Document ID: chunk:federal_register_of_legislation:F2023L00405:body:0:p8
Version: federal_register_of_legislation:F2023L00405
Segment Type: other
Provision Reference: 
Character Range: 20797–23792

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 factor (CCF) to the exposure amount (including the undrawn amount of a facility, if any) to determine the credit equivalent amount.

Unless otherwise stated, RWA for a securitisation exposure must be calculated by multiplying the securitisation exposure amount by the appropriate risk weight (refer to Attachment C to APS 120). The appropriate risk weights, based on the method used for calculating the capital charge, are detailed in Attachment C of APS 120.

Unless otherwise stated, make regulatory adjustments to capital relating to an ADI's securitisation exposures to CET1 capital. Regulatory adjustments to capital may be calculated net of any specific provisions raised against the relevant securitisation exposure.

Do not include any securitisation exposures held in the trading book. Report these on Reporting Form ARF 116.0 Market Risk.

All derived fields in the form are shaded and specified in the instructions below. Terms highlighted in bold italics indicate that the definition is provided in paragraph 16 of this Reporting Standard.

Items 1 to 3 inclusive collect information about the securitisation exposures of an ADI that can be risk-weighted. Do not report any resecuritisation exposure or securitisation exposures which do not meet due diligence requirements in items 1 to 3.

Reporting basis: report item 1 to item 3 inclusive as at the end of the reporting period.

Item 1.1  Report securitisation exposures subject to the External Ratings-based Approach (ERBA) with a short-term credit rating grade in item 1.1.

              For items 1.1.1 to 1.1.3, report the total corresponding securitisation exposures in column 1. Risk weights are pre-defined in column 2 in accordance with the weightings detailed in Table 1 of Attachment C of APS 120. RWA in column 3 are derived fields calculated by multiplying securitisation exposures (column 1) by the relevant risk weight (column 2).

              For item 1.1.4, report all securitisation exposures with a short-term credit rating grade of 4 in column 1 and column 4 CET1 deduction.

              Item 1.1.5 derives the totals of column 1, column 3 and column 4.

Item 1.2  Report senior securitisation exposures subject to the ERBA with a long-term credit rating grade in item 1.2. Risk weight buckets are pre-defined.

              For items 1.2.1 to 1.2.4, report the total corresponding senior securitisation exposures in column 1. Report the aggregate RWA in column 2 against the corresponding risk weight bucket.

              For item 1.2.5, report all senior securitisation exposures with a long-term credit rating grade and calculated risk weight greater than 140 per cent in column 1 and column 3