Financial Sector (Collection of Data) (reporting standard) determination No. 4 of 2022 (Cth)

Financial Sector (Collection of Data) (reporting standard) determination No. 4 of 2022

Reporting Standard ARS 210.0 Liquidity

Financial Sector (Collection of Data) Act 2001

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

(a)revoke Financial Sector (Collection of Data) (reporting standard) determination No. 8 of 2021, including Reporting Standard ARS 210.0 Liquidity made under that Determination; and

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

Under section 15 of the Act, I declare that the reporting standard shall begin to apply to those financial sector entities, and the revoked reporting standard shall cease to apply, on the day it is registered on the Federal Register of Legislation.

This instrument commences upon registration on the Federal Register of Legislation.

Dated: 23 February 2022

Alison Bliss

General Manager

Data Analytics & Insights Division

Interpretation

In this Determination:

APRA means the Australian Prudential Regulation Authority.

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

Schedule

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

Reporting Standard ARS 210.0

Liquidity

Objective of this Reporting Standard

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

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

Authority

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

Purpose

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

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).

This Reporting Standard applies for reporting periods ending on or after 31 March 2022.

Information required

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.

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.

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.

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

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.

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

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).

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.

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.

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

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.

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

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

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.

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

Transition

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

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.

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

ARF_210_1A: Liquidity Coverage Ratio - all currencies

Australian Business Number	Institution Name
Reporting Period	Scale Factor
Quarterly	Millions to one decimal place
Reporting Consolidation
Level 1 / Level 2 / Domestic books

Section A: Liquid assets

Market value/amount	Weight	Weighted amount
(1)	(2)	(3)
1. HQLA1
1.1. Notes and coin
1.2. Central bank balances
1.2.1. Held with the RBA
1.2.2. Held with foreign central banks
1.3. Securities with zero per cent risk weight
1.3.1. Australian Government
1.3.2. Australian State Government or Territory Central Borrowing Authorities
1.3.3. Issued by foreign sovereigns
1.3.4. Guaranteed by the Australian Government
1.3.5. Guaranteed by foreign sovereigns
1.3.6. Issued or guaranteed by central banks
1.3.7. Issued or guaranteed by PSEs
1.3.8. Issued or guaranteed by BIS, IMF, ECB and EC or MDBs
1.4. Sovereign/central bank debt securities where the sovereign has a non-zero per cent risk weight
1.4.1. Issued in domestic currencies in the country in which the liquidity risk is being taken
1.4.2. Issued in foreign currencies up to the amount of the ADI's stressed net cash outflows in that specific foreign currency stemming from the ADI's operations in the jurisdiction where the ADI's liquidity risk is being taken
1.5. Adjusted amount of HQLA1 stock
1.5.1. Adjustment due to secured lending/borrowing transactions
1.5.2. Adjustment due to collateral swaps
2. HQLA2A
2.1. Securities issued or guaranteed by sovereigns or central banks with 20 per cent risk weight
2.2. Securities issued or guaranteed by PSEs or MDBs with 20 per cent risk weight
2.3. Non-financial corporate securities (Credit Rating Grade 1)
2.4. Covered bonds, not self-issued (Credit Rating Grade 1)
2.5. Adjusted amount of HQLA2A stock
2.5.1. Adjustment due to secured lending/borrowing transactions
2.5.2. Adjustment due to collateral swaps
3. HQLA2B
3.1. Residential mortgage-backed securities (Credit Rating Grade 1)
3.2. Non-financial corporate securities (Credit Rating Grade 3)
3.3. Non-financial common equity shares
3.4. Adjusted amount of RMBS HQLA2B stock
3.4.1. Adjustment due to secured lending/borrowing transactions
3.4.2. Adjustment due to collateral swaps
3.5. Adjusted amount of non-RMBS HQLA2B stock
3.5.1. Adjustment due to secured lending/borrowing transactions
3.5.2. Adjustment due to collateral swaps
3.6. Adjusted amount of HQLA2B (RMBS and non-RMBS) stock
4. Total HQLA
4.1. Adjustment to stock of HQLA due to the 15 per cent cap on HQLA2B
4.2. Adjustment to stock of HQLA due to the 40 per cent cap on HQLA2
4.3. Adjustment to the amount of HQLA for the inclusion of other liquid assets as approved by APRA
5. RBNZ eligible securities
6. Alternative liquid assets (ALA)
6.1. Market value of total eligible assets securing the CLF less applicable RBA margin
6.1.1. Securities issued by supranationals and foreign government
6.1.2. Securities with Australian Government or foreign sovereign government guarantee
6.1.3. ADI issued securities
6.1.4. Asset backed securities
6.1.5. Other private securities
6.1.6. Self-securitised assets
6.2. Available amount of the CLF for the LCR calculation
6.2.1. Approved size of the CLF
6.2.2. Adjustment due to secured funding/lending transactions
6.2.3. Adjustment due to collateral swaps
6.3. Amount of eligible CLF assets that can be included in numerator of the reporting ADI's LCR calculation
6.4. Of the amount reported in item 6.1, the amount of CLF securities maturing <= 30 days where the securities are not due to be returned under maturing secured lending transactions
6.5. Amount available as ALA in offshore jurisdictions
7. Total HQLA plus RBNZ eligible securities plus ALA
7.1. AUD
7.2. NZD
7.3. USD
7.4. GBP
7.5. EUR
7.6. JPY
7.7. RMB
7.8. All other currencies

