Federal Register of Legislation - Australian Government

Primary content

Determinations/Financial (Other) as made
This instrument revokes the Financial Sector (Collection of Data) (reporting standard) determination No. 32 of 2014, including Reporting Standard ARS 210.0 Liquidity and determines Reporting Standard ARS 210.0 Liquidity.
Administered by: Treasury
Registered 25 Oct 2017
Tabling HistoryDate
Tabled HR26-Oct-2017
Tabled Senate13-Nov-2017

Financial Sector (Collection of Data) (reporting standard) determination No. 19 of 2017

Reporting Standard ARS 210.0 Liquidity

Financial Sector (Collection of Data) Act 2001

 

I, Katrina Ellis, delegate of APRA, under paragraph 13(1)(a) of the Financial Sector (Collection of Data) Act 2001 (the Act) and subsection 33(3) of the Acts Interpretation Act 1901:

 

(a)    REVOKE Financial Sector (Collection of Data) (reporting standard) determination No. 32 of 2014, including Reporting Standard ARS 210.0 Liquidity made under that Determination; and

 

(b)   DETERMINE Reporting Standard ARS 210.0 Liquidity, in the form set out in the Schedule, which applies to the financial sector entities to the extent provided in paragraph 3 of the reporting standard.

 

Under section 15 of the Act, I DECLARE that the reporting standard shall begin to apply to those financial sector entities, and the revoked reporting standard shall cease to apply, on 1 January 2018.

 

This instrument commences on 1 January 2018.

 

Dated: 20 October 2017

 

 

[Signed]

 

 

Katrina Ellis

General Manager

Data Analytics

 

Interpretation

In this Determination:

APRA means the Australian Prudential Regulation Authority.

financial sector entity has the meaning given by section 5 of the Act.

 

 

Schedule

 

Reporting Standard ARS 210.0 Liquidity comprises the 150 pages commencing on the following page.


Reporting Standard ARS 210.0

Liquidity

Objective of this Reporting Standard

This Reporting Standard sets out the requirements for the provision of information to APRA relating to an authorised deposit-taking institution’s liquidity and funding.

It includes reporting forms and associated instructions and should be read in conjunction with Prudential Standard APS 210 Liquidity.

 

Authority

1.             This Reporting Standard is made under section 13 of the Financial Sector (Collection of Data) Act 2001.

Purpose

2.             Information collected under this Reporting Standard is used by APRA for the purpose of prudential supervision, including assessing compliance with Prudential Standard APS 210 Liquidity (APS 210). It may also be used by the Reserve Bank of Australia (RBA).

Application and commencement

3.             This Reporting Standard applies to all authorised deposit-taking institutions (ADIs), excluding providers of purchased payment facilities. This Reporting Standard may also apply to the non-operating holding company (NOHC) of an ADI (refer to paragraph 6).

4.             This Reporting Standard applies for reporting periods ending on or after 1 January 2018.

Information required

5.             An ADI to which this Reporting Standard applies must provide APRA with the information required by this Reporting Standard designated for an ADI at Level 1, as set out in paragraph 8, for each reporting period.

6.             If an ADI to which this Reporting Standard applies is part of a Level 2 group, the ADI must also provide APRA with the information required by this Reporting Standard designated for an ADI at Level 2, as set out in paragraph 8, for each reporting period unless the ADI is a subsidiary of an authorised NOHC. If the ADI is a subsidiary of an authorised NOHC, the ADI’s immediate parent NOHC must provide APRA with the information required by this Reporting Standard designated for an ADI at Level 2, as set out in paragraph 8, for each reporting period. In doing so, the immediate parent NOHC must comply with this Reporting Standard (other than paragraph 5) as if it were the relevant ADI.

7.             An ADI which is neither an LCR ADI or an MLH ADI must provide APRA with information required by this Reporting Standard upon receiving a written notice from APRA to do so.

8.             An ADI must complete a separate reporting form for each reporting consolidation level specified for the class of ADI in the table below.

Class of ADI

Type of ADI

Reporting Consolidation

Reporting Form

LCR ADI

Locally incorporated ADI

Level 1 and Level 2

210.1A Liquidity Coverage Ratio -  all currencies

210.1B Liquidity Coverage Ratio - AUD only

210.3.1 Contractual Maturity Mismatch – Funded Assets

210.3.2 Contractual  Maturity Mismatch – Funding Liabilities and Capital

210.4 3-year Funding Plan

210.5 Daily Liquidity Report

210.6 Net Stable Funding Ratio*

Foreign ADI

Domestic books of licensed ADI

MLH ADI

Locally incorporated ADI

Level 1 and Level 2

210.2 Minimum Liquidity Holdings Ratio

210.3.1 Contractual  Maturity Mismatch – Funded Assets

210.3.2 Contractual  Maturity Mismatch – Funding Liabilities and Capital

210.4 3-year Funding Plan

210.5 Daily Liquidity Report

Foreign ADI

Domestic books of licensed ADI

*210.6 is only to be completed by locally incorporated LCR ADIs.

Forms and method of submission

9.             Subject to paragraph 10, the information required by this Reporting Standard must be given to APRA in electronic format using the ‘Direct to APRA’ application or by a method notified by APRA, in writing, prior to submission.

Note: The ‘Direct to APRA’ application software (also known as ‘D2A’) may be obtained from APRA.

10.         The information required by ARF 210.5 must be given to APRA in an electronic form as notified by APRA at the time of APRA’s request.

Reporting periods and due dates

11.         Subject to paragraphs 12, 13 and 14, an ADI to which this Reporting Standard applies must provide the information required by this Reporting Standard in respect of each quarter based on the financial year (within the meaning of the Corporations Act 2001) of the ADI. An ADI must provide this information to APRA within 28 calendar days of the end of the quarter to which the information relates. An ADI must provide the information required by ARF 210.4 annually, within 28 calendar days of the ADI’s end of financial year (within the meaning of the Corporations Act 2001).

12.         A completed ARF 210.5 must be provided to APRA by the close of business on:

(a)           the same day (based on data as at close of business the previous day) that the ADI receives a request from APRA to provide ARF 210.5; or

(b)          the next business day (based on data as at close of business on the date of APRA’s request) if APRA’s request was received after 12pm.

If an ADI receives a request from APRA to provide a completed ARF 210.5, the ADI must continue to provide a completed ARF 210.5 to APRA on a daily basis for the number of consecutive business days, or other duration or reporting frequency, specified by APRA at the time of the request.

13.         APRA may, by notice in writing, vary the reporting periods or specified reporting periods for a particular ADI, to require it to provide the information required by this Reporting Standard more frequently, or less frequently, having regard to:

(a)           the particular circumstances of the ADI;

(b)          the extent to which the information is required for the purposes of the prudential supervision of the ADI; and

(c)           the requirements of the RBA.

14.         APRA may, by notice in writing, extend the due date by which an ADI must provide the information required by this Reporting Standard, in which case the new due date will be the date specified on the notice of extension.

Quality control

15.         All information provided by an ADI under this Reporting Standard must be the product of systems, processes and controls that have been reviewed and tested by the external auditor of the ADI as set out in Prudential Standard APS 310 Audit and Related Matters. Relevant standards and guidance statements issued by the Auditing and Assurance Standards Board provide information on the scope and nature of the review and testing required from external auditors. This review and testing must be done on an annual basis or more frequently if required by the external auditor to enable the external auditor to form an opinion on the accuracy and reliability of the information provided by an ADI under this Reporting Standard.

16.         All information provided by an ADI under this Reporting Standard must be subject to systems, processes and controls developed by the ADI for the internal review and authorisation of that information. These systems, processes and controls are to assure the completeness and reliability of the information provided.

Authorisation

17.         When an officer of an ADI submits information under this Reporting Standard using the D2A application, or other method notified by APRA, it will be necessary for the officer to digitally sign the relevant information using a digital certificate acceptable to APRA.

Minor alterations to forms and instructions

18.         APRA may make minor variations to:

(a)           a form that is part of this Reporting Standard to correct technical, programming or logical errors, inconsistencies or anomalies; or

(b)          the instructions to a form, to clarify their application to the form

without changing any substantive requirement in the form or instructions.

19.         If APRA makes such a variation it will notify, in writing, each ADI that is required to report under this Reporting Standard.

Transition

20.         An ADI must report under the old reporting standard in respect of a transitional reporting period. For these purposes:

old reporting standard means the reporting standard revoked by the determination that makes this Reporting Standard (being the reporting standard that this Reporting Standard replaces); and

transitional reporting period means a reporting period under the old reporting standard:

(a)           that ended before the date of revocation of the old reporting standard: and

(b)          in relation to which the ADI was required, under the old reporting standard, to report by a date on or after the date of revocation of the old reporting standard.

Note: For the avoidance of doubt, if an ADI was required to report under an old reporting standard, and the reporting documents were due before the date of revocation of the old reporting standard, the ADI is still required to provide any overdue reporting documents in accordance with the old reporting standard.

