Section Definition provided for categories of as - Financial Sector (Collection of Data) determination No. 70 of 2005 - Reporting Standard ARS 210.0 (2005) - Statement of High Quality Liquid Assets Calculation - Definition provided for categories of assets that constitute eligible high quality liquid assets | Zoe
Financial Sector (Collection of Data) determination No. 70 of 2005 - Reporting Standard ARS 210.0 (2005) - Statement of High Quality Liquid Assets Calculation
Definition provided for categories of asDefinition provided for categories of assets that constitute eligible high quality liquid assets
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Statement of High Quality Liquid Assets Calculation
Instruction Guide
This instruction guide is designed to assist ADIs in the completion of the form ‘Statement of High Quality Liquid Assets’ in accordance with the requirements of Prudential Standard APS 210 Liquidity. Information on this form will be used by APRA to obtain a liquidity profile of the reporting ADI and to calculate the ADI’s compliance with the minimum liquidity holding required by Prudential Standard APS 210 Liquidity.
Minimum liquidity requirements
The minimum liquidity requirement applicable for an ADI is calculated in accordance with Prudential Standard APS 210 Liquidity.
General directions and notes
Reporting entity
The Statement of High Quality Liquid Assets Calculation form is to be completed by Credit Unions, Cairns Penny Savings & Loans Limited, Building Societies and Special Service Providers[1] on a Licensed ADI basis.
Licensed ADI
This refers to the operations of the reporting ADI on a stand-alone basis.
Reporting period
The form is to be completed as at the last day of the stated reporting quarter. Special Service Providers, Credit Unions, Cairns Penny Savings & Loans Limited, Building Societies should submit the completed form to APRA within 15 business days after the end of the relevant reporting quarter.
Unit of measurement
Special Service Providers, Building Societies, Credit Unions and Cairns Penny Savings & Loans Limited are asked to complete the form in whole Australian dollars (no decimal place).
Amounts denominated in foreign currency are to be converted to AUD in accordance with AASB 1012 ‘Foreign Currency Translation’.
The general requirements of AASB 1012 for translation are:
Foreign currency monetary items outstanding at the reporting date must be translated at the spot rate at the reporting date.
Other items outstanding at the reporting date must not be retranslated subsequent to initial recognition of the transaction.
Monetary items are defined to mean money held and assets and liabilities that are to be received or paid in fixed or determinable amounts of money.
Monetary items arising under foreign currency derivative contracts at the reporting date must be translated as follows:
Where the exchange rate is fixed in the contract, at that fixed exchange rate; and
Where the exchange rate varies, at the spot rate at the reporting date.
Netting
Institutions are not to net asset and liability items in relation to disclosure of data required in this form unless specifically stated/instructed.
Term to maturity
Any references to term to maturity in this form refer to residual term to maturity.
Basis of preparation
The nature of the disclosure on this form may not be consistent with the data disclosed on other related forms; ARF 323.0 Statement of Financial Position (Licensed ADI) and ARF 112.2 Capital Adequacy – Off Balance Sheet Business. Notwithstanding this, the heading and line item references are consistent with these forms as much as is possible.
In completing this form unless otherwise specifically stated by Prudential Standard APS 210 Liquidity, institutions are requested to follow the basis that is used for the preparation of ARF 323.0 Statement of Financial Position (Licensed ADI) and ARF 112.2 Capital Adequacy – Off Balance Sheet Business, specifically in regard to the:
Interpretation/definition of specific asset and liability items.
Appropriate measurement basis for asset and liability items.
If additional clarification is required for specific asset and liability items in this form, reference should be made to the section “Specific instructions”, which is provided as a guide.
Specific instructions
Definition provided for categories of assets that constitute eligible high quality liquid assets
Cash and liquid assets
1.1. Notes and coins
Include Australian and foreign currency notes and coins of the reporting entity. Notes and coins in transit between any branches or offices and cash floats in ATMs of the reporting entity should be reported.
1.2. Settlement funds due from clearing houses
Include net claims on recognised clearinghouses in Australia such as the ASXCH and SFECH.
margin deposit accounts.
1.3. Settlement funds due from financial institutions
(a) RBA
Include settlement account balances due from the RBA and other central banks, as well as securities sold not delivered/security settlements.
Funds held with the Reserve Bank of Australia or any foreign central bank should also be reported in this data item.
(b) Banks
Settlement balances – Austraclear and RITS balances with banks.
Amounts owing and in the course of collection from banks in relation to the payments system.
Include settlement account balances due from banks.
(c) Other ADIs
Include settlement account balances due from other ADIs.
Settlement balances – Austraclear and RITS balances with non bank ADIs.
Amounts owing and in the course of collection from other ADIs in relation to the payments system.
1.4. Total eligible cash and liquid assets
Represents the sum of items 1.1 – 1.3.
