Document ID: chunk:federal_register_of_legislation:F2022L01620:reg:100:p7
Version: federal_register_of_legislation:F2022L01620
Segment Type: reg
Provision Reference: reg 100 (pt 7/12)
Character Range: 82852–85643

purposes of determining its RSF, an ADI must include financial instruments, foreign currencies and commodities for which a purchase order has been executed. An ADI may exclude financial instruments, foreign currencies and commodities for which a sales order has been executed, even if such transactions are not reflected in the ADI's balance sheet under a settlement-date accounting model provided that (i) such transactions are not reflected as derivatives or secured financing transactions on the ADI's balance sheet and (ii) the effects of such transactions will be reflected in the ADI's balance sheet when settled.

Maturity of assets

    20.         To determine the maturity of an asset, an ADI must, for the purposes of the NSFR, assume the maturity date as being the latest possible date at which the asset may mature. An ADI must assume that for an asset with an option to extend maturity, the option will be exercised.

    21.         Where an asset does not have a defined maturity or the maturity is subject to periodic review, an ADI must, for NSFR purposes, classify the asset as having a residual maturity of greater than or equal to one year and assign the relevant RSF factor on this basis.

    22.         For an amortising loan, or a loan with minimum contractual payments, that portion that falls due within the one-year time horizon may be included in the less than one year residual maturity category.

Encumbered assets

    23.         Assets on an ADI's balance sheet that are encumbered[21] for one year or more must be assigned a 100 per cent RSF factor. Assets encumbered for a period of between six months and less than one year that would, if unencumbered, receive an RSF factor lower than or equal to 50 per cent must be assigned a 50 per cent RSF factor. Assets encumbered for between six months and less than one year that would, if unencumbered, receive an RSF factor higher than 50 per cent must be assigned the higher RSF factor. Where assets have less than six months remaining in the encumbrance period, the same RSF factor is applied as that for an equivalent asset that is unencumbered.

    24.         Where an asset is encumbered for exceptional[22] central bank liquidity operations, the asset may be given a lower RSF factor if approval is sought from APRA and APRA agrees to the lower RSF factor.

Secured financing transactions

    25.         For the purposes of determining its NSFR, an ADI must exclude from its assets amount, securities borrowed in securities financing transactions (for example, reverse repos and collateral swaps) where the ADI does not retain beneficial ownership of the securities. Conversely, an ADI must include securities lent in securities financing transactions where the ADI retains beneficial ownership.