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Reporting Standard ARS 120.2

Securitisation – Supplementary Items

Objective of this reporting standard

This reporting standard is made under section 13 of the Financial Sector (Collection of Data) Act 2001.

This reporting standard outlines the overall requirements for the provision of information to APRA in relation to an authorised deposit-taking institution’s securitisation exposures. It should be read in conjunction with:

• the versions of Form ARF 120.2 Securitisation – Supplementary Items designated for an authorised deposit-taking institution reporting at Level 1 and Level 2, and the associated instructions (all of which are attached and form part of this reporting standard); and
• Prudential Standard APS 120 Securitisation.

Purpose

1. Data collected in Form ARF 120.2 Securitisation – Supplementary Items (ARF 120.2) is used by APRA for the purpose of prudential supervision, including assessing compliance with Prudential Standard APS 120 Securitisation (APS 120). It may also be used by the Reserve Bank of Australia and the Australian Bureau of Statistics.

Application

2. This reporting standard applies to an authorised deposit-taking institution (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 reporting standard applies, as set out in the table below.

This reporting standard may also apply to the non-operating holding company (NOHC) of an ADI (refer to paragraph 4).

Information required

3. An ADI to which this reporting standard applies that is a bank – advanced or applicant advanced, bank - standardised, building society, credit union, SCCI, or other ADI must provide APRA with the information required by the version of ARF 120.2 designated for an ADI at Level 1 for each reporting period. An ADI that is a branch of a foreign bank or an SCCI operating through a branch in Australia (i.e. is incorporated in an overseas jurisdiction) must provide APRA with the information required by the version of ARF 120.2 designated for an ADI at Level 1 for each reporting period in relation to the Australian branch only.

4. If an ADI to which this reporting standard applies that is a bank – advanced or applicant advanced, bank – standardised, building society, credit union, SCCI (other than an SCCI operating through a branch in Australia), or other ADI, is part of a Level 2 group, the ADI must also provide APRA with the information required by the version of ARF 120.2 designated for an ADI at Level 2 for each reporting period, unless the ADI is a subsidiary of an authorised NOHC. If the ADI is a subsidiary of an authorised NOHC, the ADI’s immediate parent NOHC must provide APRA with the information required by that form for each reporting period. In doing so, the immediate parent NOHC must comply with this reporting standard (other than paragraphs 3 and 10) as if it were the relevant ADI.

Forms and method of submission

5. The information required by this reporting standard must be given to APRA in electronic form, using one of the electronic submission mechanisms provided by the ‘Direct to APRA’ (also known as ‘D2A’) application.

Note: the Direct to APRA application software may be obtained from APRA.

Reporting periods and due dates

6. Subject to paragraph 7, an ADI to which this reporting standard applies must provide the information required by this reporting standard for each quarter based on the financial year (within the meaning of the Corporations Act 2001) of the ADI.

7. APRA may, by notice in writing, change the reporting periods, or specified reporting periods, for a particular ADI, to require it to provide the information required by this reporting standard more frequently, or less frequently, having regard to:

(a) the particular circumstances of the ADI;

(b) the extent to which the information is required for the purposes of the prudential supervision of the ADI; and

(c) the requirements of the Reserve Bank of Australia or the Australian Bureau of Statistics.

8. The information required by this reporting standard must be provided to APRA in accordance with the table below. The right hand column of the table sets out the number of business days after the end of the reporting period to which the information relates, within which information must be submitted to APRA by an ADI in the classes set out in the left hand column.

9. APRA may grant an ADI an extension of a due date in writing, in which case the new due date for the provision of the information will be the date on the notice of extension.

Quality control

10. The information provided by an ADI under this reporting standard (except for the information required under paragraph 4) must be the product of processes and controls that have been reviewed and tested by the external auditor of the ADI. AGS 1008 ‘Audit Implications of Prudential Reporting Requirements for Authorised Deposit-taking Institutions’, issued by the Auditing and Assurance Standards Board provides guidance on the scope and nature of the review and testing required from external auditors. This review and testing must be done on an annual basis or more frequently if necessary to enable the external auditor to form an opinion on the accuracy and reliability of the data.

