Document ID: chunk:federal_register_of_legislation:F2022L01620:front:0:p17
Version: federal_register_of_legislation:F2022L01620
Segment Type: other
Provision Reference: 
Character Range: 43768–46558

for inclusion in the numerator of the LCR as set out in paragraphs 9 to 17, 22 to 23 and 28 of this Attachment, where they are held to meet legal entity requirements, where applicable, and the related risks as measured by the legal entity's net cash outflows are also reflected in the LCR. Any surplus of liquid assets held at the legal entity may only be included in the Level 2 stock if those assets would be freely available to the consolidated (parent) entity in times of stress.

    25.         For the purpose of calculating the LCR, if an eligible HQLA or eligible CLF  liquid asset becomes ineligible (e.g. due to rating downgrade), an ADI may keep the asset in its stock of liquid assets for an additional 30 calendar days. This allows the ADI time to adjust its stock as needed or replace the asset.

Level 2 consolidated banking group

    26.         The LCR is to be met by an ADI on both a Level 1 and Level 2 basis. Where an ADI has a branch or subsidiary in an offshore jurisdiction, in calculating a subsidiary's LCR the ADI must apply the requirements outlined in this Prudential Standard. The only exceptions are:

       (a)          for retail and small and medium enterprise (SME) deposits, where the host supervisor's outflow assumptions must be applied; and

       (b)          alternative liquid assets, as provided for in the Basel Committee on Banking Supervision's (Basel Committee) global framework for liquidity risk and allowed by the host supervisor, may be included.

    27.         Where an ADI has a branch or subsidiary in an offshore jurisdiction that does not apply the Basel Committee's global framework for liquidity risk, the cash flow assumptions outlined in this Prudential Standard must be applied in calculating the ADI's Level 2 LCR.

    28.         An ADI with a material banking subsidiary in another offshore jurisdiction must ensure that the subsidiary maintains an LCR of at least 100 per cent. APRA may allow an ADI to include assets that are formally recognised as eligible liquid assets by the relevant offshore prudential regulator.

    29.         For the calculation of the Level 2 LCR, an ADI must take into account restrictions on the transferability of liquid assets across borders. Excess liquidity is not to be recognised in the Level 2 LCR unless there is reasonable certainty about the availability of such liquidity.

Net cash outflows

    30.         Total net cash outflows represent the total expected cash outflows minus total expected cash inflows in the specified stress scenario for the subsequent 30 calendar days. Total expected cash outflows are calculated by multiplying the outstanding balances of various categories or types of liabilities and off-balance sheet commitments by the rates at which they are