Document ID: chunk:federal_register_of_legislation:F2022L01620:front:0:p12
Version: federal_register_of_legislation:F2022L01620
Segment Type: other
Provision Reference: 
Character Range: 30435–33546

and coin;

       (b)          central bank balances, to the extent that these balances may be drawn down in times of stress;

       (c) marketable securities representing claims on or claims guaranteed by sovereigns, central banks, public sector entities (PSEs), the Bank for International Settlements (BIS), the International Monetary Fund (IMF), the European Central Bank (ECB) and European Union (EU) or multilateral development banks (MDBs), and that satisfy all of the following conditions:

           (i)            assigned a zero per cent risk-weight under Attachment B of Prudential Standard APS 112 Capital Adequacy: Standardised Approach to Credit Risk (APS 112);

           (ii)         traded in large, deep and active repo or cash markets characterised by a low level of concentration;

           (iii)       proven record as a reliable source of liquidity in the markets (repo or sale) even during stressed market conditions; and

           (iv)        not an obligation of a financial institution or any of its associated entities;

       (d)        for non-zero per cent risk-weighted sovereigns: sovereign or  central bank debt  securities issued in domestic currencies by the sovereign or central bank in the country in which the liquidity risk is being taken or in the ADI's home country; and

       (e)        for non-zero per cent risk-weighted sovereigns: domestic  sovereign  or  central  bank  debt securities issued in foreign currencies are eligible up to the amount of the ADI's stressed net cash outflows in that specific foreign currency stemming from the ADI's operations in the jurisdiction where the ADI's liquidity risk is being taken.

HQLA2A

    10.         An ADI may include the following as HQLA2A where these assets have been recognised by APRA or the relevant prudential regulator in the jurisdiction where the liquidity risk is taken. A 15 per cent haircut is applied to the current market value of each HQLA2A held in the stock of eligible HQLA. HQLA2A are limited to:

       (a)          marketable securities representing claims on or guaranteed by sovereigns, central banks, PSEs or MDBs that satisfy all of the following conditions:

           (i)            assigned a 20 per cent risk‑weight under Attachment B of APS 112;

           (ii)         traded in large, deep and active repo or cash markets characterised by a low level of concentration;

           (iii)       proven record as a reliable source of liquidity in the markets (repo or sale) even during stressed market conditions (i.e. maximum decline of price not exceeding 10 per cent or increase in haircut not exceeding 10 percentage points over a 30-day period during a relevant period of significant liquidity stress); and

           (iv)        not an obligation of a financial institution or any of its associated entities;

       (b)          corporate debt securities (including commercial paper) and covered bonds that satisfy all of the following conditions:

           (i)            in the case of corporate debt securities: are not issued by a financial institution or