Financial Sector (Collection of Data) (reporting standard) determination No. 16 of 2008 - ARS 120.2 - Securitisation - Supplementary Items
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This instruction guide is designed to assist in the completion of the Securitisation – Supplementary Items form. This form collects information on the involvement of an authorised deposit-taking institution (ADI) in securitisation programs it has itself established. It also collects information on securitisation programs established by third parties to which the ADI sells assets, provides other facilities, or in which it invests.
The information collected in this form is not used in calculating the regulatory capital relating to an ADI’s securitisation exposures. In completing this form, ADIs should refer to Prudential Standard APS 120 Securitisation (APS 120).
General directions and notes
Reporting entity
This form is to be completed at Level 1 and Level 2[2] by each ADI that satisfies both of the following requirements:
(a) it participates in any securitisation program, irrespective of whether (or not) the securitisation meets APRA’s operational requirements for regulatory capital relief, as detailed in APS 120; and
(b) it 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
Specialist Credit Card Institution (SCCI)
Yes[5]
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.[6]
Reporting period and timeframes for lodgement
The form is to be completed as at the last day of the stated reporting period (i.e. the relevant quarter). The table below specifies the number of business days after the end of the relevant reporting period, within which each class of ADI must submit data to APRA.
Class of ADI
Part Instruction Guide - Financial Sector (Collection of Data) (reporting standard) determination No. 16 of 2008 - ARS 120.2 - Securitisation - Supplementary Items - Instruction Guide | Zoe
Number of business days
Bank – Advanced or Applicant Advanced
30
Bank – Standardised
20
Branch of a Foreign Bank
20
Building Society
15
Credit Union
15
Specialist Credit Card Institution (SCCI)
15
Provider of Purchased Payment Facilities
Not applicable
Other ADI[7]
20
An immediate parent NOHC must submit data to APRA within the same timeframe as its subsidiary ADI.
Unit of measurement
This form should be completed in Australian dollars (AUD) and in accordance with the units set out for each class of ADI in the table below.
Class of ADI
Units
Bank – Advanced or Applicant Advanced
Millions of dollars rounded to one decimal place
Bank – Standardised
Millions of dollars rounded to one decimal place
Branch of a Foreign Bank
Millions of dollars rounded to one decimal place
Building Society
Whole dollars with no decimal place
Credit Union
Whole dollars with no decimal place
Specialist Credit Card Institution (SCCI)
Whole dollars with no decimal place
Provider of Purchased Payment Facilities
Not applicable
Other ADI
Whole dollars with no decimal place
An immediate parent NOHC must complete this form in AUD and in accordance with the same units as its subsidiary ADI.
Amounts denominated in foreign currency are to be converted to AUD in accordance with AASB 121 The Effects of Changes in Foreign Exchange Rates.
Definitions
In relation to this instruction guide and its corresponding reporting form (ARF 120.2), refer to APS 120 for the definitions of originating ADI and other securitisation related terminology.
Additionally, in this instruction guide and the reporting form, the following expressions have the defined meanings as set out below:
Trading book
An ADI that wishes to operate a trading book must submit a trading book policy statement to APRA for approval that specifies those activities that belong in the trading book (refer to Prudential Standard APS 116 Capital Adequacy: Market Risk) for details.
Banking book
The banking book covers all businesses not included in the trading book.
Specific instructions
The following instructions are applicable at Level 1 and (where relevant) Level 2.
Section A: Securitised assets of ADI
For the purposes of section A of this form, ADIs are to include all securitised assets. That is, for the reported amounts in this section, an ADI is to include:
(a) the securitised assets that meet the operational requirements for regulatory capital relief, and are excluded from the calculation of regulatory capital (refer to APS 120);
(b) the securitised assets that do not meet the operational requirements for regulatory capital relief, and are included in the on-balance sheet assets of an ADI (or member of its Level 2 consolidated group) for capital adequacy purposes 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), as appropriate; and
(c) the securitised assets that meet the operational requirements for regulatory capital relief, and that the ADI elects to treat as on-balance sheet assets for capital adequacy purposes under APS 112 or APS 113, as appropriate (refer to Attachment B to APS 120).
