Document ID: chunk:federal_register_of_legislation:F2022L01620:reg:1:p1
Version: federal_register_of_legislation:F2022L01620
Segment Type: reg
Provision Reference: reg 1 (pt 1/3)
Character Range: 96360–99238

1               Unconditionally revocable credit and liquidity facilities

    42.         An ADI must apply an RSF factor of 100 per cent to trade finance-related obligations and guarantees and letters of credit unrelated to trade finance obligations using the actual net outflows for these obligations in the most recent 12-month period.

    [1]  Refer to subsection 11AF(2) of the Banking Act.
    [2]  In the event of an asset having multiple assessments, the applicable rating must be determined according to the method used in APS 112.
    [3]  Refer to footnote 2.
    [4]  Refer to footnote 2.
    [5]  Expected derivative amounts payable and receivable are taken into account on a net basis by counterparty, only where a valid master netting agreement exists. Amounts must also be net of HQLA1 and HQLA2 collateral, to the extent that this collateral is not already counted in the stock of HQLA, in line with the principle in paragraph 31 of this Attachment that items cannot be double counted in the LCR. An ADI may net payments that are subject to industry wide netting agreements subject to approval from APRA. Cash flows arising from FX derivative transactions that involve a full exchange of principal amounts on a simultaneous basis (or within the same day) may be reflected as a net payable or receivable figure, even where those transactions are not covered by a master netting agreement.
    [6]  An ADI may, in certain circumstances, apply to APRA for approval to use an alternative method to calculate collateral outflows due to market valuation changes on derivative transactions.
    [7]  Where the definition for an SME customer in paragraph 46 of this Attachment cannot be applied due to the absence of liability products, the definition in paragraph 40 of Prudential Standard APS 113 Capital Adequacy: Internal Ratings-based Approach to Credit Risk can be used instead.
    [8]  The treatment in footnote 5 also applies here.
    [9]  The carrying value represents the amount of a liability or equity instrument before application of any regulatory deductions, filters or other adjustments.
    [10]  Refer to Basel III leverage ratio framework and disclosure requirements, January 2014, Basel Committee on Banking Supervision as it exists at 12 January 2014.
    [11]  NSFR derivative liabilities = (derivative liabilities) – (total collateral posted as variation margin on derivative liabilities).
    [12]  When determining its RSF, an ADI must not include an asset on its balance sheet associated with collateral posted as variation margin where the asset is deducted from the replacement cost amount of a derivative contract for the purposes of the NSFR.
    [13]  Refer to paragraph 37 of Attachment A.
    [14]  Refer to paragraph 34 of Attachment A. Also refer to paragraph 46 and footnote 9 of Attachment A for the definition of SME.
    [15]