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
- 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 to reporting periods ending on or after 1 April 2021.
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 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.
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: 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. 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: item 11.3.2 + item 11.7.6 – item 19.1.3.2 Report the adjustment to the amount of RMBS HQLA2B as a result of collateral swaps in item 3.4.2. |
Item 3.5 | Item 3.5 is a derived item for the adjusted amount of non-RMBS HQLA2B stock calculated as the sum of items 3.2, 3.3, 3.5.1 and 3.5.2. This amount is used for the purposes of calculating the cap on HQLA2B. Item 3.5.1 is a derived item on the adjustment to the amount of non-RMBS HQLA2B due to secured lending/borrowing transactions involving non-RMBS HQLA2B and is calculated by the formula: item 11.4.2 + item 11.7.8 – item 19.1.4.2 Report the adjustment to the amount of non-RMBS HQLA2B as a result of collateral swaps in item 3.5.2. |
Item 3.6 | Item 3.6 is a derived item for the adjusted amount of HQLA2B stock calculated as the sum of items 3.4 and 3.5. This amount is used for the purposes of calculating the cap on HQLA2B. |
| |
Item 4 | Item 4 is a derived total calculated as the sum of items 1, 2, 3 and 4.3, less items 4.1 and 4.2. The formula for item 4.1 is: Maximum [Adjusted HQLA2B – 15/85*(Adjusted HQLA1 + Adjusted HQLA2A), Adjusted HQLA2B – 15/60*Adjusted HQLA1,0] The formula for item 4.2 is: Maximum [(Adjusted HQLA2A + Adjusted HQLA2B – Adjustment for 15% cap) – 2/3*Adjusted HQLA1,0] For an ADI that has approval from APRA to include other liquid assets in its HQLA stock, report the total approved liquid assets and adjustments in item 4.3. For ADIs where item 4.3 is not applicable, enter a zero amount. |
| |
Item 5 | Report the market value of unencumbered RBNZ eligible securities after applicable Reserve Bank of New Zealand (RBNZ) haircuts and reflective of any RBNZ liquidity policy limits. The securities included must meet the operational requirements defined in paragraphs 22 to 25 of Attachment A of APS 210. This item is only to be completed by locally incorporated ADIs with New Zealand subsidiary operations. Other ADIs are to enter a zero amount in item 5. |
| |
Item 6 | Item 6 is a derived item of total ALA calculated as the sum of items 6.3 and 6.5. Items 6.1, 6.2 and 6.4 are to be completed by ADIs that have a secured committed liquidity facility (CLF) with the RBA that is approved by APRA for LCR purposes. ADIs that do not have a CLF with the RBA are to enter a zero amount in items 6.1, 6.2 and 6.4. |
Item 6.1 | Item 6.1 is a derived item calculated as the sum of items 6.1.1 to 6.1.6. Report the market value less the applicable RBA margins of total eligible assets for the CLF. Eligible assets for the CLF comprise RBA repo-eligible securities. Report only unencumbered securities that meet the operational requirements of paragraphs 22 to 25 of Attachment A of APS 210. For the calculation of the amount of eligible assets for the CLF, exclude RBA repo-eligible securities that are recognised as HQLA1. Report securities issued by supranationals and foreign governments in item 6.1.1. Report securities with an Australian Government or foreign sovereign government guarantee in item 6.1.2. Report ADI issued securities in item 6.1.3. Report asset backed securities in item 6.1.4. Report other private securities in item 6.1.5. Report the total RBA eligible amount of self-securitised assets after the application of relevant margins as per the guidance provided by the RBA in item 6.1.6. |
Item 6.2 | Item 6.2 is a derived item for the available amount of the CLF for the LCR calculation defined in paragraph 15(b) of Attachment A of APS 210 and calculated by the formula: If [(item 6.2.2 + item 6.2.3) > item 6.2.1, 0, (item 6.2.1 - item 6.2.2 - item 6.2.3)] Report the approved size of the CLF with the RBA in item 6.2.1. Item 6.2.2 is a derived item on the adjustment due to secured lending/borrowing transactions involving CLF securities and calculated by the formula: Maximum [(item 11.5.1 – item 19.1.5.1),0] Report the adjustment to the amount of CLF securities as a result of the unwinding of collateral swaps in item 6.2.3. If the adjustment is a negative value, enter a zero amount. |
Item 6.3 | Item 6.3 is a derived item for the amount of CLF assets that can be included in the numerator of the LCR calculation defined in paragraph 15 of Attachment A of APS 210 and calculated by the formula: Minimum (item 6.1, item 6.2) |
Item 6.4 | Report the portion of CLF securities reported in item 6.1 that is maturing in less than 30 days and where the securities are not due to be returned under maturing secured lending transactions. |
Item 6.5 | Report the weighted amount of allowed ALA in offshore jurisdictions. |
| |
Item 7 | Item 7 is a derived item calculated as the sum of items 4, 5 and 6. Item 7 is the total liquid asset stock to be included in the numerator of the LCR calculation. The following instructions for items 7.1 to 7.8 are applicable in ARF 210.1A only: Report the total weighted amount by underlying currency exposures for AUD, NZD, USD, GBP, EUR, JPY and RMB in items 7.1 to 7.7 respectively. Item 7.8 is derived as item 7 less the sum of items 7.1 to 7.7. |
Section B: Cash outflows
This section captures the total value of cash outflows that are used as inputs for the calculation of the denominator of the LCR calculation.
