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ARF_120_0: Standardised - Securitisation
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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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Quarterly
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Millions to one decimal place for banks
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Whole dollars no decimal place for other ADIs
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Reporting Consolidation
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Level 1 / Level 2
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Section A: Asset weighting for credit risk capital requirements
relating to securitisation and resecuritisation exposures
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Exposures
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Risk-weights %
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RWA
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after CRM
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(1)
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(2)
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(3)
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1.1. Securitisation exposures with long-term (LTG) and short-term
(STG) credit ratin
g grades of:
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1.1.1. LTG1 or STG1
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1.1.2. LTG2 or STG2
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1.1.3. LTG3 or STG3
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1.1.4. LTG4
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1.1.5. LTG5 or LTG6 or STG4
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1.1.6. Unrated
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1.1.7. LTG or STG or unrated that do not meet due diligence
requirements
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1.1.8. Total
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Exposures
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Risk-weights %
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RWA
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after CRM
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(1)
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(2)
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(3)
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1.2. Resecuritisation exposures with long-term (LTG) and short-term
(STG) credit ra
ting grades of:
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1.2.1. LTG1 or STG1
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1.2.2. LTG2 or STG2
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1.2.3. LTG3 or STG3
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1.2.4. LTG4
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1.2.5. LTG5 or LTG6 or STG4
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1.2.6. Unrated
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1.2.7. LTG or STG or unrated that do not meet due diligence
requirements
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1.2.8. Total
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Section B: Exceptions to the general treatment of unrated
securitisation exposures
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Amount
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Credit equivalent amount
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RWA
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(1)
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(2)
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(3)
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2.1. Other unrated exposures
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2.2. Unrated eligible facilities
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2.3. Eligible servicer cash advance facilities
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2.4. Total
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Section C:
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Credit risk capital requirements relating to cash collateral lodged
for securitisation exposures
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Amount
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Risk-weights %
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RWA
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(1)
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(2)
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(3)
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Types of cash collateral
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3.1.1. Cash collateral attracting 0% risk weighting
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3.1.2. Cash collateral attracting 20% risk weighting
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3.1.3. Cash collateral attracting 50% risk weighting
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3.1.4. Cash collateral attracting 100% risk weighting
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3.1.5. Cash collateral attracting 150% risk weighting
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3.1.6. Cash collateral attracting 1250% risk weighting
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3.1.7. Total
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Credit risk capital requirements relating to cash collateral lodged
for resecuritisation exposures
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Amount
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Risk-weights %
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RWA
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(1)
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(2)
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(3)
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Types of cash collateral
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3.2.1. Cash collateral attracting 0% risk weighting
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3.2.2. Cash collateral attracting 20% risk weighting
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3.2.3. Cash collateral attracting 50% risk weighting
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3.2.4. Cash collateral attracting 100% risk weighting
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3.2.5. Cash collateral attracting 150% risk weighting
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3.2.6. Cash collateral attracting 1250% risk weighting
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3.2.7. Total
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Section D: Early amortisation
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RWA
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(1)
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4. Revolving exposures with early amortisation provisions
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Section E: Regulatory adjustments to Common Equity Tier 1 Capital
related to securitisation
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Regulatory adjustments to CET1
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(1)
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5.1. Regulatory adjustments to Common Equity Tier 1 Capital
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5.1.1. Securitisation start-up costs
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5.1.2. Tier 1 specific deductions (excluding securitisation start-up
costs)
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Section F: Summary of securitisation related RWA and deductions from
capital
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6.1. Risk-weighted assets
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6.1.1. Securitisation exposures
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6.1.2. Resecuritisation exposures
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6.1.3. Other unrated exposures
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6.1.4. Unrated eligible facilities
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6.1.5. Cash collateral
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6.1.6. Revolving exposures with early amortisation provisions
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6.1.7. Total
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6.1.8. Other securitisation related adjustments
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6.1.9. Adjusted total
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6.2. Regulatory adjustments to Common Equity Tier 1 Capital
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Regulatory adjustments to CET1
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(1)
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6.2.1. Securitisation start-up costs
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6.2.2. Common Equity Tier 1 specific adjustments relating to
securitisation (excluding securitisation start-up costs)
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6.2.3. Other securitisation related adjustments
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