Section B: Cash outflows

Amount	Weight	Weighted amount
(1)	(2)	(3)
8. Retail deposits
8.1. Stable deposits
8.2. Stable deposits eligible for 3 per cent run-off rate
8.3. Less stable deposits which are covered by FCS or government deposit insurance scheme
8.4. Less stable deposits which are not covered by FCS or government deposit insurance scheme
8.5. Less stable deposits with higher run-off rate
8.6. Called notice period deposits with 30 days or less to maturity
9. Unsecured wholesale funding
9.1. SME
9.1.1. Stable deposits
9.1.2. Stable deposits eligible for 3 per cent run-off rate
9.1.3. Less stable deposits which are covered by FCS or government deposit insurance scheme
9.1.4. Less stable deposits which are not covered by FCS or government deposit insurance scheme
9.1.5. Less stable deposits with higher run-off
9.1.6. Called notice period deposits with 30 days or less to maturity
9.2. Non-financial corporate
9.2.1. of which: Intra-group
9.2.2. Operational deposit amounts fully covered by deposit insurance
9.2.3. Operational deposit amounts fully covered by deposit insurance and eligible for 3 per cent run-off rate
9.2.4. Operational deposit amounts not fully covered by deposit insurance
9.2.5. Non-operational deposits where the entire deposit is fully covered by deposit insurance
9.2.6. Non-operational deposits where the entire deposit is not fully covered by deposit insurance
9.2.7. Called notice period deposits with 30 days or less to maturity
9.3. Sovereign, central bank, PSE and MDB
9.3.1. Operational deposit amounts fully covered by deposit insurance
9.3.2. Operational deposit amounts fully covered by deposit insurance and eligible for 3 per cent run-off rate
9.3.3. Operational deposit amounts not fully covered by deposit insurance
9.3.4. Non-operational deposits where the entire deposit is fully covered by deposit insurance
9.3.5. Non-operational deposits where the entire deposit is not fully covered by deposit insurance
9.3.6. Called notice period deposits with 30 days or less to maturity
9.3.7. Additional balances required to be installed in central bank reserves
9.4. ADI/Bank
9.4.1. of which: Intra-group
9.4.2. Operational deposit amounts fully covered by deposit insurance
9.4.3. Operational deposit amounts fully covered by deposit insurance and eligible for 3 per cent run-off rate
9.4.4. Operational deposit amounts not fully covered by deposit insurance
9.4.5. Non-operational deposits and called notice period deposits with 30 days or less to maturity
9.5. Other financial institutions and other legal entities
9.5.1. of which: Intra-group
9.5.2. Operational deposit amounts fully covered by deposit insurance
9.5.3. Operational deposit amounts fully covered by deposit insurance and eligible for 3 per cent run-off rate
9.5.4. Operational deposit amounts not fully covered by deposit insurance
9.5.5. Non-operational deposits and called notice period deposits with 30 days or less to maturity
10. Unsecured debt securities issued
10.1. Domestic
10.2. Offshore
11. Secured funding
11.1. Amount received in transactions secured by HQLA1 with any counterparty
11.1.1. of which: transactions involving eligible HQLA1 that meet all operational requirements to be included in HQLA stock except for being encumbered in the secured funding transactions reported under 11.1
11.1.2. Market value of HQLA1 collateral extended for transactions reported under 11.1.1
11.2. Amount received in transactions secured by HQLA2A with any counterparty
11.2.1. of which: transactions involving eligible HQLA2A that meet all operational requirements to be included in HQLA stock except for being encumbered in the secured funding transactions reported under 11.2
11.2.2. Market value of HQLA2A collateral extended for transactions reported under 11.2.1
11.3. Amount received in transactions secured by RMBS HQLA2B with any counterparty
11.3.1. of which: transactions involving eligible RMBS HQLA2B that meet all operational requirements to be included in HQLA stock except for being encumbered in the secured funding transactions reported under 11.3
11.3.2. Market value of RMBS HQLA2B collateral extended for transactions reported under 11.3.1
11.4. Amount received in transactions secured by non-RMBS HQLA2B with any counterparty
11.4.1. of which: transactions involving eligible non-RMBS HQLA2B that meet all operational requirements to be included in HQLA stock except for being encumbered in the secured funding transactions reported under 11.4
11.4.2. Market value of non-RMBS HQLA2B collateral extended for transactions reported under 11.4.1
11.5. Amount received in transactions secured by eligible CLF securities with any counterparty where the ADI has capacity within the CLF
11.5.1. Market value less RBA margin of CLF securities collateral extended for transactions reported under 11.5
11.6. Amount received in transactions secured by other assets, ineligible CLF securities and eligible CLF securities where CLF capacity has been reached
11.6.1. Where the counterparties are domestic sovereigns, MDBs or domestic PSEs with a risk weight of 20 per cent or lower
11.6.2. All other counterparties
11.7. Amount received in transactions secured by all assets with central banks in offshore jurisdictions
11.7.1. of which: transactions involving eligible HQLA1 that meet all operational requirements to be included in HQLA stock except for being encumbered in the secured funding transactions reported under 11.7
11.7.2. Market value of HQLA1 collateral extended for transactions reported under 11.7.1
11.7.3. of which: transactions involving eligible HQLA2A that meet all operational requirements to be included in HQLA stock except for being encumbered in the secured funding transactions reported under 11.7
11.7.4. Market value of HQLA2A collateral extended for transactions reported under 11.7.3
11.7.5. of which: transactions involving eligible RMBS HQLA2B that meet all operational requirements to be included in HQLA stock except for being encumbered in the secured funding transactions reported under 11.7
11.7.6. Market value of RMBS HQLA2B collateral extended for transactions reported under 11.7.5
11.7.7. of which: transactions involving eligible non-RMBS HQLA2B that meet all operational requirements to be included in HQLA stock except for being encumbered in the secured funding transactions reported under 11.7
11.7.8. Market value of non-RMBS HQLA2B collateral extended for transactions reported under 11.7.7
12. ABCP, ABS, covered bonds and other structured financing instruments/facilities
12.1. Maturing secured funding transactions issued by the ADI itself
12.2. Loss of funding due to refinancing of maturing debt, maturing facilities, embedded options and other potential loss of funding
13. Increased liquidity needs related to derivatives and other transactions
13.1. Derivatives cash outflow
13.2. Due to a downgrade of 3 notches in the ADI’s long-term credit rating
13.3. Excess non-segregated collateral held by the ADI that could contractually be called at any time by the counterparty
13.4. Contractually required collateral on transactions for which the counterparty has not yet demanded the collateral be posted
13.5. Contracts that allow collateral substitution to non-HQLA without the ADI's consent
13.6. Collateral outflows due to market valuation changes on derivative transactions and other transactions
13.7. Valuation changes on posted non-HQLA1 collateral securing derivatives and other transactions
14. Committed facilities
14.1. Retail customer
14.1.1. Committed credit/liquidity facilities
14.2. SME
14.2.1. Committed credit/liquidity facilities
14.3. Non-financial corporate
14.3.1. Committed credit facilities
14.3.2. Committed liquidity facilities
14.4. Sovereign, central bank, PSE and MDB
14.4.1. Committed credit facilities
14.4.2. Committed liquidity facilities
14.5. ADIs/Banks subject to prudential supervision
14.5.1. Committed credit/liquidity facilities
14.6. Other financial institutions
14.6.1. Committed credit facilities
14.6.2. Committed liquidity facilities
14.7. Other legal entities
14.7.1. Committed credit/liquidity facilities
15. Other contractual obligations to extend funds
15.1. Financial institution
15.2. Retail customer
15.3. SME
15.4. Non-financial corporate
15.5. Other entities
15.6. Total outflows from retail, SME, non-financial corporate and other entities
15.7. Total roll-over of inflows from all counterparties except from financial institutions
15.8. Total excess other contractual obligations outflows (excluding financial institutions) after roll-over of inflows
16. Other contingent funding obligations
16.1. Uncommitted credit and liquidity facilities
16.2. Trade finance related obligations
16.3. Guarantees and letters of credit other than trade finance related obligations
16.4. Buyback of the ADI's own short-term debt securities issued in the Australian domestic market
16.5. Buyback of the ADI's own long-term debt securities issued in the Australian domestic market
16.6. Buyback of debt securities issued through an affiliated dealer or market maker
16.7. Obligations related to structured products and managed funds
16.8. Other non-contractual obligations
16.9. Other contractual cash outflows
17. Cash outflows due to collateral swaps
18. Total cash outflows
18.1. AUD
18.2. NZD
18.3. USD
18.4. GBP
18.5. EUR
18.6. JPY
18.7. RMB
18.8. All other currencies