Interpretation

21.         In this Reporting Standard:

AASB has the meaning in section 9 of the Corporations Act 2001.

ADI is short for authorised deposit-taking institution and has the meaning given in the Banking Act 1959.

ADI/bank refers to an authorised deposit-taking institution within the meaning of the Banking Act 1959 and banking institutions in offshore jurisdictions.

Adjusted amount of HQLA1 has the meaning given in paragraph 8 of Attachment A of Prudential Standard APS 210 Liquidity.

Adjusted amount of HQLA2A has the meaning given in paragraph 8 of Attachment A of Prudential Standard APS 210 Liquidity.

Alternative liquid assets (ALA) are liquid assets which are made available in jurisdictions where there is insufficient supply of HQLA1 (or both HQLA1 and HQLA2) in the domestic currency to meet the aggregate demand of banks with significant exposures in the domestic currency in the LCR framework.

APRA means the Australian Prudential Regulation Authority established under the Australian Prudential Regulation Authority Act 1998.

Authorised NOHC has the meaning given in the Banking Act 1959.

Business day means a day that is not a Saturday, a Sunday or a public holiday or bank holiday in the place concerned.

Capital has the meaning given in Prudential Standard APS 111 Capital Adequacy: Measurement of Capital.

Cash refers to notes and coin, and settlement funds due from clearing houses, RBA, banks, mutual banks and other ADIs.

Committed Liquidity Facility (CLF) has the meaning given in paragraphs 13, 14 and 16 to 19 of Attachment A of Prudential Standard APS 210 Liquidity.

CLF-eligible third-party debt securities refers to RBA repo-eligible securities excluding self-securitisations and securities recognised as HQLA.

CLF securities refers to RBA repo-eligible securities excluding securities recognised as HQLA.

Collateral swaps refers to transactions where non-cash assets are swapped for other non-cash assets.

Commercial real estate mortgages refers to loans secured by commercial property as defined in Reporting Standard ARS 230.0 Commercial Property.

Committed contingent funding agreements refers to contingent funding obligations which are contractually irrevocable or only conditionally revocable.

Committed facilities refers to contractually irrevocable or only conditionally revocable agreements or other lending commitments.

Contingent funding obligations refers to obligations which do not have a fixed date by which to provide funds and may be either contractual or non-contractual and are not lending commitments. Non-contractual contingent funding obligations include associations with, or sponsorship of, products sold or services provided that may require the support or provision of funds in the future under stressed conditions. Non-contractual obligations may be embedded in financial products and instruments sold, sponsored or originated by the ADI that can give rise to unplanned balance sheet growth arising from support given for reputational risk considerations.

Credit facilities include contractual lending obligations, revolving credit facilities, guarantees and letters of credit (other than trade finance related obligations) and warehouse facilities that the ADI could be called upon to fund.

Credit rating grade refers to grades of credit ratings to which ECAI ratings are mapped. The mapping of rating grades is set out in Attachment F of Prudential Standard APS 112 Capital Adequacy: Standardised Approach to Credit Risk.

Debt securities issued refers to notes, bonds and other debt securities issued by an ADI (including subordinated debt), regardless of the holder.

Domestic securities refers to secured or unsecured debt securities issued in the Australian domestic market.

Due date means the relevant date under paragraphs 11 and 12 or, if applicable, paragraphs 13 or 14.

External Credit Assessment Institution (ECAI) has the meaning given in Prudential Standard APS 001 Definitions.

Effective deposit insurance scheme is a deposit insurance scheme:

·                that guarantees that it has the ability to make prompt payouts;

·                for which the coverage is clearly defined; and

·                of which public awareness is high.

Encumbered means an asset which is not unencumbered.

Euro commercial paper refers to commercial paper issued in markets other than the USA and Australia.

Financial institution has the meaning given in paragraph 10(b) of Prudential Standard APS 210 Liquidity. ADIs must exclude ADI/bank in this counterparty category if separately indicated in the reporting item.

Foreign ADI has the meaning given in the Banking Act 1959.

Fully covered refers to a deposit the entire value of which is below or up to the deposit insurance limit.

FX transactions include outstanding spot foreign exchange contracts, currency swaps (including cross currency interest rate swaps), forward foreign exchange contracts, any other instruments of a similar nature and FX options.

General Reserve for Credit Losses has the meaning given in Prudential Standard APS 220 Credit Quality.

Guarantees refers to agreements to be liable for another party’s debt or contractual performance if that other party does not pay or perform.

High-quality liquid assets (HQLA) for LCR ADIs refers to HQLA1 and HQLA2 as defined in paragraphs 9 to 12 of Attachment A of Prudential Standard APS 210 Liquidity (APS 210). For non-LCR ADIs, this represents those minimum liquidity holdings assets that qualify as HQLA, as outlined in paragraph 2 of Attachment B of APS 210.

HQLA1 has the meaning given in paragraph 9 of Attachment A of Prudential Standard APS 210 Liquidity.

HQLA2 means both HQLA2A and HQLA2B.

HQLA2A has the meaning given in paragraphs 10 and 11 of Attachment A of Prudential Standard APS 210 Liquidity.

HQLA2B has the meaning given in paragraph 12 of Attachment A of Prudential Standard APS 210 Liquidity.

Immediate parent NOHC means an authorised NOHC, or a subsidiary of an authorised NOHC, that is an immediate parent NOHC.

Intra-group refers to an associated entity of an ADI within the meaning of section 50AAA of the Corporations Act 2001. For foreign ADIs, intra-group refers to the head office, associated entities of the head office and other branches of the foreign ADI.

LCR ADI means an ADI classified as an LCR ADI under paragraph 52 of Prudential Standard APS 210 Liquidity.

Less stable deposits has the meaning given in paragraph 38 of Attachment A of Prudential Standard APS 210 Liquidity and includes deposits from self-managed superannuation funds and personal investment entity deposits.

Level 1 has the meaning given in Prudential Standard APS 001 Definitions.

Level 2 has the meaning given in Prudential Standard APS 001 Definitions.

Liquidity facilities include undrawn back-up facilities, facilities to hedge funds, money market funds, special purpose funding vehicles and vehicles used to finance the ADI’s own assets.

Loans approved but not advanced refers to loans that have been approved by an ADI but the customer has yet to draw down the funds in relation to the commitment.

Locally incorporated means incorporated in Australia or in a State or Territory of Australia, by or under a Commonwealth, State or Territory law.

Long-term refers to securities or other debt instruments with original maturity greater than 12 months.

Major banks refers to Australia and New Zealand Banking Group Limited, Commonwealth Bank of Australia, National Australia Bank Limited and Westpac Banking Corporation.

Member-directed superannuation deposits are those deposits that meet the requirements of paragraph 35 of Attachment A of Prudential Standard APS 210 Liquidity and where the underlying depositor is a superannuation fund member.

MLH ADI means an ADI classified as an MLH ADI under paragraph 52 of Prudential Standard APS 210 Liquidity.

Non-financial corporates refers to a corporation within the meaning of section 57A of the Corporations Act 2001, which produces goods or non-financial services. Finance company subsidiaries of non-financial corporates are also considered non-financial corporates so long as they provide no service to third parties.

Non-operational deposits includes all deposits and other extensions of unsecured funding not included under operational deposits. Exclude notes, bonds and other debt securities issued, covered bond issuance and repo or secured funding transactions.

Non-performing loans are determined by reference to Prudential Standard APS 220 Credit Quality. Non-performing loans are considered to be those that are past due or impaired.

Off-balance sheet irrevocable commitments refer to unconditional and binding obligations of the reporting ADI to extend funds. Lines of credit or standby lines which the reporting ADI holds at other institutions to support its operations are excluded from the MLH ratio calculation.

Offshore securities refers to secured and unsecured debt securities issued in a market other than the Australian domestic market.

Operational deposits has the meaning given in paragraphs 47 to 50 of Attachment A of Prudential Standard APS 210 Liquidity.

Originating ADI has the meaning given in paragraph 11(o) of Prudential Standard APS 120 Securitisation.

Other LCR assets are assets recognised as eligible liquid assets by a host supervisor that APRA allows to be included in the numerator of the LCR.

Overdraft agreements refers to agreements that allow an account to be overdrawn up to a limit as set out in the agreement.

RBA repo-eligible securities are debt securities that the RBA will accept as collateral in its domestic market operations. The current list of eligible securities is published on the RBA website. For the purposes of the MLH requirement, RBA repo-eligible securities comprise the securities listed in Attachment B of Prudential Standard APS 210 Liquidity, and that are also listed on the RBA website.

RBNZ is short for the Reserve Bank of New Zealand.

RBNZ eligible securities are securities that the RBNZ will accept in its domestic market operations.

Reporting period includes, for the purposes of the provision of ARF 210.5, any day in relation to which such a report is required to be provided.

Retail customer means a natural person as referred to in paragraph 34 of Attachment A of Prudential Standard APS 210 Liquidity (APS 210) or where the customer’s deposit has been treated as retail in accordance with either APS 210 or Prudential Practice Guide APG 210 Liquidity. Retail customer does not include SMEs.

