| ARF_120_2: Securitisation - Supplementary Items | ||||||
| Effective date: 1 January 2018 | ||||||
| Australian Business Number | Institution Name | |||||
| Reporting Period | Scale Factor | |||||
| Millions to one decimal place for banks | ||||||
| Whole dollars no decimal place for other ADIs | ||||||
| Reporting Consolidation | ||||||
| Level 1 / Level 2 | ||||||
| 1. Securitised assets | ||||||
| Value of assets in pool | Impaired | Past due | Repurchases | Outstanding securities | ||
| (1) | (2) | (3) | (4) | (5) | ||
| 1.1. Securitised assets | ||||||
| 1.1.1. Housing loans | ||||||
| 1.1.2. Personal loans | ||||||
| 1.1.3. Commercial loans | ||||||
| 1.1.4. Other | ||||||
| 1.1.5. Total | ||||||
| Value of assets in pool | Outstanding securities | |||||
| (1) | (2) | |||||
| 1.2. Securitisation prudential treatment | ||||||
| 1.2.1. Securitisations that meet the operational requirements for regulatory capital relief | ||||||
| 1.2.1.1. of which: subject to transitional arrangements | ||||||
| 1.2.2. Securitisations that meet the operational requirements for funding-only | ||||||
| 1.2.3. Synthetic securitisation | ||||||
| 1.2.3.1. of which: subject to transitional arrangements | ||||||
| 1.2.4. Other securitisations | ||||||
| 2. Holdings of securities | ||||||
| 2.1. SPVs for which more than 20 per cent of own outstanding senior securities are held | ||||||
| SPV name | Senior securities held | Total senior securities outstanding | Own senior securities held | |||
| (1) | (2) | (3) | (4) | |||
| 3. Provision of facilities | ||||||
| ADI as originator | Other | Total | ||||
| Notional amount | Drawn amount | Notional amount | Drawn amount | Notional amount | Drawn amount | |
| (1) | (2) | (3) | (4) | (5) | (6) | |
| 3.1. Facilities categorised as securitisation exposures | ||||||
| 3.1.1. Liquidity and other funding facilities | ||||||
| 3.1.2. Credit enhancements | ||||||
| 3.1.3. Derivatives transactions | ||||||
| 3.1.3.1. of which: basis swaps | ||||||
| 3.1.4. Other facilities | ||||||
| 3.1.5. Total | ||||||
| ADI as originator | Other | Total | ||||
| (1) | (2) | (3) | ||||
| 3.2. Cash collateral treated as a securitisation exposure | ||||||
| 4. Details of new arrangements entered into in the quarter | ||||||
| 4.1. Loans sold or originated into securitisation SPVs | ||||||
| SPV name | Value of loans sold or originated | Value of funding received | ||||
| (1) | (2) | (3) | ||||
| 4.2. New facilities provided to securitisation SPVs | ||||||
| SPV name | Liquidity and other funding facilities | Credit enhancements | Derivatives transactions | Basis swaps | Other facilities | |
| (1) | (2) | (3) | (4) | (5) | (6) | |
| 5. Self-securitisations | ||||||
| 5.1. Self-securitised assets | ||||||
| Self-securitisation structures | Value of assets in pool | |||||
| (1) | (2) | |||||
| Value of assets in pool | Securities sold under agreement to repurchase | Value of funding received | ||||
| (1) | (2) | (3) | ||||
| 5.2. of which: Self-securitised assets used to enter into a repurchase agreement with the RBA as counterparty | ||||||
| 6. Other secured funding arrangements | ||||||
| Value of assets in pool | Outstanding securities | |||||
| (1) | (2) | |||||
| 6.1. Other secured funding arrangements subject to prior notification | ||||||