11. All information provided by an ADI under this reporting standard must be subject to processes and controls developed by the ADI for the internal review and authorisation of that information. It is the responsibility of the board and senior management of the ADI to ensure that an appropriate set of policies and procedures for the authorisation of data submitted to APRA is in place.

Authorisation

12. When an ADI submits information under this reporting standard using the ‘Direct to APRA’ software, it will be necessary for an officer of the ADI to digitally sign, authorise and encrypt the relevant data. For this purpose, APRA’s certificate authority will issue ‘digital certificates’, for use with the software, to officers of the ADI who have authority from the ADI to transmit the data to APRA.

Minor alterations to forms and instructions

13. APRA may make minor variations to:

(a) a form that is part of this reporting standard, and the instructions to such a form, to correct technical, programming or logical errors, inconsistencies or anomalies; or

(b) the instructions to a form, to clarify their application to the form

without changing any substantive requirement in the form or instructions.

14. If APRA makes such a variation it must notify in writing each ADI that is required to report under this reporting standard.

Interpretation

15. In this reporting standard:

ADI means an authorised deposit-taking institution within the meaning of the Banking Act 1959.

APRA means the Australian Prudential Regulation Authority established under the Australian Prudential Regulation Authority Act 1998.

Australian-owned bank means a locally incorporated ADI that assumes or uses the word ‘bank’ in relation to its banking business and is not a foreign subsidiary bank.

authorised NOHC has the meaning given in the Banking Act 1959.

bank – advanced or applicant advanced means an Australian-owned bank or a foreign subsidiary bank that has APRA’s approval or is seeking APRA’s approval to use an internal ratings-based approach to credit risk and/or an advanced measurement approach to operational risk for capital adequacy purposes.

bank – standardised means an Australian-owned bank or a foreign subsidiary bank that uses the standardised approaches to credit risk and operational risk for capital adequacy purposes in respect of the whole of its operations.

branch of a foreign bank means a ‘foreign ADI’ as defined in section 5 of the Banking Act 1959, but does not include an SCCI that is a foreign ADI.

building society means a locally incorporated ADI that assumes or uses the expression ‘building society’ in relation to its banking business.

business days means ordinary business days, exclusive of Saturdays, Sundays and public holidays.

class of ADI means each of the following:

(i) bank – advanced or applicant advanced;

(ii) bank – standardised;

(iii) branch of a foreign bank;

(iv) building society;

(v) credit union;

(vi) other ADI;

(vii) provider of purchased payment facilities; and

(viii) a specialist credit card institution.

credit union means a locally incorporated ADI that assumes or uses the expression ‘credit union’ in relation to its banking business and, for the purposes of this reporting standard, includes Cairns Penny Savings and Loans Limited.

foreign subsidiary bank means a locally incorporated ADI in which a bank that is not locally incorporated has a stake of more than 15%.

immediate parent NOHC means an authorised NOHC, or a subsidiary of an authorised NOHC, that is an immediate parent NOHC within the meaning of paragraph 10(b) of Prudential Standard APS 110 Capital Adequacy (APS 110).

Level 1 has the meaning in APS 110.

Level 2 has the meaning in APS 110.

locally incorporated means incorporated in Australia or in a State or Territory of Australia, by or under a Commonwealth, State or Territory law.

other ADI means an ADI that is not an Australian-owned bank, a branch of a foreign bank, a building society, a credit union, a foreign subsidiary bank, a provider of purchased payment facilities or a specialist credit card institution, but for the purposes of this reporting standard does not include Cairns Penny Savings and Loans Limited.

provider of purchased payment facilities means an ADI that is subject to a condition on its authority under section 9 of the Banking Act 1959 confining the banking business that the ADI is authorised to carry on to providing purchased payment facilities.

reporting period means a period mentioned in paragraph 6 or, if applicable, paragraph 7.

specialist credit card institution means an ADI that is subject to a condition on its authority under section 9 of the Banking Act 1959 confining the banking business that the ADI is authorised to carry on to the activities of credit card acquiring and credit card issuing in any credit card scheme that was designated as a payment system under section 11 of the Payment Systems (Regulation) Act 1998 on 11 April 2001.

stake means a stake determined under the Financial Sector Shareholdings Act 1998, as if the only associates that were taken into account under paragraph (b) of subclause 10(1) of the Schedule to that Act were those set out in paragraphs (h), (j) and (l) of subclause 4(1).

subsidiary has the meaning in the Corporations Act 2001.