Retail deposits has the meaning given in paragraph 34 of Attachment A of Prudential Standard APS 210 Liquidity (APS 210) or where the deposit has been treated as retail in accordance with either APS 210 or Prudential Practice Guide APG 210 Liquidity. Deposits from SMEs are not included.

Secured funding refers to those liabilities and general obligations that are collateralised by legal rights to specifically designated assets owned by the borrowing ADI in the case of bankruptcy, insolvency, liquidation or resolution.

Secured lending is defined as those loans that an ADI has extended and that are collateralised by legal rights to specifically designated assets owned by the borrowing institution which the ADI can use or re-hypothecate for the duration of the loan, and for which the ADI can claim ownership to in the case of default by the borrower.

Self-securitised assets are assets securitised for contingent liquidity purposes that are held on-balance sheet.

Short positions means transactions where an ADI’s customer sells a security it does not own, and the ADI subsequently obtains the same security from internal or external sources to make delivery under the sale. Internal sources include the ADI’s own inventory of collateral as well as HQLA1 or HQLA2 that is available for re-hypothecation that is held in other customer margin accounts. External sources include collateral obtained through a securities borrowing, reverse repo or like transaction.

Short-term refers to securities or other debt instruments with original maturity of less than or equal to 12 months.

Small and medium enterprise (SME) has the meaning given in paragraph 46 and footnote 7 of Attachment A of Prudential Standard APS 210 Liquidity.

Specific provisions has the meaning given in Prudential Standard APS 220 Credit Quality.

Stable deposits has the meaning given in paragraph 37 of Attachment A of Prudential Standard APS 210 Liquidity.

Standby facilities refers to unconditional commitments by an ADI to lend when the customer makes a request under the facility.

Standby letters of credit refers to letters issued by an ADI to a designated beneficiary to serve as a guarantee for payments made to a specified customer under specified conditions.

Subsidiary has the meaning given in the Corporations Act 2001.

Trade finance related obligations are trade-related obligations or agreements directly underpinned by the movement of goods or the provision of services such as:

·                documentary trade letters of credit, documentary and clean collection, import bills and export bills;

·                guarantees directly related to trade finance obligations, such as shipping guarantees; and

·                any other trade-related contingencies.

Uncommitted contingent funding agreements are contingent funding obligations where the ADI has the right to unconditionally revoke the undrawn portion of these facilities at any time.

Uncommitted facilities refers to agreements or lending commitments where the ADI has the right to unconditionally revoke the undrawn portion of these facilities at any time.

Unencumbered means an asset free of legal, regulatory, contractual or other restrictions on the ability of the ADI to liquidate, sell, transfer, or assign the asset. The asset cannot be pledged (either explicitly or implicitly) to secure, collateralise or credit-enhance any transaction, nor be designated to cover operational costs (such as rents and salaries).

Unsecured debt securities issued refers to notes, bonds and other debt securities issued by an ADI regardless of the holder and that are not collateralised by legal rights to specifically designated assets owned by the borrowing ADI in the case of bankruptcy, insolvency, liquidation or resolution, excluding derivatives.

Unsecured funding refers to liabilities and general obligations that are not collateralised by legal rights to specifically designated assets owned by the borrowing ADI in the case of bankruptcy, insolvency, liquidation or resolution, excluding derivatives.

Unsecured wholesale funding has the meaning given in paragraphs 44 to 46 of Attachment A of APS 210.

US commercial paper means commercial paper issued in the USA.

22.         Unless the contrary intention appears, any reference to an Act, Prudential Standard, Reporting Standard, or Australian Accounting or Auditing Standard is a reference to the instrument as in force or existing from time to time.

 

 


ARF_210_1A: Liquidity Coverage Ratio - all currencies

 

Australian Business Number

Institution Name

Reporting Period

Scale Factor

Quarterly

Millions to one decimal place

Reporting Consolidation

 

Level 1 / Level 2 / Domestic books

 

Section A: Liquid assets

 

Market value/amount

Weight

Weighted amount

(1)

(2)

(3)

1. HQLA1

 

 

 

1.1. Notes and coin

 

 

 

1.2. Central bank balances

 

 

 

1.2.1. Held with the RBA

 

 

 

1.2.2. Held with foreign central banks

 

 

 

1.3. Securities with zero per cent risk weight

 

 

 

1.3.1. Australian Government

 

 

 

1.3.2. Australian State Government or Territory Central Borrowing Authorities

 

 

 

1.3.3. Issued by foreign sovereigns

 

 

 

1.3.4. Guaranteed by the Australian Government

 

 

 

1.3.5. Guaranteed by foreign sovereigns

 

 

 

1.3.6. Issued or guaranteed by central banks

 

 

 

1.3.7. Issued or guaranteed by PSEs

 

 

 

1.3.8. Issued or guaranteed by BIS, IMF, ECB and EC or MDBs

 

 

 

1.4. Sovereign/central bank debt securities where the sovereign has a non-zero per cent risk weight

 

 

 

1.4.1. Issued in domestic currencies in the country in which the liquidity risk is being taken

 

 

 

1.4.2. Issued in foreign currencies up to the amount of the ADI's stressed net cash outflows in that specific foreign currency stemming from the ADI's operations in the jurisdiction where the ADI's liquidity risk is being taken

 

 

 

1.5. Adjusted amount of HQLA1 stock

 

 

 

1.5.1. Adjustment due to secured lending/borrowing transactions

 

 

 

1.5.2. Adjustment due to collateral swaps

 

 

 

 

 

 

 

2. HQLA2A

 

 

 

2.1. Securities issued or guaranteed by sovereigns or central banks with 20 per cent risk weight

 

 

 

2.2. Securities issued or guaranteed by PSEs or MDBs with 20 per cent risk weight

 

 

 

2.3. Non-financial corporate securities (Credit Rating Grade 1)

 

 

 

2.4. Covered bonds, not self-issued (Credit Rating Grade 1)

 

 

 

2.5. Adjusted amount of HQLA2A stock

 

 

 

2.5.1. Adjustment due to secured lending/borrowing transactions

 

 

 

2.5.2. Adjustment due to collateral swaps

 

 

 

 

 

 

 

3. HQLA2B

 

 

 

3.1. Residential mortgage-backed securities (Credit Rating Grade 1)

 

 

 

3.2. Non-financial corporate securities (Credit Rating Grade 3)

 

 

 

3.3. Non-financial common equity shares

 

 

 

3.4. Adjusted amount of RMBS HQLA2B stock

 

 

 

3.4.1. Adjustment due to secured lending/borrowing transactions

 

 

 

3.4.2. Adjustment due to collateral swaps

 

 

 

3.5. Adjusted amount of non-RMBS HQLA2B stock

 

 

 

3.5.1. Adjustment due to secured lending/borrowing transactions

 

 

 

3.5.2. Adjustment due to collateral swaps

 

 

 

3.6. Adjusted amount of HQLA2B (RMBS and non-RMBS) stock

 

 

 

 

 

 

 

4. Total HQLA

 

 

 

4.1. Adjustment to stock of HQLA due to the 15 per cent cap on HQLA2B

 

 

 

4.2. Adjustment to stock of HQLA due to the 40 per cent cap on HQLA2

 

 

 

4.3. Adjustment to the amount of HQLA for the inclusion of other liquid assets as approved by APRA

 

 

 

 

 

 

 

5. RBNZ eligible securities

 

 

 

 

 

 

 

6. Alternative liquid assets (ALA)

 

 

 

6.1. Market value of total eligible assets securing the CLF less applicable RBA margin

 

 

 

6.1.1. Securities issued by supranationals and foreign government

 

 

 

6.1.2. Securities with Australian Government or foreign sovereign government guarantee

 

 

 

6.1.3. ADI issued securities

 

 

 

6.1.4. Asset backed securities

 

 

 

6.1.5. Other private securities

 

 

 

6.1.6. Self-securitised assets

 

 

 

6.2. Available amount of the CLF for the LCR calculation

 

 

 

6.2.1. Approved size of the CLF

 

 

 

6.2.2. Adjustment due to secured funding/lending transactions

 

 

 

6.2.3. Adjustment due to collateral swaps

 

 

 

6.3. Amount of eligible CLF assets that can be included in numerator of the reporting ADI's LCR calculation

 

 

 

6.4. Of the amount reported in item 6.1, the amount of CLF securities maturing <= 30 days where the securities are not due to be returned under maturing secured lending transactions

 

 

 

6.5. Amount available as ALA in offshore jurisdictions

 

 

 

 

 

 

 

7. Total HQLA plus RBNZ eligible securities plus ALA

 

 

 

7.1. AUD

 

 

 

7.2. NZD

 

 

 

7.3. USD

 

 

 

7.4. GBP

 

 

 

7.5. EUR

 

 

 

7.6. JPY

 

 

 

7.7. RMB

 

 

 

7.8. All other currencies

 

 

 

 

Section B: Cash outflows

 

Amount

Weight

Weighted amount

(1)