Section C: Cash inflows

Amount	Weight	Weighted amount
(1)	(2)	(3)
19. Secured lending
19.1. Reverse repo and other secured lending where collateral is not re-hypothecated
19.1.1. amount extended in transactions secured by HQLA1
19.1.1.1. of which: transactions involving eligible HQLA1
19.1.1.2. market value of received HQLA1 for transactions reported in item 19.1.1.1
19.1.2. amount extended in transactions secured by HQLA2A
19.1.2.1. of which: transactions involving eligible HQLA2A
19.1.2.2. market value of received HQLA2A for transactions reported in item 19.1.2.1
19.1.3. amount extended in transactions secured by RMBS HQLA2B
19.1.3.1. of which: transactions involving eligible RMBS HQLA2B
19.1.3.2. market value of received RMBS HQLA2B for transactions reported in item 19.1.3.1
19.1.4. amount extended in transactions secured by non-RMBS HQLA2B
19.1.4.1. of which: transactions involving eligible non-RMBS HQLA2B
19.1.4.2. market value of received non-RMBS HQLA2B for transactions reported in item 19.1.4.1
19.1.5. amount extended in transactions secured by eligible CLF securities where the securities received are included in Section A
19.1.5.1. market value less RBA margin of received CLF securities for transactions reported in item 19.1.5
19.1.6. amount extended in transactions secured by RBNZ eligible securities
19.1.7. margin lending backed by other collateral
19.1.8. amount extended in transactions secured by other collateral including ineligible CLF securities
19.2. Reverse repo and other secured lending where collateral is re-hypothecated
19.2.1. amount extended in transactions secured by HQLA1
19.2.2. amount extended in transactions secured by HQLA2A
19.2.3. amount extended in transactions secured by RMBS HQLA2B
19.2.4. amount extended in transactions secured by non-RMBS HQLA2B
19.2.5. margin lending backed by non-HQLA1 or non-HQLA2
19.2.6. amount extended in transactions secured by other collateral
20. Other inflows by counterparty
20.1. Retail customer
20.2. SME
20.3. Non-financial corporate
20.4. Central bank
20.5. Financial institution
20.6. Other entities
20.7. of which: Intra-group (ADI/bank)
20.8. of which: Intra-group (financial institutions)
20.9. of which: Intra-group (other entities)
21. Other cash inflows
21.1. Derivatives cash inflows
21.2. Contractual inflows from CLF securities maturing <= 30 days that are in excess of the available CLF amount
21.3. Contractual inflows from other securities maturing <= 30 days
21.4. Other contractual cash inflows
21.5. Amount of committed home office support
22. Cash inflows due to collateral swaps
23. Total cash inflows
23.1. AUD
23.2. NZD
23.3. USD
23.4. GBP
23.5. EUR
23.6. JPY
23.7. RMB
23.8. All other currencies

Section D: Cash outflows minus cash inflows by currency

Amount	Weighted amount
(1)	(3)
24. Cash outflows minus cash inflows
24.1. AUD
24.2. NZD
24.3. USD
24.4. GBP
24.5. EUR
24.6. JPY
24.7. RMB
24.8. All other currencies

Section E: Calculation of the LCR

25. Total HQLA

26. RBNZ eligible securities plus ALA

27. Total cash outflows

28. Total cash inflows after applying the inflow cap

29. Net cash outflows

29.1. Net cash outflows overlay

30. LCR

31. Minimum LCR per liquidity management strategy

32. Lowest LCR during reporting period

33. Highest LCR during reporting period

34. Mean LCR during reporting period

35. LCR for significant currencies
Currency	LCR	Highest LCR	Lowest LCR	Mean LCR
(1)	(2)	(3)	(4)	(5)
Currency list

ARF_210_1B: Liquidity Coverage Ratio – AUD only

Australian Business Number	Institution Name
Reporting Period	Scale Factor
Quarterly	Millions to one decimal place
Reporting Consolidation
Level 1 / Level 2 / Domestic books

Section A: Liquid assets

Market value/amount	Weight	Weighted amount
(1)	(2)	(3)
1. HQLA1
1.1. Notes and coin
1.2. Central bank balances
1.2.1. Held with the RBA
1.2.2. Held with foreign central banks
1.3. Securities with zero per cent risk weight
1.3.1. Australian Government
1.3.2. Australian State Government or Territory Central Borrowing Authorities
1.3.3. Issued by foreign sovereigns
1.3.4. Guaranteed by the Australian Government
1.3.5. Guaranteed by foreign sovereigns
1.3.6. Issued or guaranteed by central banks
1.3.7. Issued or guaranteed by PSEs
1.3.8. Issued or guaranteed by BIS, IMF, ECB and EC or MDBs
1.4. Sovereign/central bank debt securities where the sovereign has a non-zero per cent risk weight
1.5. Adjusted amount of HQLA1 stock
1.5.1. Adjustment due to secured lending/borrowing transactions
1.5.2. Adjustment due to collateral swaps
2. HQLA2A
2.1. Securities issued or guaranteed by sovereigns or central banks with 20 per cent risk weight
2.2. Securities issued or guaranteed by PSEs or MDBs with 20 per cent risk weight
2.3. Non-financial corporate securities (Credit Rating Grade 1)
2.4. Covered bonds, not self-issued (Credit Rating Grade 1)
2.5. Adjusted amount of HQLA2A stock
2.5.1. Adjustment due to secured lending/borrowing transactions
2.5.2. Adjustment due to collateral swaps
3. HQLA2B
3.1. Residential mortgage-backed securities (Credit Rating Grade 1)
3.2. Non-financial corporate securities (Credit Rating Grade 3)
3.3. Non-financial common equity shares
3.4. Adjusted amount of RMBS HQLA2B stock
3.4.1. Adjustment due to secured lending/borrowing transactions
3.4.2. Adjustment due to collateral swaps
3.5. Adjusted amount of non-RMBS HQLA2B stock
3.5.1. Adjustment due to secured lending/borrowing transactions
3.5.2. Adjustment due to collateral swaps
3.6. Adjusted amount of HQLA2B (RMBS and non-RMBS) stock
4. Total HQLA
4.1. Adjustment to stock of HQLA due to the 15 per cent cap on HQLA2B
4.2. Adjustment to stock of HQLA due to the 40 per cent cap on HQLA2
4.3. Adjustment to the amount of HQLA for the inclusion of other liquid assets as approved by APRA
5. RBNZ eligible securities
6. Alternative liquid assets (ALA)
6.1. Market value of total eligible assets securing the CLF less applicable RBA margin
6.1.1. Securities issued by supranationals and foreign government
6.1.2. Securities with Australian Government or foreign sovereign government guarantee
6.1.3. ADI issued securities
6.1.4. Asset backed securities
6.1.5. Other private securities
6.1.6. Self-securitised assets
6.2. Available amount of the CLF for the LCR calculation
6.2.1. Approved size of the CLF
6.2.2. Adjustment due to secured funding/lending transactions
6.2.3. Adjustment due to collateral swaps
6.3. Amount of eligible CLF assets that can be included in numerator of the reporting ADI's LCR calculation
6.4. Of the amount reported in item 6.1, the amount of CLF securities maturing <= 30 days where the securities are not due to be returned under maturing secured lending transactions
6.5. Amount available as ALA in offshore jurisdictions
7. Total HQLA plus RBNZ eligible securities plus ALA