16. APRA may make a determination in writing that an individual ADI of one class of ADI is to be treated, for the purposes of this reporting standard, as though it was an ADI of another class of ADI.

Securitisation – Supplementary Items

Objective of this reporting standard

This reporting standard is made under section 13 of the Financial Sector (Collection of Data) Act 2001.

This reporting standard outlines the overall requirements for the provision of information to APRA in relation to an authorised deposit-taking institution’s securitisation exposures. It should be read in conjunction with:

• the versions of Form ARF 120.2 Securitisation – Supplementary Items designated for an authorised deposit-taking institution reporting at Level 1 and Level 2, and the associated instructions (all of which are attached and form part of this reporting standard); and
• Prudential Standard APS 120 Securitisation.

Purpose

1. Data collected in Form ARF 120.2 Securitisation – Supplementary Items (ARF 120.2) is used by APRA for the purpose of prudential supervision, including assessing compliance with Prudential Standard APS 120 Securitisation (APS 120). It may also be used by the Reserve Bank of Australia and the Australian Bureau of Statistics.

Application

2. This reporting standard applies to an authorised deposit-taking institution (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 reporting standard applies, as set out in the table below.

This reporting standard may also apply to the non-operating holding company (NOHC) of an ADI (refer to paragraph 4).

Information required

3. An ADI to which this reporting standard applies that is a bank – advanced or applicant advanced, bank - standardised, building society, credit union, SCCI, or other ADI must provide APRA with the information required by the version of ARF 120.2 designated for an ADI at Level 1 for each reporting period. An ADI that is a branch of a foreign bank or an SCCI operating through a branch in Australia (i.e. is incorporated in an overseas jurisdiction) must provide APRA with the information required by the version of ARF 120.2 designated for an ADI at Level 1 for each reporting period in relation to the Australian branch only.

4. If an ADI to which this reporting standard applies that is a bank – advanced or applicant advanced, bank – standardised, building society, credit union, SCCI (other than an SCCI operating through a branch in Australia), or other ADI, is part of a Level 2 group, the ADI must also provide APRA with the information required by the version of ARF 120.2 designated for an ADI at Level 2 for each reporting period, unless the ADI is a subsidiary of an authorised NOHC. If the ADI is a subsidiary of an authorised NOHC, the ADI’s immediate parent NOHC must provide APRA with the information required by that form for each reporting period. In doing so, the immediate parent NOHC must comply with this reporting standard (other than paragraphs 3 and 10) as if it were the relevant ADI.

Forms and method of submission

5. The information required by this reporting standard must be given to APRA in electronic form, using one of the electronic submission mechanisms provided by the ‘Direct to APRA’ (also known as ‘D2A’) application.

Note: the Direct to APRA application software may be obtained from APRA.

Reporting periods and due dates

6. Subject to paragraph 7, an ADI to which this reporting standard applies must provide the information required by this reporting standard for each quarter based on the financial year (within the meaning of the Corporations Act 2001) of the ADI.

7. APRA may, by notice in writing, change the reporting periods, or specified reporting periods, for a particular ADI, to require it to provide the information required by this reporting standard more frequently, or less frequently, having regard to:

(a) the particular circumstances of the ADI;

(b) the extent to which the information is required for the purposes of the prudential supervision of the ADI; and

(c) the requirements of the Reserve Bank of Australia or the Australian Bureau of Statistics.

8. The information required by this reporting standard must be provided to APRA in accordance with the table below. The right hand column of the table sets out the number of business days after the end of the reporting period to which the information relates, within which information must be submitted to APRA by an ADI in the classes set out in the left hand column.

9. APRA may grant an ADI an extension of a due date in writing, in which case the new due date for the provision of the information will be the date on the notice of extension.

Quality control

10. The information provided by an ADI under this reporting standard (except for the information required under paragraph 4) must be the product of processes and controls that have been reviewed and tested by the external auditor of the ADI. AGS 1008 ‘Audit Implications of Prudential Reporting Requirements for Authorised Deposit-taking Institutions’, issued by the Auditing and Assurance Standards Board provides guidance on the scope and nature of the review and testing required from external auditors. This review and testing must be done on an annual basis or more frequently if necessary to enable the external auditor to form an opinion on the accuracy and reliability of the data.

