Document ID: chunk:federal_register_of_legislation:F2023L00288:reg:5:p3
Version: federal_register_of_legislation:F2023L00288
Segment Type: reg
Provision Reference: reg 5 (pt 3/27)
Character Range: 33483–36557

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 throughout APRA's regulatory reporting returns; and

       (c)          the underlying assets (i.e. the pool) under such a securitisation may be excluded from the calculation of the ADI's regulatory capital (refer to APS 120). However, the ADI must still hold regulatory capital for the securitisation exposures[3] that it retains or acquires and such exposures are to be reported in reporting form ARF 120.0 Standardised - Securitisation or the series of reporting forms ARF 120.1A to ARF 120.1C IRB - Securitisation (as appropriate). The risk-weighted assets relating to such securitisation exposures must also be reported in reporting form ARF 110.0 Capital Adequacy (ARF 110.0).

    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 or Prudential Standard APS 113 Capital Adequacy: Internal Ratings-based Approach to Credit Risk, such assets are to be reported as on-balance sheet assets throughout APRA's regulatory reporting returns. In addition, these assets 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 timeframes for lodgement

These forms are to be completed as at the last day of the stated reporting period (i.e. the relevant quarter) and submitted to APRA:

    (a)    within 30 business days after the end of the reporting period to which the information relates, by an ADI that has APRA's approval to use an internal ratings-based approach to credit risk and/or an advanced measurement approach to operational risk;

    (b)    within 20 business days after the end of the reporting period to which the information relates, by an ADI not covered by paragraph 1.

Unit of measurement

These forms should be completed in millions of Australian dollars (AUD) rounded to two decimal places, 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.

Basis of preparation

Capital charges for each relevant component of the traded market risk, foreign exchange and commodities capital requirement