Document ID: chunk:federal_register_of_legislation:F2017L01026:body:0:p7
Version: federal_register_of_legislation:F2017L01026
Segment Type: other
Provision Reference: 
Character Range: 17619–20661

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; and

        (b)          the assets and liabilities of the relevant SPVs may be excluded from the bank's reported amounts in ARF 731.3A.

    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 elects to treat the securitised assets as on-balance sheet assets under Prudential Standard APS 112 Capital Adequacy: Standardised Approach to Credit Risk or Prudential Standard APS 113 Capital Adequacy: Internal Ratings-based Approach to Credit Risk, such exposures are to be reported as on-balance sheet assets in ARF 731.3A.

Reporting basis and unit of measurement

ARF 731.3A should be completed as at the last day of the stated quarter (i.e. March, June, September and December). Australian-owned banks should submit the completed return to APRA within 28 calendar days after the end of the reporting quarter.

Australian-owned banks are to complete the return in AUD millions to three (3) decimal places (with the data formatted to the nearest million).

Amounts denominated in foreign currency are to be converted to AUD in accordance with AASB 121 The Effects of Changes in Foreign Exchange Rates (AASB 121).

Report all items on ARF 731.3A in accordance with Australian Accounting Standards unless otherwise specified.

Valuation

Assets and liabilities should be measured in accordance with Australian accounting standards.

Note: International financial claims should be reported gross of specific provisions and the General Reserve for Credit Losses as defined by Prudential Standard APS 220 Credit Quality. Provisions and reserves are not to be included in ARF 731.1, ARF 731.3A or ARF 731.3B.

When reporting the data, reporting entities should also ensure that all figures be prepared in accordance with applicable Australian accounting principles.

As a general rule, it is recommended that financial claims belonging to the banking book be valued at face values or cost prices and financial claims belonging to the trading book be valued at market or fair values which is largely consistent with AASB 139 Financial Instruments: Recognition and Measurement.

Financial claims resulting from derivative contracts should be valued at fair values (i.e. current credit exposure calculated as the sum of all positive fair values of derivative contracts outstanding after taking account of legally enforceable bilateral netting agreements) as this ensures consistency not only with