Document ID: chunk:federal_register_of_legislation:F2023L00405:body:0:p10
Version: federal_register_of_legislation:F2023L00405
Segment Type: other
Provision Reference: 
Character Range: 26289–28874

deducted from CET1 capital, excluding those that do not meet due diligence requirements reported under item 4.2 above.

        For item 4.5, report all securitisation start-up costs.

        For item 4.6, report all other CET1 regulatory adjustments relating to securitisation, excluding any securitisation start-up costs reported under item 4.5 above.

        Item 4.7 is a derived total of items 4.1 to 4.6.

Related guidance for reporting in ARF 110.0 Capital Adequacy

For capital adequacy purposes, report the following items on ARF 120.1 relating to RWA and regulatory adjustments under the corresponding items in ARF 110.0 as set out in the table below:

Item in ARF 120.1                                                                                  Corresponding item in ARF 110.0

Aggregate of the following line items:                                                             Section B, item 1.2. Securitisation

    * item 1.1.5 Total column 3 RWA;
    * item 1.2.6 Total column 2 RWA;
    * item 1.3.6 Total column 2 RWA;
    * item 2.1.9 Total column 2 RWA; and
    * item 3.1.8 Total column 2 RWA.

Item 4.5 Securitisation start-up costs                                                             Section A, item 2.6.5 Securitisation start-up costs

Aggregate of the following line items:                                                             Section A, item 2.10 Common Equity Tier 1 specific adjustments relating to securitisation (excluding securitisation start-up costs)

    * item 1.1.5 Total column CET1 deduction;
    * item 1.2.6 Total column 3 CET1 deduction;
    * item 1.3.6 Total column 3 CET1 deduction;
    * item 2.1.9 Total column 3 CET1 deduction;
    * item 4.1 senior securitisation exposures where ERBA, SFA or risk weight cap cannot be used;
    * item 4.2 securitisation exposures that do not meet due diligence requirements;
    * item 4.3 resecuritisation exposures;
    * item 4.4 other non-senior securitisation exposures; and
    * item 4.6 other CET1 regulatory adjustments relating to securitisation.

    [1]  An originating ADI is not required to deduct from CET1 capital the difference between the book value and the amount received where the ADI has included the underlying exposures in the pool in the calculation of regulatory capital under 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).
[2] Made by the AASB under section 334 of the Corporations Act 2001,