PET - Plain English Taxonomy

ARF_210_1A: Liquidity Coverage Ratio - all currencies
Effective date: 1 January 2018
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  
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