Subdivision APRA's clean sale and separation require - Financial Sector (Collection of Data) (reporting standard) determination No. 6 of 2006 - Reporting Standard ARS 210.0 - Statement of High Quality Liquid Assets Calculation (Licensed ADI) - APRA's clean sale and separation requirements are set out in APS 120 Funds Management and Securitisation and related Guidance Notes AGN 120.3 Purchase and Supply of Assets (including Securities Issued by SPVs) and AGN 120.1 Disclosure and Separation. Whenever the clean sale and separation requirements are not met, all the assets, liabilities, revenues and expenses of the SPV are to be consolidated with the ADI’s reported amounts. | Zoe
Financial Sector (Collection of Data) (reporting standard) determination No. 6 of 2006 - Reporting Standard ARS 210.0 - Statement of High Quality Liquid Assets Calculation (Licensed ADI)
APRA's clean sale and separation requireAPRA's clean sale and separation requirements are set out in APS 120 Funds Management and Securitisation and related Guidance Notes AGN 120.3 Purchase and Supply of Assets (including Securities Issued by SPVs) and AGN 120.1 Disclosure and Separation. Whenever the clean sale and separation requirements are not met, all the assets, liabilities, revenues and expenses of the SPV are to be consolidated with the ADI’s reported amounts.
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Statement of High Quality Liquid Assets Calculation
Instruction Guide
This instruction guide is designed to assist authorised deposit-taking institutions (ADIs) in the completion of the form ‘Statement of High Quality Liquid Assets’ in accordance with the requirements of Prudential Standard APS 210 Liquidity (APS 210). 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 APS 210.
Minimum liquidity requirements
The minimum liquidity requirement applicable for an ADI is calculated in accordance with APS 210.
General directions and notes
Reporting entity
This form is to be completed by Credit Unions, Cairns Penny Savings & Loans Limited, Building Societies and Special Service Providers (SSPs)[1] on a Licensed ADI basis.
Licensed ADI
This refers to the operations of the reporting ADI on a stand-alone basis.
Securitisation deconsolidation principle
Except where stated otherwise on this form, reporting entities must treat any securitisation program special purpose vehicles (SPVs) in which the ADI (or a member of its consolidated group) participates in accordance with APRA’s clean sale and separation requirements as non-consolidated independent third parties. As a result, for reporting purposes all assets, liabilities, revenues and expenses of these SPVs must be excluded from the ADI’s reported amounts. Where relevant, report on this form any exposure to or other transaction between the ADI and any such SPV as if such transaction was conducted with an independent third party, regardless of whether the SPV or its assets is consolidated for accounting purposes.
APRA's clean sale and separation requirements are set out in APS 120 Funds Management and Securitisation and related Guidance Notes AGN 120.3 Purchase and Supply of Assets (including Securities Issued by SPVs) and AGN 120.1 Disclosure and Separation. Whenever the clean sale and separation requirements are not met, all the assets, liabilities, revenues and expenses of the SPV are to be consolidated with the ADI’s reported amounts.
Reporting period
The form is to be completed as at the last day of the stated reporting quarter. SSPs, 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
SSPs, 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 121 The Effects of Changes in Foreign Exchange Rates (AASB 121).
The general requirements of AASB 121 for translation are:
foreign currency monetary items outstanding at the reporting date must be translated at the spot rate at the reporting date;[2]
foreign currency non-monetary items that are measured at historical cost in a foreign currency must be translated using the exchange rate at the date of the transaction;[3]
foreign currency non-monetary items that are measured at fair value will be translated at the exchange rate at the date when fair value was determined.
Transactions arising under foreign currency derivative contracts at the reporting date must be prepared in accordance with AASB 139 Financial Instruments: Recognition and Measurement (AASB 139). However, those foreign currency derivatives that are not within the scope of AASB 139 (e.g. some foreign currency derivatives that are embedded in other contracts) remain within the scope of AASB 121.