Total expected cash outflows in the LCR stress scenario for the subsequent 30-calendar days are calculated by multiplying the outstanding balances of various categories or types of liabilities and off-balance sheet commitments by the rates at which they are expected to run-off or to be drawn down.
Where applicable, cash outflows should include interest that is expected to be paid during the 30-day time horizon. For contingent items, report the total balance or as instructed.
Where an item could be reported in multiple outflow categories, ADIs are to include that item in the relevant category with the highest cash outflow rate.
To the extent a retail customer (or operational deposits from a customer) has aggregate deposits exceeding the amount of deposit insurance, the amount up to the deposit insurance limit may be treated as insured. Any amount over the limit must be treated as uninsured. To the extent a wholesale deposit is non-operational, if the aggregate deposits exceed the deposit insurance limit, the entire amount of the deposit must be treated as uninsured.
Item 8 | Item 8 is a derived item calculated as the sum of items 8.1 to 8.6. Report stable deposits in item 8.1. For item 8.2, report stable deposits that are eligible for the 3 per cent run-off rate where the deposits are fully insured by an effective deposit insurance scheme. Deposits under the Financial Claims Scheme (FCS) are not eligible for the 3 per cent run-off rate. New Zealand retail deposits are not eligible for a stable run-off rate. Report less stable deposits which are covered by the FCS or an effective deposit insurance scheme in item 8.3. Report less stable deposits which are not covered by the FCS or an effective deposit insurance scheme in item 8.4. Report less stable deposits with a higher run-off rate in item 8.5. Report notice period deposits that have been called and are maturing in the next 30 days in item 8.6. Exclude these amounts from items 8.1 to 8.5. Further guidance is provided in paragraphs 115 to 117 of APG 210. |
| |
Item 9 | Item 9 is a derived item calculated as the sum of items 9.1, 9.2, 9.3, 9.4 and 9.5. Report unsecured wholesale funding in items 9.1 to 9.5. |
Item 9.1 | Item 9.1 is a derived item calculated as the sum of items 9.1.1 to 9.1.6. Report deposits from small and medium enterprise (SME) customers in items 9.1.1 to 9.1.6. For items 9.1.1 to 9.1.6 refer to equivalent reporting instructions under item 8. Where the combined balance of an SME customer’s deposits exceed $2 million, the entire aggregate deposit balance must be treated as a wholesale deposit. |
Item 9.2 | Item 9.2 is a derived item calculated as the sum of items 9.2.2 to 9.2.7. Report deposits from non-financial corporate customers in items 9.2.1 to 9.2.7. Of the amounts reported in items 9.2.2 to 9.2.7, report the amount of non-financial corporate deposits from intra-group entities in item 9.2.1. Report the amount of operational deposits that are fully covered by an effective deposit insurance scheme in item 9.2.2. Report the amount of operational deposits that are fully covered by an effective deposit insurance scheme and are eligible for the 3 per cent run-off rate in item 9.2.3. Report the amount of operational deposits that are not fully covered by an effective deposit insurance scheme in item 9.2.4. Report the amount of non-operational deposits where the entire aggregate amount of the customer’s deposits are below the relevant deposit insurance limit and that are fully covered by an effective deposit insurance scheme in item 9.2.5. Report the amount of non-operational deposits where either any amount of the deposit exceeds the relevant deposit insurance limit or the deposit is not fully covered by an effective deposit insurance scheme in item 9.2.6. Report notice period deposits that have been called and are maturing in the next 30 days in item 9.2.7. Exclude these amounts from items 9.2.2 to 9.2.6. |
Item 9.3 | Item 9.3 is a derived item calculated as the sum of items 9.3.1 to 9.3.7. Report deposits from central banks, sovereigns, PSEs and MDBs in items 9.3.1 to 9.3.7. For items 9.3.1 to 9.3.6 refer to equivalent reporting instructions under item 9.2. Report any additional balances required to be installed in central bank reserves within 30 days in item 9.3.7. |
Item 9.4 | Item 9.4 is a derived item calculated as the sum of items 9.4.2 to 9.4.5. Report deposits from ADI/bank counterparties in items 9.4.1 to 9.4.5. For items 9.4.1 to 9.4.4, refer to equivalent reporting instructions under item 9.2. Include non-operational deposits and notice period deposits that have been called and that are maturing in the next 30 days in item 9.4.5. |
Item 9.5 | Item 9.5 is a derived item calculated as the sum of items 9.5.2 to 9.5.5. Report deposits from other financial institution counterparties and other legal entities in items 9.5.1 to 9.5.5. For items 9.5.1 to 9.5.4, refer to equivalent reporting instructions under item 9.2. Include non-operational deposits and notice period deposits that have been called and that are maturing in the next 30 days in item 9.5.5. |
| |
Item 10 | Item 10 is a derived item calculated as the sum of items 10.1 and 10.2. Report unsecured debt securities issued in the Australian domestic market maturing in the next 30 days in item 10.1. Negotiable certificates of deposit (NCDs) are to be reported under item 10.1 and not as a deposit. Report unsecured debt securities issued in markets other than the Australian domestic market maturing in the next 30 days in item 10.2. |
| |
Item 11 | Item 11 is a derived item calculated as the sum of items 11.1, 11.2, 11.3, 11.4, 11.5, 11.6.1, 11.6.2 and 11.7. Report all outstanding secured funding transactions with remaining maturities within the 30 calendar day stress horizon. Secured funding transactions without a defined maturity date are captured within the 30 calendar day stress horizon. Collateral lent to the ADI’s customers to effect short positions should be treated as a form of secured funding, including customer short positions that do not have a specified contractual maturity. Report any transaction in which the ADI has received a collateralised loan in cash, such as repo transactions, expiring within 30 days. Collateral swaps where the ADI has received a collateralised loan in the form of assets other than cash are to be reported in item 17. For the purposes of this reporting item, if the ADI has deposited both liquid and non-liquid assets in a collateral pool and no assets are specifically assigned as collateral for the secured transaction, the ADI may assume that the assets with the lowest liquidity get assigned first. Report both the amount of funds raised through the transaction and the value of the underlying collateral extended based on the date of reporting of the transaction. Report the portion of the amount raised in the secured funding transaction where the underlying collateral extended for the transaction would otherwise qualify to be reported in Section A (if they were not already securing the particular transaction in question), because: - they would be held unencumbered; and
- they would meet the operational requirement for HQLA as specified in paragraphs 22 to 25 of Attachment A of APS 210.
