Document ID: chunk:federal_register_of_legislation:F2022L01620:reg:100:p11
Version: federal_register_of_legislation:F2022L01620
Segment Type: reg
Provision Reference: reg 100 (pt 11/12)
Character Range: 93304–96257

are not in default and do not qualify as HQLA; and

       (d)          physical traded commodities, including gold.

Assets assigned a 100 per cent RSF factor

    37.         An ADI must assign a 100 per cent RSF factor to the following assets:

       (a)          all assets that are encumbered for a period of one year or more;[28]

       (b)          NSFR derivative assets calculated in accordance with paragraphs 27 and 28 of this Attachment net of NSFR derivative liabilities calculated in accordance with paragraphs 9 and 10 of this Attachment, if NSFR derivative assets are greater than NSFR derivative liabilities;[29]

       (c)          all other assets not included in the above categories, including non-performing loans, loans to financial institutions with a residual maturity of one year or more, non-exchange-traded equities, fixed assets, items deducted from regulatory capital (as defined in APS 111), retained interest, insurance assets, subsidiary interests and defaulted securities; and

       (d)          20 per cent of derivative liabilities (i.e. negative replacement cost amounts) as calculated according to paragraph 9 of this Attachment (before deducting any variation margin posted).

Interdependent assets and liabilities

    38.         APRA may determine that certain asset and liability items, on the basis of contractual arrangements, are interdependent such that the liability cannot fall due while the asset remains on the balance sheet, the principal payment flows from the asset cannot be used other than for repaying the liability, and the liability cannot be used to fund other assets.

    39.         For the purposes of paragraph 38, APRA will only make a determination, on a case-by-case basis, in exceptional circumstances. As part of any determination, an ADI must, at a minimum, be able to demonstrate that the criteria in paragraph 40 are met in full.

    40.         If APRA determines asset and liability items to be interdependent in accordance with paragraph 38 of this Attachment then APRA may, at its discretion, adjust the RSF and ASF factors relating to those asset and liability items to zero per cent, subject to the following criteria:

       (a)          the individual interdependent asset and liability items are clearly identifiable;

       (b)          the maturity and principal amount of both the liability and its interdependent asset are the same;

       (c)          the ADI is acting solely as a pass-through unit to channel the funding received (the interdependent liability) into the corresponding interdependent asset; and

       (d)          the counterparties for each pair of interdependent liabilities and assets are not the same.

Off-balance sheet exposures

    41.         An ADI must apply the RSF factor to the RSF category in Table 1 for the OBS exposure categories in the Table.

Table 1 – OBS exposure categories

RSF factor (%)  RSF category