Financial Sector (Collection of Data) (reporting standard) determination No. 18 of 2008
Reporting standard ARS 210.0 Statement of High Quality Liquid Assets Calculation
Financial Sector (Collection of Data) Act 2001
I, Wayne Stephen Byres, a 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:
· REVOKE Reporting Standard ARS 210.0 Statement of High Quality Liquid Assets Calculation made by Financial Sector (Collection of Data) (reporting standard) determination No. 6 of 2006; and
· DETERMINE Reporting Standard ARS 210.0 Statement of High Quality Liquid Assets Calculation in the form set out in the Schedule, which applies to financial sector entities to the extent provided in paragraph 2 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 later of 1 April 2008 and the date of registration of this instrument on the Federal Register of Legislative Instruments.
Dated 4th February 2008
[Signed]
Wayne Byres
Executive General Manager
Diversified Institutions Division
Interpretation
In this Determination
APRA means the Australian Prudential Regulation Authority.
Federal Register of Legislative Instruments means the register established under section 20 of the Legislative Instruments Act 2003.
Schedule
Reporting Standard ARS 210.0 Statement of High Quality Liquid Assets Calculation comprises the 19 pages commencing on the following page.
Reporting Standard ARS 210.0
Statement of High Quality Liquid Assets Calculation
Objective of this reporting standard
This reporting standard is made under section 13 of the Financial Sector (Collection of Data) Act 2001 and outlines the overall requirements for the provision of information to APRA relating to an authorised deposit-taking institution’s high quality liquid assets calculation. It should be read in conjunction with:
· Form ARF 210.0 Statement of High Quality Liquid Assets Calculation and the associated instructions (all of which are attached and form part of this reporting standard); and
· Prudential Standard APS 210 Liquidity and associated guidance notes.
Purpose
1. Data collected in Form ARF 210.0 Statement of High Quality Liquid Assets Calculation (Form ARF 210.0) is used by APRA for the purpose of prudential supervision including assessing compliance with Prudential Standard APS 210 Liquidity. It may also be used by the Reserve Bank of Australia and the Australian Bureau of Statistics.
Application
2. This reporting standard applies to an authorised deposit-taking institution (ADI) as set out in the table below.
Class of ADI
Applicable
Australian-owned Bank
No
Foreign Subsidiary Bank
No
Branch of a Foreign Bank
No
Building Society
Yes
Credit Union
Yes
Specialist Credit Card Institution (SCCI)
No
Other ADI[1]
Yes
Information required
3. An ADI to which this reporting standard applies must provide APRA with the information required by Form ARF 210.0 for each reporting period.
Form and method of submission
4. The information required by this reporting standard must be given to APRA in electronic form, using one of the electronic submission mechanisms provided by the ‘Direct to APRA’ (also known as ‘D2A’) application.
Note: the Direct to APRA application software may be obtained from APRA.
Reporting periods and due dates
5. Subject to paragraph 6, an ADI to which this reporting standard applies must provide the information required by this reporting standard for each quarter based on the financial year (within the meaning of the Corporations Act 2001) of the ADI.
6. APRA may, by notice in writing, change 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 Reserve Bank of Australia or the Australian Bureau of Statistics.
7. The information required by this reporting standard must be provided to APRA by 15 days after the end of the reporting period to which the information relates.
8. APRA may grant an ADI an extension of a due date in writing, in which case the new due date for the provision of the information will be the date on the notice of extension.
Quality control
9. The information provided by an ADI under this reporting standard must be the product of processes and controls that have been reviewed and tested by the external auditor of the ADI. AGS 1008 ‘Audit Implications of Prudential Reporting Requirements for Authorised Deposit-taking Institutions’, issued by the Auditing and Assurance Standards Board provides guidance 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 necessary to enable the external auditor to form an opinion on the accuracy and reliability of the data.
10. All information provided by an ADI under this reporting standard must be subject to processes and controls developed by the ADI for the internal review and authorisation of that information. It is the responsibility of the board and senior management of the ADI to ensure that an appropriate set of policies and procedures for the authorisation of data submitted to APRA is in place.
