APRA Consults on Alignment of Daily Liquidity Report for Banks
APRA is consulting on updates to ARS 210.0, the reporting standard that sets out requirements for provision of information on liquidity and funding of an authorized deposit-taking institution. The proposed changes extend data items currently collected and align the Daily Liquidity Report ARF 210.5 with the modified version submitted by certain authorized deposit-taking institutions. APRA has also drafted updates to ARF 210.5 reporting instructions to provide authorized deposit-taking institutions with additional guidance. The revised ARS 210.0 is expected to apply to reporting periods ending on or after April 2021. The comment period on the proposed changes ends on October 17, 2020.
In March 2020, APRA had requested 136 authorized deposit-taking institutions to submit a weekly or bi-weekly modified version of ARF 210.5, commencing from April 01, 2020. The request was aimed at the provision of timely information on authorized deposit-taking institutions' liquidity risk in response to the impact of COVID-19 outbreak. This modified version of ARF 210.5 contained additional information on authorized deposit-taking institutions' funding maturities and minimum liquidity holdings. After examining submissions since April 2020, APRA has identified areas where the reporting instructions for ARF 210.5 could be clarified. APRA is also proposing to update the due dates for the following quarterly liquidity reporting forms from 28 to 35 calendar days after the end of the quarter:
- ARF 210.1A Liquidity Coverage Ratio—all currencies
- ARF 210.1B Liquidity Coverage Ratio—AUD only
- ARF 210.2 Minimum Liquidity Holdings Ratio
- ARF 210.3.1 Contractual Maturity Mismatch—Funded Assets
- ARF 210.3.2 Contractual Maturity Mismatch—Funding Liabilities and Capital
- ARF 210.6 Net Stable Funding Ratio
Related Links
Comment Due Date: October 17, 2020
Keywords: Asia Pacific, Australia, Banking, ARS 210, Liquidity Risk, Daily Liquidity Report, ARF 210.5, APS 210, COVID-19, APRA
Featured Experts
Victor Calanog, Ph.D.
Leading economist; commercial real estate; performance forecasting, econometric infrastructure; data modeling; credit risk modeling; portfolio assessment; custom commercial real estate analysis; thought leader.
Karen Moss
Senior practitioner in asset and liability management (ALM) and liquidity risk who assists banking clients in advancing their treasury and balance sheet management objectives
Previous Article
ECB Finalizes Methodology to Assess CCR and A-CVA Risk of BanksRelated Articles
EU Amends CRD4 and CRD5 as Part of Capital Markets Recovery Package
EU published Directive 2021/338, which amends the Markets in Financial Instruments Directive (MiFID) II and the Capital Requirements Directives (CRD 4 and 5) to facilitate recovery from the COVID-19 crisis.
EU Committee Recommends Systemic Risk Buffer of 4.5% in Norway
The Standing Committee of the European Free Trade Association (EFTA) recommended that a systemic risk buffer level of 4.5% for domestic exposures can be considered appropriate for addressing the identified systemic risks to the stability of the financial system in Norway.
PRA Clarifies Approach to Onshoring of Credit Risk Rules for UK Banks
In a recent statement, PRA clarified its approach to the application of certain EU regulatory technical standards and EBA guidelines on standardized and internal ratings-based approaches to credit risk, following the end of the Brexit transition.
FSB Sets Out Work Priorities for 2021
In a recently published letter addressed to the G20 finance ministers and central bank governors, the FSB Chair Randal K. Quarles has set out the key FSB priorities for 2021.
EU Publishes Corrigendum to Revised Capital Requirements Regulation
EU published, in the Official Journal of the European Union, a corrigendum to the revised Capital Requirements Regulation (CRR2 or Regulation 2019/876).
ESAs Issue Statement on Application of Sustainability Disclosures Rule
ESAs published a joint supervisory statement on the effective and consistent application and on national supervision of the regulation on sustainability-related disclosures in the financial services sector (SFDR).
EC Consults on Crisis Management and Deposit Insurance Frameworks
EC published a public consultation on the review of crisis management and deposit insurance frameworks in EU.
HKMA Enhances Loan Guarantee Scheme to Alleviate Pressure on SMEs
HKMA announced that enhancements will be made to the Special 100% Loan Guarantee of the SME Financing Guarantee Scheme (SFGS) and the application period will be extended to December 31, 2021.
EBA Proposes Standards for Supervisory Cooperation Under IFD
EBA launched consultations on the regulatory and implementing technical standards on cooperation and information exchange between competent authorities involved in prudential supervision of investment firms.
BoE Addresses Banks in Scope of First Resolvability Assessment
BoE issued a letter to the CEOs of eight major UK banks that are in scope of the first Resolvability Assessment Framework (RAF) reporting and disclosure cycle.
