Document ID: chunk:federal_register_of_legislation:F2023L00417:body:0:p25
Version: federal_register_of_legislation:F2023L00417
Segment Type: other
Provision Reference: 
Character Range: 71837–74726

item 1.3.5.

           Report securities issued or guaranteed by central banks in item 1.3.6.

           Report securities issued or guaranteed by public sector entities (PSEs) in item 1.3.7.

           Report securities issued or guaranteed by the Bank of International Settlements (BIS), the International Monetary Fund (IMF), the European Central Bank (ECB) and European Community (EC) or multilateral development banks (MDBs) in item 1.3.8.
Item 1.4   Item 1.4 collects information on sovereign/central bank debt securities where the sovereign has a non-zero per cent risk weight and so are not eligible for inclusion in item 1.3. Only include debt issued by a sovereign or central bank in a jurisdiction to the extent of the liquidity risk taken in that jurisdiction.

           For ARF 210.1A, report unencumbered debt securities issued by the sovereign or central bank in the domestic currency of that country in item 1.4.1.

           Report unencumbered debt securities issued by the domestic sovereign or central bank in foreign currencies to the extent that the holding of such debt securities matches the currency needs of the ADI's operations in that specific jurisdiction in item 1.4.2.

           For ARF 210.1B, report unencumbered debt securities issued by the sovereign or central bank, to the extent that the holding of such debt securities matches the currency needs of the ADI's operations in that specific jurisdiction, in item 1.4.
Item 1.5   Item 1.5 is a derived item on the adjusted amount of HQLA1 stock calculated as the sum of items 1, 1.5.1 and 1.5.2. If the sum is less than zero, zero will be derived for this item. This amount is used for the purpose of calculating the cap on HQLA2 and HQLA2B.

           The formula for item 1.5 is:

           Item 1.5.1 is a derived item for the adjustment to the amount of HQLA1 due to secured lending/borrowing transactions involving HQLA1.

           The formula for item 1.5.1 is:

           Report the adjustment to the amount of HQLA1 as a result of collateral swaps in item 1.5.2.

Item 2     Item 2 is a derived item calculated as the sum of HQLA2A reported in items 2.1 to 2.4.

           Report the market value of unencumbered marketable debt securities assigned a 20 per cent risk weight under the standardised approach to credit risk of the Basel II framework by counterparty type in items 2.1 and 2.2.

           Report securities issued or guaranteed by sovereigns or central banks in item 2.1.

           Report securities issued or guaranteed by PSEs or MDBs in item 2.2.

           Report non-financial corporate securities with an External Credit Assessment Institution (ECAI) rating of at least a credit rating grade 1 in item 2.3.

           Report covered bonds, not issued by the ADI itself or any of its associated entities, with an ECAI rating of at least a credit