Document ID: chunk:federal_register_of_legislation:F2022L01620:reg:100:p4
Version: federal_register_of_legislation:F2022L01620
Segment Type: reg
Provision Reference: reg 100 (pt 4/12)
Character Range: 74412–77436

maintain an appropriate buffer above its required NSFR under this Prudential Standard, in line with its liquidity risk tolerance, at all times.

    5.             For the purposes of this Attachment, the meanings and definitions in Attachment A apply unless otherwise indicated.

Available stable funding (ASF)

    6.             ASF is the portion of capital and liabilities expected to be reliably provided over a one-year time horizon, and is measured based on the broad characteristics of the relative stability of an ADI's funding sources, including the contractual maturity of its liabilities and the differences in propensity of different types of funding providers to withdraw their funds.

    7.             An ADI must calculate its ASF as follows:

       (a)          assign the carrying value[9] of the ADI's capital and liabilities to the relevant ASF category (refer to paragraphs 11 to 15 of this Attachment);

       (b)          multiply the amount assigned to each liability category by the corresponding ASF factor to obtain a weighted amount; and

       (c)          sum the weighted amounts.

Maturity of funding

    8.             In order to determine the maturity of a funding instrument with an option or a deposit with a withdrawal notice period, an ADI must, for the purposes of the NSFR, assume the maturity date as being the earliest date at which the funds may be redeemed. For long-dated liabilities, only that portion of cash flows falling on or after the six-month and one-year time horizons may be treated as having an effective residual maturity of six months or more and one year or more, respectively.

Calculation of derivative liability amounts

    9.             An ADI must calculate its derivative liabilities based on the replacement cost for derivative contracts (obtained by marking-to-market) where the contract has a negative value. When an eligible bilateral netting contract is in place that meets the conditions specified in paragraphs 9 to 11 of Attachment H of APS 112 and paragraphs 8 and 9 of the annex of the Basel III leverage ratio framework and disclosure requirements,[10] the replacement cost for the set of derivative exposures covered by the contract will be the net replacement cost.

    10.         In calculating NSFR derivative liabilities, an ADI must deduct any collateral posted in the form of variation margin in connection with derivative contracts, regardless of the asset type, from the negative replacement cost amount.[11],[12]

Liabilities and capital receiving a 100 per cent ASF factor

    11.         The following liabilities and capital instruments must be assigned a 100 per cent ASF factor:

       (a)          the total amount of regulatory capital, before the application of regulatory adjustments, as defined in Prudential Standard APS 111 Capital Adequacy: Measurement of Capital (APS 111), excluding the proportion of Tier 2 instruments with a residual maturity of less than one year;

       (b)          the total