Section B: Cash outflows

Amount	Weight	Weighted amount
(1)	(2)	(3)
8. Retail deposits
8.1. Stable deposits
8.2. Stable deposits eligible for 3 per cent run-off rate
8.3. Less stable deposits which are covered by FCS or government deposit insurance scheme
8.4. Less stable deposits which are not covered by FCS or government deposit insurance scheme
8.5. Less stable deposits with higher run-off rate
8.6. Called notice period deposits with 30 days or less to maturity
9. Unsecured wholesale funding
9.1. SME
9.1.1. Stable deposits
9.1.2. Stable deposits eligible for 3 per cent run-off rate
9.1.3. Less stable deposits which are covered by FCS or government deposit insurance scheme
9.1.4. Less stable deposits which are not covered by FCS or government deposit insurance scheme
9.1.5. Less stable deposits with higher run-off
9.1.6. Called notice period deposits with 30 days or less to maturity
9.2. Non-financial corporate
9.2.1. of which: Intra-group
9.2.2. Operational deposit amounts fully covered by deposit insurance
9.2.3. Operational deposit amounts fully covered by deposit insurance and eligible for 3 per cent run-off rate
9.2.4. Operational deposit amounts not fully covered by deposit insurance
9.2.5. Non-operational deposits where the entire deposit is fully covered by deposit insurance
9.2.6. Non-operational deposits where the entire deposit is not fully covered by deposit insurance
9.2.7. Called notice period deposits with 30 days or less to maturity
9.3. Sovereign, central bank, PSE and MDB
9.3.1. Operational deposit amounts fully covered by deposit insurance
9.3.2. Operational deposit amounts fully covered by deposit insurance and eligible for 3 per cent run-off rate
9.3.3. Operational deposit amounts not fully covered by deposit insurance
9.3.4. Non-operational deposits where the entire deposit is fully covered by deposit insurance
9.3.5. Non-operational deposits where the entire deposit is not fully covered by deposit insurance
9.3.6. Called notice period deposits with 30 days or less to maturity
9.3.7. Additional balances required to be installed in central bank reserves
9.4. ADI/Bank
9.4.1. of which: Intra-group
9.4.2. Operational deposit amounts fully covered by deposit insurance
9.4.3. Operational deposit amounts fully covered by deposit insurance and eligible for 3 per cent run-off rate
9.4.4. Operational deposit amounts not fully covered by deposit insurance
9.4.5. Non-operational deposits and called notice period deposits with 30 days or less to maturity
9.5. Other financial institutions and other legal entities
9.5.1. of which: Intra-group
9.5.2. Operational deposit amounts fully covered by deposit insurance
9.5.3. Operational deposit amounts fully covered by deposit insurance and eligible for 3 per cent run-off rate
9.5.4. Operational deposit amounts not fully covered by deposit insurance
9.5.5. Non-operational deposits and called notice period deposits with 30 days or less to maturity
10. Unsecured debt securities issued
10.1. Domestic
10.2. Offshore
11. Secured funding
11.1. Amount received in transactions secured by HQLA1 with any counterparty
11.1.1. of which: transactions involving eligible HQLA1 that meet all operational requirements to be included in HQLA stock except for being encumbered in the secured funding transactions reported under 11.1
11.1.2. Market value of HQLA1 collateral extended for transactions reported under 11.1.1
11.2. Amount received in transactions secured by HQLA2A with any counterparty
11.2.1. of which: transactions involving eligible HQLA2A that meet all operational requirements to be included in HQLA stock except for being encumbered in the secured funding transactions reported under 11.2
11.2.2. Market value of HQLA2A collateral extended for transactions reported under 11.2.1
11.3. Amount received in transactions secured by RMBS HQLA2B with any counterparty
11.3.1. of which: transactions involving eligible RMBS HQLA2B that meet all operational requirements to be included in HQLA stock except for being encumbered in the secured funding transactions reported under 11.3
11.3.2. Market value of RMBS HQLA2B collateral extended for transactions reported under 11.3.1
11.4. Amount received in transactions secured by non-RMBS HQLA2B with any counterparty
11.4.1. of which: transactions involving eligible non-RMBS HQLA2B that meet all operational requirements to be included in HQLA stock except for being encumbered in the secured funding transactions reported under 11.4
11.4.2. Market value of non-RMBS HQLA2B collateral extended for transactions reported under 11.4.1
11.5. Amount received in transactions secured by eligible CLF securities with any counterparty where the ADI has capacity within the CLF
11.5.1. Market value less RBA margin of CLF securities collateral extended for transactions reported under 11.5
11.6. Amount received in transactions secured by other assets, ineligible CLF securities and eligible CLF securities where CLF capacity has been reached
11.6.1. Where the counterparties are domestic sovereigns, MDBs or domestic PSEs with a risk weight of 20 per cent or lower
11.6.2. All other counterparties
11.7. Amount received in transactions secured by all assets with central banks in offshore jurisdictions
11.7.1. of which: transactions involving eligible HQLA1 that meet all operational requirements to be included in HQLA stock except for being encumbered in the secured funding transactions reported under 11.7
11.7.2. Market value of HQLA1 collateral extended for transactions reported under 11.7.1
11.7.3. of which: transactions involving eligible HQLA2A that meet all operational requirements to be included in HQLA stock except for being encumbered in the secured funding transactions reported under 11.7
11.7.4. Market value of HQLA2A collateral extended for transactions reported under 11.7.3
11.7.5. of which: transactions involving eligible RMBS HQLA2B that meet all operational requirements to be included in HQLA stock except for being encumbered in the secured funding transactions reported under 11.7
11.7.6. Market value of RMBS HQLA2B collateral extended for transactions reported under 11.7.5
11.7.7. of which: transactions involving eligible non-RMBS HQLA2B that meet all operational requirements to be included in HQLA stock except for being encumbered in the secured funding transactions reported under 11.7
11.7.8. Market value of non-RMBS HQLA2B collateral extended for transactions reported under 11.7.7
12. ABCP, ABS, covered bonds and other structured financing instruments/facilities
12.1. Maturing secured funding transactions issued by the ADI itself
12.2. Loss of funding due to refinancing of maturing debt, maturing facilities, embedded options and other potential loss of funding
13. Increased liquidity needs related to derivatives and other transactions
13.1. Derivatives cash outflow
13.2. Due to a downgrade of 3 notches in the ADI’s long-term credit rating
13.3. Excess non-segregated collateral held by the ADI that could contractually be called at any time by the counterparty
13.4. Contractually required collateral on transactions for which the counterparty has not yet demanded the collateral be posted
13.5. Contracts that allow collateral substitution to non-HQLA without the ADI's consent
13.6. Collateral outflows due to market valuation changes on derivative transactions and other transactions
13.7. Valuation changes on posted non-HQLA1 collateral securing derivatives and other transactions
14. Committed facilities
14.1. Retail customer
14.1.1. Committed credit/liquidity facilities
14.2. SME
14.2.1. Committed credit/liquidity facilities
14.3. Non-financial corporate
14.3.1. Committed credit facilities
14.3.2. Committed liquidity facilities
14.4. Sovereign, central bank, PSE and MDB
14.4.1. Committed credit facilities
14.4.2. Committed liquidity facilities
14.5. ADIs/Banks subject to prudential supervision
14.5.1. Committed credit/liquidity facilities
14.6. Other financial institutions
14.6.1. Committed credit facilities
14.6.2. Committed liquidity facilities
14.7. Other legal entities
14.7.1. Committed credit/liquidity facilities
15. Other contractual obligations to extend funds to
15.1. Financial institution
15.2. Retail customer
15.3. SME
15.4. Non-financial corporate
15.5. Other entities
15.6. Total outflows from retail, SME, non-financial corporate and other entities
15.7. Total roll-over of inflows from all counterparties except from financial institutions
15.8. Total excess other contractual obligations outflows (excluding financial institutions) after roll-over of inflows
16. Other contingent funding obligations
16.1. Uncommitted credit and liquidity facilities
16.2. Trade finance related obligations
16.3. Guarantees and letters of credit other than trade finance related obligations
16.4. Buyback of the ADI's own short-term debt securities issued in the Australian domestic market
16.5. Buyback of the ADI's own long-term debt securities issued in the Australian domestic market
16.6. Buyback of debt securities issued through an affiliated dealer or market maker
16.7. Obligations related to structured products and managed funds
16.8. Other non-contractual obligations
16.9. Other contractual cash outflows
17. Cash outflows due to collateral swaps
18. Total cash outflows
18.1. of which: cash outflows due to intra-group entities

