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 31 March 2023.
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 an electronic method available on APRA’s website or by a method notified by APRA prior to submission.
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 35 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 35 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 due 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 or agent of an ADI submits information under this Reporting Standard using a method notified by APRA, the officer or agent must 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 Risk Management.
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.
Prudential Practice Guide APG 210 Liquidity (APG 210) means the version of APG 210 that exists as at the commencement of this Reporting Standard.
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.
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).
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.
For the purpose of calculating the LCR on an “all currencies” basis, surplus liquid assets in a currency are liquid assets (HQLA, RBNZ eligible securities and ALA, as applicable) that are in excess of net cash outflows (prior to applying the inflow cap) in that currency.
To the extent that surplus liquid assets in one jurisdiction or currency would not be freely available to meet outflows in other jurisdictions or currencies in times of stress, ADIs should exclude these liquid assets from Section A: Liquid assets of ARF 210.1A (Level 1 and Level 2). In such cases, the ADI should include liquid assets in that jurisdiction or currency in the order of most liquid to least liquid, that is, HQLA1 first, then HQLA2A, HQLA2B and finally ALA, up to the amount of net cash outflows in that jurisdiction or currency.
When reporting the LCR for a single currency under item 35 “LCR for significant currencies” in ARF 210.1A, the above approach would not apply and an ADI should include all liquid assets in that currency.
| 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: 
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: 
Report the adjustment to the amount of HQLA1 as a result of collateral swaps in item 1.5.2. |
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| 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: 
Report the adjustment to the amount of HQLA2A as a result of collateral swaps in item 2.5.2. |
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| 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. Item 3.4.1 is a derived item on the adjustment to the amount of RMBS HQLA2B due to secured lending/borrowing transactions involving RMBS HQLA2B and is calculated by the formula:
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