ARF_120_2: Securitisation - Supplementary Items
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Effective date: 1 January 2022
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Australian Business Number
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Institution Name
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Reporting Period
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Scale Factor
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Millions to one decimal place for reporting category B ADIs
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Whole dollars no decimal place for reporting category A ADIs
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Reporting Consolidation
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Level 1 / Level 2
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1. Securitised assets
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Value of assets in pool
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Non-performing
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Repurchases
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Outstanding securities
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(1)
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(2)
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(3)
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(4)
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1.1. Securitised assets
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1.1.1. Housing loans
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1.1.2. Personal loans
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1.1.3. Commercial loans
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1.1.4. Other
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1.1.5. Total
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Value of assets in pool
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Outstanding securities
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(1)
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(2)
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1.2. Securitisation prudential treatment
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1.2.1. Securitisations that meet the operational requirements for
regulatory capital relief
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1.2.1.1.
of which:
subject to transitional arrangements
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1.2.2. Securitisations that meet the operational requirements for
funding-only
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1.2.3. Synthetic securitisation
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1.2.3.1.
of which:
subject
to transitional arrangements
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1.2.4.
Other securitisations
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2. Holdings of securities
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2.1. SPVs for which more than 20 per cent of own outstanding senior
securities are held
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SPV name
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Senior securities held
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Total senior securities outstanding
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Own senior securities held
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(1)
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(2)
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(3)
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(4)
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3. Provision of facilities
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ADI as originator
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Other
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Total
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Notional amount
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Drawn amount
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Notional amount
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Drawn amount
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Notional amount
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Drawn amount
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(1)
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(2)
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(3)
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(4)
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(5)
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(6)
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3.1. Facilities categorised as securitisation exposures
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3.1.1. Liquidity and other funding facilities
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3.1.2. Credit enhancements
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3.1.3. Derivatives transactions
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3.1.3.1.
of which:
basis swaps
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3.1.4. Other facilities
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3.1.5. Total
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ADI as originator
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Other
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Total
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(1)
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(2)
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(3)
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3.2. Cash collateral treated as a securitisation exposure
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4. Details of new arrangements entered into in the quarter
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4.1. Loans sold or originated into securitisation SPVs
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SPV name
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Value of loans sold or originated
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Value of funding received
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(1)
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(2)
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(3)
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4.2. New facilities provided to securitisation SPVs
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SPV name
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Liquidity and other funding facilities
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Credit enhancements
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Derivatives transactions
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Basis swaps
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Other facilities
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(1)
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(2)
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(3)
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(4)
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(5)
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(6)
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5. Self-securitisations
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5.1. Self-securitised assets
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Self-securitisation structures
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Value of assets in pool
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(1)
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(2)
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Value of assets in pool
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Securities sold under agreement to repurchase
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Value of funding received
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(1)
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(2)
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(3)
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5.2.
of which:
Self-securitised assets used to enter into a repurchase agreement with
the RBA as counterparty
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6. Other secured funding arrangements
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Value of assets in pool
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Outstanding securities
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(1)
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(2)
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6.1. Other secured funding arrangements subject to prior notification
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