Report balances in items: 11.1.1, 11.2.1, 11.3.1, 11.4.1, 11.7.1 and 11.7.3. Report the market value of the extended collateral for the portion of the amount raised where the underlying collateral extended for the transaction would otherwise qualify to be reported in Section A (if that collateral is not already securing the particular transaction in question), because: - they would be held unencumbered; and
- they would meet the operational requirement for HQLA as specified in paragraphs 22 to 25 of APS 210 Attachment A.
Report balances in items: 11.1.2, 11.2.2, 11.3.2, 11.4.2, 11.5.1 (report the market value less the applicable RBA margin), 11.7.2 and 11.7.4. |
Item 11.1 | Report the amount of funds raised in a secured funding transaction that matures within 30 days for transactions secured by HQLA1 with any counterparty (where the counterparty is a central bank, other than the RBA, report under item 11.7). |
Item 11.2 | Report the amount of funds raised in a secured funding transaction that matures within 30 days for transactions secured by HQLA2A with any counterparty (where the counterparty is a central bank, other than the RBA, report under item 11.7). |
Item 11.3 | Report the amount of funds raised in a secured funding transaction that matures within 30 days for transactions secured by RMBS HQLA2B with any counterparty (where the counterparty is a central bank, other than the RBA, report under item 11.7). |
Item 11.4 | Report the amount of funds raised in a secured funding transaction that matures within 30 days for transactions secured by non-RMBS HQLA2B with any counterparty (where the counterparty is a central bank, other than the RBA, report under item 11.7). |
Item 11.5 | Items 11.5 and 11.5.1 are to be completed by an ADI that has a secured CLF with the RBA approved by APRA for LCR purposes. For an ADI that does not have a CLF with the RBA enter a zero amount in items 11.5 and 11.5.1. Report the amount of funds raised in a secured funding transaction that matures within 30 days for transactions secured by eligible CLF securities with any counterparty, including the RBA (where the ADI has capacity within the CLF). |
Item 11.6 | Item 11.6 collects information on transactions secured by other assets, ineligible CLF securities and eligible CLF securities where CLF capacity has been reached. ADIs without a secured CLF with the RBA are to report transactions secured by CLF securities under this item. In item 11.6.1, report transactions where the counterparties are domestic sovereigns, MDBs or domestic PSEs (excluding the RBA) with a risk weight of 20 per cent or lower. In item 11.6.2, report transactions with all other counterparties. |
Item 11.7 | Report the amount of funds raised in a secured funding transaction that matures within 30 days for transactions secured by all assets with central banks other than the RBA. Include transactions secured by RBNZ eligible securities under this item. |
| |
Item 12 | Item 12 is a derived item calculated as the sum of items 12.1 and 12.2. Report in item 12.1 the balances of secured funding transactions issued by the ADI, including covered bonds and notes issued from consolidated securitisation SPVs, maturing in 30 days or less. Report in item 12.2 loss of funding from the ADI’s structured financing facilities such as asset backed commercial paper (ABCP), asset backed security (ABS), warehouse and liquidity facilities and other secured financing from SPVs maturing or returnable within 30 days. Include potential liquidity outflows from call options on instruments and facilities that would allow the return of assets in a financing arrangement or that require the originator to provide liquidity, effectively ending the financing arrangement (‘liquidity puts’) within the 30 day period. ADIs are to look through to the maturity of the debt instrument or facility and consider any embedded options that could potentially trigger the return of assets or the need for liquidity. |
| |
Item 13 | Item 13 is a derived item calculated as the sum of items 13.1 to 13.7. Report cash outflows due to increased liquidity needs related to derivatives and other transactions in items 13.1 to 13.7. |
Item 13.1 | Report derivatives cash outflow. Report an amount in accordance with the ADI’s existing valuation methodologies to determine expected contractual derivative cash outflows and inflows. Derivative cash flows may be shown on a net basis if the netted inflows and outflows: a) all occur within the next 30 days; and b) are with the same counterparty; and c) are either subject to a valid master netting agreement; or d) are cash flows arising from one or more FX derivative transactions that involve a full exchange of principal amounts on a simultaneous basis (or within the same day). Report the sum of all net cash outflows under this item. Report the sum of all net cash inflows under item 21.1. Assume options are exercised when they are ‘in the money’ for the option buyer. Where derivative payments are collateralised by HQLA, cash outflows are calculated net of any corresponding cash or collateral inflows that would result, all other things being equal, from contractual obligations for cash or collateral to be provided to the ADI if the ADI is legally entitled and operationally capable to re-use the collateral in new cash raising transactions once the collateral is received. Non-discretionary cash collateral flows arising as a consequence of expected derivative payment flows, including those related to the mutual margining provisions of a credit support annex, should be considered to be ‘expected derivative amounts payable and receivable’ as per footnotes 5 and 8 of Attachment A of APS 210. As such, they are eligible for netting with other expected derivative cash flows, subject to the test above. Exclude from this calculation those liquidity requirements that would result from increased collateral needs due to: - market value movements (i.e. reported in item 13.6); or
- falls in value of collateral posted (i.e. reported in item 13.7).
