Document ID: chunk:federal_register_of_legislation:F2023L00417:body:0:p31
Version: federal_register_of_legislation:F2023L00417
Segment Type: other
Provision Reference: 
Character Range: 87144–90107

30 calendar day stress horizon. Secured funding transactions without a defined maturity date are captured within the 30 calendar day stress horizon.

            Collateral lent to the ADI's customers to effect short positions should be treated as a form of secured funding, including customer short positions that do not have a specified contractual maturity.

            Report any transaction in which the ADI has received a collateralised loan in cash, such as repo transactions, expiring within 30 days. Collateral swaps where the ADI has received a collateralised loan in the form of assets other than cash are to be reported in item 17.

            For the purposes of this reporting item, if the ADI has deposited both liquid and non-liquid assets in a collateral pool and no assets are specifically assigned as collateral for the secured transaction, the ADI may assume that the assets with the lowest liquidity get assigned first.

            Report both the amount of funds raised through the transaction and the value of the underlying collateral extended based on the date of reporting of the transaction.

            Report the portion of the amount raised in the secured funding transaction where the underlying collateral extended for the transaction would otherwise qualify to be reported in Section A (if they were not already securing the particular transaction in question), because:

                * they would be held unencumbered; and

                * they would meet the operational requirement for HQLA as specified in paragraphs 22 to 25 of Attachment A of APS 210.

            Report balances in items: 11.1.1, 11.2.1, 11.3.1, 11.4.1, 11.7.1 and 11.7.3.

            Report the market value of the extended collateral for the portion of the amount raised where the underlying collateral extended for the transaction would otherwise qualify to be reported in Section A (if that collateral is not already securing the particular transaction in question), because:

                * they would be held unencumbered; and

                * they would meet the operational requirement for HQLA as specified in paragraphs 22 to 25 of APS 210 Attachment A.

            Report balances in items: 11.1.2, 11.2.2, 11.3.2, 11.4.2, 11.5.1 (report the market value less the applicable RBA margin), 11.7.2 and 11.7.4.
Item 11.1   Report the amount of funds raised in a secured funding transaction that matures within 30 days for transactions secured by HQLA1 with any counterparty (where the counterparty is a central bank, other than the RBA, report under item 11.7).

Item 11.2   Report the amount of funds raised in a secured funding transaction that matures within 30 days for transactions secured by HQLA2A with any counterparty (where the counterparty is a central bank, other than the RBA, report under item 11.7).

Item 11.3   Report the amount of funds raised in a secured funding transaction that matures within 30 days for