Australian Prudential Regulation Authority revises large exposures FAQs on structured vehicle look-through with reporting changes due by 31 December 2026

The Australian Prudential Regulation Authority has revised its frequently asked questions for Prudential Standard APS 221 Large Exposures to clarify how ADIs should calculate and report exposures to structured vehicles under the look-through requirements. The update also removes FAQs that are no longer required and updates references to related prudential standards. The revised guidance explains that look-through applies to the underlying assets held by a structured vehicle, while potential future claims on investor commitments are not treated as assets of the vehicle for this purpose. It confirms that the 0.25 per cent threshold is applied after exposure values are calculated under Attachment A, information on asset composition should be obtained at a frequency that reflects volatility, and unidentified underlying assets above the threshold must be assigned to an unknown counterparty. APRA says ADIs should generally apply a single-level look-through, but may need a second-level look-through where a material underlying asset is itself another structured vehicle, with exposures reported on a maximum-loss basis and aggregated where connected counterparty rules apply. The FAQs also include worked examples and cover trading book and settlement exposures, collateral, government and government-related exposures, and connected counterparties. ADIs must ensure ARF 221 reporting is consistent with the revised FAQ by 31 December 2026 at the latest. APRA does not expect firms to resubmit previous returns to reflect the updated FAQs.