Document ID: chunk:federal_register_of_legislation:F2023L00417:body:0:p89
Version: federal_register_of_legislation:F2023L00417
Segment Type: other
Provision Reference: 
Character Range: 275929–278705

for the calculation of RSF. Assets should be reported net of the associated General Reserve for Credit Losses that has not been included in item 1 above and specific provisions.

For the purposes of determining its RSF, an ADI must include financial instruments, foreign currencies and commodities in accordance with the requirements in paragraph 19 of Attachment C of APS 210.

For the purposes of calculating the NSFR, HQLA are defined as all HQLA without regard to LCR operational requirements and LCR caps on HQLA2A and HQLA2B that may otherwise limit the ability of some HQLA to be included as eligible HQLA in the calculation of the LCR.

The residual maturity of assets must be determined in accordance with paragraphs 20 to 22 of Attachment C of APS 210. Consistent with footnote 28 of APS 210, an RSF factor of 100 per cent applies for a non-maturity reverse repo unless an ADI is able to demonstrate to APRA's satisfaction that it would effectively have a different maturity period.

Where a loan is only partially secured and is therefore separated into secured and unsecured portions, the portions must be treated according to their characteristics and assigned the corresponding RSF factors. If it is not possible to differentiate between the secured and unsecured portions of a loan, the higher RSF factor must be applied to the whole loan.

Treatment of encumbrance

The RSF for encumbered assets is to be determined in accordance with Attachment C of APS 210 and the instructions below.

In determining encumbrance where it is not tied to specific assets, for example where the encumbrance is allocated against a pool of assets that includes different RSF categories, an ADI must assume that the highest RSF factor assets are encumbered first.

Where an ADI has re-hypothecated assets in which it has both positions it owns outright and borrowed positions, the ADI should assume it has encumbered the borrowed securities first, unless it has an internal process for making this allocation, or it has applied a different methodology for determining the encumbrance of positions in the LCR. If, for the LCR, the ADI assumes positions held outright are encumbered before borrowed positions in order to recognise inflows from maturing borrowed positions, then the ADI must use an equivalent approach for these transactions in the NSFR.

If an ADI is required to over-collateralise transactions, for example due to the application of haircuts, to achieve a desired credit-rating on a funding instrument or to meet market expectations, then these excess assets must be reported as encumbered. For encumbered assets, an ADI must first report their value in the appropriate column according to residual maturity at the carrying value on the balance sheet, and