Section C: Cash inflows

Amount	Weight	Weighted amount
(1)	(2)	(3)
19. Secured lending
19.1. Reverse repo and other secured lending where collateral is not re-hypothecated
19.1.1. amount extended in transactions secured by HQLA1
19.1.1.1. of which: transactions involving eligible HQLA1
19.1.1.2. market value of received HQLA1 for transactions reported in item 19.1.1.1
19.1.2. amount extended in transactions secured by HQLA2A
19.1.2.1. of which: transactions involving eligible HQLA2A
19.1.2.2. market value of received HQLA2A for transactions reported in item 19.1.2.1
19.1.3. amount extended in transactions secured by RMBS HQLA2B
19.1.3.1. of which: transactions involving eligible RMBS HQLA2B
19.1.3.2. market value of received RMBS HQLA2B for transactions reported in item 19.1.3.1
19.1.4. amount extended in transactions secured by non-RMBS HQLA2B
19.1.4.1. of which: transactions involving eligible non-RMBS HQLA2B
19.1.4.2. market value of received non-RMBS HQLA2B for transactions reported in item 19.1.4.1
19.1.5. amount extended in transactions secured by eligible CLF securities where the securities received are included in Section A
19.1.5.1. market value less RBA margin of received CLF securities for transactions reported in item 19.1.5
19.1.6. amount extended in transactions secured by RBNZ eligible securities
19.1.7. margin lending backed by other collateral
19.1.8. amount extended in transactions secured by other collateral including ineligible CLF securities
19.2. Reverse repo and other secured lending where collateral is re-hypothecated
19.2.1. amount extended in transactions secured by HQLA1
19.2.2. amount extended in transactions secured by HQLA2A
19.2.3. amount extended in transactions secured by RMBS HQLA2B
19.2.4. amount extended in transactions secured by non-RMBS HQLA2B
19.2.5. margin lending backed by non-HQLA1 or non-HQLA2
19.2.6. amount extended in transactions secured by other collateral
20. Other inflows by counterparty
20.1. Retail customer
20.2. SME
20.3. Non-financial corporate
20.4. Central bank
20.5. Financial institution
20.6. Other entities
20.7. of which: Intra-group (ADI/bank)
20.8. of which: Intra-group (financial institutions)
20.9. of which: Intra-group (other entities)
21. Other cash inflows
21.1. Derivatives cash inflows
21.2. Contractual inflows from CLF securities maturing <= 30 days that are in excess of the available CLF amount
21.3. Contractual inflows from other securities maturing <= 30 days
21.4. Other contractual cash inflows
21.5. Amount of committed home office support
22. Cash inflows due to collateral swaps
23. Total cash inflows
23.1. of which: cash inflows due from intra-group entities

Section D: Cash outflows minus cash inflows

Amount	Weighted amount
(1)	(3)
24. Cash outflows minus cash inflows

Section E: Calculation of the LCR

25. Total HQLA

26. RBNZ eligible securities plus ALA

27. Total cash outflows

28. Total cash inflows after applying the inflow cap

29. Net cash outflows

29.1. Net cash outflows overlay

30. LCR

31. Minimum LCR per liquidity management strategy

32. Lowest LCR during reporting period

33. Highest LCR during reporting period

34. Mean LCR during reporting period

Reporting Forms ARF 210.1A and ARF 210.1B

Liquidity Coverage Ratio

Instructions

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

Reporting level

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

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

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

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

Reporting basis and units of measurement

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

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

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

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

[1] Made by the AASB under section 334 of the Corporations Act 2001.

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 – 15/60Adjusted HQLA1,0] The formula for item 4.2 is: Maximum [(Adjusted HQLA2A + Adjusted HQLA2B – Adjustment for 15% cap) – 2/3Adjusted 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.

Reporting Form ARF 210.6

Net Stable Funding Ratio

Instructions

These instructions assist in the completion of Reporting Form ARF 210.6 Net Stable Funding Ratio (ARF 210.6). ARF 210.6 collects information for the calculation of the net stable funding ratio (NSFR) of an authorised deposit-taking institution (ADI). In completing this form, ADIs should refer to Prudential Standard APS 210 Liquidity (APS 210) and Prudential Practice Guide APG 210 Liquidity (APG 210).

Reporting level

ARF 210.6 is to be completed by a locally incorporated LCR ADI at Level 1 and Level 2.

For the purposes of ARF 210.6, if an ADI (or a member of its Level 2 group) is the originating ADI in a securitisation and meets the operational requirements for regulatory capital relief under Prudential Standard APS 120 Securitisation, the ADI may exclude the assets and liabilities of the relevant special purpose vehicles (SPVs) from the calculation of its NSFR.

Reporting basis and units of measurement

ARF 210.6 is to be completed as at the last day of the relevant reporting period, i.e. the relevant quarter.

Report all items on ARF 210.6 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).[7]

[7] Made by the AASB under section 334 of the Corporations Act 2001.

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.

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

Column description

Columns 1 to 3 for items 1 to 47	Report the relevant liability, capital item or asset. All items must be reported in the appropriate column based on their residual maturity, calculated in accordance with Attachment C of APS 210.
Columns 4 to 6 for items 1 to 47	ASF and RSF factors are pre-defined by maturity bucket, in accordance with the requirements of Attachment C of APS 210.
Column 7 for items 1 to 47	This is a derived amount and calculates the total ASF and RSF and is calculated by multiplying then adding the amounts reported in columns 1 to 3 by the corresponding factors in columns 4 to 6.

Section A: Available stable funding

This section captures the carrying value[8] of capital and liabilities that are used as inputs for the calculation of ASF.

[8] The carrying value represents the amount of a liability or equity instrument before application of any regulatory deductions, filters or other adjustments.

The residual maturity of capital and liabilities must be based on contractual maturity. The maturity of a funding instrument with an option, deposit with a withdrawal notice period and long-dated liability must be determined in accordance with paragraph 8 of Attachment C of APS 210.

