Document ID: chunk:federal_register_of_legislation:F2021L01099:body:0:p25
Version: federal_register_of_legislation:F2021L01099
Segment Type: other
Provision Reference: 
Character Range: 77761–80767

asset-backed securities issued by resident SPVs;
             * any other debt securities not reported above;
             * equity securities (including convertible bonds); and
             * any other assets not reported above.

        The repo original maturity categories are:

             * <= 1 day;
             * > 1 day to <= 1 month;
             * > 1 month to <= 3 months;
             * > 3 months to <= 1 year
             * > 1 year; and
             * undefined (open repo).

    3.             Haircuts on repos and reverse repos outstanding

Item 3 collects information on principal amounts of repos and reverse repos outstanding as at the end of the reporting period by type of collateral provided or received, the haircut applied to the collateral and the residual maturity of the collateral.

For item 3, report the residual maturity of the collateral as at the trade date.

Column 1  Report according to the type of collateral provided in the repo or received in the reverse repo (see item 3 for further details).

Column 2  Report according to the haircut applied to the collateral provided in the repo or received in the reverse repo (see item 3 for further details).

Column 3   Report according to the residual maturity of the collateral as at the trade date (see item 3 for further details).

Column 4  Report the value of the principal amount of repos.

          SBR: submit column 4 with accounting type of credit (liability).

Column 5  Report the value of the principal amount of reverse repos.

          SBR: submit column 5 with an accounting type of debit (assets).

Item 3  Report repos and reverse repos outstanding for each combination of type of collateral provided or received, haircut applied to the collateral and the residual maturity of the collateral.

        The collateral categories are:

             * Australian Government Securities;
             * semi‑government securities;
             * supra‑national and foreign agency-issued debt securities;
             * debt securities issued by resident financial institutions other than SPVs;
             * debt securities issued by resident private non-financial corporations other than SPVs;
             * asset-backed securities issued by resident SPVs;
             * any other debt securities not reported above;
             * equity securities (including convertible bonds); and
             * any other assets not reported above.

        The haircut categories are:

             * 0 to <= 0.5;
             * > 0.5 to <= 1.5;
             * > 1.5 to <= 3;
             * > 3 to <= 4;
             * > 4 to <= 6;
             * > 6 to <= 10;
             * > 10 to <= 15;
             * > 15 to <= 25;
             * > 25 to <= 50; and
             * > 50.

        The collateral residual maturity categories are:

             * <= 1 month;
             * > 1 month to <= 3 months;
             * > 3 months to <= 1 year;
             * > 1 year to <= 5 years;
             * >