Financial Sector (Collection of Data) (reporting standard) determination No. 13 of 2012 ARS 120.1 Internal Ratings-based (IRB) Approach Securitisation (Cth)
Financial Sector (Collection of Data) (reporting standard) determination No. 13 of 2012
Reporting Standard ARS 120.1 Internal Ratings-based (IRB) Approach - Securitisation
Financial Sector (Collection of Data) Act 2001
I, Steven John Davies, delegate of APRA, under paragraph 13(1)(a) of the Financial Sector (Collection of Data) Act 2001 (the Act) and subsection 33(3) of the Acts Interpretation Act 1901:
(a) REVOKE Financial Sector (Collection of Data) (reporting standard) determination No. 15 of 2011, including Reporting Standard ARS 120.1 Internal Ratings-based (IRB) Approach – Securitisation made under that Determination; and
(b) DETERMINE Reporting Standard ARS 120.1 Internal Ratings-based (IRB) Approach – Securitisation, in the form set out in the Schedule, which applies to financial sector entities to the extent provided in paragraph 3 of the reporting standard.
Under section 15 of the Act, I DECLARE that the reporting standard shall begin to apply to those financial sector entities, and the revoked reporting standard shall cease to apply, on 1 January 2013.
This instrument commences on 1 January 2013.
Dated 7 December 2012
[Signed]
Steven John Davies
General Manager
Statistics
Interpretation
In this instrument:
APRA means the Australian Prudential Regulation Authority.
financial sector entity has the meaning given in section 5 of the Act.
Schedule
Reporting Standard ARS 120.1 Internal Ratings-based (IRB) Approach – Securitisation comprises the 21 pages commencing on the following page.
Reporting Standard ARS 120.1
Internal Ratings-based (IRB) Approach – Securitisation
Objective of this Reporting Standard
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 includes reporting forms ARF 120.1A IRB – Securitisation – Exposures subject to RBA, IAA or SF, ARF 120.1B IRB – Securitisation – Other Securitisation Exposures and ARF 120.1C IRB – Securitisation – Summary and should be read in conjunction with Prudential Standard APS 120 Securitisation.
Authority
This Reporting Standard is made under section 13 of the Financial Sector (Collection of Data) Act 2001.
Purpose
Information collected in reporting forms ARF 120.1A IRB – Securitisation – Exposures subject to RBA, IAA or SF (ARF 120.1A), ARF 120.1B IRB – Securitisation – Other Securitisation Exposures (ARF 120.1B) and ARF 120.1C IRB – Securitisation – Summary (ARF 120.1C) 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 and commencement
This Reporting Standard applies to an authorised deposit-taking institution (ADI) that has APRA’s approval or is seeking APRA’s approval to use an internal ratings-based approach to credit risk for capital adequacy purposes.
This Reporting Standard may also apply to the non-operating holding company (NOHC) of an ADI (refer to paragraph 6).
This Reporting Standard applies for reporting periods commencing on or after 1 January 2013.
Information required
An ADI to which this Reporting Standard applies must provide APRA with the information required by the versions of ARF 120.1A, ARF 120.1B and ARF 120.1C designated for an ADI at Level 1 for each reporting period.
If an ADI to which this Reporting Standard applies is part of a Level 2 group, the ADI must also provide APRA with the information required by the versions of ARF 120.1A, ARF 120.1B and ARF 120.1C 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 5 and 12) as if it were the relevant ADI.
Forms and method of submission
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
Subject to paragraph 9, 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.
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.
The information required by this Reporting Standard must be provided to APRA within 30 business days after the end of the reporting period to which the information relates.
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
The information provided by an ADI under this Reporting Standard (except for the information required under paragraph 6) must be the product of processes and controls that have been reviewed and tested by the external auditor of the ADI. GS 012 Prudential Reporting Requirements for Auditors of 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 information.
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
When an ADI submits information under this Reporting Standard using the ‘D2A’ 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 information to APRA.