Item 1	Report the total amount of Tier 1 capital and Tier 2 capital, before the application of regulatory adjustments, and excluding the proportion of Tier 2 capital instruments with a residual maturity of less than one year. Any amounts of regulatory *capital* that are not recognised as Basel III eligible *capital, but which APRA has determined can be included as eligible regulatory capital* under transitional arrangements, must not be reported in item 1. Report such amounts in accordance with the instructions for item 2 and other relevant items below.
Item 2	Report the total amount of any Tier 1 *capital* or Tier 2 capital instruments not included under item 1 with an effective residual maturity of one year or more. Do not include any instruments with explicit or embedded options that, if exercised, would reduce the expected maturity to less than one year.
Item 3	Report all *stable* *deposits* (demand deposits and term deposits) provided by *retail customer* and SME counterparties, including deposits that are excluded from the LCR calculation (e.g. deposits with a withdrawal notice period of greater than 30 days), and that are classified as *stable deposits* under the ADI’s methodology for determining *stable deposits* for the LCR.
Item 4	Report all intermediated deposits that: · meet the requirements of paragraph 35 of Attachment A of APS 210; · meet the requirements for treatment as *retail deposits* or *SME; · are classified as stable deposits* under the ADI’s methodology for determining *stable deposits*; and · where the ADI cannot be replaced without at least 12 months’ notice. Include deposits that are excluded from the LCR calculation (e.g. deposits with a withdrawal notice period of greater than 30 days).
Item 5	Report all *less stable deposits (demand deposits and term deposits) provided by retail customer* and SME counterparties, (including personal investment entity (PIE) and self-managed superfund (SMSF) deposits) and that are classified as *less stable* *deposits* under the ADI’s methodology for determining *less stable* *deposits* for the LCR. Include deposits that are excluded from the LCR calculation (e.g. deposits with a withdrawal notice period of greater than 30 days).
Item 6	Report all intermediated deposits, including *member-directed superannuation deposits, that: · meet the requirements of paragraph 35 of Attachment A of APS 210; · meet the requirements for treatment as retail deposits* or *SME; · are classified as less stable deposits* under the ADI’s methodology for determining *less stable deposits*; and · where the ADI cannot be replaced without at least 12 months’ notice. Include deposits that are excluded from the LCR calculation (e.g. deposits with a withdrawal notice period of greater than 30 days).
Item 7	Report all intermediated deposits, including *member-directed superannuation deposits*, that: · meet the requirements of paragraph 35 of Attachment A of APS 210; · are not classified as a deposit subject to 100 per cent run-off under the LCR; and · where the ADI cannot be replaced without at least six months’ notice. Include deposits that are excluded from the LCR calculation (e.g. deposits with a withdrawal notice period of greater than 30 days).
Item 8	Item 8 is a derived total calculated as the sum of items 8.1 and 8.2. Report all superannuation fund deposits that meet the definition of *operational deposits* in item 8.1. Report *operational deposits* received from all other customers in item 8.2.
Item 9	Report all *non-operational deposits, secured funding* and non-deposit *unsecured funding* provided by *non-financial corporates*.
Item 10	Report all *non-operational deposits, secured funding* and non-deposit *unsecured funding* provided by sovereigns, public sector entities (PSEs), multilateral development banks (MDBs) and national development banks (NDBs).
Item 11	Report all *non-operational deposits, secured funding* and non-deposit *unsecured funding* provided by central banks. Include funding obtained through repos contracted with the Reserve Bank of Australia (RBA) without a maturity date (‘open’ repos) in the < 6 months maturity bucket.
Item 12	Report all *non-operational deposits, secured funding* and non-deposit *unsecured funding* provided by *financial institution* counterparties and other legal entities. Report tradable instruments for which the current ownership cannot be traced in this item, including instruments that are held through third parties such as nominee companies to the extent that the ultimate owner cannot be determined.
Item 13	Item 13 is a derived item representing the difference between NSFR derivative liabilities and NSFR derivative assets and is calculated by the formula: Maximum [(item 13.1 – item 40.1), 0] Item 13.1 NSFR derivative liabilities is a derived item calculated by the formula: item 13.1.1 - item 13.1.2 Report all derivative liabilities calculated in accordance with paragraph 9 of Attachment C of APS 210 in item 13.1.1. Report all collateral posted in the form of variation margin in connection with derivative contracts, regardless of asset type, in item 13.1.2.
Item 14	Report the balance sheet liability associated with variation margin received that cannot be included in calculating NSFR derivative assets.
Item 15	Report total initial margin received.
Item 16	Report all deferred tax liabilities according to the nearest possible date in which such liabilities could be realised in item 16.1. Report all minority interests according to the term of the instrument in item 16.2. Report in item 16.3 all trade date payables arising from the purchase of financial instruments, foreign currencies and commodities that (i) are expected to settle within the standard settlement cycle or period that is customary for the relevant exchange or type of transaction or (ii) have failed to, but are still expected to, settle. Report the following in item 16.4: · *secured funding* from *retail customer* and SME counterparties; · all other liabilities and equity categories, including *General Reserve for Credit Losses, not otherwise reported in the items above. Report only in the < 6 months maturity bucket; and · other liabilities without a stated maturity including short positions* and open maturity positions. Report only in the < 6 months maturity bucket.
Item 17	Report liabilities that APRA has determined are interdependent under paragraphs 38 to 40 of Attachment C of APS 210.
Item 18	Report all other liability and equity items where APRA has determined that an alternative ASF factor applies.
Item 19	Item 19 is a derived item for total ASF and is calculated as the sum of items 1 to 15, 16.1 to 16.4, 17 and 18 in column 7.

Section B: Required stable funding

This section captures the carrying value of assets and the amount of off-balance sheet exposures that are used as inputs for the calculation of RSF. Assets should be reported net of the associated General Reserve for Credit Losses that has not been included in item 1 above and specific provisions.

For the purposes of determining its RSF, an ADI must include financial instruments, foreign currencies and commodities in accordance with the requirements in paragraph 19 of Attachment C of APS 210.

For the purposes of calculating the NSFR, HQLA are defined as all HQLA without regard to LCR operational requirements and LCR caps on HQLA2A and HQLA2B that may otherwise limit the ability of some HQLA to be included as eligible HQLA in the calculation of the LCR.

The residual maturity of assets must be determined in accordance with paragraphs 20 to 22 of Attachment C of APS 210. Consistent with footnote 28 of APS 210, an RSF factor of 100 per cent applies for a non-maturity reverse repo unless an ADI is able to demonstrate to APRA’s satisfaction that it would effectively have a different maturity period.

Where a loan is only partially secured and is therefore separated into secured and unsecured portions, the portions must be treated according to their characteristics and assigned the corresponding RSF factors. If it is not possible to differentiate between the secured and unsecured portions of a loan, the higher RSF factor must be applied to the whole loan.

Treatment of encumbrance

The RSF for encumbered assets is to be determined in accordance with Attachment C of APS 210 and the instructions below.

In determining encumbrance where it is not tied to specific assets, for example where the encumbrance is allocated against a pool of assets that includes different RSF categories, an ADI must assume that the highest RSF factor assets are encumbered first.

Where an ADI has re-hypothecated assets in which it has both positions it owns outright and borrowed positions, the ADI should assume it has encumbered the borrowed securities first, unless it has an internal process for making this allocation, or it has applied a different methodology for determining the encumbrance of positions in the LCR. If, for the LCR, the ADI assumes positions held outright are encumbered before borrowed positions in order to recognise inflows from maturing borrowed positions, then the ADI must use an equivalent approach for these transactions in the NSFR.

