Document ID: chunk:federal_register_of_legislation:F2023L00417:body:0:p94
Version: federal_register_of_legislation:F2023L00417
Segment Type: other
Provision Reference: 
Character Range: 289194–292257

35 or item 36. Exclude amounts reported in item 27 but include the remaining carrying value of self-securitised assets that are eligible as CLF collateral from item 27.

           Report all unencumbered assets in the appropriate maturity buckets according to their residual maturity in item 37.1.

           Report all encumbered assets in the appropriate maturity buckets according to their residual maturity and in items 37.2.1 to 37.2.2 according to the remaining period of encumbrance.
Item 38  Report securities that do not qualify as HQLA, excluding amounts reported in items 26, 28 and 29 but including the remaining carrying value of third-party debt securities that are eligible as CLF collateral, other jurisdictions' ALA and other LCR assets (including RBNZ eligible securities) from items 26, 28 and 29.

         Report exchange-traded equities that do not qualify as HQLA.

         Report physical traded commodities, including gold.

           Report all unencumbered securities in the appropriate maturity buckets according to their residual maturity and exchange-traded equities and physical traded commodities, including gold, in column 3 in item 38.1.

           Report all encumbered securities in the appropriate maturity buckets according to their residual maturity and in items 38.2.1 to 38.2.2 according to the remaining period of encumbrance.

           Report all encumbered exchange-traded equities and physical traded commodities, including gold, in column 3 and in items 38.2.1 to 38.2.2 according to the remaining period of encumbrance.
Item 39  Report all defaulted securities and non-performing loans in the appropriate maturity buckets according to their residual maturity.

Item 40  Item 40 is a derived item representing the difference between NSFR derivative assets and NSFR derivative liabilities and is calculated by the formula:

         Item 40.1 NSFR derivative assets is a derived item calculated by the formula:

           Report all derivative assets calculated in accordance with paragraph 27 of Attachment C of APS 210 in item 40.1.1.

           Report in item 40.1.2 collateral received in the form of cash variation margin in connection with derivative contracts that can be included in calculating NSFR derivative assets in accordance with paragraph 28 of Attachment C of APS 210.
Item 41  Item 41 is a derived item representing the required stable funding associated with derivative liabilities calculated in accordance with paragraph 9 of Attachment C of APS 210 and is calculated by the formula:

Item 42  Item 42 is a derived item representing cash, securities or other assets, whether on- or off-balance sheet, posted as initial margin for derivative contracts and cash or other assets provided to contribute to the default fund of a central counterparty (CCP), and is calculated by the formula:

         Report cash, securities or other assets, whether on- or off-balance sheet, posted as initial margin on the ADI's own derivative positions in item 42.1. Where securities or other assets posted