Note that cash flows do not equal the marked-to-market value since the marked-to-market value also includes estimates for contingent inflows and outflows and may include cash flows that occur beyond the 30 day horizon. It is generally expected that a positive amount is reported in this item and in item 21.1 for ADIs engaged in derivatives transactions. The following instruction on item 13.1 is applicable for the AUD derivatives outflow calculation in ARF 210.1B: For FX transactions involving full exchange of principal relating to: - the transformation of liabilities in one currency for the purpose of funding assets in another, report the gross amount; and
- proprietary trading, market-making or customer facilitation in FX derivatives, exclude the cash flows in their entirety.
Other derivatives may be shown on a net basis if the netted inflows and outflows meet the test above. |
Item 13.2 | Report the amount of collateral that would need to be posted, or contractual cash outflows generated by a downgrade of 3 notches in the ADI's long-term credit rating. Exclude cash outflows from the entity’s own self-securitisation. Triggers linked to the ADI’s short-term rating should be assumed to be triggered at the corresponding long-term credit rating in accordance with published ratings criteria. The impact of the downgrade should consider impacts on all types of margin collateral and contractual triggers which change re-hypothecation rights for non-segregated collateral. This includes drawdown of contingent facilities or early repayment of existing liabilities. Where an ADI has other options besides posting collateral, such as novation or finding a guarantor, the ADI must assume it posts collateral and does not utilise the other options unless and until another option has been completed and executed such that collateral is no longer required to be posted. |
Item 13.3 | Report the amount of non-segregated collateral that the reporting ADI has received from counterparties that could, under legal documentation, be recalled because the collateral is in excess of that counterparty’s current collateral requirements. |
Item 13.4 | Report the amount of collateral that is contractually due from the reporting ADI, but for which the counterparty has not yet demanded the collateral to be posted. |
Item 13.5 | Report the amount of HQLA collateral that can be substituted for non-HQLA collateral without the ADI’s consent, that has been received to secure transactions and that has not been segregated. |
Item 13.6 | Report the largest absolute net 30 day collateral flow realised during the preceding 24 months, where the absolute net collateral flow is based on both realised outflows and inflows. Inflows and outflows of transactions executed under the same master netting agreement may be treated on a net basis. |
Item 13.7 | Report the current market value of non-HQLA1 collateral posted as margin for derivatives and other transactions, net of collateral received, on a counterparty basis (provided that the collateral received is not subject to restrictions on reuse or re-hypothecation). Any collateral that is in a segregated margin account can only be used to offset outflows that are associated with payments that are eligible to be offset from that same account. |
| |
Item 14 | Item 14 is a derived item calculated as the sum of items 14.1.1, 14.2.1, 14.3.1, 14.3.2, 14.4.1, 14.4.2, 14.5.1, 14.6.1, 14.6.2 and 14.7.1. Items 14.1 to 14.7 collect information on balances of the undrawn amounts of committed facilities extended by the ADI to retail customer, SME, non-financial corporate, sovereign, central bank, PSE, MDB, ADI/bank, other financial institution and other legal entity counterparties. Borrower residential mortgage redraw capacity, whether committed or uncommitted, should be reported as committed in item 14. Report undrawn committed facilities, including credit facilities and liquidity facilities, in items 14.1.1, 14.2.1, 14.5.1 and 14.7.1. Exclude amounts that cannot be contractually drawn in the next 30 days based on the terms and conditions of the facility agreement. Report undrawn committed credit facilities in items 14.3.1, 14.4.1 and 14.6.1. Report undrawn committed liquidity facilities in items 14.3.2, 14.4.2 and 14.6.2. The reported amount may be net of any HQLA that is eligible for the stock of HQLA, if: - the HQLA has already been posted as collateral by the counterparty to secure the facilities or that are contractually obliged to be posted when the counterparty will draw down the facility;
- the ADI is legally entitled and operationally capable to re-use the collateral in new cash raising transactions once the facility is drawn; and
- there is no undue correlation between the probability of drawing the facility and the market value of the collateral.
