Document ID: chunk:federal_register_of_legislation:F2023L00417:body:0:p22
Version: federal_register_of_legislation:F2023L00417
Segment Type: other
Provision Reference: 
Character Range: 64213–67020

210.1A) and Reporting Form ARF 210.1B Liquidity Coverage Ratio – AUD only (ARF 210.1B). ARF 210.1A and ARF 210.1B collect information for the calculation of the liquidity coverage ratio (LCR) of an authorised deposit-taking institution (ADI). ARF 210.1A calculates the total LCR and ARF 210.1B calculates the LCR of AUD only currency exposure. In completing these forms, ADIs should refer to Prudential Standard APS 210 Liquidity (APS 210) and Prudential Practice Guide APG 210 Liquidity (APG 210).

Reporting level

ARF 210.1A and ARF 210.1B are to be completed by LCR ADIs for each reporting consolidation level as follows:

    * locally incorporated ADIs must complete ARF 210.1A and ARF 210.1B at Level 1 and Level 2. For ADIs without a Level 2 consolidation ARF 210.1B is to be completed at Level 1; and

    * foreign ADIs must complete ARF 210.1A and ARF 210.1B for the domestic book of the licensed ADI unless the foreign ADI has been designated as an MLH ADI.

For the purposes of reporting ARF 210.1A and ARF 210.1B, where an ADI (or a member of its Level 2 group) is the originating ADI in a securitisation (regardless of whether the securitisation meets APRA's operational requirements for regulatory capital relief under Prudential Standard APS 120 Securitisation), the cash flows corresponding to the assets and liabilities of the securitisation special purpose vehicles (SPVs) must be included in the amounts reported in ARF 210.1A and ARF 210.1B.

Reporting basis and units of measurement

ARF 210.1A and ARF 210.1B are to be completed as at the last day of the relevant reporting period i.e. the relevant quarter.

Report all items on ARF 210.1A and ARF 210.1B in accordance with Australian Accounting Standards unless otherwise specified.

Amounts are to be reported in millions of Australian dollars (AUD) rounded to one decimal place.

Amounts denominated in foreign currency are to be converted to AUD in accordance with AASB 121 The Effects of Changes in Foreign Exchange Rates (AASB 121).[1]

Specific instructions

ADIs must not net asset and liability items in relation to disclosure of data required in this form unless specifically instructed to do so.

All derived fields in the form are shaded and specified in the instructions below. Terms highlighted in bold italics indicate that the definition is provided in paragraph 21 of this Reporting Standard.

Liquidity coverage ratio

The LCR has two components:

    * the numerator of the LCR is equal to the value of the stock of liquid assets in stressed conditions (Section A); and

    * the denominator of the LCR is equal to total net cash outflows, calculated according to the scenario parameters.

The term 'total net cash outflows' means 'total expected cash outflows' (Section B) minus 'total expected