Deposits on a call basis [Prudential Standard APS 210 Liquidity paragraph 12(d)]
2.1. Deposits on a call basis [Prudential Standard APS 210 Liquidity paragraph 12(d)]:
(a) Banks
Report the amount of deposits/money market loans placed with banks on a call, 11am or 24 hours basis. To qualify as “high quality liquid assets” in accordance with Prudential Standard APS 210 Liquidity the funds must be free from encumbrances.
(b) Other ADIs
Report the amount of deposits/money market loans placed with other ADIs on a call, 11am or 24 hours basis. To qualify as “high quality liquid assets” in accordance with Prudential Standard APS 210 Liquidity the funds must be free from encumbrances.
2.2 Total deposits/funds invested on a call basis
Represents the sum of items disclosed under point 2.1.
Securities eligible for re-purchase with the RBA [Prudential Standard APS 210 Liquidity paragraph 12(b)]
Eligible collateral for Reserve Bank market operations
The Reserve Bank announced on 7 June (Media Release 2001-12) the decision to expand the range of securities it will accept as collateral in its domestic market operations, including Australian dollar securities from a broader range of supranational institutions.
A full list of the supranational organisations whose securities are currently accepted by the Reserve Bank is provided below. A detailed list of the securities accepted is published in the electronic media (Reuters RBA35, Dow Jones 1595 and Bloomberg RBA14) and on the RBA’s website, and any future additions to the list of eligible securities will be notified on those pages.
The Bank will accept:
Securities issued by the commonwealth government;
Securities issued in Australia by the central borrowing authorities of State and Territory governments;
Australian dollar denominated securities issued by the central borrowing authorities of State and Territory governments, in euro markets and lodged in Austraclear as Euroentitlements;
Australian dollar securities of the European Investment Bank currently lodged in Austraclear to the list of eligible securities; and
Australian dollar securities issued by some supranational organisations. Decisions will be made on a case-by-case basis, but as a minimum the organisation must have a AAA credit rating.
Supranational organisations whose securities the RBA will accept as repo collateral:
Asian Development Bank (ADB);
European Bank for Reconstruction and Development (EBRD);
European Investment Bank (EIB);
Inter-American Development Bank (IADB);
International Bank for Reconstruction and Development (IBRD); and
International Finance Corporation (IFC).
Securities that are already subject to repurchase or resale agreements should not be included in this section (i.e. Securities purchased under agreements to resell and Securities sold under agreements to repurchase).
Bank bills and CD's issued by ADI's with no less than investment grade rating [Prudential Standard APS 210 Liquidity (Para 12 (c)]
Bank bills and CD's eligible for inclusion as HQLA are securities issued by an ADI counterparties that are rated at least "investment grade". Refer to Guidance Note AGN 113.3 The Standard Method Table 1 “Credit rating agencies and investment grade ratings” for further information. Do not include Bank Bonds, Floating Rate Notes (FRN's) or TCD's.
To qualify as “high quality liquid assets” in accordance with Prudential Standard APS 210 Liquidity the securities must also be free from encumbrances.
Other eligible deposits not on a call basis [Prudential Standard APS 210 Liquidity paragraph 12(d)]
Deposits invested on other than a call basis (ie term deposits) will qualify for HQLA only if the deposits are free from encumbrances and the ADI has written confirmation that the deposit is convertible into cash within a maximum of two business days. Where break costs will be applied to redeem term deposits within 2 business days, the deposits must be shown net of the break costs.
Other securities approved by APRA [Prudential Standard APS 210 Liquidity Para 12(e)] Please specify:
Other securities must have prior approval from APRA to be included in HQLA. All investments included in HQLA must be unencumbered, except where approved for a prudential purpose by APRA
Total HQLA
Represents the total of the following items 1.4; 2.2; 3.5; 4.3; 5.2; 6.3.
Less: HQLA placements by other ADI's [Prudential Standard APS 210 Liquidity paragraph 12(d)]
Note: In the calculation of HQLA as required by Prudential Standard APS 210 Liquidity, HQLA Deposits received from other ADI's must be netted against HQLA where such deposits are included in HQLA ratios being reported to APRA. Netting extends across ADI's and is not on a bilateral basis only.
8.1 HQLA deposits on a call basis placed with the reporting ADI by other ADI's [Prudential Standard APS 210 Liquidity paragraph 12(d)]. Disclose this in relation to the following:
(a) Banks
Report the amount of deposits/money market loans placed with the reporting ADI by banks on a call, 11am or 24 hours basis that are withdrawable/convertible into cash within 2 business days.
(b) Other ADIs
Report the amount of deposits/money market loans placed with the reporting ADI by other ADIs (other than banks) on a call, 11am or 24 hours basis that are withdrawable/convertible into cash within 2 business days.
