Document ID: chunk:federal_register_of_legislation:F2023L00405:body:0:p6
Version: federal_register_of_legislation:F2023L00405
Segment Type: other
Provision Reference: 
Character Range: 13839–18310

ARF_120_1: Securitisation — Regulatory Capital

Australian Business Number  Institution Name

Reporting Period            Scale Factor
                            Millions to one decimal place for banks
                            Whole dollars no decimal place for other ADIs
Reporting Consolidation
Level 1 / Level 2

 1. Securitisation exposures subject to the External Ratings-based Approach (ERBA)

                                                                       Exposures  Risk weights %  RWA  CET1 deduction
                                                                       (1)        (2)             (3)  (4)
  1.1.  Securitisation exposures with short-term credit rating grades
    1.1.1.  STG1                                                                  15%
    1.1.2.  STG2                                                                  50%
    1.1.3.  STG3                                                                  100%
    1.1.4.  STG4
    1.1.5.  Total

                                                                                                        Exposures  RWA  CET1 deduction
                                                                                                        (1)        (2)  (3)
  1.2.  Senior securitisation exposures with long-term credit rating grades resulting in risk weights:
    1.2.1.  >=15% to <=20%
    1.2.2.  >20% to <=50%
    1.2.3.  >50% to <=100%
    1.2.4.  >100% to <=140%
    1.2.5.  >140%
    1.2.6.  Total

                                                                                                            Exposures  RWA  CET1 deduction
                                                                                                            (1)        (2)  (3)
  1.3.  Non-senior securitisation exposures with long-term credit rating grades resulting in risk weights:
    1.3.1.  >=15% to <=20%
    1.3.2.  >20% to <=50%
    1.3.3.  >50% to <=100%
    1.3.4.  >100% <=140%
    1.3.5.  >140%
    1.3.6.  Total

2.  Securitisation exposures subject to the Supervisory Formula Approach (SFA)

                             Exposures  RWA  CET1 deduction
                             (1)        (2)  (3)
  2.1.  With risk weights:
    2.1.1.  >=15% to <=20%
    2.1.2.  >20% to <=50%
    2.1.3.  >50% to <=100%
    2.1.4.  >100% to <=250%
    2.1.5.  >250% to <=425%
    2.1.6.  >425% to <=650%
    2.1.7.  >650% to <1250%
    2.1.8.  >=1250%
    2.1.9.  Total

3.  Senior securitisation exposures subject to the risk-weight cap

                             Exposures  RWA
                             (1)        (2)
  3.1.  With risk weights:
    3.1.1.  >=15% to <=20%
    3.1.2.  >20% to <=50%
    3.1.3.  >50% to <=100%
    3.1.4.  >100% to <=250%
    3.1.5.  >250% to <=425%
    3.1.6.  >425% to <=650%
    3.1.7.  >650% to <1250%
    3.1.8.  Total

4.  Regulatory adjustments

                                                                                               CET1 deduction
                                                                                               (1)
  4.1.  Senior securitisation exposures where ERBA, SFA or the risk-weight cap cannot be used
  4.2.  Securitisation exposures that do not meet due diligence requirements
  4.3.  Resecuritisation exposures
  4.4.  Other non-senior securitisation exposures
  4.5.  Securitisation start-up costs
  4.6.  Other CET1 regulatory adjustments relating to securitisation
  4.7.  Total

Reporting Form ARF 120.1

Securitisation — Regulatory Capital

Instructions

This form collects the credit risk-weighted assets (RWA) and adjustments to regulatory capital relating to the securitisation exposures of an authorised deposit-taking institution (ADI). In completing this form, ADIs should refer to Prudential Standard APS 120 Securitisation (APS 120). Information reported on this form is required primarily for prudential purposes.

Reporting entity

ARF 120.1 must be completed at Level 1 and Level 2 by all ADIs, with the exception of:

       (a)          branches of foreign banks; and

       (b)          providers of purchased payment facilities.

If an ADI is a subsidiary of an authorised NOHC, the report at Level 2 is to be provided by the ADI's immediate parent NOHC.

Securitisation deconsolidation principle

Except as otherwise specified in these instructions, the following applies:

     1. Where an ADI (or a member of its Level 2 consolidated