PET - Plain English Taxonomy

ARF_120_1: Securitisation - Regulatory Capital
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. Securitisation exposures subject to the External Ratings-based Approach (ERBA)
Exposures Risk weights % RWA CET1 deduction
(1) (2) (3) (4)
1.1. Securitisation exposures with short-term credit rating grades      
1.1.1. STG1
1.1.2. STG2
1.1.3. STG3  
1.1.4. STG4  
1.1.5. Total  
Exposures RWA CET1 deduction
(1) (2) (3)
1.2. Senior securitisation exposures with long-term credit rating grades resulting in risk weights:    
1.2.1. >=15% to <=20%
1.2.2. >20% to <=50%
1.2.3. >50% to <=100%
1.2.4. >100% to <=140%  
1.2.5. >140%  
1.2.6. Total
Exposures RWA CET1 deduction
(1) (2) (3)
1.3. Non-senior securitisation exposures with long-term credit rating grades resulting in risk weights:    
1.3.1. >=15% to <=20%
1.3.2. >20% to <=50%
1.3.3. >50% to <=100%
1.3.4. >100% <=140%  
1.3.5. >140%  
1.3.6. Total
2. Securitisation exposures subject to the Supervisory Formula Approach (SFA)
Exposures RWA CET1 deduction
(1) (2) (3)
2.1. With risk weights:    
2.1.1. >=15% to <=20%
2.1.2. >20% to <=50%
2.1.3. >50% to <=100%
2.1.4. >100% to <=250%
2.1.5. >250% to <=425%
2.1.6. >425% to <=650%
2.1.7. >650% to <1250%  
2.1.8. >=1250%  
2.1.9. Total
3. Senior securitisation exposures subject to the risk-weight cap
Exposures RWA
(1) (2)
3.1. With risk weights:    
3.1.1. >=15% to <=20%
3.1.2. >20% to <=50%
3.1.3. >50% to <=100%
3.1.4. >100% to <=250%
3.1.5. >250% to <=425%
3.1.6. >425% to <=650%
3.1.7. >650% to <1250%
3.1.8. Total
4. Regulatory adjustments
CET1 deduction
(1)
4.1. Senior securitisation exposures where ERBA, SFA or the risk-weight cap cannot be used
4.2. Securitisation exposures that do not meet due diligence requirements
4.3. Resecuritisation exposures
4.4. Other non-senior securitisation exposures
4.5. Securitisation start-up costs
4.6. Other CET1 regulatory adjustments relating to securitisation
4.7. Total