Authorisation
11. If an ADI submits information under this reporting standard using the ‘Direct to APRA’ software, it will be necessary for an officer of the ADI to digitally sign, authorise and encrypt the relevant data. For this purpose, APRA’s certificate authority will issue ‘digital certificates’, for use with the software, to officers of the ADI who have authority from the ADI to transmit the data to APRA.
Minor alterations to forms and instructions
12. APRA may make minor variations to:
(a) a form that is part of this reporting standard, and the instructions to such a form, 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.
13. If APRA makes such a variation it must notify in writing each ADI that is required to report under this reporting standard.
Transitional
14. 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 in the determination making this reporting standard (being the reporting standard which this reporting standard replaces).
transitional reporting period means a reporting period under the old reporting standard:
(a) which 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 the overdue reporting documents in accordance with the old reporting standard.
Interpretation
15. In this reporting standard:
ADI means an authorised deposit-taking institution within the meaning of the Banking Act 1959.
AGS 1008 means the auditing and assurance standard entitled ‘Audit Implications of Prudential Reporting Requirements for Authorised Deposit-taking Institutions’ so made by the Auditing and Assurance Standards Board.
APRA means the Australian Prudential Regulation Authority established under the Australian Prudential Regulation Authority Act 1998.
Australian-owned bank means a locally incorporated ADI that assumes or uses the word ‘bank’ in relation to its banking business and is not a foreign subsidiary bank.
branch of a foreign bank means a ‘foreign ADI’ as defined in section 5 of the Banking Act 1959, but does not include a SCCI that is a foreign ADI.
building society means a locally incorporated ADI that assumes or uses the expression ‘building society’ in relation to its banking business.
business days means ordinary business days, exclusive of Saturdays, Sundays and public holidays.
class of ADI means each of the following:
(i) Australian-owned bank;
(ii) foreign subsidiary bank;
(iii) branch of a foreign bank;
(iv) building society;
(v) credit union;
(vi) other ADI; and
(vii) specialist credit card institution.
credit union means a locally incorporated ADI that assumes or uses the expression ‘credit union’ in relation to its banking business and includes Cairns Penny Savings & Loans Limited.
due date means the relevant due date under paragraph 7 or, if applicable, paragraph 8.
foreign subsidiary bank means a locally incorporated ADI in which a bank that is not locally incorporated has a stake of more than 15 per cent.
locally incorporated means incorporated in Australia or in a State or Territory of Australia, by or under a Commonwealth, State or territory law.
other ADI means an ADI that is not an Australian-owned bank, a branch of a foreign bank, a building society, a credit union, a foreign subsidiary bank or a specialist credit card institution but does not include Cairns Penny Savings & Loans Limited.
reporting period means a period mentioned in paragraph 5 or, if applicable, paragraph 6.
specialist credit card institution means an ADI that is subject to a condition on its authority under section 9 of the Banking Act 1959 confining the banking business that the ADI is authorised to carry on to the activities of credit card acquiring and credit card issuing in any credit card scheme that was designated as a payment system under section 11 of the Payment Systems (Regulation) Act 1998 on 11 April 2001.
stake means a stake determined under the Financial Sector (Shareholdings) Act 1998, as if the only associates that were taken into account under paragraph (b) of subclause 10(1) of the Schedule to that Act were those set out in paragraphs (h), (j) and (l) of subclause 4(1).
Reporting Form ARF 210.0
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 Other ADIs[2] 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 as otherwise specified in these instructions, the following applies:
1. Where an ADI (or a member of its Level 2 consolidated group) participates in a securitisation that meets APRA’s operational requirements for regulatory capital relief under Prudential Standard APS 120 Securitisation (APS 120):
(a) special purpose vehicles (SPVs) holding securitised assets may be treated as non-consolidated independent third parties for regulatory reporting purposes, irrespective of whether the SPVs (or their assets) are consolidated for accounting purposes;
(b) the assets, liabilities, revenues and expenses of the relevant SPVs may be excluded from the ADI’s reported amounts in APRA’s regulatory reporting returns; and
(c) the underlying exposures (i.e. the pool) under such a securitisation may be excluded from the calculation of the ADI’s regulatory capital (refer to APS 120). However, the ADI must still hold regulatory capital for the securitisation exposures[3] that it retains or acquires and such exposures are to be reported in Form ARF 120.0 Standardised – Securitisation or Forms ARF 120.1A to ARF 120.1C IRB – Securitisation (as appropriate). The RWA relating to such securitisation exposures must also be reported in Form ARF 110.0 Capital Adequacy (ARF 110.0).