For APRA purposes equity items must be translated using the foreign currency exchange rate at the date of investment or acquisition. Post acquisition changes in equity are required to be translated on the date of the movement.
As foreign currency derivatives are measured at fair value, the currency derivative contracts are translated at the spot rate at the reporting date.
Exchange differences should be recognised in profit and loss in the period which they arise. For foreign currency derivatives, the exchange differences would be recognised immediately in profit and loss if the hedging instrument is a fair value hedge. For derivatives used in a cash flow hedge, the exchange differences should be recognised directly in equity.
The ineffective portion of the exchange differences in all hedges would be recognised in profit and loss; and
translation of financial reports of foreign operations.
A foreign operation is defined in AASB 121 as meaning an entity that is a subsidiary, associate, joint venture or branch of a reporting entity, the activities of which are based or conducted in a country or currency other than those of the reporting entity.
Exchange differences relating to foreign currency monetary items that form part of the net investment of an entity in a foreign operation, must be recognised as a separate component of equity.
Translation of financial reports should otherwise follow the requirements in AASB 121.
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) (ARF 323.0) and ARF 112.2 Capital Adequacy – Off Balance Sheet Business (ARF 112.2). 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 APS 210, institutions are requested to follow the basis that is used for the preparation of ARF 323.0 and ARF 112.2, specifically in regard to the:
interpretation/definition of specific asset and liability items; and
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 Automated Teller Machines (ATMs) of the reporting entity should be reported.
1.2 Settlement funds due from clearing houses
Include:
net claims on recognised clearing houses in Australia such as the Australian Stock Exchange Clearing House (ASXCH) and the Sydney Futures Exchange Clearing House (SFECH); and
margin deposit accounts.
1.3 Settlement funds due from financial institutions
(a) The Reserve Bank of Australia (RBA)
Include:
settlement account balances due from the RBA and other central banks, as well as securities sold not delivered/security settlements; and
funds held with the RBA or any foreign central bank should also be reported in this data item.
(b) Banks
Include:
settlement balances – Austraclear and the Reserve Bank Information and Transfer System (RITS) balances with banks;
amounts owing and in the course of collection from banks in relation to the payments system; and
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; and
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 [APS 210 paragraph 12(d)]
2.1 Deposits on a call basis [APS 210 paragraph 12(d)]
(a) Banks
Include:
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 APS 210 the funds must be free from encumbrances.
(b) Other ADIs
Include:
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 APS 210 the funds must be free from encumbrances.
2.2 Total eligible 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 [APS 210 paragraph 12(b)]
Eligible collateral for RBA market operations
The RBA 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 RBA 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 RBA 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 Euro entitlements;
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;
European Bank for Reconstruction and Development;
European Investment Bank;
Inter-American Development Bank;
International Bank for Reconstruction and Development; and
International Finance Corporation.
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 [APS 210 (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 or Transferable Certificates of Deposit.
To qualify as “high quality liquid assets” in accordance with APS 210 the securities must also be free from encumbrances.
Other eligible deposits not on a call basis [APS 210 paragraph 12(d)]
Deposits invested on other than a call basis (i.e. term deposits) will qualify for High Quality Liquid Assets (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 [APS 210 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 [APS 210 paragraph 12(d)]
Note: In the calculation of HQLA as required by APS 210, 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 [APS 210 paragraph 12(d)]. Disclose this in relation to the following:
(a) Banks
Include:
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
Include:
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 [APS 210 paragraph 12(d)]
(a) Banks
Include:
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
Include:
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 (i.e. 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 APS 210 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 ARF 323.0)
Disclose the figure for “Total Liabilities” per ARF 323.0.
Plus: Total shareholders’ equity (per the Statement of Financial Position (Licensed ADI))
Disclose the figure for ‘Total Shareholders’ Equity’ per ARF 323.0.
Less: Capital base (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 (i.e. 8.5 - 8.6)
This amount must not be negative. i.e. 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 items 11 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.
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 APS 210 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.