The collateral can be netted against the outstanding amount of the facility to the extent that it is not already counted in the stock of HQLA. ADIs that are providers of associated liquidity facilities, for financing programs reported in item 12 above, that have maturing or liquidity puts that may be exercised in the 30-day horizon, need not double count the maturing financing instrument and the liquidity facility for consolidated programs. For syndicated facilities report the amount of an ADI’s proportionate share of the undrawn committed liquidity facility. |
| |
Item 15 | Item 15 is a derived item calculated as the sum of items 15.1 to 15.5 in column 1 and the sum of items 15.1 and 15.8 in column 3. Report the full amount of contractual obligations to extend funds within the next 30 days, i.e. not netted for the assumed roll-over on the inflows in item 20, and not captured elsewhere in this form by counterparty type. Report the amount to extend to financial institution, retail customer, SME, non-financial corporate and all other entity counterparties in items 15.1 to 15.5 respectively. Item 15.6 is a derived item calculated as the sum of items 15.2 to 15.5 in column 1. Item 15.7 is a derived item calculated as the sum of the roll-over of funds that is implicitly assumed in the inflow section from items 20.1, 20.2, 20.3, 20.4 and 20.6, i.e. the amount in column 1 less the amount in column 3. The total roll-over of inflows is calculated from all counterparties except from financial institution counterparties. Item 15.8 (column 1) is a derived item calculated by the formula: Maximum (item 15.6 – item 15.7, 0) Item 15.8 calculates the total excess contractual outflows from retail customer, SME, non-financial corporate and other entity counterparties after the roll-over of inflows. If the result is positive, it is included in item 15.8 as an outflow. If the result is less than zero, zero will be displayed. |
| |
Item 16 | Item 16 is a derived item calculated as the sum of items 16.1 to 16.9. Report in items 16.1 to 16.9 the full amount, unless otherwise specified, of any other contingent funding obligations not captured in outflow items above. |
Item 16.1 | Report balances of undrawn credit facilities and liquidity facilities which are uncommitted facilities. Exclude amounts that cannot be contractually drawn in the next 30 days based on the terms and conditions of the facility agreement. |
Item 16.2 | Report trade finance related obligations. Report the average of actual monthly net outflows in a recent 12-month period (use zero for monthly net inflows). |
Item 16.3 | Report guarantees and letters of credit other than trade finance related obligations. Exclude guarantees and letters of credit reported in item 16.2. Report the average of actual monthly net outflows in a recent 12-month period (use zero for monthly net inflows). |
Item 16.4 | Report the outstanding amount of the ADI's own unsecured short-term debt securities issued in the Australian domestic market that have maturities greater than 30 days. Insert the applicable run-off rate in column 2. An ADI that has been given approval by APRA to apply a lower debt buyback run-off rate, should enter this lower run-off rate in column 2. |
Item 16.5 | Report the outstanding amount of the ADI's own unsecured long-term debt securities issued in the Australian domestic market that have maturities greater than 30 days. Insert the applicable run-off rate in column 2. An ADI that has been given approval by APRA to apply a lower debt buyback run-off rate, should enter this lower run-off rate in column 2. |
Item 16.6 | Report balances of outstanding short-term debt securities and long-term debt securities, unsecured and secured, issued in the domestic or offshore markets, that have maturities greater than 30 calendar days, to cover the potential repurchase of such outstanding securities where the ADI is an issuer with an affiliated dealer or market maker. Exclude amounts reported in items 16.4 and 16.5. Enter the run-off rate set by the ADI or, if applicable, the rate determined by APRA for the ADI in column 2. |
Item 16.7 | Report the non-contractual obligations related to structured products and managed funds. Report obligations related to structured products where customers anticipate ready marketability, such as adjustable rate notes and variable rate demand notes. Report obligations related to managed funds that are marketed with the objective of maintaining a stable value such as money market mutual funds or other types of stable value collective investment funds. |
Item 16.8 | Report all other non-contractual obligations not captured in the items above. Include obligations where customer short positions are covered by other customers’ collateral that does not qualify as HQLA1 or HQLA2. These are instances where an ADI has internally matched clients’ assets against other clients’ short positions where the collateral does not qualify as HQLA1 or HQLA2, and the ADI could be obligated to find additional sources of funding for these positions in the event of client withdrawals. Instances where the collateral qualifies as HQLA1 or HQLA2 are to be reported in the appropriate item in item 11. Include obligations related to potential liquidity draws from joint ventures or minority investments in entities which are not consolidated under Level 2, where the ADI is the main liquidity provider when the entity is in need of liquidity. Include potential requests for debt buyback of the ADI’s own debt issued in markets other than the Australian domestic market that have maturities greater than 30 days. Exclude amounts reported in item 16.6. Include the balances of potential requests for debt repurchases of related conduits, securities investment vehicles and other such financing facilities having maturities greater than 30 days. Enter the run-off rate for this item set by the ADI or, if applicable, the rate determined by APRA for the ADI in column 2. |
Item 16.9 | Report all other contractual cash outflows not captured in items above. Include contractual outflows within the next 30 days such as outflows to cover unsecured collateral borrowings, uncovered short positions, dividends or contractual interest payments. Exclude outflows related to operating costs of the ADI. |
| |
Item 17 | Report the weighted outflows from collateral swaps maturing within 30 days. |
| |
Item 18 | Item 18 is a derived item for total cash outflows calculated as the sum of items 8 to 16 in column 1 and the sum of items 8 to 17 in column 3. The following instructions on items 18.1 to 18.8 are applicable for ARF 210.1A only: In items 18.1 to 18.8, report the total amount by underlying currency exposure for AUD, NZD, USD, GBP, EUR, JPY, RMB and all other currencies in both columns 1 and 3. Report the cash outflows in column 1 and the weighted cash outflows in column 3. The following instruction is for derivatives cash flow by currency included under items 18.1 to 18.8: For FX transactions involving full exchange of principal relating to: - the transformation of liabilities in one currency for the purpose of funding assets in another, report the gross amount; and
- proprietary trading, market-making or customer facilitation in FX derivatives, exclude the cash flows in their entirety.
