Document ID: chunk:federal_register_of_legislation:F2023L00407:body:0:p7
Version: federal_register_of_legislation:F2023L00407
Segment Type: other
Provision Reference: 
Character Range: 23123–26239

to be provided by the ADI's immediate parent NOHC.

Securitisation deconsolidation principle

   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; and

       (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.

  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 undertakes a funding-only securitisation or synthetic securitisation, such assets are to be reported as on-balance sheet in APRA's regulatory reporting returns.

Reporting period

This form is to be completed as at the last calendar day of each quarter based on the financial year (within the meaning of the Corporations Act 2001) of the ADI.

Unit of measurement

This form should be completed in Australian dollars (AUD) in accordance with the units set out for each class of ADI in the following table.

Class of ADI             Units

Australian-owned Bank    Millions of dollars rounded to one decimal place

Foreign Subsidiary Bank  Millions of dollars rounded to one decimal place

Foreign ADI              Not applicable

Building Society         Whole dollars with no decimal place

Credit Union             Whole dollars with no decimal place

PPF provider             Not applicable

Other ADI                Whole dollars with no decimal place

Amounts denominated in foreign currency are to be converted to AUD in accordance with Accounting Standard AASB 121 The Effects of Changes in Foreign Exchange Rates (AASB 121).

Basis of preparation

For the purposes of this form, ADIs are to report all exposures including both the effect of CRM techniques as well as on the basis of excluding the effect of CRM techniques allowed under APS 221.

In completing this form, ADIs are to apply the requirements for netting specified in Attachment A of APS 221.

Definitions

Terms highlighted in bold italics indicate that the definition is provided in these instructions.

Connection means the relationship between two counterparties in a group of connected counterparties. A connection can be any of the following:

       * a control relationship;
       * an economic interdependence relationship;
       * both control and economic interdependence;
       * other connections or relationships; or

       * a third party additional risk factor.

A control relationship has the meaning given by paragraphs 22, 23 and 25 of APS 221.

Counterparty means either the individual counterparty or