Financial Position 1 Assets Derivatives Amount This is the value, as at the relevant date, of derivative financial instruments as determined in accordance to relevant accounting standards. Derivatives are generally defined as those instruments/contracts, where the value is based on other products, and/or on prices associated with financial products. Derivative contracts involve: - Future delivery, receipt or exchange of financial items such as cash or another derivative instrument; or - Future exchange of real assets for financial items where the contract may be tradeable and has a market value. The contracts can either be binding on both parties (e.g. as with a currency swap) or subject to the exercise by one party of a right contained within the contract (as with options). Report this item regardless of whether favourable or unfavourable to the reporting entity. Assets Exposures Facilities And Derivatives Approved Limit Amount This is the value, as at the reporting date, of the total committed amount, or limit, of total funding and liquidity type facilities and derivatives. For the purpose of this item, report the notional principal amount of derivatives. This item represents the following: - liquidity, funding and warehouse funding facilities provided to securitisation programs; - lending facilities provided to investors for the purpose of investing in securitisation programs; - credit enhancements provided to securitisation programs; - derivatives entered into with securitisation programs; and - underwriting facilities provided to securitisation programs; - any other facilities provided to securitisation programs. Assets Exposures Facilities And Derivatives Drawn Amount This is the value, as at the reporting date, of the principal amount, or drawn amount, of total funding and liquidity type facilities and derivatives. For the purpose of this item, report the notional principal amount of derivatives. This item represents the following: - liquidity, funding and warehouse funding facilities provided to securitisation programs; - lending facilities provided to investors for the purpose of investing in securitisation programs; - credit enhancements provided to securitisation programs; - derivatives entered into with securitisation programs; and - underwriting facilities provided to securitisation programs; - any other facilities provided to securitisation programs. Assets Exposures Facilities Other ARF120 2 Amount Balancing item for ARF120_2 Assets Facilities Backed By Cash Collateral Drawn Amount This is the value, as at the relevant date,of the principal amount, or drawn amount, of cash collateral lodged by the reporting entity to back its obligations under the facilities it has provided. Assets Facilities Backed By Cash Collateral Notional Amount This is the value, as at the relevant date, of the of the total committed amount, or limit, of cash collateral lodged by the reporting entity to back its obligations under the facilities it has provided. Assets Loans And Advances Funding Facilities Excluding Warehouse Amount This is the value, as at the relevant date, of the securitisation special purpose vehicles (SPVs) or secured funding arrangements to which the reporting entity has provided new funding facilities, excluding warehouse, during the reporting period. An SPV is a financing vehicle that typically purchases and holds the pool for the purposes of a securitisation. The SPV’s payment for the pool is typically funded by debt, including through the issue of units or securities by the SPV. Funding facilities, excluding warehouse, are loan agreements entered into by a counterparty with the reporting party for the purpose of funding purchases of exposures for a pool. Assets Loans And Advances Lending Facilities Amount This is the value, as at the relevant date, of the securitisation special purpose vehicles (SPVs) or secured funding arrangements to which the reporting entity has provided new lending facilities during the reporting period. An SPV is a financing vehicle that typically purchases and holds the pool for the purposes of a securitisation. The SPV’s payment for the pool is typically funded by debt, including through the issue of units or securities by the SPV. Lending facilities are loan agreements entered into for the purpose of providing loans directly to investors to invest in securitisation programs. Assets Loans And Advances Liquidity Facilities Amount This is the value, as at the relevant date, of the securitisation special purpose vehicles (SPVs) or secured funding arrangements to which the reporting entity has provided new liquidity facilities, during the reporting period. An SPV is a financing vehicle that typically purchases and holds the pool for the purposes of a securitisation. The SPV’s payment for the pool is typically funded by debt, including through the issue of units or securities by the SPV. Liquidity facilities are loan agreements entered into by a counterparty with the reporting party for the purpose of liquidity, being to fund any timing mismatches between receipts of fund on underlying exposures and payments on securities issued by the counterparty, or to cover the inability of the counterparty to roll-over securities due to market disruption. Assets Loans And Advances Warehouse Funding Facilities Amount This is the value, as at the relevant date, of the securitisation special purpose vehicles (SPVs) or secured funding arrangements to which the reporting entity has provided new warehouse funding facilities during the reporting period. An SPV is a financing vehicle that typically purchases and holds the pool for the purposes of a securitisation. The SPV’s payment for the pool is typically funded by debt, including through the issue of units or securities by the SPV. Warehouse funding facilities are loan agreements entered into by a counterparty with the reporting party for the purpose of funding to warehouse special purpose vehicles (SPVs). Assets Pool Loan To Valuation Ratio Amount This is, as at the relevant date, the weighted average of the Loan to Valuation ratio (LVR) for the pool. For any resecuritisation exposure in the pool, a reporting entity must look through to the underlying pools for that exposure in calculating the overall weighted average LVR. A pool is the underlying exposure or exposures that are securitised by way of assignment or the transfer of rights and obligations to an SPV (special purpose vehicle). The pool may consist of, but need not be limited to, loans, bonds or equities. A resecuritisation exposure is a securitisation exposure in which the risk associated with an underlying pool of exposures is tranched and at least one of the underlying exposures is a securitisation exposure. In addition, an exposure to one or more resecuritisation exposures is a resecuritisation exposure. Assets Securitisation Income Excluding Derivatives Amount This is the value, during the relevant period, of total securitisation income received, excluding income from derivatives. This includes facility fee income, servicing fee income, excess spread income and all other income not previously reported. Facility fee income is all fee income received by the reporting entity during the relevant period from facilities provided to securitisation programs. Income