11. All information provided by an ADI under this reporting standard must be subject to processes and controls developed by the ADI for the internal review and authorisation of that information. It is the responsibility of the board and senior management of the ADI to ensure that an appropriate set of policies and procedures for the authorisation of data submitted to APRA is in place.

Authorisation

12. When an ADI submits information under this reporting standard using the ‘Direct to APRA’ software, it will be necessary for an officer of the ADI to digitally sign, authorise and encrypt the relevant data. For this purpose, APRA’s certificate authority will issue ‘digital certificates’, for use with the software, to officers of the ADI who have authority from the ADI to transmit the data to APRA.

Minor alterations to forms and instructions

13. APRA may make minor variations to:

(a) a form that is part of this reporting standard, and the instructions to such a form, to correct technical, programming or logical errors, inconsistencies or anomalies; or

(b) the instructions to a form, to clarify their application to the form

without changing any substantive requirement in the form or instructions.

14. If APRA makes such a variation it must notify in writing each ADI that is required to report under this reporting standard.

Interpretation

15. In this reporting standard:

ADI means an authorised deposit-taking institution within the meaning of the Banking Act 1959.

APRA means the Australian Prudential Regulation Authority established under the Australian Prudential Regulation Authority Act 1998.

Australian-owned bank means a locally incorporated ADI that assumes or uses the word ‘bank’ in relation to its banking business and is not a foreign subsidiary bank.

authorised NOHC has the meaning given in the Banking Act 1959.

bank – advanced or applicant advanced means an Australian-owned bank or a foreign subsidiary bank that has APRA’s approval or is seeking APRA’s approval to use an internal ratings-based approach to credit risk and/or an advanced measurement approach to operational risk for capital adequacy purposes.

bank – standardised means an Australian-owned bank or a foreign subsidiary bank that uses the standardised approaches to credit risk and operational risk for capital adequacy purposes in respect of the whole of its operations.

branch of a foreign bank means a ‘foreign ADI’ as defined in section 5 of the Banking Act 1959, but does not include an SCCI that is a foreign ADI.

building society means a locally incorporated ADI that assumes or uses the expression ‘building society’ in relation to its banking business.

business days means ordinary business days, exclusive of Saturdays, Sundays and public holidays.

class of ADI means each of the following:

(i) bank – advanced or applicant advanced;

(ii) bank – standardised;

(iii) branch of a foreign bank;

(iv) building society;

(v) credit union;

(vi) other ADI;

(vii) provider of purchased payment facilities; and

(viii) a specialist credit card institution.

credit union means a locally incorporated ADI that assumes or uses the expression ‘credit union’ in relation to its banking business and, for the purposes of this reporting standard, includes Cairns Penny Savings and Loans Limited.

foreign subsidiary bank means a locally incorporated ADI in which a bank that is not locally incorporated has a stake of more than 15%.

immediate parent NOHC means an authorised NOHC, or a subsidiary of an authorised NOHC, that is an immediate parent NOHC within the meaning of paragraph 10(b) of Prudential Standard APS 110 Capital Adequacy (APS 110).

Level 1 has the meaning in APS 110.

Level 2 has the meaning in APS 110.

locally incorporated means incorporated in Australia or in a State or Territory of Australia, by or under a Commonwealth, State or Territory law.

other ADI means an ADI that is not an Australian-owned bank, a branch of a foreign bank, a building society, a credit union, a foreign subsidiary bank, a provider of purchased payment facilities or a specialist credit card institution, but for the purposes of this reporting standard does not include Cairns Penny Savings and Loans Limited.

provider of purchased payment facilities means an ADI that is subject to a condition on its authority under section 9 of the Banking Act 1959 confining the banking business that the ADI is authorised to carry on to providing purchased payment facilities.

reporting period means a period mentioned in paragraph 6 or, if applicable, paragraph 7.

specialist credit card institution means an ADI that is subject to a condition on its authority under section 9 of the Banking Act 1959 confining the banking business that the ADI is authorised to carry on to the activities of credit card acquiring and credit card issuing in any credit card scheme that was designated as a payment system under section 11 of the Payment Systems (Regulation) Act 1998 on 11 April 2001.

stake means a stake determined under the Financial Sector Shareholdings Act 1998, as if the only associates that were taken into account under paragraph (b) of subclause 10(1) of the Schedule to that Act were those set out in paragraphs (h), (j) and (l) of subclause 4(1).

subsidiary has the meaning in the Corporations Act 2001.

