Document ID: chunk:federal_register_of_legislation:F2022L01620:reg:100:p9
Version: federal_register_of_legislation:F2022L01620
Segment Type: reg
Provision Reference: reg 100 (pt 9/12)
Character Range: 88079–90879

of financial instruments, foreign currencies and commodities that (i) are expected to settle within the standard settlement cycle or period for the relevant exchange or type of transaction or (ii) have failed to, but are still expected to, settle.

Assets assigned a five per cent RSF factor

    30.         An ADI must assign a five per cent RSF factor to the following assets. They include unencumbered HQLA1 assets, but exclude assets receiving a zero per cent RSF factor as specified in paragraph 29 of this Attachment:

       (a)          marketable securities representing claims on or claims guaranteed by sovereigns, central banks, PSEs, the BIS, the IMF, the ECB and EU or MDBs and that are assigned a zero per cent risk weight under Attachment B of APS 112; and

       (b)          certain non-zero per cent risk-weighted sovereign or central bank debt securities as specified in paragraphs 9(d) and (e) of Attachment A.

Assets assigned a 10 per cent RSF factor

    31.         An ADI must assign a 10 per cent RSF factor to unencumbered loans to financial institutions with a residual maturity of less than six months, where the loan is secured against HQLA1 assets as defined in paragraph 9 of Attachment A, provided the ADI has the ability to freely rehypothecate the received collateral for the life of the loan.

    32.         An ADI may assign an RSF factor of 10 per cent to:

       (a)          CLF-eligible third-party debt securities, other jurisdictions' ALA and assets recognised as eligible liquid assets by a host supervisor that APRA allows to be included in the numerator of the LCR. The 10 per cent RSF factor may only be applied to the lower of the carrying value of the assets and the amount of the CLF that may be included in the numerator of the ADI's LCR as allowed for under this Prudential Standard; and

       (b)          self-securitised assets, eligible as CLF collateral. The maximum amount eligible for the 10 per cent RSF factor is the ADI's CLF less eligible third-party debt securities held as collateral for the CLF.

Assets assigned a 15 per cent RSF factor

    33.         An ADI must assign a 15 per cent RSF factor to the following assets:

       (a)          unencumbered HQLA2A assets as defined in paragraph 10 of Attachment A; and

       (b)          all other unencumbered loans to financial institutions with a residual maturity of less than six months not included in paragraph 31 of this Attachment.

Assets assigned a 50 per cent RSF factor

    34.         An ADI must assign a 50 per cent RSF factor to the following assets:

       (a)          unencumbered HQLA2B assets as defined in paragraph 12 of Attachment A;

       (b)          any HQLA as defined in Attachment A that are encumbered for a period of between