If an ADI is required to over-collateralise transactions, for example due to the application of haircuts, to achieve a desired credit-rating on a funding instrument or to meet market expectations, then these excess assets must be reported as encumbered. For encumbered assets, an ADI must first report their value in the appropriate column according to residual maturity at the carrying value on the balance sheet, and not the value assigned to it for the purposes of the encumbrance transaction. The ADI must then report that same value in the appropriate row according to the remaining period of encumbrance. Collateral must be considered encumbered for the term of the repo or secured transaction, even if the actual maturity of the collateral is shorter than that of the repo or secured transaction.

Assets encumbered as part of repos contracted with the RBA without a maturity date (‘open’ repos) may be reported as being encumbered for a remaining period of < 6 months.

Secured financing transactions

The RSF for secured financing transactions is to be determined in accordance with Attachment C of APS 210.

On-balance sheet assets

Unless otherwise indicated, exclude all non-performing loans and securities in default from the reporting items below.

Item 20	Report all notes and coins immediately available to meet obligations.
Item 21	Report the total amount held in central bank reserves, including overnight deposits and term deposits with a central bank and funds maintained in the ADI’s exchange settlement account with the RBA as a buffer for payment settlement purposes that are obtained through repos contracted with the RBA without a maturity date (‘open’ repos).
Item 22	Report all trade date receivables arising from the sale of financial instruments, foreign currencies and commodities that (i) are expected to settle within the standard settlement cycle or period for the relevant exchange or type of transaction or (ii) have failed to, but are still expected to, settle.
Item 23	Report all loans to *financial institution* counterparties where the loan is secured against *HQLA1, and where the ADI has the ability to freely re-hypothecate the received collateral for the life of the loan. Exclude operational deposits* held at other ADIs. Report all *unencumbered* loans in the appropriate maturity buckets according to their residual maturity in item 23.1. Report all *encumbered* loans in the appropriate maturity buckets according to their residual maturity and in items 23.2.1 to 23.2.3 according to the remaining period of encumbrance.
Item 24	Report all other loans to *financial institution* counterparties, including loans secured against collateral other than *HQLA1* and loans secured by *HQLA1* where the ADI does not have the ability to freely re-hypothecate the received collateral for the life of the loan. Exclude *operational deposits* held at other ADIs. Report all *unencumbered* loans in the appropriate maturity buckets according to their residual maturity in item 24.1. Report all *encumbered* loans in the appropriate maturity buckets according to their residual maturity and in items 24.2.1 to 24.2.3 according to the remaining period of encumbrance.
Item 25	Report all other *HQLA1. Report all unencumbered* assets in the appropriate maturity buckets according to their residual maturity in item 25.1. Report all *encumbered* assets in the appropriate maturity buckets according to their residual maturity and in items 25.2.1 to 25.2.3 according to the remaining period of encumbrance.
Item 26	Report *CLF-eligible third-party debt securities* that APRA allows to be included in the numerator of the LCR in the appropriate maturity buckets according to their residual maturity in item 26.1. Report all *encumbered* securities that could, if *unencumbered, be included in the numerator of the LCR in the appropriate maturity buckets according to their residual maturity and in items 26.2.1 to 26.2.3 according to the remaining period of encumbrance. Include securities encumbered* as part of repos contracted with the RBA without a maturity date (‘open’ repos) in item 26.2.1. The sum of the amounts reported in items 26.1 and 27.1 must not exceed the amount in item 6.3 of Reporting Form ARF 210.1A Liquidity coverage ratio – all currencies (ARF 210.1A). The sum of the amounts reported in items 26 and 27 must not exceed the amount in item 6.2.1 of ARF 210.1A. Report any residual carrying value in item 38 in accordance with the instructions.
Item 27	Report *self-securitised assets* eligible as *CLF* collateral that APRA allows to be included in the numerator of the LCR in the appropriate maturity buckets according to their residual maturity in item 27.1. Report all *encumbered* assets that could, if *unencumbered, be included in the numerator of the LCR in the appropriate maturity buckets according to their residual maturity and in items 27.2.1 to 27.2.3 according to the remaining period of encumbrance. Include assets encumbered* as part of repos contracted with the RBA without a maturity date (‘open’ repos) in item 27.2.1. The sum of the amounts reported in items 26.1 and 27.1 must not exceed the amount in item 6.3 of ARF 210.1A. The sum of the amounts reported in items 26 and 27 must not exceed the amount in item 6.2.1 of ARF 210.1A. Report any residual carrying value in item 35 or 37, as appropriate, and in accordance with the instructions.
Item 28	Report third-party debt securities that are other jurisdictions’ *ALA* and that APRA allows to be included in the numerator of the LCR in the appropriate maturity buckets according to their residual maturity in item 28.1. The amount reported in item 28.1 must not exceed the amount for third-party debt securities reported in item 6.5 of ARF 210.1A. Report all *encumbered* assets that could, if *unencumbered*, be included in the numerator of the LCR in the appropriate maturity buckets according to their residual maturity and in items 28.2.1 to 28.2.3 according to the remaining period of encumbrance. Report any residual carrying value in item 38 in accordance with the instructions.
Item 29	Report third-party debt securities that are *other LCR assets,* including third-party debt securities that are *RBNZ eligible securities, in the appropriate maturity buckets according to their residual maturity in item 29.1. The amount reported for third-party RBNZ eligible securities* in item 29.1 must not exceed the amount reported for these securities in item 5 of ARF 210.1A. Report all *encumbered* assets that could, if *unencumbered*, be included in the numerator of the LCR in the appropriate maturity buckets according to their residual maturity and in items 29.2.1 to 29.2.3 according to the remaining period of encumbrance. Report any residual carrying value in item 38 in accordance with the instructions.
Item 30	Report all *HQLA2A. Report all unencumbered* assets in the appropriate maturity buckets according to their residual maturity in item 30.1. Report all *encumbered* assets in the appropriate maturity buckets according to their residual maturity and in items 30.2.1 to 30.2.3 according to the remaining period of encumbrance.
Item 31	Report all *HQLA2B. Report all unencumbered* assets in the appropriate maturity buckets according to their residual maturity in item 31.1. Report all *encumbered* assets in the appropriate maturity buckets according to their residual maturity and in items 31.2.1 and 31.2.2 according to the remaining period of encumbrance.
Item 32	Report all claims on central banks with a residual maturity of less than one year that do not qualify as central bank reserves and balances, including loans, central bank bills and the asset account created on the ADI’s balance sheet by entering a repo transaction with a central bank. Balances (including term placements) that qualify toward reserve requirements should be considered as central bank reserves and reported under item 2, even if these balances are in excess of the required level of reserves. Performing loans to central banks with a residual maturity of less than one year and a greater than 35 per cent risk weight under Prudential Standard APS 112 Capital Adequacy: Standardised Approach to Credit Risk (APS 112) must be reported in this item. Report all *unencumbered* claims in the appropriate maturity buckets according to their residual maturity in item 32.1. Report all *encumbered* claims in the appropriate maturity buckets according to their residual maturity and in items 32.2.1 to 32.2.3 according to the remaining period of encumbrance.
Item 33	Report all *operational deposits* held at other ADIs that are subject to a 50 per cent ASF factor in paragraph 14(b) of Attachment C of APS 210. Report all *unencumbered* deposits in the appropriate maturity buckets according to their residual maturity in item 33.1. Report all *encumbered* deposits in the appropriate maturity buckets according to their residual maturity and in items 33.2.1 and 33.2.2 according to the remaining period of encumbrance.
Item 34	Report all Australian equities that meet the requirements in paragraph 34(e) of Attachment C of APS 210. Report all *unencumbered* equities in column 3 in item 34.1. Report all *encumbered* equities in column 3 and in items 34.2.1 and 34.2.2 according to the remaining period of encumbrance.
Item 35	Report residential mortgages that are subject to, or would qualify for, a 35 per cent risk weight under APS 112, excluding amounts reported in item 27 but including the remaining carrying value of *self-securitised assets* that are eligible as *CLF* collateral from item 27. Report all *unencumbered* assets in the appropriate maturity buckets according to their residual maturity in item 35.1. Report all *encumbered* assets in the appropriate maturity buckets according to their residual maturity and in items 35.2.1 to 35.2.2 according to the remaining period of encumbrance.
Item 36	Report all other loans not included in the above items, excluding loans to *financial institution* counterparties, which are subject to, or would qualify for, a 35 per cent or lower risk weight under APS 112. Report all *unencumbered* loans in the appropriate maturity buckets according to their residual maturity in item 36.1. Report all *encumbered* loans in the appropriate maturity buckets according to their residual maturity in items 36.2.1 to 36.2.2 according to the remaining period of encumbrance.
Item 37	Report all other loans, excluding loans to *financial institution* counterparties, which do not qualify for a 35 per cent or lower risk weight under APS 112. Exclude amounts reported in item 27 but include the remaining carrying value of *self-securitised assets* that are eligible as *CLF* collateral from item 27. Report all *unencumbered* assets in the appropriate maturity buckets according to their residual maturity in item 37.1. Report all *encumbered* assets in the appropriate maturity buckets according to their residual maturity and in items 37.2.1 to 37.2.2 according to the remaining period of encumbrance.
Item 38	Report securities that do not qualify as *HQLA, excluding amounts reported in items 26, 28 and 29 but including the remaining carrying value of third-party debt securities that are eligible as CLF* collateral, other jurisdictions’ *ALA* and *other LCR assets* (including *RBNZ eligible securities) from items 26, 28 and 29. Report exchange-traded equities that do not qualify as HQLA. Report physical traded commodities, including gold. Report all unencumbered* securities in the appropriate maturity buckets according to their residual maturity and exchange-traded equities and physical traded commodities, including gold, in column 3 in item 38.1. Report all *encumbered* securities in the appropriate maturity buckets according to their residual maturity and in items 38.2.1 to 38.2.2 according to the remaining period of encumbrance. Report all *encumbered* exchange-traded equities and physical traded commodities, including gold, in column 3 and in items 38.2.1 to 38.2.2 according to the remaining period of encumbrance.
Item 39	Report all defaulted securities and *non-performing loans* in the appropriate maturity buckets according to their residual maturity.
Item 40	Item 40 is a derived item representing the difference between NSFR derivative assets and NSFR derivative liabilities and is calculated by the formula: Maximum [(item 40.1 – item 13.1),0] Item 40.1 NSFR derivative assets is a derived item calculated by the formula: item 40.1.1 – item 40.1.2 Report all derivative assets calculated in accordance with paragraph 27 of Attachment C of APS 210 in item 40.1.1. Report in item 40.1.2 collateral received in the form of cash variation margin in connection with derivative contracts that can be included in calculating NSFR derivative assets in accordance with paragraph 28 of Attachment C of APS 210.
Item 41	Item 41 is a derived item representing the required stable funding associated with derivative liabilities calculated in accordance with paragraph 9 of Attachment C of APS 210 and is calculated by the formula: 0.2 * item 13.1.1
Item 42	Item 42 is a derived item representing cash, securities or other assets, whether on- or off-balance sheet, posted as initial margin for derivative contracts and cash or other assets provided to contribute to the default fund of a central counterparty (CCP), and is calculated by the formula: item 42.1 + item 42.3 Report cash, securities or other assets, whether on- or off-balance sheet, posted as initial margin on the ADI’s own derivative positions in item 42.1. Where securities or other assets posted as initial margin on the ADI’s own derivative positions would otherwise receive an RSF factor higher than 85 per cent they must be reported in the relevant item with the higher RSF factor and not in item 42.1. Report in item 42.2 cash, securities and other assets, whether on- or off-balance sheet, posted as initial margin on behalf of a customer, where the ADI does not guarantee performance of the third party. Report cash or other assets provided to contribute to the default fund of a CCP in item 42.3.
Item 43	Report items deducted from regulatory capital in accordance with Prudential Standard APS 111 Capital Adequacy: Measurement of Capital in the appropriate maturity buckets according to their residual maturity.
Item 44	Report assets that APRA has determined are interdependent under paragraphs 38 to 40 of Attachment C of APS 210 in the appropriate maturity buckets according to their residual maturity.
Item 45	Report all other assets not reported in the items above in the appropriate maturity buckets according to their residual maturity, including loans to *financial institution* counterparties with a residual maturity of one year or more, non-exchange traded equities, fixed assets, retained interest, insurance assets and *subsidiary* interests.
Item 46	Report all other assets where APRA has determined that an alternative RSF factor applies. Report the APRA determined RSF factors in columns 4 to 6.
Item 47	Item 47 is a derived item calculated as the total RSF from on-balance sheet assets.