16. APRA may make a determination in writing that an individual ADI of one class of ADI is to be treated, for the purposes of this reporting standard, as though it was an ADI of another class of ADI.

Objective of this reporting standard

This reporting standard is made under section 13 of the Financial Sector (Collection of Data) Act 2001.

This reporting standard outlines the overall requirements for the provision of information to APRA in relation to an authorised deposit-taking institution’s securitisation exposures. It should be read in conjunction with:

• the versions of Form ARF 120.2 Securitisation – Supplementary Items designated for an authorised deposit-taking institution reporting at Level 1 and Level 2, and the associated instructions (all of which are attached and form part of this reporting standard); and
• Prudential Standard APS 120 Securitisation.

Instruction Guide

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 following table.

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.

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.

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 and assets supporting secured funding arrangements of ADI

For the purposes of section A of this form, ADIs are to include all securitised assets and assets involved in a fundraising arrangement that involves providing an interest in or over assets originated by the ADI. 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) assets backing fundraising arrangements, subject to prior notification under paragraph 8 of APS 120, that do not meet the operational requirements for regulatory capital relief, is otherwise considered a non-complying securitisation or a secured funding arrangement which APRA requires to be treated as if on-balance sheet 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 securities

Report the outstanding value of securities issued by the securitisation or funding arrangement that are backed by the assets and exposures that the reporting ADI has sold, or otherwise originated, into securitisation programs or secured funding arrangements (collectively transferred assets). Report all amounts regardless of whether they are consolidated or not for the purposes of accounting and regulatory capital treatment.

Column 2. Impaired

Report those transferred 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

Report all transferred 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

Report all transferred 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.

Column 5. Value of assets in pool

Report the outstanding value (plus accrued interest) of transferred assets. 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 relevant data for all transferred assets that are owner-occupied and investment housing loans.

1.2 Personal loans

Report the relevant data for all transferred assets that are personal loans. 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 relevant data for all transferred assets that are loans to private and public trading corporations, private unincorporated businesses and community service organisations, ADIs and other financial institutions, and loans to government.

1.4 Other

Derived field for all other transferred assets (e.g. leases and receivables) which do not fall into the preceding categories.

1.5 Total

Report the sum the figures reported in each column.

1.5.1 of which: assets backing fundraising arrangements, under APS 120 which are reported as on-balance sheet assets for prudential reporting purposes

Report the amount of the assets backing secured fundraising arrangements, subject to prior notification under paragraph 8 of APS 120 (even if entered into prior to it coming into effect), that do not meet the operational requirements for regulatory capital relief detailed in Attachment B to APS 120.

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 transferred assets that have been placed into securitisation warehouses, other 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

2.1 Securitisation securities

Report the closing value of all securities issued by securitisation programs, which are not resecuritisations, that are held by the ADI and reported as assets on the ADI’s balance sheet and the ADI meets the due diligence provisions of Attachment B to APS 120 and so can risk weight rather than deduct the exposure.

Column 1. ADI as originator

For both the banking and trading book report the closing value of all securities held by the ADI (which are also reported on its balance sheet and risk weighted) that are issued by securitisation programs with the ADI as originator.

Column 2. Other

For both the banking and trading book report the closing value of all securities held by the ADI (which are also reported on its balance sheet and risk weighted) 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 on the balance sheets which are eligible for risk weighting.

Under the due diligence provisions of Attachment B to APS 120 an ADI is required to have detailed information on the pools supporting its exposures.

2.1.1 Securities held in the banking book

Report all relevant data for the securities held in the banking book.

2.1.2 Securities held in the trading book

Report all relevant data for securities held in the trading book.

