Document ID: chunk:federal_register_of_legislation:F2018L00363:body:0:p6
Version: federal_register_of_legislation:F2018L00363
Segment Type: other
Provision Reference: 
Character Range: 13783–17008

Sheet Business

Instruction Guide

This instruction guide is designed to assist in the completion of Reporting Form ARF 118.0 - Off-balance Sheet Business (ARF 118.0). This form collects information on an authorised deposit-taking institution's (ADI's) off-balance sheet business relating to:

    (a)          derivative activities in the ADI's trading and banking books; and

    (b)          liquidity support facilities contracted by the ADI to supplement its liquidity management and the value of any charges granted over the assets of the ADI to secure these contingent liabilities.

The information collected in this form is not used for the calculation of regulatory capital relating to an ADI's off-balance sheet business.

In completing this form, ADIs should refer to Prudential Standard APS 112 Capital Adequacy: Standardised Approach to Credit Risk (APS 112) or Prudential Standard APS 113 Capital Adequacy: Internal Ratings-based Approach to Credit Risk (APS 113), as appropriate.

General directions and notes

Reporting entity

This form is to be completed at Level 1 and Level 2[2] by each ADI (subject to the paragraph following the table) that is included in one of the classes of ADI to which this form applies, as set out in the table below:

Class of ADI                              Reporting required
Bank – Advanced or Applicant Advanced[3]  Yes
Bank – Standardised                       Yes
Branch of a Foreign Bank                  Yes[4]
Building Society                          Yes
Credit Union                              Yes
Provider of Purchased Payment Facilities  No
Other ADI                                 Yes

If an ADI is a subsidiary of an authorised non-operating holding company (NOHC), the report at Level 2 is to be provided by the ADI's immediate parent NOHC.[5]

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 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 in APRA's regulatory reporting returns; and

       (c)          the underlying exposures (i.e. the pool) under such a securitisation may be excluded from the calculation of the regulatory capital (refer to APS 120). However, the ADI must still hold regulatory capital for the securitisation exposures[6] that it retains or acquires and such exposures are to be reported in Reporting Form ARF 120.1 Securitisation – Regulatory Capital. The risk-weighted assets (RWA) relating to such securitisation exposures must also be reported in Reporting Form ARF 110.0.1 Capital Adequacy (Level 1) and Reporting Form ARF 110.0.2 Capital Adequacy (Level