(2)

(3)

8. Retail deposits

 

 

 

8.1. Stable deposits

 

 

 

8.2. Stable deposits eligible for 3 per cent run-off rate

 

 

 

8.3. Less stable deposits which are covered by FCS or government deposit insurance scheme

 

 

 

8.4. Less stable deposits which are not covered by FCS or government deposit insurance scheme

 

 

 

8.5. Less stable deposits with higher run-off rate

 

 

 

8.6. Called notice period deposits with 30 days or less to maturity

 

 

 

 

 

 

 

9. Unsecured wholesale funding

 

 

 

9.1. SME

 

 

 

9.1.1. Stable deposits

 

 

 

9.1.2. Stable deposits eligible for 3 per cent run-off rate

 

 

 

9.1.3. Less stable deposits which are covered by FCS or government deposit insurance scheme

 

 

 

9.1.4. Less stable deposits which are not covered by FCS or government deposit insurance scheme

 

 

 

9.1.5. Less stable deposits with higher run-off

 

 

 

9.1.6. Called notice period deposits with 30 days or less to maturity

 

 

 

9.2. Non-financial corporate

 

 

 

9.2.1. of which: Intra-group

 

 

 

9.2.2. Operational deposit amounts fully covered by deposit insurance

 

 

 

9.2.3. Operational deposit amounts fully covered by deposit insurance and eligible for 3 per cent run-off rate

 

 

 

9.2.4. Operational deposit amounts not fully covered by deposit insurance

 

 

 

9.2.5. Non-operational deposits where the entire deposit is fully covered by deposit insurance

 

 

 

9.2.6. Non-operational deposits where the entire deposit is not fully covered by deposit insurance

 

 

 

9.2.7. Called notice period deposits with 30 days or less to maturity

 

 

 

9.3. Sovereign, central bank, PSE and MDB

 

 

 

9.3.1. Operational deposit amounts fully covered by deposit insurance

 

 

 

9.3.2. Operational deposit amounts fully covered by deposit insurance and eligible for 3 per cent run-off rate

 

 

 

9.3.3. Operational deposit amounts not fully covered by deposit insurance

 

 

 

9.3.4. Non-operational deposits where the entire deposit is fully covered by deposit insurance

 

 

 

9.3.5. Non-operational deposits where the entire deposit is not fully covered by deposit insurance

 

 

 

9.3.6. Called notice period deposits with 30 days or less to maturity

 

 

 

9.3.7. Additional balances required to be installed in central bank reserves

 

 

 

9.4. ADI/Bank

 

 

 

9.4.1. of which: Intra-group

 

 

 

9.4.2. Operational deposit amounts fully covered by deposit insurance

 

 

 

9.4.3. Operational deposit amounts fully covered by deposit insurance and eligible for 3 per cent run-off rate

 

 

 

9.4.4. Operational deposit amounts not fully covered by deposit insurance

 

 

 

9.4.5. Non-operational deposits and called notice period deposits with 30 days or less to maturity

 

 

 

9.5. Other financial institutions and other legal entities

 

 

 

9.5.1. of which: Intra-group

 

 

 

9.5.2. Operational deposit amounts fully covered by deposit insurance

 

 

 

9.5.3. Operational deposit amounts fully covered by deposit insurance and eligible for 3 per cent run-off rate

 

 

 

9.5.4. Operational deposit amounts not fully covered by deposit insurance

 

 

 

9.5.5. Non-operational deposits and called notice period deposits with 30 days or less to maturity

 

 

 

 

 

 

 

10. Unsecured debt securities issued

 

 

 

10.1. Domestic

 

 

 

10.2. Offshore

 

 

 

 

 

 

 

11. Secured funding

 

 

 

11.1. Amount received in transactions secured by HQLA1 with any counterparty

 

 

 

11.1.1. of which: transactions involving eligible HQLA1 that meet all operational requirements to be included in HQLA stock except for being encumbered in the secured funding transactions reported under 11.1

 

 

 

11.1.2. Market value of HQLA1 collateral extended for transactions reported under 11.1.1

 

 

 

11.2. Amount received in transactions secured by HQLA2A with any counterparty

 

 

 

11.2.1. of which: transactions involving eligible HQLA2A that meet all operational requirements to be included in HQLA stock except for being encumbered in the secured funding transactions reported under 11.2

 

 

 

11.2.2. Market value of HQLA2A collateral extended for transactions reported under 11.2.1

 

 

 

11.3. Amount received in transactions secured by RMBS HQLA2B with any counterparty

 

 

 

11.3.1. of which: transactions involving eligible RMBS HQLA2B that meet all operational requirements to be included in HQLA stock except for being encumbered in the secured funding transactions reported under 11.3

 

 

 

11.3.2. Market value of RMBS HQLA2B collateral extended for transactions reported under 11.3.1

 

 

 

11.4. Amount received in transactions secured by non-RMBS HQLA2B with any counterparty

 

 

 

11.4.1. of which: transactions involving eligible non-RMBS HQLA2B that meet all operational requirements to be included in HQLA stock except for being encumbered in the secured funding transactions reported under 11.4

 

 

 

11.4.2. Market value of non-RMBS HQLA2B collateral extended for transactions reported under 11.4.1

 

 

 

11.5. Amount received in transactions secured by eligible CLF securities with any counterparty where the ADI has capacity within the CLF

 

 

 

11.5.1. Market value less RBA margin of CLF securities collateral extended for transactions reported under 11.5

 

 

 

11.6. Amount received in transactions secured by other assets, ineligible CLF securities and eligible CLF securities where CLF capacity has been reached

 

 

 

11.6.1. Where the counterparties are domestic sovereigns, MDBs or domestic PSEs with a risk weight of 20 per cent or lower

 

 

 

11.6.2. All other counterparties

 

 

 

11.7. Amount received in transactions secured by all assets with central banks in offshore jurisdictions

 

 

 

11.7.1. of which: transactions involving eligible HQLA1 that meet all operational requirements to be included in HQLA stock except for being encumbered in the secured funding transactions reported under 11.7

 

 

 

11.7.2. Market value of HQLA1 collateral extended for transactions reported under 11.7.1

 

 

 

11.7.3. of which: transactions involving eligible HQLA2A that meet all operational requirements to be included in HQLA stock except for being encumbered in the secured funding transactions reported under 11.7

 

 

 

11.7.4. Market value of HQLA2A collateral extended for transactions reported under 11.7.3

 

 

 

11.7.5. of which: transactions involving eligible RMBS HQLA2B that meet all operational requirements to be included in HQLA stock except for being encumbered in the secured funding transactions reported under 11.7

 

 

 

11.7.6. Market value of RMBS HQLA2B collateral extended for transactions reported under 11.7.5

 

 

 

11.7.7. of which: transactions involving eligible non-RMBS HQLA2B that meet all operational requirements to be included in HQLA stock except for being encumbered in the secured funding transactions reported under 11.7

 

 

 

11.7.8. Market value of non-RMBS HQLA2B collateral extended for transactions reported under 11.7.7

 

 

 

 

 

 

 

12. ABCP, ABS, covered bonds and other structured financing instruments/facilities

 

 

 

12.1. Maturing secured funding transactions issued by the ADI itself

 

 

 

12.2. Loss of funding due to refinancing of maturing debt, maturing facilities, embedded options and other potential loss of funding

 

 

 

 

 

 

 

13. Increased liquidity needs related to derivatives and other transactions

 

 

 

13.1. Derivatives cash outflow

 

 

 

13.2. Due to a downgrade of 3 notches in the ADI’s long-term credit rating

 

 

 

13.3. Excess non-segregated collateral held by the ADI that could contractually be called at any time by the counterparty

 

 

 

13.4. Contractually required collateral on transactions for which the counterparty has not yet demanded the collateral be posted

 

 

 

13.5. Contracts that allow collateral substitution to non-HQLA without the ADI's consent

 

 

 

13.6. Collateral outflows due to market valuation changes on derivative transactions and other transactions

 

 

 

13.7. Valuation changes on posted non-HQLA1 collateral securing derivatives and other transactions

 

 

 

 

 

 

 

14. Committed facilities

 

 

 

14.1. Retail customer

 

 

 

14.1.1. Committed credit/liquidity facilities

 

 

 

14.2. SME

 

 

 

14.2.1. Committed credit/liquidity facilities

 

 

 

14.3. Non-financial corporate

 

 

 

14.3.1. Committed credit facilities

 

 

 

14.3.2. Committed liquidity facilities

 

 

 

14.4. Sovereign, central bank, PSE and MDB

 

 

 

14.4.1. Committed credit facilities

 

 

 

14.4.2. Committed liquidity facilities

 

 

 

14.5. ADIs/Banks subject to prudential supervision

 

 

 

14.5.1. Committed credit/liquidity facilities

 

 

 

14.6. Other financial institutions

 

 

 

14.6.1. Committed credit facilities

 

 

 

14.6.2. Committed liquidity facilities

 

 

 

14.7. Other legal entities

 

 

 

