislation:F2023L01572:front:0:p14
Version: federal_register_of_legislation:F2023L01572
Segment Type: other
Provision Reference: 
Character Range: 35445–38262

that complies with the operational requirements for regulatory capital relief (refer to Attachment A) may apply a cap on the capital charge for securitisation exposures it holds equal to the capital requirement under APS 112 or APS 113, as appropriate, that would apply to the underlying exposures in the pool had they not been securitised.

Risk-weight cap for senior securitisation exposures
63.         An originating ADI may apply a 'look-through' approach to senior securitisation exposures (other than those relating to resecuritisation exposures or other exposures that are required to be deducted from Common Equity Tier 1 Capital) so that they are subject to a risk-weight cap equal to the average risk weight that would apply to the underlying exposures in the pool, under either APS 112 or APS 113, had the underlying exposures not been securitised. Where an ADI is not an originating ADI, it may apply a risk-weight cap for senior exposures (other than those relating to resecuritisation exposures or other exposures that are required to be deducted from Common Equity Tier 1 Capital) so that they are subject to a risk-weight cap equal to the average risk weight that would apply to the underlying exposures in the pool under APS 112.
64.         In order to apply the risk-weight cap under paragraph 63, an ADI must have a comprehensive understanding of the risk characteristics of the pool underlying the securitisation exposures.
65.         Where the risk-weight cap results in a lower risk weight than the risk-weight floor of 15 per cent (refer to Attachment C), the 15 per cent risk-weight floor must be applied.

Cash collateral arrangements
66.         Where cash collateral provided by an ADI to collateralise facilities and services provided by the ADI to an SPV is lodged in the name of the SPV, the ADI's exposure to the SPV must be treated as a securitisation exposure. Where treated as a securitisation exposure, the repayment of cash collateral must not be subordinated to any investor in the securitisation or subject to deferral or waiver. For the purpose of calculating regulatory capital, cash collateral, together with the relevant facility may be treated as overlapping securitisation exposures (paragraphs 51 and 52).[23],[24]

Redraws and further advances to customers
67.         An ADI that retains a contractual commitment to advance further funds to a customer under a redraw arrangement on a loan is required to hold regulatory capital against that commitment as an exposure to the customer according to the requirements of APS 112 or 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