Transitional
An ADI must report under the old Reporting Standard in respect of a transitional reporting period. For these purposes:
old reporting standard means the Reporting Standard revoked in the determination making this Reporting Standard (being the Reporting Standard which this Reporting Standard replaces).
transitional reporting period means a reporting period under the old Reporting Standard:
(a)which ended before the date of revocation of the old Reporting Standard; and
(b)in relation to which the ADI was required, under the old Reporting Standard, to report by a date on or after the date of revocation of the old Reporting Standard.
Note: For the avoidance of doubt, if an ADI was required to report under an old Reporting Standard, and the reporting documents were due before the date of revocation of the old Reporting Standard, the ADI is still required to provide any overdue reporting documents in accordance with the old Reporting Standard.
Interpretation
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.
authorised NOHC has the meaning given in the Banking Act 1959.
business days means ordinary business days, exclusive of Saturdays, Sundays and public holidays.
GS 012 means the auditing and assurance standard entitled Prudential Reporting Requirements for Auditors of Authorised Deposit-taking Institutions so made by the Auditing and Assurance Standards Board.
immediate parent NOHC means an authorised NOHC, or a subsidiary of an authorised NOHC, that is an immediate parent NOHC within the meaning of Prudential Standard APS 001 Definitions (APS 001).
Level 1 has the meaning in APS 001.
Level 2 has the meaning in APS 001.
reporting period means a period mentioned in paragraph 8 or, if applicable, paragraph 9.
subsidiary has the meaning given in the Corporations Act 2001.
APRA may determine, 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 were an ADI of another class of ADI.
Reporting Forms ARF 120.1A, ARF 120.1B and ARF 120.1C
Internal Ratings-based (IRB) Approach – Securitisation
Instruction Guide
This instruction guide is designed to assist in the completion of the IRB – Securitisation suite of forms. This suite consists of:
(a)ARF 120.1A IRB – Securitisation – Exposures subject to RBA, IAA or SF (ARF 120.1A);
(b)ARF 120.1B IRB – Securitisation – Other Securitisation Exposures (ARF 120.1B); and
(c)ARF 120.1C IRB – Securitisation – Summary (ARF 120.1C).
These forms capture the credit risk-weighted assets (RWA) and adjustments to regulatory capital relating to an authorised deposit-taking institution’s (ADI’s) securitisation exposures under the internal ratings-based (IRB) approach to securitisation. In completing these forms, ADIs should refer to Prudential Standard APS 120 Securitisation (APS 120).
General directions and notes
Reporting entity
These forms are to be completed at Level 1 and Level 2[1] by each ADI that has (or is seeking) APRA’s approval to use an IRB approach to credit risk for capital adequacy purposes, in accordance with Prudential Standard APS 113 Capital Adequacy: Internal Ratings-based Approach to Credit Risk (APS 113).
[1] Level 1 and Level 2 are defined in Prudential Standard APS 001 Definitions.
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[2].
[2] Refer to paragraph 6 of Reporting Standard ARS 120.1 Internal Ratings-based (IRB) Approach – Securitisation.
Securitisation deconsolidation principle
Except as otherwise specified in these instructions, the following applies:
Where an ADI (or a member of its Level 2 group) participates in a securitisation that meets APRA’s operational requirements for regulatory capital relief under 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;
(b)the assets, liabilities, revenues and expenses of the relevant SPVs may be excluded from the ADI’s reported amounts in APRA’s regulatory reporting returns; and
(c)the underlying assets (i.e. the pool) under such a securitisation may be excluded from the calculation of the ADI’s regulatory capital (refer to APS 120). However, the ADI must still hold regulatory capital for the securitisation exposures[3] that it retains or acquires and such assets are to be reported in reporting form ARF 120.0 Standardised – Securitisation or this suite of forms (ARF 120.1A, ARF 120.1B and ARF 120.1C), as appropriate. The RWA relating to such securitisation assets must also be reported in reporting form ARF 110.0 Capital Adequacy (ARF 110.0).