14.7.1. Committed credit/liquidity facilities

 

 

 

 

 

 

 

15. Other contractual obligations to extend funds

 

 

 

15.1. Financial institution

 

 

 

15.2. Retail customer

 

 

 

15.3. SME

 

 

 

15.4. Non-financial corporate

 

 

 

15.5. Other entities

 

 

 

15.6. Total outflows from retail, SME, non-financial corporate and other entities

 

 

 

15.7. Total roll-over of inflows from all counterparties except from financial institutions

 

 

 

15.8. Total excess other contractual obligations outflows (excluding financial institutions) after roll-over of inflows

 

 

 

 

 

 

 

16. Other contingent funding obligations

 

 

 

16.1. Uncommitted credit and liquidity facilities

 

 

 

16.2. Trade finance related obligations

 

 

 

16.3. Guarantees and letters of credit other than trade finance related obligations

 

 

 

16.4. Buyback of the ADI's own short-term debt securities issued in the Australian domestic market

 

 

 

16.5. Buyback of the ADI's own long-term debt securities issued in the Australian domestic market

 

 

 

16.6. Buyback of debt securities issued through an affiliated dealer or market maker

 

 

 

16.7. Obligations related to structured products and managed funds

 

 

 

16.8. Other non-contractual obligations

 

 

 

16.9. Other contractual cash outflows

 

 

 

 

 

 

 

17. Cash outflows due to collateral swaps

 

 

 

 

 

 

 

18. Total cash outflows

 

 

 

18.1. AUD

 

 

 

18.2. NZD

 

 

 

18.3. USD

 

 

 

18.4. GBP

 

 

 

18.5. EUR

 

 

 

18.6. JPY

 

 

 

18.7. RMB

 

 

 

18.8. All other currencies

 

 

 

 

Section C: Cash inflows

 

Amount

Weight

Weighted amount

(1)

(2)

(3)

19. Secured lending

 

 

 

19.1. Reverse repo and other secured lending where collateral is not re-hypothecated

 

 

 

19.1.1. amount extended in transactions secured by HQLA1

 

 

 

19.1.1.1. of which: transactions involving eligible HQLA1

 

 

 

19.1.1.2. market value of received HQLA1 for transactions reported in item 19.1.1.1

 

 

 

19.1.2. amount extended in transactions secured by HQLA2A

 

 

 

19.1.2.1. of which: transactions involving eligible HQLA2A

 

 

 

19.1.2.2. market value of received HQLA2A for transactions reported in item 19.1.2.1

 

 

 

19.1.3. amount extended in transactions secured by RMBS HQLA2B

 

 

 

19.1.3.1. of which: transactions involving eligible RMBS HQLA2B

 

 

 

19.1.3.2. market value of received RMBS HQLA2B for transactions reported in item 19.1.3.1

 

 

 

19.1.4. amount extended in transactions secured by non-RMBS HQLA2B

 

 

 

19.1.4.1. of which: transactions involving eligible non-RMBS HQLA2B

 

 

 

19.1.4.2. market value of received non-RMBS HQLA2B for transactions reported in item 19.1.4.1

 

 

 

19.1.5. amount extended in transactions secured by eligible CLF securities where the securities received are included in Section A

 

 

 

19.1.5.1. market value less RBA margin of received CLF securities for transactions reported in item 19.1.5

 

 

 

19.1.6. amount extended in transactions secured by RBNZ eligible securities

 

 

 

19.1.7. margin lending backed by other collateral

 

 

 

19.1.8. amount extended in transactions secured by other collateral including ineligible CLF securities

 

 

 

19.2. Reverse repo and other secured lending where collateral is re-hypothecated

 

 

 

19.2.1. amount extended in transactions secured by HQLA1

 

 

 

19.2.2. amount extended in transactions secured by HQLA2A

 

 

 

19.2.3. amount extended in transactions secured by RMBS HQLA2B

 

 

 

19.2.4. amount extended in transactions secured by non-RMBS HQLA2B

 

 

 

19.2.5. margin lending backed by non-HQLA1 or non-HQLA2

 

 

 

19.2.6. amount extended in transactions secured by other collateral

 

 

 

 

 

 

 

20. Other inflows by counterparty

 

 

 

20.1. Retail customer

 

 

 

20.2. SME

 

 

 

20.3. Non-financial corporate

 

 

 

20.4. Central bank

 

 

 

20.5. Financial institution

 

 

 

20.6. Other entities

 

 

 

20.7. of which: Intra-group (ADI/bank)

 

 

 

20.8. of which: Intra-group (financial institutions)

 

 

 

20.9. of which: Intra-group (other entities)

 

 

 

 

 

 

 

21. Other cash inflows

 

 

 

21.1. Derivatives cash inflows

 

 

 

21.2. Contractual inflows from CLF securities maturing <= 30 days that are in excess of the available CLF amount

 

 

 

21.3. Contractual inflows from other securities maturing <= 30 days

 

 

 

21.4. Other contractual cash inflows

 

 

 

21.5. Amount of committed home office support

 

 

 

 

 

 

 

22. Cash inflows due to collateral swaps

 

 

 

 

 

 

 

23. Total cash inflows

 

 

 

23.1. AUD

 

 

 

23.2. NZD

 

 

 

23.3. USD

 

 

 

23.4. GBP

 

 

 

23.5. EUR

 

 

 

23.6. JPY

 

 

 

23.7. RMB

 

 

 

23.8. All other currencies

 

 

 

 

Section D: Cash outflows minus cash inflows by currency

 

Amount

 

Weighted amount

(1)

 

(3)

24. Cash outflows minus cash inflows

 

 

 

24.1. AUD

 

 

 

24.2. NZD

 

 

 

24.3. USD

 

 

 

24.4. GBP

 

 

 

24.5. EUR

 

 

 

24.6. JPY

 

 

 

24.7. RMB

 

 

 

24.8. All other currencies

 

 

 

 

Section E: Calculation of the LCR

 

25. Total HQLA

 

 

 

26. RBNZ eligible securities plus ALA

 

 

 

27. Total cash outflows

 

 

 

28. Total cash inflows after applying the inflow cap

 

 

 

29. Net cash outflows

 

 

 

30. LCR

 

 

 

31. Minimum LCR per liquidity management strategy

 

 

 

32. Lowest LCR during reporting period

 

 

 

33. Highest LCR during reporting period

 

 

 

34. Mean LCR during reporting period

 

 

 

 

35. LCR for significant currencies

 

Currency

LCR

Highest LCR

Lowest LCR

Mean LCR

(1)

(2)

(3)

(4)

(5)

 

 

 

 

 

Currency list

 

 

 

 

 


ARF_210_1B: Liquidity Coverage Ratio – AUD only

 

Australian Business Number

Institution Name

Reporting Period

Scale Factor

Quarterly

Millions to one decimal place

Reporting Consolidation

 

Level 1 / Level 2 / Domestic books

 

Section A: Liquid assets

 

Market value/amount

Weight

Weighted amount

(1)

(2)

(3)

1. HQLA1

 

 

 

1.1. Notes and coin

 

 

 

1.2. Central bank balances

 

 

 

1.2.1. Held with the RBA

 

 

 

 

 

 

 

1.2.2. Held with foreign central banks

 

 

 

1.3. Securities with zero per cent risk weight

 

 

 

1.3.1. Australian Government

 

 

 

1.3.2. Australian State Government or Territory Central Borrowing Authorities

 

 

 

1.3.3. Issued by foreign sovereigns

 

 

 

1.3.4. Guaranteed by the Australian Government

 

 

 

1.3.5. Guaranteed by foreign sovereigns

 

 

 

1.3.6. Issued or guaranteed by central banks

 

 

 

1.3.7. Issued or guaranteed by PSEs

 

 

 

1.3.8. Issued or guaranteed by BIS, IMF, ECB and EC or MDBs

 

 

 

1.4. Sovereign/central bank debt securities where the sovereign has a non-zero per cent risk weight

 

 

 

1.5. Adjusted amount of HQLA1 stock

 

 

 

1.5.1. Adjustment due to secured lending/borrowing transactions

 

 

 

1.5.2. Adjustment due to collateral swaps

 

 

 

 

 

 

 

2. HQLA2A

 

 

 

2.1. Securities issued or guaranteed by sovereigns or central banks with 20 per cent risk weight

 

 

 

2.2. Securities issued or guaranteed by PSEs or MDBs with 20 per cent risk weight

 

 

 

2.3. Non-financial corporate securities (Credit Rating Grade 1)

 

 

 

2.4. Covered bonds, not self-issued (Credit Rating Grade 1)

 

 

 

2.5. Adjusted amount of HQLA2A stock

 

 

 

2.5.1. Adjustment due to secured lending/borrowing transactions

 

 

 

2.5.2. Adjustment due to collateral swaps

 

 

 

 

 

 

 

3. HQLA2B

 

 

 

3.1. Residential mortgage-backed securities (Credit Rating Grade 1)

 

 

 

3.2. Non-financial corporate securities (Credit Rating Grade 3)

 