Column 1. Outstanding principal
Report the outstanding value (plus accrued interest) of assets and exposures that the reporting ADI has sold, or otherwise originated, into securitisation programs. Report all amounts regardless of whether they are consolidated or not for the purposes of accounting and regulatory capital treatment.
Column 2. Impaired assets
Report those securitised assets and exposures that would be considered impaired if held by the ADI, in accordance with Prudential Standard APS 220 Credit Quality. Report all amounts regardless of whether they are consolidated or not for the purposes of accounting and regulatory capital treatment.
Column 3. Past due assets
Report all securitised assets and exposures that would be considered 90 days past due if held by the ADI, in accordance with paragraph 15 of Guidance Note AGN 220.1 Impaired Facility Definitions. Report all amounts regardless of whether they are consolidated or not for the purposes of accounting and regulatory capital treatment.
Column 4. Repurchases of exposures
Report all securitised assets and exposures originated or sold by the ADI to a securitisation program that have been purchased or repurchased by the ADI during the reporting period. Report all amounts regardless of whether they are consolidated or not for the purposes of accounting and regulatory capital treatment.
1.1 Housing loans
Report the outstanding principal value (and accrued interest) for all owner-occupied and investment housing loans that have been sold to, or originated into, securitisation programs by the ADI.
1.2 Personal loans
Report the outstanding principal value (and accrued interest) for all personal loans that have been sold to, or originated into, securitisation programs by the ADI. Include all loans to households other than housing loans (e.g. credit cards, margin loans, and other personal term loans).
1.3 Commercial loans
Report the outstanding principal value (and accrued interest) for all loans to private and public trading corporations, private unincorporated businesses and community service organisations, ADIs and other financial institutions, and loans to government that have been sold to, or originated into, securitisation programs by the ADI.
1.4 Other
Report the outstanding principal value (and accrued interest) for all other securitised assets and exposures (e.g. leases and receivables) that have been sold to, or originated into, securitisation programs by the ADI.
1.5 Total
Derived fields that sum the securitised assets reported in each column.
1.5.1 of which: assets that do not meet the operational requirements for regulatory capital relief, and are reported as on-balance sheet assets for prudential reporting purposes
Report the amount of the securitised assets that do not meet the operational requirements for regulatory capital relief detailed in Attachment B to APS 120, and are treated as on-balance sheet assets under APS 112 or APS 113, as appropriate.
1.5.2 of which: assets that meet the operational requirements for regulatory capital relief, and that are treated as on-balance sheet assets for capital adequacy purposes
Report the amount of the securitised assets that meet the operational requirements for regulatory capital relief detailed in Attachment B to APS 120 that the ADI elects to treat as on-balance sheet assets for capital adequacy purposes, under APS 112 or APS 113, as appropriate.
1.5.3 of which: assets that are held by warehouses
Report the amount of the securitised assets that have been transferred to securitisation warehouses and other short-term (i.e. less than one year in maturity) funding vehicles, whether or not funded by commercial paper or other arrangements.
Section B: Holdings of securities
Report the closing value of all securities issued by securitisation programs that are held by the ADI and reported as assets on the ADI’s balance sheet.
2.1 Securities held in the banking book
Column 1. ADI as originator
Report the closing value of all securities held by the ADI in its banking book (which are also reported on its balance sheet) that are issued by securitisation programs with the ADI as originator.
Column 2. Other
Report the closing value of all securities held by the ADI in its banking book (which are also reported on its balance sheet) that are issued by securitisation programs other than with the ADI as originator.
Column 3. Total
Derived field that sums up the total securities held in the banking book.
2.2 Securities held in the trading book
Column 1. ADI as originator
Report the closing value of all securities held by the ADI in its trading book (which are also reported on its balance sheet) that are issued by securitisation programs with the ADI as originator.
Column 2. Other
Report the closing value of all securities held by the ADI in its trading book (which are also reported on its balance sheet) that are issued by securitisation programs other than with the ADI as originator.