[3] Securitisation exposures are defined in accordance with APS 120.
Where an ADI (or a member of its Level 2 group) participates in a securitisation that does not meet APRA’s operational requirements for regulatory capital relief under APS 120, is otherwise considered a non-complying securitisation or a secured funding arrangement that APRA requires to be treated as if on-balance sheet 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 (APS 112) or APS 113, such assets are to be reported as on-balance sheet assets in APRA’s regulatory reporting returns. In addition, these assets must also be reported as a part of the ADI’s total securitised assets within reporting form ARF 120.2 Securitisation – Supplementary Items.
Reporting period and timeframe for lodgement
These forms are to be completed as at the last day of the stated reporting period (i.e. the relevant quarter) and submitted to APRA within 30 business days after the end of the relevant reporting period.
Requirements applying to certain ADIs reporting under the forms
The following particular requirements apply to certain ADIs:
| Description of ADI | Reporting requirement | Timeframe for lodgement |
| ADI is operating under APS 112 standardised approach, but has applied to adopt (or APRA has indicated that it proposes to approve it for) the IRB approach for most or all of its operations | Report under ARF 120.1A, ARF 120.1B and ARF 120.1C (the forms) in respect of relevant operations to be covered by the IRB approach (for purposes of assessing prospective component of regulatory capital relating to securitisation activities after IRB approval (i.e. ‘parallel run’ of data)) | Within 30 business days of end of reporting period |
| ADI has IRB approval, but some operations remain under standardised approach | Report under the forms in respect of relevant operations that are under the IRB approach (for purposes of calculating component of regulatory capital relating to securitisation activities) | Within 30 business days of end of reporting period |
These ADIs will also have certain reporting obligations under reporting form ARF 120.0 Standardised – Securitisation.
Unit of measurement
These forms are to be completed in millions of Australian dollars (AUD) rounded to one decimal place.
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
For this instruction guide and its corresponding reporting forms (ARF 120.1A, ARF 120.1B and ARF 120.1C), refer to APS 120 for the definitions of securitisation exposures, resecuritisation exposures and other securitisation related terminology.
Specific instructions
The following instructions are applicable at Level 1 and (where relevant) Level 2.
For on-balance sheet securitisation exposures, the exposure value is to be reported net of specific provisions. For off-balance sheet securitisation exposures, a credit conversion factor (CCF) is to be applied to the exposure amount (or the notional amount in the case of eligible facilities) to determine the credit equivalent amount (refer to Attachments B and D to APS 120).
Unless otherwise stated in this instruction guide, regulatory adjustments to capital relating to an ADI’s securitisation exposures, are to be made to Common Equity Tier 1 Capital (refer to Attachment B to APS 120).
Do not include securitisation exposures held in the trading book. Securitisation exposures held in the trading book are to be reported in reporting form ARF 116.0 Market Risk.
ARF 120.1A IRB - Securitisation - Exposures subject to RBA, IAA or SF
This form captures the RWA relating to an ADI’s securitisation and resecuritisation exposures that are subject to the ratings-based approach (RBA), internal assessment approach (IAA) or supervisory formula (SF) under the IRB approach to securitisation (refer to Attachment D to APS 120).
Section A: Securitisation exposures subject to RBA or IAA
This section applies to securitisation exposures which are not resecuritisation exposures.
Risk-weights are pre-defined in this section in accordance with the weightings detailed in paragraphs 6 and 7 of Attachment D to APS 120.
Columns 2 and 3 Exposures after CRM subject to RBA or IAA
Refer to Attachments B and D to APS 120 for the treatment of credit risk mitigation (CRM) for securitisation exposures.
Exposures after CRM are to be assigned the relevant risk-weights in accordance with the requirements detailed in paragraphs 5 to 8 of Attachment D to APS 120. Report securitisation exposures after CRM that are subject to the RBA or IAA in columns 2 or 3 respectively, of the following tables:
(a)Table 1 – Senior positions and eligible senior IAA exposures;
(b)Table 2 – Tranches backed by non-granular pools; and
(c)Table 3 – All other positions.