Other derivatives may be shown on a net basis if the netted inflows and outflows meet the test above. The following instruction on item 18.1 is applicable for ARF 210.1B only: Of the total cash outflows in item 18, report in item 18.1 total cash outflows due to intra-group entities. Report cash outflows in column 1 and weighted cash outflows in column 3. |
Section C: Cash inflows
This section captures the total value of cash inflows that are used as inputs for the calculation of the denominator of the LCR calculation.
Total expected contractual cash inflows are calculated by multiplying the outstanding balances of various categories of contractual receivables by the rates at which they are expected to flow in under the LCR scenario.
Items must not be double counted. If an asset is included as part of the stock of liquid assets (Section A), the associated cash inflows cannot also be counted as cash inflows in Section C.
For all cash inflow items report the total known contractual cash inflows from outstanding exposures that are fully performing and for which the ADI has no reason to expect a default within the 30-day time horizon. Where applicable, cash inflows should include interest that is expected to be received during the 30-day time horizon.
The following items must not be included as inflows:
- pre-payments on loans (not due within 30 days);
- credit facilities, liquidity facilities or other contingent funding facilities (other than item 21.5) that the ADI holds at other institutions for its own purposes; and
- deposits held at other financial institutions for operational activities as outlined in paragraphs 47 to 50 of Attachment A of APS 210.
Item 19 | Item 19 is a derived item calculated as the sum of items 19.1 and 19.2. Report all outstanding secured lending transactions with remaining maturities within the 30 calendar day stress horizon. Include any transaction in which the ADI has extended a collateralised loan in cash, such as reverse repo transactions and securities borrowing. Report any collateral swaps where the ADI has extended a collateralised loan in the form of assets other than cash in item 22. |
Item 19.1 | Item 19.1 is a derived item calculated as the sum of items 19.1.1, 19.1.2, 19.1.3, 19.1.4, 19.1.5, 19.1.6, 19.1.7 and 19.1.8 of secured lending transactions where the collateral obtained is not re-hypothecated. Items 19.1.5 and 19.1.5.1 are to be completed by ADIs that have a secured CLF with the RBA that is approved by APRA for LCR purposes. ADIs that do not have a CLF with the RBA must enter a zero amount in items 19.1.5 and 19.1.5.1. Include transactions where the collateral received is in the form of HQLA1, HQLA2, RBNZ eligible securities and eligible CLF securities that are not re-hypothecated and are legally and contractually available for the ADI’s use in the appropriate line items of Section A as well as in item 19.1. Report both the amount of funds extended and the value of the underlying collateral received. Report the amount of funds extended in the following items: - transactions secured by HQLA1 in item 19.1.1;
- transactions secured by HQLA2A in item 19.1.2;
- transactions secured by RMBS HQLA2B in item 19.1.3;
- transactions secured by non-RMBS HQLA2B in item 19.1.4;
- transactions secured by eligible CLF securities in item 19.1.5;
- transactions secured by RBNZ eligible securities in item 19.1.6;
- collateralised loans extended to customers for the purpose of taking leveraged trading positions (margin loans) made against other collateral (excluding those reported in items 19.1.1, 19.1.2, 19.1.3, 19.1.4, 19.1.5 and 19.1.6) in item 19.1.7; and
- transactions secured by other collateral including ineligible CLF securities (excluding those reported in items 19.1.1, 19.1.2, 19.1.3, 19.1.4, 19.1.5, 19.1.6 and 19.1.7) in item 19.1.8. ADIs without a secured CLF with the RBA are to report transactions secured by CLF securities in item 19.1.8.