 

 

3.3. Non-financial common equity shares

 

 

 

3.4. Adjusted amount of RMBS HQLA2B stock

 

 

 

3.4.1. Adjustment due to secured lending/borrowing transactions

 

 

 

3.4.2. Adjustment due to collateral swaps

 

 

 

3.5. Adjusted amount of non-RMBS HQLA2B stock

 

 

 

3.5.1. Adjustment due to secured lending/borrowing transactions

 

 

 

3.5.2. Adjustment due to collateral swaps

 

 

 

3.6. Adjusted amount of HQLA2B (RMBS and non-RMBS) stock

 

 

 

 

 

 

 

4. Total HQLA

 

 

 

4.1. Adjustment to stock of HQLA due to the 15 per cent cap on HQLA2B

 

 

 

4.2. Adjustment to stock of HQLA due to the 40 per cent cap on HQLA2

 

 

 

4.3. Adjustment to the amount of HQLA for the inclusion of other liquid assets as approved by APRA

 

 

 

 

 

 

 

5. RBNZ eligible securities

 

 

 

 

 

 

 

6. Alternative liquid assets (ALA)

 

 

 

6.1. Market value of total eligible assets securing the CLF less applicable RBA margin

 

 

 

6.1.1. Securities issued by supranationals and foreign government

 

 

 

6.1.2. Securities with Australian Government or foreign sovereign government guarantee

 

 

 

6.1.3. ADI issued securities

 

 

 

6.1.4. Asset backed securities

 

 

 

6.1.5. Other private securities

 

 

 

6.1.6. Self-securitised assets

 

 

 

6.2. Available amount of the CLF for the LCR calculation

 

 

 

6.2.1. Approved size of the CLF

 

 

 

6.2.2. Adjustment due to secured funding/lending transactions

 

 

 

6.2.3. Adjustment due to collateral swaps

 

 

 

6.3. Amount of eligible CLF assets that can be included in numerator of the reporting ADI's LCR calculation

 

 

 

6.4. Of the amount reported in item 6.1, the amount of CLF securities maturing <= 30 days where the securities are not due to be returned under maturing secured lending transactions

 

 

 

6.5. Amount available as ALA in offshore jurisdictions

 

 

 

 

 

 

 

7. Total HQLA plus RBNZ eligible securities plus ALA

 

 

 

 

Section B: Cash outflows

 

Amount

Weight

Weighted amount

(1)

(2)

(3)

8. Retail deposits

 

 

 

8.1. Stable deposits

 

 

 

8.2. Stable deposits eligible for 3 per cent run-off rate

 

 

 

8.3. Less stable deposits which are covered by FCS or government deposit insurance scheme

 

 

 

8.4. Less stable deposits which are not covered by FCS or government deposit insurance scheme

 

 

 

8.5. Less stable deposits with higher run-off rate

 

 

 

8.6. Called notice period deposits with 30 days or less to maturity

 

 

 

 

 

 

 

9. Unsecured wholesale funding

 

 

 

9.1. SME

 

 

 

9.1.1. Stable deposits

 

 

 

9.1.2. Stable deposits eligible for 3 per cent run-off rate

 

 

 

9.1.3. Less stable deposits which are covered by FCS or government deposit insurance scheme

 

 

 

9.1.4. Less stable deposits which are not covered by FCS or government deposit insurance scheme

 

 

 

9.1.5. Less stable deposits with higher run-off

 

 

 

9.1.6. Called notice period deposits with 30 days or less to maturity

 

 

 

9.2. Non-financial corporate

 

 

 

9.2.1. of which: Intra-group

 

 

 

9.2.2. Operational deposit amounts fully covered by deposit insurance

 

 

 

9.2.3. Operational deposit amounts fully covered by deposit insurance and eligible for 3 per cent run-off rate

 

 

 

9.2.4. Operational deposit amounts not fully covered by deposit insurance

 

 

 

9.2.5. Non-operational deposits where the entire deposit is fully covered by deposit insurance

 

 

 

9.2.6. Non-operational deposits where the entire deposit is not fully covered by deposit insurance

 

 

 

9.2.7. Called notice period deposits with 30 days or less to maturity

 

 

 

9.3. Sovereign, central bank, PSE and MDB

 

 

 

9.3.1. Operational deposit amounts fully covered by deposit insurance

 

 

 

9.3.2. Operational deposit amounts fully covered by deposit insurance and eligible for 3 per cent run-off rate

 

 

 

9.3.3. Operational deposit amounts not fully covered by deposit insurance

 

 

 

9.3.4. Non-operational deposits where the entire deposit is fully covered by deposit insurance

 

 

 

9.3.5. Non-operational deposits where the entire deposit is not fully covered by deposit insurance

 

 

 

9.3.6. Called notice period deposits with 30 days or less to maturity

 

 

 

9.3.7. Additional balances required to be installed in central bank reserves

 

 

 

9.4. ADI/Bank

 

 

 

9.4.1. of which: Intra-group

 

 

 

9.4.2. Operational deposit amounts fully covered by deposit insurance

 

 

 

9.4.3. Operational deposit amounts fully covered by deposit insurance and eligible for 3 per cent run-off rate

 

 

 

9.4.4. Operational deposit amounts not fully covered by deposit insurance

 

 

 

9.4.5. Non-operational deposits and called notice period deposits with 30 days or less to maturity

 

 

 

9.5. Other financial institutions and other legal entities

 

 

 

9.5.1. of which: Intra-group

 

 

 

9.5.2. Operational deposit amounts fully covered by deposit insurance

 

 

 

9.5.3. Operational deposit amounts fully covered by deposit insurance and eligible for 3 per cent run-off rate

 

 

 

9.5.4. Operational deposit amounts not fully covered by deposit insurance

 

 

 

9.5.5. Non-operational deposits and called notice period deposits with 30 days or less to maturity

 

 

 

 

 

 

 

10. Unsecured debt securities issued

 

 

 

10.1. Domestic

 

 

 

10.2. Offshore

 

 

 

 

 

 

 

11. Secured funding

 

 

 

11.1. Amount received in transactions secured by HQLA1 with any counterparty

 

 

 

11.1.1. of which: transactions involving eligible HQLA1 that meet all operational requirements to be included in HQLA stock except for being encumbered in the secured funding transactions reported under 11.1

 

 

 

11.1.2. Market value of HQLA1 collateral extended for transactions reported under 11.1.1

 

 

 

11.2. Amount received in transactions secured by HQLA2A with any counterparty

 

 

 

11.2.1. of which: transactions involving eligible HQLA2A that meet all operational requirements to be included in HQLA stock except for being encumbered in the secured funding transactions reported under 11.2

 

 

 

11.2.2. Market value of HQLA2A collateral extended for transactions reported under 11.2.1

 

 

 

11.3. Amount received in transactions secured by RMBS HQLA2B with any counterparty

 

 

 

11.3.1. of which: transactions involving eligible RMBS HQLA2B that meet all operational requirements to be included in HQLA stock except for being encumbered in the secured funding transactions reported under 11.3

 

 

 

11.3.2. Market value of RMBS HQLA2B collateral extended for transactions reported under 11.3.1

 

 

 

11.4. Amount received in transactions secured by non-RMBS HQLA2B with any counterparty

 

 

 

11.4.1. of which: transactions involving eligible non-RMBS HQLA2B that meet all operational requirements to be included in HQLA stock except for being encumbered in the secured funding transactions reported under 11.4

 

 

 

11.4.2. Market value of non-RMBS HQLA2B collateral extended for transactions reported under 11.4.1

 

 

 

11.5. Amount received in transactions secured by eligible CLF securities with any counterparty where the ADI has capacity within the CLF

 

 

 

11.5.1. Market value less RBA margin of CLF securities collateral extended for transactions reported under 11.5

 

 

 

11.6. Amount received in transactions secured by other assets, ineligible CLF securities and eligible CLF securities where CLF capacity has been reached

 

 

 

11.6.1. Where the counterparties are domestic sovereigns, MDBs or domestic PSEs with a risk weight of 20 per cent or lower

 

 

 

11.6.2. All other counterparties

 

 

 

11.7. Amount received in transactions secured by all assets with central banks in offshore jurisdictions

 

 

 

11.7.1. of which: transactions involving eligible HQLA1 that meet all operational requirements to be included in HQLA stock except for being encumbered in the secured funding transactions reported under 11.7

 

 

 

11.7.2. Market value of HQLA1 collateral extended for transactions reported under 11.7.1

 

 

 

11.7.3. of which: transactions involving eligible HQLA2A that meet all operational requirements to be included in HQLA stock except for being encumbered in the secured funding transactions reported under 11.7

 

 

 

11.7.4. Market value of HQLA2A collateral extended for transactions reported under 11.7.3

 

 

 

11.7.5. of which: transactions involving eligible RMBS HQLA2B that meet all operational requirements to be included in HQLA stock except for being encumbered in the secured funding transactions reported under 11.7

 

 

 

11.7.6. Market value of RMBS HQLA2B collateral extended for transactions reported under 11.7.5

 

