Document ID: chunk:federal_register_of_legislation:F2023L00405:body:0:p5
Version: federal_register_of_legislation:F2023L00405
Segment Type: other
Provision Reference: 
Character Range: 11098–14197

accounts;[1]

       (d)          any positive mark-to-market value of a basis swap provided to a securitisation that the ADI has reported as an on-balance sheet asset or profit before it has been irrevocably received;

       (e)          any negative mark-to-market value of a basis swap where an originating ADI becomes, or is likely to become, a net payer over the life of the swap; and

       (f)           any other CET1 capital specific deductions required under Prudential Standard APS 120 Securitisation.

    provider of purchased payment facilities means an ADI that is subject to a condition on its authority under section 9 of the Banking Act 1959 confining the banking business that the ADI is authorised to carry on to providing purchased payment facilities.

    reporting period means a period mentioned in paragraph 8 or, if applicable, paragraphs 9 and 10.

    resecuritisation exposure has the meaning given to that expression in paragraph 11(q) of Prudential Standard APS 120 Securitisation.

    risk-weight cap means the method by which an originating ADI calculates regulatory capital for credit risk for its senior securitisation exposures by determining a risk-weight cap equal to the weighted average risk weight of the underlying exposures in the pool (refer to paragraphs 62 to 64 of Prudential Standard APS 120 Securitisation).

    securitisation exposure has the meaning given to that expression in paragraph 11(s) of Prudential Standard APS 120 Securitisation.

    securitisation start-up costs refers to where an ADI contributes to the start-up costs of a securitisation and those costs have been capitalised (rather than written off in the ADI's profit and loss), and so must be deducted from the ADI's CET1 capital as per paragraph 27 of Prudential Standard APS 120 Securitisation.

    senior securitisation exposure has the meaning given to that expression in paragraph 11(x) of Prudential Standard APS 120 Securitisation.

    subsidiary has the meaning given in the Corporations Act 2001.

    supervisory formula approach (SFA) means the method by which an ADI calculates regulatory capital for credit risk for its securitisation exposures, (refer to paragraphs 17 to 34 of Attachment C of Prudential Standard APS 120 Securitisation).

    18.         APRA may determine, in writing, that an individual ADI of one class of ADI is to be treated, for the purposes of this Reporting Standard, as though it was an ADI of another class of ADI.

    19.         Unless the contrary intention appears, a reference to an Act, Prudential Standard, Reporting Standard, Australian Accounting or Auditing Standard, is a reference to the instruments as in force or existing from time to time.

  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