Column 3. Total
Derived field that sums up the total securities held in the trading book.
Section C: Provision of facilities
Columns 1.1, 2.1 & 3.1 Notional amount
Report the total committed amount or limit of any liquidity, funding, underwriting, lending, credit enhancement or other facility, or the notional principal amount of a swap provided by the ADI to a securitisation program.
Columns 1.2, 2.2 & 3.2 Drawn amount
Report the principal amount (and any accrued interest) of the facility that has been drawn by the securitisation program or investors, and is currently outstanding at the end of the quarter. For example, if the facility is a liquidity facility and fully drawn by the securitisation program, the entire amount drawn is the outstanding exposure. In the case of a swap, report the credit equivalent amount, as at the end of the reporting quarter.
3.1 Liquidity facilities
Refer to paragraph 8(n) of APS 120 for the definition of liquidity facility.
3.2 Funding facilities
Refer to paragraph 8(k) of APS 120 for the definition of funding facility.
3.3 Underwriting facilities
Refer to paragraph 8(z) of APS 120 for the definition of underwriting facility.
3.4 Lending facilities
Report all facilities that the ADI provides directly to investors for the purpose of investing in securities issued by the program.
3.5 Credit enhancements
Refer to paragraph 8(d) of APS 120 for the definition of a credit enhancement.
3.6 Swaps
Include all basis swaps, as defined in paragraph 8(b) of APS 120, and all other swaps provided by an ADI to securitisation programs. Report the credit equivalent amount of swaps.
3.7 Other
Include all facilities[8] other than those previously defined in section C of this instruction guide.
3.8 Total
Derived fields that sum the notional amount or drawn amount for each type of facility.
Section D: Securitisation income
4.1 Facility fee income
Report all fee income received by the ADI from facilities provided to securitisation programs. Exclude income received from holding the residual units or other excess spread arrangements in a securitisation program.
4.2 Servicing fee income
Report all fee income received by the ADI from services provided to securitisation programs. Exclude income received from holding the residual units or other excess spread arrangements in a securitisation program.
4.3 Excess spread income
Report all income received from residual units or other excess spread arrangements.
Section E: Memorandum items: Details of new arrangements entered into during the quarter
ADIs are to report the details of any new securitisation arrangements entered into during the reporting quarter.
Table 1. Loans sold or originated into securitisation SPVs or schemes
Column 1. SPV or scheme name
Report the names of the securitisation SPVs or schemes into which the ADI has sold, or otherwise originated, loans during the reporting quarter.
Column 2. Securitisation type
Select the relevant securitisation type (i.e. warehouse asset-backed commercial paper (ABCP), other warehouse, ABCP, residential mortgage-backed securities (RMBS), commercial mortgage-backed securities (CMBS), synthetic securitisation, or other) from the dropdown list.
Column 3. Asset type
Select the relevant asset type (i.e. housing, personal, commercial, or other loans) from the dropdown list.
Column 4. Value of loans sold or originated into SPV or scheme
Report the outstanding value of loans that have been sold, or otherwise originated, into securitisation SPVs or schemes during the reporting quarter.
Table 2. New facilities provided to securitisation SPVs or schemes
Column 1. SPV or scheme name
Report the names of the securitisation SPVs or schemes to which the ADI has provided new facilities during the reporting quarter.
Column 2. Securitisation type
Select the relevant securitisation type (refer to the instructions under Table 1, column 2 of this instruction guide)
Column 3. Facility type
Select the relevant facility type (i.e. liquidity, funding, underwriting, lending, credit enhancement, swaps or other facility) from the dropdown list.
Column 4. Notional amount
Report the total committed amount or limit of the liquidity, funding, underwriting, credit enhancement or other facility, or the notional principal amount of a swap provided by the ADI to the securitisation SPV or scheme.
Column 5. Termination date
Report the maturity date of the facility or program, or the next roll-over, extension or renewal date, whichever is earlier, or enter the text “no maturity”.