2. Where an ADI (or a member of its Level 2 consolidated group) participates in a securitisation that does not meet APRA’s operational requirements for regulatory capital relief under APS 120, or the ADI elects to treat the securitised assets as on-balance sheet assets under Prudential Standard APS 112 Capital Adequacy: Standardised Approach to Credit Risk or Prudential Standard APS 113 Capital Adequacy: Internal Ratings-based Approach to Credit Risk, such exposures are to be reported as on-balance sheet assets in APRA’s regulatory reporting returns. In addition, these exposures must also be reported as a part of the ADI’s total securitised assets within Form ARF 120.2 Securitisation – Supplementary Items.
Reporting period
The form is to be completed as at the last day of the stated reporting quarter. Other ADIs, 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
Other ADIs, 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:
3. foreign currency monetary items outstanding at the reporting date must be translated at the spot rate at the reporting date;[4]
4. 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;[5]
5. 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
6. 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 ARS 112.2 Standardised Credit Risk – Off-balance Sheet Exposures (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.
2. 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.
3. 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).
4. 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" by an external credit assessment institution (i.e. have a credit rating grade of 1, 2 or 3) within the meaning of APS 112 for the purpose of risk weightings on counterparties and exposures. Refer to APS 112, and paragraph 19 of Prudential Practice Guide APG 112 – Standardised Approach to Credit Risk 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.
5. 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.
6. 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.
7. Total HQLA
Represents the total of the following items 1.4; 2.2; 3.5; 4.3; 5.2; 6.3.
8. 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.
9. 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.
10. 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.
11. Total liabilities (per ARF 323.0)
Disclose the figure for “Total Liabilities” per ARF 323.0.
12. Plus: Total shareholders’ equity (per the Statement of Financial Position (Licensed ADI))
Disclose the figure for ‘Total Shareholders’ Equity’ per ARF 323.0.
13. Less: Capital base (per ARF 110.0 Capital Adequacy)
Disclose the figure for the ‘Total Capital Base’ per ARF 110.0 Capital Adequacy
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.
14. Liability base
Represents items 11 plus 12 less items 13 and 14.
15. 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.
16. Total off balance sheet irrevocable commitments
Represents the sum of items disclosed in item 16.
17. Adjusted liability base
Represents the liability base per item 15 increased for the total off-balance sheet irrevocable commitments disclosed in item 17.
18. HQLA ratio
Represents item 9 divided by item 18. Per APS 210 ADI’s must maintain a minimum HQLA at all times.
19. 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.
20. Lowest HQLA ratio during reporting period
Report the ADI’s lowest HQLA ratio maintained during the reporting period.
[1] An ADI that is a special service provider, if APRA has determined in writing that this reporting standard (or has previously determined that Reporting Standard ARS 210.0 Statement of High Quality Liquid Assets Calculation) should apply to the special service provider (having regard to the particular circumstances of the special service provider and whether it is necessary or desirable to obtain the information required by this reporting standard for the purposes of the prudential regulation of the special service provider or to meet the requirements for data of the Reserve Bank of Australia or the Australian Bureau of Statistics), must comply with this reporting standard.
[2] At APRA’s discretion.
[3] Securitisation exposures are defined in accordance with APS 120.
[4] Monetary items are defined to mean units of currency held and assets and liabilities to be received or paid in a fixed or determinable number of units of currency. Spot rate means the exchange rate for immediate delivery.
[5] Examples of non-monetary items include amounts prepaid for goods and services (e.g. prepaid rent); goodwill; intangible assets; physical assets; and provisions that are to be settled by the delivery of a non-monetary asset.