received from holding the residual units or other excess spread arrangements in a securitisation program are excluded. Servicing fee income is all fee income received by the reporting entity during the relevant period from services provided to securitisation programs. Income received from holding the residual units or other excess spread arrangements in a securitisation program are excluded. Excess spread income is all income received during the relevant period from residual units or other excess spread arrangements. Assets Securitised Assets And Assets Supporting Secured Funding Arrangements Amount This is the value, as at the relevant date, of all securitised assets and assets involved in a fundraising arrangement that involves providing an interest in or over assets originated by the reporting entity. This information is in accordance with the relevant prudential standards and is to include: (a) the securitised assets that meet the operational requirements for regulatory capital relief, and are excluded from the calculation of regulatory capital; (b) assets backing fundraising arrangements, subject to prior notification under the relevant prudential standard, that do not meet the operational requirements for regulatory capital relief, is otherwise considered a non-complying securitisation or a secured funding arrangement which APRA requires to be treated as if on-balance sheet and are included in the on-balance sheet assets of a reporting entity (or member of its Level 2 consolidated group) for capital adequacy purposes under the relevant prudential standards, as appropriate; and (c) the securitised assets that meet the operational requirements for regulatory capital relief, and that the reporting entity elects to treat as on-balance sheet assets for capital adequacy purposes under the relevant prudential standards, as appropriate. Assets Securitised Assets Backing Fundraising Arrangements Amount This is the value, as at the relevant date, of the assets backing secured fundraising arrangements, subject to prior notification, that do not meet the operational requirements for regulatory capital relief as per the relevant prudential standards. Assets Securitised Assets Held By Warehouses Amount This is the value, as at the relevant date, of the transferred assets that have been placed into securitisation warehouses, other warehouses and other short-term (less than one year in maturity) funding vehicles,. These assets may or may not be funded by commercial paper or other arrangements. Assets Securitised Loans And Advances Repurchases Amount This is the value, as at the relevant date, of transferred assets and exposures originated or sold to a securitisation program that have been purchased or repurchased during the reporting period. Securitised assets are loans and advances that have been sold to or originated into securitisation programs, by or on behalf of the reporting party, or by a third party to a securitisation program sponsored by the reporting party, as at the relevant date. Loans and advances are those financial assets categorised as ‘Loans and Receivables’ in the accounting standards, other than ‘Trade Receivables’ and ‘Cash’. A securitisation program represents a structure (a special purpose vehicle, or SPV) where the cash flows from a pool (of assets, or interests in assets) are used to service obligations to creditors (typically holders of debt securities) who fund the SPV. Assets Securitised Loans And Advances Sold Or Secured Funding Arrangements Amount This is the value, as at the relevant date, of the securitisation special purpose vehicles (SPVs)/schemes or secured funding arrangements into which the reporting entity has sold, or otherwise originated loans during the reporting period. Data are reported as at the effective date of the transaction. An SPV is a financing vehicle that typically purchases and holds the pool for the purposes of a securitisation. The SPV’s payment for the pool is typically funded by debt, including through the issue of units or securities by the SPV. Assets Securitised Loans And Advances Value Of Assets In Pool Amount This is the value, as at the relevant date, of the outstanding principal amount, gross of provisions form impairment and including accrued interest of securitised assets and assets involved in fundraising arrangements. Securitised assets are loans and advances that have been sold to or originated into securitisation programs, by or on behalf of the reporting party, or by a third party to a securitisation program sponsored by the reporting party, as at the relevant date. Loans and advances are those financial assets categorised as ‘Loans and Receivables’ in the accounting standards, other than ‘Trade Receivables’ and ‘Cash’. A securitisation program represents a structure (a special purpose vehicle, or SPV) where the cash flows from a pool (of assets, or interests in assets) are used to service obligations to creditors (typically holders of debt securities) who fund the SPV. A SPV is a ‘bankruptcy-remote entity’ with operations limited to the acquisition and financing of specific assets. Usually a subsidiary entity with balance sheet and legal status that makes its obligations secure even if the parent company goes bankrupt." Assets involved in fundraising arrangements are the value of collateral which provides an interest in or over assets of the ADI to the funding provider. Assets Securitised Loans And Advances Value Of Funding Received Amount This is the value, as at the relevant date, of the funding provided in exchange for the transferred loans, during the reporting period. Data are reported as at the effective date of the transaction. An SPV is a financing vehicle that typically purchases and holds the pool for the purposes of a securitisation. The SPV’s payment for the pool is typically funded by debt, including through the issue of units or securities by the SPV. Assets Securitised Meet Prudential Capital Relief Requirements Amount This is the value, as at the relevant date, of the securitised assets that meet the operational requirements for regulatory capital relief that has been elected to be treated as on-balance sheet assets for capital adequacy purposes as per the relevant prudential standards. Assets Total Derivatives Excluding Basis Swaps Amount This is the value, as at the relevant date, of derivative financial instruments, excluding basis swaps, as determined in accordance to relevant accounting standards during the reporting period. Derivatives are generally defined as those instruments/contracts, where the value is based on other products, and/or on prices associated with financial products. Derivative contracts involve: - Future delivery, receipt or exchange of financial items such as cash or another derivative instrument; or - Future exchange of real assets for financial items where the contract may be tradeable and has a market value. The contracts can either be binding on both parties (e.g. as with a currency swap) or subject to the exercise by one party of a right contained within the contract (as with options). A basis swap includes a payment stream on one leg of the swap based on an observable market rate or index, and a payment stream on the other leg based on rates set by a party to the swap.