Report the portion of the amount extended in the secured lending transaction involving eligible liquid assets where the collateral obtained is reported in Section A and where the assets meet the operational requirements for liquid assets in the following items: 19.1.1.1, 19.1.2.1, 19.1.3.1 and 19.1.4.1. Report the market value of the collateral received for amounts extended involving eligible liquid assets, transactions where the collateral obtained is reported in Section A and where the assets meet the operational requirements for liquid assets in the following items: 19.1.1.2, 19.1.2.2, 19.1.3.2, 19.1.4.2 and 19.1.5.1 (report the market value less applicable RBA margins). |
Item 19.2 | Item 19.2 is a derived item calculated as the sum of items 19.2.1 to 19.2.6 of secured lending transactions where the collateral obtained is re-hypothecated to cover the reporting ADI’s short positions that could be extended beyond 30 days. Report the total amount of cash extended for transactions maturing within 30 days backed by HQLA1, HQLA2A, RMBS HQLA2B, non-RMBS HQLA2B and other collateral where the collateral is re-hypothecated in items 19.2.1, 19.2.2, 19.2.3, 19.2.4 and 19.2.6 respectively. Report collateralised loans extended to customers for the purpose of taking leveraged trading positions made against non-HQLA collateral where the collateral is re-hypothecated in item 19.2.5. |
| |
Item 20 | Item 20 is a derived item calculated as the sum of items 20.1 to 20.6. Report contractual inflows for all other types of transactions (excluding those reported in item 19), either secured or unsecured, by counterparty type. Include interest payments and instalments that are contractually due within the 30-day horizon from fully performing loans and loans securitised in an SPV (exclude inflows from self-securitised assets when included as part of the stock of liquid assets). Include maturing loans where roll-over of the loan has already been agreed. The agreed roll-over should also be reported by counterparty type in item 15 (paragraphs 61 and 62 of Attachment A of APS 210). Inflows should only be taken at the latest possible date, based on the contractual rights available to counterparties, e.g. existing loans under revolving credit facilities are assumed to be rolled over and any remaining balances are reported in item 14. Exclude inflows from loans that have no specific maturity, i.e. non-maturing, non-defined or open maturity. Include the minimum payments of principal, fee or interest associated with open maturity loans that are contractually due within 30 days. Report cash inflows from retail customer, SME and non-financial corporate counterparties in items 20.1, 20.2 and 20.3 respectively. Report cash inflows from central banks in item 20.4. Include term deposits that expire within 30 days that were not eligible to be included in item 1.2. Report cash inflows from payments on loans and deposits from financial institutions in item 20.5. ADIs may include inflows, in line with the treatment of other related outflows and inflows in the LCR calculation, from the release of balances held in segregated accounts for the protection of customer trading assets, provided that these segregated balances are maintained in HQLA1 or HQLA2. Report cash inflows from other entities in item 20.6 that are not included in items 20.1 to 20.5. Items 20.7 to 20.9 collects information on the inflows from entities which are affiliated with the ADI. Report inflows from intra-group entities that are ADI/bank counterparties in item 20.7. Report inflows from intra-group entities that are financial institution counterparties in item 20.8 excluding amounts reported in item 20.7. Report inflows from other intra-group entities in item 20.9 excluding amounts reported in item 20.7 and item 20.8. |
| |
Item 21 | Item 21 is a derived item calculated as the sum of items 21.1 to 21.5. |
Item 21.1 | Report derivatives cash inflows. Report an amount in accordance with the ADI’s existing valuation methodologies to determine expected contractual derivative cash inflows and outflows. Derivative cash flows may be shown on a net basis if the netted inflows and outflows: a) all occur within the next 30 days; and b) are with the same counterparty; and c) are either subject to a valid master netting agreement; or d) are cash flows arising from one or more FX derivative transactions that involve a full exchange of principal amounts on a simultaneous basis (or within the same day). Report the sum of all net cash inflows under this item. Report the sum of all net cash outflows under item 13.1. Assume options are exercised when they are ‘in the money’ to the option buyer. Where derivative payments are collateralised by HQLA, cash inflows are calculated net of any corresponding cash or collateral outflows that would result, all other things being equal, from contractual obligations for cash or collateral to be posted by the ADI. Non-discretionary cash collateral flows arising as a consequence of expected derivative payment flows, including those related to the mutual margining provisions of a credit support annex, should be considered to be ‘expected derivative amounts payable and receivable’ as per footnotes 5 and 8 of Attachment A of APS 210. As such, they are eligible for netting with other expected derivative cash flows, subject to the test above. Exclude from this calculation those liquidity requirements that would result from increased collateral needs due to: - market value movements (i.e. reported in item 13.6); or
- falls in value of collateral posted (i.e. reported in item 13.7).
Note that cash flows do not equal the marked-to-market value since the marked-to-market value also includes estimates for contingent inflows and outflows and may include cash flows that occur beyond the 30-day horizon. It is generally expected that a positive amount is reported in this item and in item 13.1 for ADIs engaged in derivatives transactions. The following instruction on item 21.1 is applicable for the AUD derivatives inflow calculation in ARF 210.1B: For FX transactions involving the full exchange of principal relating to: - the transformation of liabilities in one currency for the purpose of funding assets in another, report the gross amount; and
- proprietary trading, market-making or customer facilitation in FX derivatives, exclude the cash flows in their entirety.