2.2 Resecuritisation securities

Report the closing value of all securities issued by securitisation programs, which are resecuritisations, that are held by the ADI and reported as assets on the ADI’s balance sheet and the ADI meets the due diligence provisions of Attachment B to APS 120 and so can risk weight rather than deduct the exposure.

Column 1. ADI as originator

For both the banking and trading book report the closing value of all securities held by the ADI (which are also reported on its balance sheet and risk weighted) that are issued by resecuritisation programs with the ADI as originator.

Column 2. Other

For both the banking and trading book report the closing value of all securities held by the ADI (which are also reported on its balance sheet and risk weighted) that are issued by resecuritisation programs other than with the ADI as originator.

Column 3. Total

Derived field that sums up the total securities held on the balance sheets which are eligible for risk weighting.

Under the due diligence provisions of Attachment B to APS 120, an ADI is required to have detailed information on the pools supporting its exposures as well as the pools underlying any resecuritisation exposure in a pool.

3.1 Securities held in the banking book

Report all relevant data for the securities held in the banking book.

3.2 Securities held in the trading book

Report all relevant data for securities held in the trading book.

Section C: Provision of facilities

3.1 Facilities categorised as securitisation exposures

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. Do not include facilities that meet the definition of a resecuritisation exposure.

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.

3.1.1 Liquidity facilities

Refer to paragraph 9(n) of APS 120 for the definition of liquidity facility.

3.1.2 Funding facilities

Refer to paragraph 9(k) of APS 120 for the definition of funding facility. Exclude warehouse funding facilities reported in item 3.1.5.

3.1.3 Warehouse funding facilities

Report funding facilities that the ADI provides to warehouse SPVs.

3.1.4 Lending facilities

Report all facilities that the ADI provides directly to investors for the purpose of investing in securities issued by the program.

3.1.5 Credit enhancements

Refer to paragraph 9(d) of APS 120 for the definition of a credit enhancement.

3.1.6 Total derivatives

Report all derivatives provided by an ADI to securitisation programs.

3.1.6.1 Basis Swaps

Include only basis swaps.

3.1.6.2 Other derivatives

Derived field for all other derivatives provided by an ADI to securitisation programs.

3.1.7 Underwriting facilities

Refer to paragraph 9(aa) of APS 120 for the definition of underwriting facility.

3.1.8 Other

Derived field for all facilities[8] other than those reported in section C of this return.

3.1.9 Total

Report the sum the notional amount or drawn amount for each type of facility.

3.1.9.1 of which: backed by cash collateral lodged by the ADI

Report the amount of cash collateral lodged by the ADI to back its obligations under the facilities it has provided.

3.2 Facilities categorised as resecuritisation exposures

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. Include only facilities that meet the definition of a resecuritisation exposure.

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.

3.2.1 Liquidity facilities

Refer to paragraph 9(n) of APS 120 for the definition of liquidity facility.

3.2.2 Funding facilities

Refer to paragraph 9(k) of APS 120 for the definition of funding facility. Exclude warehouse funding facilities reported in item 3.2.5.

3.2.3 Warehouse funding facilities

Report funding facilities that the ADI provides to warehouse SPVs.

3.2.4 Lending facilities

Report all facilities that the ADI provides directly to investors for the purpose of investing in securities issued by the program.

3.2.5 Credit enhancements

Refer to paragraph 9(d) of APS 120 for the definition of a credit enhancement.

3.2.6 Total derivatives

Report all derivatives provided by an ADI to securitisation programs.

3.2.6.1 Basis Swaps

Include only basis swaps.

3.2.6.2 Other derivatives

Derived field for all other derivatives provided by an ADI to securitisation programs.

3.2.7 Underwriting facilities

Refer to paragraph 9(aa) of APS 120 for the definition of underwriting facility.

3.2.8 Other

Derived field for all facilities[9] other than those reported in section C of the return.

3.2.9 Total

Report the sum the notional amount or drawn amount for each type of facility

3.2.9.1 of which: backed by cash collateral lodged by the ADI

Report the amount of cash collateral lodged by the ADI to back its obligations under the facilities it has provided.

Section D: Memorandum items

4.1 Total securitisation income excluding derivatives

Report total securitisation income during the quarter, excluding income from derivatives, which are reported in items 4.2.1 to 4.2.6.