 

 

11.7.7. of which: transactions involving eligible non-RMBS HQLA2B that meet all operational requirements to be included in HQLA stock except for being encumbered in the secured funding transactions reported under 11.7

 

 

 

11.7.8. Market value of non-RMBS HQLA2B collateral extended for transactions reported under 11.7.7

 

 

 

 

 

 

 

12. ABCP, ABS, covered bonds and other structured financing instruments/facilities

 

 

 

12.1. Maturing secured funding transactions issued by the ADI itself

 

 

 

12.2. Loss of funding due to refinancing of maturing debt, maturing facilities, embedded options and other potential loss of funding

 

 

 

 

 

 

 

13. Increased liquidity needs related to derivatives and other transactions

 

 

 

13.1. Derivatives cash outflow

 

 

 

13.2. Due to a downgrade of 3 notches in the ADI’s long-term credit rating

 

 

 

13.3. Excess non-segregated collateral held by the ADI that could contractually be called at any time by the counterparty

 

 

 

13.4. Contractually required collateral on transactions for which the counterparty has not yet demanded the collateral be posted

 

 

 

13.5. Contracts that allow collateral substitution to non-HQLA without the ADI's consent

 

 

 

13.6. Collateral outflows due to market valuation changes on derivative transactions and other transactions

 

 

 

13.7. Valuation changes on posted non-HQLA1 collateral securing derivatives and other transactions

 

 

 

 

 

 

 

14. Committed facilities

 

 

 

14.1. Retail customer

 

 

 

14.1.1. Committed credit/liquidity facilities

 

 

 

14.2. SME

 

 

 

14.2.1. Committed credit/liquidity facilities

 

 

 

14.3. Non-financial corporate

 

 

 

14.3.1. Committed credit facilities

 

 

 

14.3.2. Committed liquidity facilities

 

 

 

14.4. Sovereign, central bank, PSE and MDB

 

 

 

14.4.1. Committed credit facilities

 

 

 

14.4.2. Committed liquidity facilities

 

 

 

14.5. ADIs/Banks subject to prudential supervision

 

 

 

14.5.1. Committed credit/liquidity facilities

 

 

 

14.6. Other financial institutions

 

 

 

14.6.1. Committed credit facilities

 

 

 

14.6.2. Committed liquidity facilities

 

 

 

14.7. Other legal entities

 

 

 

14.7.1. Committed credit/liquidity facilities

 

 

 

 

 

 

 

15. Other contractual obligations to extend funds to

 

 

 

15.1. Financial institution

 

 

 

15.2. Retail customer

 

 

 

15.3. SME

 

 

 

15.4. Non-financial corporate

 

 

 

15.5. Other entities

 

 

 

15.6. Total outflows from retail, SME, non-financial corporate and other entities

 

 

 

15.7. Total roll-over of inflows from all counterparties except from financial institutions

 

 

 

15.8. Total excess other contractual obligations outflows (excluding financial institutions) after roll-over of inflows

 

 

 

 

 

 

 

16. Other contingent funding obligations

 

 

 

16.1. Uncommitted credit and liquidity facilities

 

 

 

16.2. Trade finance related obligations

 

 

 

16.3. Guarantees and letters of credit other than trade finance related obligations

 

 

 

16.4. Buyback of the ADI's own short-term debt securities issued in the Australian domestic market

 

 

 

16.5. Buyback of the ADI's own long-term debt securities issued in the Australian domestic market

 

 

 

16.6. Buyback of debt securities issued through an affiliated dealer or market maker

 

 

 

16.7. Obligations related to structured products and managed funds

 

 

 

16.8. Other non-contractual obligations

 

 

 

16.9. Other contractual cash outflows

 

 

 

 

 

 

 

17. Cash outflows due to collateral swaps

 

 

 

 

 

 

 

18. Total cash outflows

 

 

 

18.1. of which: cash outflows due to intra-group entities

 

 

 

 

Section C: Cash inflows

 

Amount

Weight

Weighted amount

(1)

(2)

(3)

19. Secured lending

 

 

 

19.1. Reverse repo and other secured lending where collateral is not re-hypothecated

 

 

 

19.1.1. amount extended in transactions secured by HQLA1

 

 

 

19.1.1.1. of which: transactions involving eligible HQLA1

 

 

 

19.1.1.2. market value of received HQLA1 for transactions reported in item 19.1.1.1

 

 

 

19.1.2. amount extended in transactions secured by HQLA2A

 

 

 

19.1.2.1. of which: transactions involving eligible HQLA2A

 

 

 

19.1.2.2. market value of received HQLA2A for transactions reported in item 19.1.2.1

 

 

 

19.1.3. amount extended in transactions secured by RMBS HQLA2B

 

 

 

19.1.3.1. of which: transactions involving eligible RMBS HQLA2B

 

 

 

19.1.3.2. market value of received RMBS HQLA2B for transactions reported in item 19.1.3.1

 

 

 

19.1.4. amount extended in transactions secured by non-RMBS HQLA2B

 

 

 

19.1.4.1. of which: transactions involving eligible non-RMBS HQLA2B

 

 

 

19.1.4.2. market value of received non-RMBS HQLA2B for transactions reported in item 19.1.4.1

 

 

 

19.1.5. amount extended in transactions secured by eligible CLF securities where the securities received are included in Section A

 

 

 

19.1.5.1. market value less RBA margin of received CLF securities for transactions reported in item 19.1.5

 

 

 

19.1.6. amount extended in transactions secured by RBNZ eligible securities

 

 

 

19.1.7. margin lending backed by other collateral

 

 

 

19.1.8. amount extended in transactions secured by other collateral including ineligible CLF securities

 

 

 

19.2. Reverse repo and other secured lending where collateral is re-hypothecated

 

 

 

19.2.1. amount extended in transactions secured by HQLA1

 

 

 

19.2.2. amount extended in transactions secured by HQLA2A

 

 

 

19.2.3. amount extended in transactions secured by RMBS HQLA2B

 

 

 

19.2.4. amount extended in transactions secured by non-RMBS HQLA2B

 

 

 

19.2.5. margin lending backed by non-HQLA1 or non-HQLA2

 

 

 

19.2.6. amount extended in transactions secured by other collateral

 

 

 

 

 

 

 

20. Other inflows by counterparty

 

 

 

20.1. Retail customer

 

 

 

20.2. SME

 

 

 

20.3. Non-financial corporate

 

 

 

20.4. Central bank

 

 

 

20.5. Financial institution

 

 

 

20.6. Other entities

 

 

 

20.7. of which: Intra-group (ADI/bank)

 

 

 

20.8. of which: Intra-group (financial institutions)

 

 

 

20.9. of which: Intra-group (other entities)

 

 

 

 

 

 

 

21. Other cash inflows

 

 

 

21.1. Derivatives cash inflows

 

 

 

21.2. Contractual inflows from CLF securities maturing <= 30 days that are in excess of the available CLF amount

 

 

 

21.3. Contractual inflows from other securities maturing <= 30 days

 

 

 

21.4. Other contractual cash inflows

 

 

 

21.5. Amount of committed home office support

 

 

 

 

 

 

 

22. Cash inflows due to collateral swaps

 

 

 

 

 

 

 

23. Total cash inflows

 

 

 

23.1. of which: cash inflows due from intra-group entities

 

 

 

 

Section D: Cash outflows minus cash inflows

 

Amount

 

Weighted amount

(1)

 

(3)

24. Cash outflows minus cash inflows

 

 

 

 

Section E: Calculation of the LCR

 

25. Total HQLA

 

 

 

26. RBNZ eligible securities plus ALA

 

 

 

27. Total cash outflows

 

 

 

28. Total cash inflows after applying the inflow cap

 

 

 

29. Net cash outflows

 

 

 

30. LCR

 

 

 

31. Minimum LCR per liquidity management strategy

 

 

 

32. Lowest LCR during reporting period

 

 

 

33. Highest LCR during reporting period

 

 

 

34. Mean LCR during reporting period

 

 

 

 


Reporting Forms ARF 210.1A and ARF 210.1B

Liquidity Coverage Ratio

Instructions

These instructions are designed to assist in the completion of Reporting Form ARF 210.1A Liquidity Coverage Ratio – all currencies (ARF 210.1A) and Reporting Form ARF 210.1B Liquidity Coverage Ratio – AUD only (ARF 210.1B). ARF 210.1A and ARF 210.1B collect information for the calculation of the liquidity coverage ratio (LCR) of an authorised deposit-taking institution (ADI). ARF 210.1A calculates the total LCR and ARF 210.1B calculates the LCR of AUD only currency exposure. In completing these forms, ADIs should refer to Prudential Standard APS 210 Liquidity (APS 210) and Prudential Practice Guide APG 210 Liquidity (APG 210).