Off-balance sheet exposures

Column 1 for items 48 to 55	Report the relevant OBS exposure in column 1.
Column 2 for items 48 to 55	RSF factors are pre-defined in column 2, in accordance with the requirements of Attachment C of APS 210.
Column 3 for items 48 to 55	Column 3 is a derived total calculated by multiplying the amount reported in column 1 by the corresponding factor in column 2.

Item 48	Report the undrawn balances of irrevocable or conditionally revocable *liquidity facilities* extended by the ADI to any client.
Item 49	Report the undrawn balances of irrevocable or conditionally revocable *credit facilities* extended by the ADI to any client. Include all balances available for redraw under residential mortgage loans regardless of whether the ADI has the right to unconditionally revoke the redraw availability.
Item 50	Report the undrawn balances of *liquidity facilities* where the ADI has the right to unconditionally revoke the undrawn portion of these facilities.
Item 51	Report the undrawn balances of *credit facilities* where the ADI has the right to unconditionally revoke the undrawn portion of these facilities.
Item 52	Report the actual net outflow in relation to *trade finance related obligations* in the most recent 12 month period. Report zero in the case of an actual net inflow in the 12 month period.
Item 53	Report the actual net outflow in relation to guarantees and letters of credit, unrelated to *trade finance* *obligations* reported in item 52, in the most recent 12 month period. Report zero in the case of an actual net inflow in the 12 month period.
Item 54	Report all other off-balance sheet obligations where APRA has determined an alternative RSF factor applies.
Item 55	Item 55 is a derived item for the total RSF from off-balance sheet exposures and is calculated as the sum of items 48 to 54 in the calculated RSF column.

Section C: Net stable funding ratio

Item 56

This is a derived item representing the ADI’s net stable funding ratio and is calculated by the formula:

Available Stable Funding (item 19) / Required Stable Funding (item 47 + item 55)

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*
LCR ADI	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
MLH ADI	Foreign ADI	Domestic books of licensed ADI