Other derivatives may be shown on a net basis if the netted inflows and outflows meet the test above. |
Item 21.2 | Item 21.2 is a derived item for contractual inflows from CLF securities maturing in less than, or equal to, 30 days calculated from Section A. Item 21.2 is calculated using the following formula: =IF[item 6.1=item 6.3,0,(IF(item 6.1-item 6.3>=item 6.4,item 6.4,item 6.1-item 6.3))] |
Item 21.3 | Report contractual inflows from other securities maturing in less than or equal to 30 days that are not already included in this form. Include contractual inflows from certificates of deposit, maturing in less than or equal to 30 days provided that they are fully performing (i.e. there is no default expected on those instruments). Exclude HQLA1, HQLA2, RBNZ securities and CLF securities that meet all operational and definitional requirements and that are maturing within 30 days. These are to be included in Section A and not in this item. Assets that are excluded from the liquid asset stock in Section A because they do not meet the operational requirements and are maturing in less than or equal to 30 days may be included as inflows in this item. ADIs that do not have a CLF with the RBA, and that entered zero for items 6.1, 6.2 and 6.4, may include contractual inflows from CLF securities maturing in less than or equal to 30 days in this item. |
Item 21.4 | Report any other contractual cash inflows due in the next 30 days. Exclude cash inflows related to non-financial revenues and contingent inflows. |
Item 21.5 | Item 21.5 is only to be completed, with approval from APRA, by a foreign ADI that is not part of a group that also has a locally incorporated banking subsidiary in Australia as per paragraphs 58 and 59 of Attachment A of APS 210. Report the total amount of any Head Office funds provided via a committed funding facility in column 1. Column 3 is a derived field that will determine the amount of the facility reported in column 1, which may be relied upon by a foreign ADI for the purpose of meeting its LCR requirement. The amount that may be relied on is the minimum of the amount of the facility or 20 per cent (20 per cent is calculated as the 40 per cent LCR requirement times 50 per cent of that requirement) of total cash outflows in item 18. |
| |
Item 22 | Report the weighted inflows from collateral swaps maturing within 30 days. |
| |
Item 23 | Item 23 is a derived item for total cash inflows calculated as the sum of items 19 to 21 in column 1 and the sum of items 19 to 22 in column 3. The following instructions on items 23.1 to 23.8 are applicable for ARF 210.1A only: In items 23.1 to 23.8, report the total amount of cash inflows by underlying currency exposure for AUD, NZD, USD, GBP, EUR, JPY, RMB and all other currencies in columns 1 and 3. Report the cash inflows in column 1 and the weighted cash inflows in column 3. The following instruction is for derivatives cash flow by currency included under items 23.1 to 23.8. For FX transactions involving full exchange of principal relating to: - the transformation of liabilities in one currency for the purpose of funding assets in another, report the gross amount; and
- proprietary trading, market-making or customer facilitation in FX derivatives, exclude the cash flows in their entirety.
Other derivatives may be shown on a net basis if the netted inflows and outflows meet the test above. The following instruction on item 23.1 is applicable for ARF 210.1B only: Of the total cash inflows in item 23, report in item 23.1 total cash inflows due from intra-group entities. Report cash inflows in column 1 and the weighted cash inflows in column 3. |
Section D: Cash outflows and cash inflows by currency
This section captures the currency mismatches for AUD, NZD, USD, GBP, EUR, JPY, RMB and all other currencies before applying the 75 per cent cap on cash inflows. All items in Section D are derived. Items 24.1 to 24.8 are equal to the respective amounts in item 18 less the respective amounts in item 23.
In ARF 210.1B, only item 24 is derived.
Section E: Calculation of the LCR
Item 25 | Item 25 is a derived item and is equal to item 4. |
| |
Item 26 | Item 26 is a derived item calculated as the sum of item 5 and item 6. |
| |
Item 27 | Item 27 is a derived item and is equal to item 18 (column 3). |
| |
Item 28 | Item 28 is a derived item which equals the lower of: - inflows in item 23 (column 3); or
- 75 per cent of outflows in item 18 (column 3).
Total expected contractual cash inflows are calculated up to an aggregate cap of 75 per cent of total expected cash outflows (paragraph 30 of Attachment A of APS 210). |
| |
Item 29 | Item 29 is a derived item calculated as the sum of items 27 and 29.1, less item 28. |
Item 29.1 | Report the amount of any adjustments applied to net cash outflows that are specific to the application of the requirements of paragraph 70 of APS 210. If APRA has not advised the ADI of a net cash outflow overlay, report zero in item 29.1. |
| |
Item 30 | Item 30 is a derived item of the LCR calculated as the sum of items 25 and 26 divided by item 29 and multiplied by 100. |
| |
Item 31 | Report the ADI’s board-approved minimum LCR as contained in its Liquidity Management Strategy. |
| |
Item 32 | Report the ADI’s lowest end of day LCR during the reporting period. |
Item 33 | Report the ADI’s highest end of day LCR during the reporting period. |
Item 34 | Report the ADI’s mean end of day LCR during the reporting period. Use business days only. |
The following instruction for item 35 is applicable for ARF 210.1A only.
Item 35 | Report the foreign currency LCR for all currencies where the ADI’s total liabilities in that currency (before any hedging) exceed five per cent of the ADI’s total liabilities at any time during the quarter. When reporting the LCR for a single currency an ADI should include all liquid assets in that currency. Foreign ADIs are not required to report item 35. |
ARF_210_2: Minimum Liquidity Holdings Ratio | |
| | |
Australian Business Number | Institution Name |
| |
Reporting Period | Scale Factor |
Quarterly | Millions to one decimal place for banks / Whole dollars no decimal place for ADIs other than banks |
Reporting Consolidation | |
Level 1 / Level 2 / Domestic books |
Section A: Calculation of minimum liquidity holdings (MLH) |
- Cash
| |
1.1. Notes and coin | |
1.2. Settlement funds due from clearing houses | |
1.3. Settlement funds due from | |
1.3.1. RBA | |
1.3.2. Major banks | |
1.3.3. Other locally incorporated LCR ADIs | |
1.3.4. Other locally incorporated ADIs not included above | |
1.3.5. Foreign ADIs | |
2. Australian Government and semi-government securities | |
|