8.2 Total deposits/funds placed by other ADIs on a call basis.
Represents the sum of items disclosed under point 8.1(a) and 8.1(b).
8.3 Other deposits not on a call basis placed with the reporting ADI by other ADI's [Prudential Standard APS 210 Liquidity paragraph 12(d)]
(a) Banks
Report the amount of deposits placed with the reporting ADI by banks on a basis other than at call, 11am or 24 hours, that are withdrawable/convertible into cash within 2 business days.
(b) Other ADIs
Report the amount of deposits placed with the reporting ADI by other ADIs (other than banks) on a basis other than at call, 11am or 24 hours basis that are withdrawable/convertible into cash within 2 business days.
8.4 Total other deposits placed by other ADIs not on a call basis
Represents the sum of items disclosed under point 8.3(a) and 8.3(b).
8.5 Total placements by other ADIs (ie 8.2 + 8.4)
Represents the sum of items disclosed under point 8.2 and 8.4.
8.6 HQLA placements by other ADIs in excess of HQLA deposits of the reporting ADI.
This item represents the value of item disclosed under point 8.5, less the sum of items 2.2 + 5.2. Note, this item can not be less than zero. Accordingly if the result is less than zero, zero will be displayed.
Total adjusted HQLA
Represents items 7, minus item 8.5 plus item 8.6.
Note: Item 8.6 is added back to item 7 (Total HQLA) as ‘Total placements by other ADIs’ is only deducted from the reporting ADIs HQLA, up to the level of reporting ADIs HQLA with other ADIs.
Calculation of liability base
Liabilities for the purpose of Prudential Standard APS 210 Liquidity is defined as Total Liabilities plus the value of ‘Total Shareholders Equity’, plus irrevocable commitments less eligible capital base defined in accordance with Prudential Standard APS 111 Capital Adequacy: Measurement of Capital. The following items facilitate the calculation of adjusted total liabilities base for the purpose of calculating HQLA.
Total liabilities (per the Statement of Financial Position ARF 323.0)
Disclose the figure for “Total Liabilities” per ARF 323.0 Statement of Financial Position (Licensed ADI).
Plus: Total shareholders’ equity (per the Statement of Financial Position (Licensed ADI))
Disclose the figure for ‘Total Shareholders’ Equity’ per ARF 323.0 Statement of Financial Position.
Less: capital base (item 39 per ARF 110.0 Capital Adequacy)
Disclose the figure for the ‘Total Capital Base’ per the form ARF 110.0 Capital Adequacy (Licensed ADI).
Less: HQLA placements by other ADIs (ie 8.5 - 8.6):
This amount must not be negative. Ie if the value is less than zero, then zero is to be disclosed in this field.
This amount needs to be deducted from the Liability base of the reporting ADIs, as it this value has been deducted from the reporting ADIs HQLA.
Liability base.
Represents items11 plus 12 less items 13 and 14.
Add: Off balance sheet irrevocable commitments.
For the interpretation of the items listed refer to the form and instructions for form ARF 112.2 Capital Adequacy – Off Balance Sheet Business.
Note: Undrawn formal standby facilities and Credit lines in this contexts, refers to standbys which the ADI has committed to provide to it’s customers and APRA's approved industry support arrangements only.
Do not include standbys which the reporting ADI has in place to support its operations.
Note: For the off-balance sheet category titled – “Balances available for redraw under redraw facilities of term loans”, only include those balances where the ADI has irrevocably committed to providing the redraw to the customer.
Total off balance sheet irrevocable commitments
Represents the sum of items disclosed in item 16.
Adjusted liability base
Represents the liability base per item 15 increased for the total off balance sheet irrevocable commitments disclosed in item 17.
HQLA ratio
Represents item 9 divided by item 18. Per Prudential Standard APS 210 Liquidity ADI’s must maintain a minimum HQLA at all times.
ADI's minimum targeted HQLA ratio per Liquidity Management Strategy
Report the ADI’s minimum targeted HQLA ratio as contained in its Liquidity Management Strategy.
Lowest HQLA ratio during reporting period
Report the ADI’s lowest HQLA ratio maintained during the reporting period.
Note on References to Accounting Standards
This Note is about references in these instructions to an accounting standard or accounting standards, e.g. where the instructions say that something must be done in accordance with a particular AASB or international accounting standard, or must be done in accordance with the accounting standards (however described) generally.
Where you see such a reference, you must read it as meaning the version of the accounting standard, or versions of the accounting standards, applying to reporting periods (within the meaning of the accounting standards) beginning immediately before 1 January 2005.
Accordingly, the new AASB standards for 2005 are not to be applied.
Similarly, a reference to principles or conventions (however described) governing an accounting procedure or treatment shall be taken to refer to principles or conventions applicable in relation to reporting periods (within the meaning of the accounting standards) that began immediately before 1 January 2005.