Market-related itemsMarket-related items

Market-related items

1. All securities[4] in the banking book excluding debt, Additional Tier 1 Capital and Tier 2 Capital issued by the ADI are classified as market-related items. An ADI must designate each banking book item not covered by the previous sentence as either a market-related item or a non-market-related item.[5] The criterion for making such designations forms part of the approved IRRBB model, must be documented, and any change to it constitutes a model change that requires APRA approval.
2. Where an ADI holds securities issued in a securitisation:
   1. if the ADI is an originating ADI of the securitisation, as defined in Prudential Standard APS 120 Securitisation, and the ADI treats the securitisation’s underlying assets as on-balance sheet assets of the ADI 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, the ADI must consolidate the balance sheet of the securitisation vehicle with the ADI’s balance sheet for the purpose of this Prudential Standard; or
   2. the ADI must treat the securities as market-related, otherwise.