Column 5 RWA
Derived field that multiplies the sum of the securitisation exposures subject to RBA and IAA for each credit rating grade by the relevant risk-weights (refer to Attachment D to APS 120).
Section B: Resecuritisation exposures subject to RBA or IAA
This section applies to securitisation exposures which are resecuritisation exposures.
Risk-weights are pre-defined in this section in accordance with the weightings detailed in paragraphs 6 and 7 of Attachment D to APS 120.
Columns 2 and 3 Exposures after CRM subject to RBA or IAA
Refer to Attachments B and D to APS 120 for the treatment of credit risk mitigation (CRM) for securitisation exposures.
Exposures after CRM are to be assigned to the relevant risk-weights in accordance with the requirements detailed in paragraphs 5 to 9 of Attachment D to APS 120. Report securitisation exposures after CRM that are subject to the RBA or IAA in columns 2 or 3 respectively, of the following tables:
(a)Table 4 – Senior positions; and
(b)Table 5 – Non-senior positions.
Column 5 RWA
Derived field that multiplies the sum of the securitisation exposures subject to RBA and IAA for each credit rating grade by the relevant risk-weights (refer to Attachment D to APS 120).
Section C: Exposures subject to SF
This section captures the RWA relating to an ADI’s securitisation (including resecuritisation) exposures that are subject to the SF (refer to Attachment D to APS 120).
Risk-weight buckets are pre-defined in the form.
Column 2 Exposures after CRM
Report securitisation exposures after CRM that are subject to the SF, in the relevant rows, for each risk-weight bucket.
Column 3 RWA
RWA under the SF are to be calculated in accordance with the requirements detailed in Attachment D to APS 120. Report the total amount of RWA for securitisation exposures, in the relevant rows, corresponding to each risk-weight bucket.
Section D: Exposures that do not meet due diligence requirements
This section captures the RWA relating to an ADI’s securitisation and resecuritisation exposures that do not meet the due diligence requirements in paragraph 12 in Attachment B to APS 120. Do not include these exposures in Sections A to C above.
Risk-weights are pre-defined in this section in accordance with the weighting detailed in paragraph 12 of Attachment B to APS 120.
Column 4 RWA
Derived field that multiplies exposures after CRM by the relevant risk-weight (refer to Attachment B to APS 120).
ARF 120.1B IRB - Securitisation - Other securitisation exposures
This form captures the RWA and regulatory adjustments to regulatory capital relating to an ADI’s securitisation (including resecuritisation) exposures that are not subject to RBA, IAA or SF (refer to Attachment D to APS 120) and revolving exposures with early amortisation provisions (refer to Attachment G to APS 120).
Section A: Eligible facilities not subject to RBA, IAA or SF
A facility will be considered an eligible facility where it meets the requirements detailed in Attachment E to APS 120.
In accordance with Attachment D to APS 120, an ADI may, subject to written approval from APRA, apply the approach detailed in paragraph 39 of Attachment D to APS 120 to an eligible facility to which the RBA, IAA or SF cannot be applied.
Column 1 Notional amount
Report the notional amount of eligible facilities. Include both the drawn and undrawn amounts associated with each facility.
Column 2 RWA
RWA are to be calculated in accordance with the requirements detailed in paragraph 39(b) of Attachment D to APS 120.
Section B: Credit risk capital requirements relating to cash collateral lodged for securitisation and resecuritisation exposures
This section captures the RWA associated with cash collateral facilities provided by the ADI to collateralise its obligations under liquidity and other facilities (refer to Attachment E to APS 120).
Column 1 Notional amount
Report the amount lodged in the cash collateral facilities (refer to Attachment E to APS 120).
Column 2 RWA
RWA are calculated in accordance with the requirements detailed in Attachment E to APS 120.
Section C: Early amortisation
This section captures the RWA for the investors’ interest[4] where an ADI transfers a pool of revolving exposures into a securitisation that contains an early amortisation provision (refer to Attachment G to APS 120).