Reporting level

ARF 210.1A and ARF 210.1B are to be completed by LCR ADIs for each reporting consolidation level as follows:

·         locally incorporated ADIs must complete ARF 210.1A and ARF 210.1B at Level 1 and Level 2. For ADIs without a Level 2 consolidation ARF 210.1B is to be completed at Level 1; and

·         foreign ADIs must complete ARF 210.1A and ARF 210.1B for the domestic book of the licensed ADI unless the foreign ADI has been designated as an MLH ADI.

For the purposes of reporting ARF 210.1A and ARF 210.1B, where an ADI (or a member of its Level 2 group) is the originating ADI in a securitisation (regardless of whether the securitisation meets APRA’s operational requirements for regulatory capital relief under Prudential Standard APS 120 Securitisation), the cash flows corresponding to the assets and liabilities of the securitisation special purpose vehicles (SPVs) must be included in the amounts reported in ARF 210.1A and ARF 210.1B.

Reporting basis and units of measurement

ARF 210.1A and ARF 210.1B are to be completed as at the last day of the relevant reporting period i.e. the relevant quarter.

Report all items on ARF 210.1A and ARF 210.1B in accordance with Australian Accounting Standards unless otherwise specified.

Amounts are to be reported in millions of Australian dollars (AUD) rounded to one decimal place.

Amounts denominated in foreign currency are to be converted to AUD in accordance with AASB 121 The Effects of Changes in Foreign Exchange Rates (AASB 121).[1]

Specific instructions

ADIs must not net asset and liability items in relation to disclosure of data required in this form unless specifically instructed to do so.

All derived fields in the form are shaded and specified in the instructions below. Terms highlighted in bold italics indicate that the definition is provided in paragraph 21 of this Reporting Standard.

Liquidity coverage ratio

The LCR has two components:

·         the numerator of the LCR is equal to the value of the stock of liquid assets in stressed conditions (Section A); and

·         the denominator of the LCR is equal to total net cash outflows, calculated according to the scenario parameters.

The term ‘total net cash outflows’ means ‘total expected cash outflows’ (Section B) minus ‘total expected cash inflows’ (Section C) up to 75 per cent of total expected cash outflows, in the specified stress scenario for the subsequent 30 calendar days.

An amount must be entered in each field. If the item is not applicable or there is no amount to be reported, enter a zero amount.

Column description

Column 1

 

Collects the market value/amount prior to the application of the scenario parameters (weights). The amount or value specified is to be entered in this column. Derived fields are indicated.

Column 2

 

Weights are pre-defined haircuts for liquid assets, run-off rates for cash outflows and inflow rates for cash inflows. All pre-defined weights are in accordance with the requirements of Attachment A of APS 210 with the following exclusions:

·         weights to cater for and advised by offshore jurisdictions where the ADI operates; and

·         weights set in consultation with APRA.

Column 3

Calculates the weighted amounts for items except those where requested in the instructions. Where fields are derived, they are calculated by multiplying the amount in column 1 by the weight in column 2.

Section A: Liquid assets

All assets must meet the operational requirements as outlined in paragraphs 22 to 25 of Attachment A of APS 210.

All assets in the stock must be available for the ADI to convert into cash through outright sale or repo to fill funding gaps between cash inflows and outflows at any time during the 30 day stress period.

An ADI is permitted to hedge the price risks associated with ownership of the stock of liquid assets and still include the assets in the stock. If it chooses to hedge the associated risks, the ADI must take into account (in the market value applied to each asset) the cash outflow that would arise if the hedge were to be closed out early (in the event of the asset being sold).

When included as part of the stock, liquid assets cannot be counted as cash inflows even if they mature within 30 days i.e. double-counting is not allowed.

Item 1

Item 1 is a derived item calculated as the sum of HQLA1 reported in items 1.1 to 1.4.

Item 1.1

Report all notes and coin held by the ADI that are immediately available to meet obligations. Exclude deposits placed at, or receivables from, other financial institution counterparties.

Item 1.2

Item 1.2 collects information on central bank balances that can be drawn in times of stress.

Report all settlement account balances and any other funds held with the RBA which can be drawn down in times of stress in item 1.2.1.

Report settlement account balances, central bank reserves, overnight and term deposits held with foreign central banks which can be drawn down in times of stress in item 1.2.2.

Amounts not included in items 1.2.1 and 1.2.2 and that expire within 30 days are to be reported in item 20.4.

Amounts required to be installed in the central bank reserves within 30 days are to be reported in item 9.3.7.

Item 1.3

Item 1.3 collects information on securities with a zero per cent risk weight.

Report the market value of unencumbered marketable debt securities with a zero per cent risk weight, under the standardised approach to credit risk of the Basel II framework, by counterparty type in items 1.3.1 to 1.3.8.

Report securities issued by the Australian Government in item 1.3.1.

Report securities issued by an Australian State Government or Territory Central Borrowing Authorities (semi-government) in item 1.3.2.

Report securities issued by foreign sovereigns in item 1.3.3.

Report securities guaranteed by the Australian Government in item 1.3.4.

Report securities guaranteed by foreign sovereigns in item 1.3.5.

Report securities issued or guaranteed by central banks in item 1.3.6.

Report securities issued or guaranteed by public sector entities (PSEs) in item 1.3.7.

Report securities issued or guaranteed by the Bank of International Settlements (BIS), the International Monetary Fund (IMF), the European Central Bank (ECB) and European Community (EC) or multilateral development banks (MDBs) in item 1.3.8.

Item 1.4

Item 1.4 collects information on sovereign/central bank debt securities where the sovereign has a non-zero per cent risk weight and so are not eligible for inclusion in item 1.3. Only include debt issued by a sovereign or central bank in a jurisdiction to the extent of the liquidity risk taken in that jurisdiction.

For ARF 210.1A, report unencumbered debt securities issued by the sovereign or central bank in the domestic currency of that country in item 1.4.1.

Report unencumbered debt securities issued by the domestic sovereign or central bank in foreign currencies to the extent that the holding of such debt securities matches the currency needs of the ADI’s operations in that specific jurisdiction in item 1.4.2.

For ARF 210.1B, report unencumbered debt securities issued by the sovereign or central bank, to the extent that the holding of such debt securities matches the currency needs of the ADI’s operations in that specific jurisdiction, in item 1.4.

Item 1.5

Item 1.5 is a derived item on the adjusted amount of HQLA1 stock calculated as the sum of items 1, 1.5.1 and 1.5.2. If the sum is less than zero, zero will be derived for this item. This amount is used for the purpose of calculating the cap on HQLA2 and HQLA2B.

The formula for item 1.5 is:

 

Maximum [sum (item 1 + item 1.5.1 + item 1.5.2),0]

Item 1.5.1 is a derived item for the adjustment to the amount of HQLA1 due to secured lending/borrowing transactions involving HQLA1.

The formula for item 1.5.1 is:

item 11.1.2 + item 11.7.2 + item 19.1.1.1 + item 19.1.2.1 + item 19.1.3.1 + item 19.1.4.1 – item 19.1.1.2 – item 11.1.1 - item 11.2.1 – item 11.3.1 – item 11.4.1 - item 11.7.1 – item 11.7.3 – item 11.7.5 – item 11.7.7

Report the adjustment to the amount of HQLA1 as a result of collateral swaps in item 1.5.2.

 

 

Item 2

Item 2 is a derived item calculated as the sum of HQLA2A reported in items 2.1 to 2.4.

Report the market value of unencumbered marketable debt securities assigned a 20 per cent risk weight under the standardised approach to credit risk of the Basel II framework by counterparty type in items 2.1 and 2.2.

Report securities issued or guaranteed by sovereigns or central banks in item 2.1.

Report securities issued or guaranteed by PSEs or MDBs in item 2.2.

Report non-financial corporate securities with an External Credit Assessment Institution (ECAI) rating of at least a credit rating grade 1 in item 2.3.

Report covered bonds, not issued by the ADI itself or any of its associated entities, with an ECAI rating of at least a credit rating grade 1 in item 2.4.

Item 2.5

Item 2.5 is a derived item for the adjusted amount of HQLA2A stock calculated as the sum of items 2, 2.5.1 and 2.5.2. This amount is used for the purposes of calculating the cap on HQLA2 and HQLA2B.

Item 2.5.1 is a derived item on the adjustment to the amount of HQLA2A due to secured lending/borrowing transactions involving HQLA2A and is calculated by the formula:

item 11.2.2 + item 11.7.4 –  item 19.1.2.2

Report the adjustment to the amount of HQLA2A as a result of collateral swaps in item 2.5.2.

 

 

Item 3

Item 3 is a derived item calculated as the sum of HQLA2B reported in items 3.1 to 3.3.

Report residential mortgage-backed securities (RMBS) with an ECAI rating of at least a credit rating grade 1 in item 3.1.

 

Report non-financial corporate securities with an ECAI rating of at least a credit rating grade 3 in item 3.2.

 

Report all non-financial common equity shares in item 3.3.

Item 3.4

Item 3.4 is a derived item for the adjusted amount of RMBS HQLA2B stock calculated as the sum of items 3.1, 3.4.1 and 3.4.2. This amount is used for the purposes of calculating the cap on HQLA2B.