Banking (prudential standard) determination No. 7 of 2011 - Prudential Standard APS 120 - Securitisation

No longer in force

Administered by

Department of the Treasury

This item is authorised by the following title:

Banking Act 1959

Latest version

F2011L02739

19 December 2011 - 31 December 2012

This instrument revokes Prudential Standard APS 120 Securitisation contained in Banking (prudential standard) determination No. 4 of 2011 - Prudential Standard APS 120 - Securitisation with effect from 01/01/2012.

Table of contents

Authority
Application
Scope
Definitions
Key principles
Significant credit risk transfer
Board and senior management responsibilities
Self-assessment
Implicit support and other risks
- Attachment A
- Disclosure and separation requirements
Disclosure
Separation requirements between an ADI and SPV
Requirements for an SPV
- Attachment B
- General capital adequacy requirements
Operational requirements for regulatory capital relief
Maturity mismatches in synthetic securitisations
Operational requirements for the use of external credit assessments
Information on underlying collateral necessary to permit exposures to be risk-weighted rather than deducted
Calculation of risk-weighted assets and regulatory capital for securitisation exposures
Treatment of credit risk mitigation for securitisation exposures
Spread accounts and similar surplus income arrangements
Maximum capital amount
Shared collateral
Redraws and other additional exposures funded by the ADI
- Attachment C
- Standardised approach
Risk-weights
Exceptions to the general treatment of unrated securitisation exposures
Treatment of most senior unrated securitisation exposures
Treatment of exposures in a second loss, or better, position in an asset-backed commercial paper securitisation
Treatment of unrated eligible facilities
Treatment of eligible servicer cash advance
Treatment of credit risk mitigation for securitisation exposures
APRA’s discretion where capital requirement uncertain
- Attachment D
- Internal ratings-based approach
Hierarchy of IRB approaches
Gain on sale
Ratings-based approach
Inferred ratings
Internal assessment approach
Mapping of ratings grades for Standard & Poor’s, Moody’s and Fitch
Supervisory formula
Capital charge under the supervisory formula
Eligible facilities
Eligible servicer cash advance
Treatment of credit risk mitigation for securitisation exposures
APRA’s discretion where capital requirement uncertain
- Attachment E
- Facilities and services
Eligible facilities
Underwriting facilities
Funding facilities
Derivative transactions
Eligible servicer cash advance facilities
Lending to investors
Services
Cash collateral arrangements
Representations and warranties
- Attachment F
- Acquisition of exposures out of a pool and acquisition of securities by originating ADIs
Acquisition of exposures out of a pool held by an SPV by an originating ADI
Acquisition by an originating ADI of securities issued by the SPV
- Attachment G
- Revolving structures and early amortisation clauses
General
Calculation of risk-weighted asset amounts and regulatory capital
Calculation of credit conversion factors for controlled and non-controlled early amortisation features

Banking (prudential standard) determination No. 7 of 2011 - Prudential Standard APS 120 - Securitisation

Legislation text