[4] Investors’ interest is defined in accordance with Attachment G to APS 120.
RWA are to be calculated in accordance with the requirements detailed in Attachment G to APS 120. Report the total amount of RWA for the revolving exposures (that have been transferred into a securitisation) that contain an early amortisation provision.
Section D: Regulatory adjustments to Common Equity Tier 1 Capital related to securitisation
This section captures securitisation related regulatory adjustments to capital.
4.1 Regulatory adjustments to Common Equity Tier 1 Capital
4.1.1 Securitisation start-up costs
Report start-up and other establishment costs of a securitisation, where the costs have been capitalised (refer to Prudential Standard APS 111 Capital Adequacy: Measurement of Capital).
4.1.2 Common Equity Tier 1 specific adjustments relating to securitisation (excluding securitisation start-up costs)
Report all regulatory adjustments that need to be made specifically from Common Equity Tier 1 Capital, in accordance with APS 120, with the exception of the start-up costs of securitisation that have been capitalised. Include:
(a)gain-on-sale, including expected future income from a securitisation exposure that an ADI reports as an on-balance sheet asset or profit, until irrevocably received;
(b)funds provided by the ADI to establish a spread, reserve or similar account, until the funds are irrevocably paid to the ADI;
(c)the difference between the book value and the amount received by the ADI, where the originating ADI transfers exposures to an SPV below their book value, unless it is written off in the ADI’s profit and loss (and capital) accounts;
(d)any positive mark-to-market value of a basis swap provided to a securitisation, that the ADI has reported as an on-balance sheet asset or profit before it has been irrevocably received; and
(e)any other Common Equity Tier 1 Capital-specific deductions in accordance with APS 120.
ARF 120.1C IRB - Securitisation - Summary of securitisation related RWA and regulatory adjustments to capital
This form summarises the RWA and adjustments to regulatory capital relating to an ADI’s securitisation (including resecuritisation) exposures under the IRB approach to securitisation. All fields in this form are derived from the data reported in ARF 120.1A and ARF 120.1B, with the exception of item 1.9 Other securitisation related adjustments and item 2.3 Other securitisation related adjustments in sections A and B of this form, respectively.
Section A: Risk-weighted assets
1.9 Other securitisation related adjustments
Report any other securitisation related adjustments to RWA, as required by APRA, that are not captured elsewhere in ARF 120.1A and ARF 120.1B. Any additions to RWA are to be reported as a positive amount and any deductions in RWA are to be reported as a negative amount.
1.10 Adjusted total
Derived field that adds or deducts (as appropriate) the amount reported under item 1.9 Other securitisation related adjustments to/from item 1.8 Total, for the calculation of the adjusted total RWA relating to securitisation exposures under the IRB approach.
Section B: Regulatory adjustments to Common Equity Tier 1 Capital
2.3 Other securitisation-related adjustments
Report any other securitisation-related regulatory adjustments to Common Equity Tier 1 Capital, as required by APRA, that are not captured elsewhere in ARF 120.1B.
Related guidance for reporting in ARF 110.0 Capital Adequacy
For capital adequacy purposes, the following items of ARF 120.1C, relating to RWA and deductions from capital, are to be reported under the corresponding items in ARF 110.0 as set out in the table below:
| Item in ARF 120.1C | Corresponding item in ARF 110.0 |
| Item 1.10 Adjusted total | Section B, item 1.2.2 Securitisation – IRB approach |
| Item 2.1 Securitisation start-up costs | Section A, item 2.6.5 Securitisation start-up costs |
| Item 2.2 Common Equity Tier 1 specific adjustments relating to securitisation (excluding securitisation start-up costs) | Section A, item 2.10 Common Equity Tier 1-specific adjustments relating to securitisation (excluding securitisation start-up costs) |
| Item 2.3 Other securitisation related adjustments | Included in section A in the total for item 2.18 All Other adjustments relating to securitisation. |
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