Proposed changes to ARS 210.0 Liquidity - response to submissions
The Australian Prudential Regulation Authority (APRA) is releasing a response to submissions on proposed changes to Reporting Standard ARS 210.0 Liquidity (ARS 210.0).
The finalised ARS 210.0 incorporates feedback APRA received on proposed changes to ARS 210.0, and also includes an additional net cash flow overlay item within the Liquidity Coverage Ratio (LCR) reporting forms, to capture any adjustments made by APRA to the minimum liquidity requirements of an authorised deposit-taking institution (ADI), such as those announced in October 2020 and December 20201.
Background
ARS 210.0 includes the Reporting Form ARF 210.5 Daily Liquidity Report (ARF 210.5). APRA asked ADIs to submit a modified version of ARF 210.5 from April 2020 for the provision of additional information on ADIs’ liquidity risk in response to conditions resulting from the COVID-19 pandemic. In September 2020, APRA released an updated ARS 210.0 for consultation2.
The updated ARS 210.0 released for consultation included an updated ARF 210.5, which aligned with the modified version of ARF 210.5 that APRA had asked ADIs to use from April 2020, and provided additional guidance to ADIs in the accompanying reporting instructions. The updated ARS 210.0 also extended the due dates for the following quarterly reporting forms, from 28 to 35 calendar days after the end of the quarter, in line with APRA’s November 2019 consultation Proposed changes to due dates of ADI quarterly reporting:
- Reporting Form ARF 210.1A Liquidity Coverage Ratio – all currencies (ARF 210.1A);
- Reporting Form ARF 210.1B Liquidity Coverage Ratio – AUD only (ARF 210.1B);
- Reporting Form ARF 210.2 Minimum Liquidity Holdings Ratio;
- Reporting Form ARF 210.3.1 Contractual Maturity Mismatch – Funded Assets (ARF 210.3.1);
- Reporting Form ARF 210.3.2 Contractual Maturity Mismatch – Funding Liabilities and Capital (ARF 210.3.2); and
- Reporting Form ARF 210.6 Net Stable Funding Ratio.
Submissions received
The consultation was open for one month. APRA received seven submissions, from six ADIs and one industry body. Submissions discussed aligning the proposed quarterly reporting due dates with annual reporting and adding frequently asked question (FAQ) guidance to the ARF 210.1A reporting instructions. Submissions also raised a number of questions on specific aspects of ARF 210.5 and the reporting instructions, including feedback on how to further clarify the reporting instructions.
Alignment of quarterly and annual liquidity reporting due dates
Four submissions commented on the change to quarterly reporting due dates, noting that the due date for the annual Reporting Form ARF 210.4 3-year Funding Plan (ARF 210.4) remained at 28 calendar days after the end of the ADI’s financial year. Submissions suggested that given the dependency of ARF 210.4 on ARF 210.3.1 and ARF 210.3.2, the due date for ARF 210.4 should not be earlier than that of ARF 210.3.1 or ARF 210.3.2.
APRA agrees with this suggestion and has changed the due date for ARF 210.4 to 35 calendar days after the end of an ADI’s financial year.
Addition of FAQ guidance to reporting instructions
One submission noted that APRA had provided reporting instructions on how surplus liquid assets in a currency or jurisdiction should be included in the LCR all currencies calculation in Liquidity – FAQ #193. In line with this feedback, APRA has added the instructions in this FAQ to the ARF 210.1A reporting instructions.
Specific queries on ARF 210.5 and reporting instructions
A number of submissions also raised specific queries on the updated ARF 210.5 and reporting instructions. Where appropriate, APRA has updated the relevant reporting instruction, or will respond bilaterally to the organisation requesting clarification.
New LCR calculation add-on item
APRA has added a net cash flow overlay item and accompanying reporting instructions to ARF 210.1A and ARF 210.1B to capture any adjustments to net cash outflows made under paragraph 70 of Prudential Standard APS 210 Liquidity, such as those announced in October 2020 and December 2020.4
Finalised ARS 210.0
The finalised ARS 210.0 is available at: Response to submissions on ARS 210.0 Liquidity - December 2020.
Yours sincerely,
Alison Bliss
General Manager
Cross-Industry Insights and Data Division
Footnotes:
1 An adjustment to the net cash outflows component of the Liquidity Coverage Ratio calculation, made under the adjustments and exclusion power at paragraph 70 of Prudential Standard APS 210 Liquidity was announced in October 2020 in relation to Bendigo and Adelaide Bank and in December 2020 in relation to Westpac Banking Corporation.
2 See September 2020 letter to ADIs: Proposed changes to Reporting Standard ARS 210.0 Liquidity.
3 See Liquidity – frequently asked questions
4 See footnote 1.
Note on submissions
It is APRA's policy to publish all submissions on the APRA website unless the respondent specifically tells APRA in writing that all or part of the submission is to remain confidential. An automatically generated confidentiality statement in an email does not satisfy this purpose. If you would like only part of your submission to be confidential, you should provide this information marked as 'confidential' in a separate attachment.
Submissions may be the subject of a request for access made under the Freedom of Information Act 1982 (FOIA). APRA will determine such requests, if any, in accordance with the provisions of the FOIA. Information in the submission about any APRA-regulated entity that is not in the public domain and that is identified as confidential will be protected by section 56 of the Australian Prudential Regulation Authority Act 1998 and will therefore be exempt from production under the FOIA.