4.1.1 Facility fee income

Report all fee income received by the ADI during the quarter from facilities provided to securitisation programs. Exclude income received from holding the residual units or other excess spread arrangements in a securitisation program.

4.1.2 Servicing fee income

Report all fee income received by the ADI during the quarter from services provided to securitisation programs. Exclude income received from holding the residual units or other excess spread arrangements in a securitisation program.

4.1.3 Excess spread income

Report all income received during the quarter from residual units or other excess spread arrangements.

4.1.4 Other income

Derived field for all other income other than income reported in section 4.1.

4.2 Securitisation income from derivatives

4.2.1 Basis swaps net receipts/payments

Report the net receipts (positive) or payments (negative) on scheduled payments during the quarter arising from basis swaps.

4.2.2 Basis swaps revaluation

Report the profit and loss impact during the quarter of items, other than scheduled payments reflected in 4.4 above, due to basis swaps.

4.2.3 Basis swaps other income

Report the profit and loss impact during the quarter of items not captured in items 4.2.1 and 4.2.2.

4.2.4 Net receipts/payments from derivatives excluding basis swaps

Report the net receipts (positive) or payments (negative) on scheduled payments during the quarter arising from derivatives other than basis swaps.

4.2.5 Revaluation from derivatives excluding basis swaps

Report the profit and loss impact during the quarter of items, other than scheduled payments reflected in 4.6 above, due to derivatives other than basis swaps.

4.2.6 Other derivatives income

Report the profit and loss impact during the quarter of items not captured in items 4.1 to 4.2.5 above.

Section E: Memorandum items: Details of new arrangements entered into during the quarter

ADIs are to report the details of any new securitisation and secured funding arrangements entered into during the reporting quarter. Data should be reported as at the effective date of the transaction.

Table 1. Loans sold or originated into securitisation SPVs /schemes or secured funding arrangement

Column 1. SPV /scheme or secured funding arrangement name

Report the names of the securitisation SPVs /schemes or secured funding arrangements into which the ADI has sold, or otherwise originated, loans during the reporting quarter.

Column 2. Structure type

Select the relevant scheme type (i.e. securitisation, resecuritisation or secured funding arrangement) and structure 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 / scheme or secured funding arrangement

Report the transferred value of loans that were sold, or otherwise originated, into securitisation SPVs or schemes during the reporting quarter.

Column 5. Value of funding received

Report the value of funding provided in exchange for the transferred loans.

Table 2. New facilities provided to securitisation SPVs / schemes or secured funding arrangements

Column 1. SPV / scheme or secured funding arrangement name

Report the names of the securitisation SPVs /schemes or secured funding arrangements to which the ADI has provided new facilities during the reporting quarter.

Column 2. Structure type

Select the relevant structure type (refer to the instructions under Table 1, column 2 of this instruction guide)

Please note, for each combination of SPV/scheme or secured funding arrangement name and structure type, complete only one for each column from 3 to 11.

Column 3. Liquidity facilities

Refer to paragraph 9(n) of APS 120 for the definition of liquidity facility.

Column 4. Funding facilities (excluding warehouse)

Refer to paragraph 9(k) of APS 120 for the definition of funding facility. Exclude warehouse funding facilities reported in item 3.2.5.

Column 5. Warehouse funding facilities

Report funding facilities that the ADI provides to warehouse SPVs.

Column 6. Lending facilities

Report all facilities that the ADI provides directly to investors for the purpose of investing in securities issued by the program.

Column 7. Credit enhancements

Refer to paragraph 9(d) of APS 120 for the definition of a credit enhancement.

Column 8. Basis swaps

Include only basis swaps.

Column 9. Total derivatives (excluding basis swaps)

Report all derivatives excluding basis swaps.

Column 10.Underwriting facilities

Refer to paragraph 9(aa) of APS 120 for the definition of underwriting facility.

Column 11. All facilities (excluding columns 3 to 10)

Report all other facilities not reported in columns 3 to 10.

Column 12. 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”.

Column 13. Pool LVR

Report, as a percentage, the weighted average LVR (or similar measure e.g. loan to security ratio) for the pool. For any resecuritisation exposure in the pool an ADI must look through to the underlying pools for that exposure in calculating the overall weighted average LVR.