Document ID: chunk:federal_register_of_legislation:F2023L00405:body:0:p7
Version: federal_register_of_legislation:F2023L00405
Segment Type: other
Provision Reference: 
Character Range: 18050–21096

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 group) participates in a securitisation that meets APRA's operational requirements for regulatory capital relief under 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 in 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 that it retains or acquires and such exposures are to be reported in this form (ARF 120.1). The RWA 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 undertakes a funding-only securitisation or synthetic securitisation, report such assets as on-balance sheet in 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 basis and units of measurement

Report all items on ARF 120.1 in accordance with Australian Accounting Standards unless otherwise specified.

Complete items on ARF 120.1 excluding exposures held by New Zealand subsidiaries as at the last day of the stated reporting period (i.e. the relevant quarter) and submit to APRA within 35 calendar days of the end of the relevant reporting period.

Report all items in Australian dollars (AUD) and in accordance with the units set out below:

Class of ADI    Units

Bank            Millions of dollars rounded to one decimal place.

All other ADIs  Whole dollars with no decimal place.

An immediate parent NOHC must complete this form in AUD and in accordance with the same units as its subsidiary ADI.

Convert amounts denominated in foreign currency to AUD in accordance with AASB 121 The Effects of Changes in Foreign Exchange Rates.[2]

Specific instructions

The following instructions are applicable at Level 1 and (where relevant) Level 2. For any on-balance sheet securitisation exposure, report the exposure value net of specific provisions. For any off-balance sheet securitisation exposure, apply a credit conversion