Document ID: chunk:federal_register_of_legislation:F2023L00417:body:0:p35
Version: federal_register_of_legislation:F2023L00417
Segment Type: other
Provision Reference: 
Character Range: 98012–101054

outflows of transactions executed under the same master netting agreement may be treated on a net basis.

Item 13.7   Report the current market value of non-HQLA1 collateral posted as margin for derivatives and other transactions, net of collateral received, on a counterparty basis (provided that the collateral received is not subject to restrictions on reuse or re-hypothecation). Any collateral that is in a segregated margin account can only be used to offset outflows that are associated with payments that are eligible to be offset from that same account.

Item 14     Item 14 is a derived item calculated as the sum of items 14.1.1, 14.2.1, 14.3.1, 14.3.2, 14.4.1, 14.4.2, 14.5.1, 14.6.1, 14.6.2 and 14.7.1.

            Items 14.1 to 14.7 collect information on balances of the undrawn amounts of committed facilities extended by the ADI to retail customer, SME, non-financial corporate, sovereign, central bank, PSE, MDB, ADI/bank, other financial institution and other legal entity counterparties.

            Borrower residential mortgage redraw capacity, whether committed or uncommitted, should be reported as committed in item 14.

            Report undrawn committed facilities, including credit facilities and liquidity facilities, in items 14.1.1, 14.2.1, 14.5.1 and 14.7.1. Exclude amounts that cannot be contractually drawn in the next 30 days based on the terms and conditions of the facility agreement.

            Report undrawn committed credit facilities in items 14.3.1, 14.4.1 and 14.6.1.

            Report undrawn committed liquidity facilities in items 14.3.2, 14.4.2 and 14.6.2.

            The reported amount may be net of any HQLA that is eligible for the stock of HQLA, if:

                * the HQLA has already been posted as collateral by the counterparty to secure the facilities or that are contractually obliged to be posted when the counterparty will draw down the facility;
                * the ADI is legally entitled and operationally capable to re-use the collateral in new cash raising transactions once the facility is drawn; and
                * there is no undue correlation between the probability of drawing the facility and the market value of the collateral.

            The collateral can be netted against the outstanding amount of the facility to the extent that it is not already counted in the stock of HQLA.

            ADIs that are providers of associated liquidity facilities, for financing programs reported in item 12 above, that have maturing or liquidity puts that may be exercised in the 30-day horizon, need not double count the maturing financing instrument and the liquidity facility for consolidated programs.

            For syndicated facilities report the amount of an ADI's proportionate share of the undrawn committed liquidity facility.

Item 15     Item 15 is a derived item calculated as the sum of items 15.1 to 15.5 in column 1 and the sum of items 15.1 and 15.8 in column 3.

            Report the full amount of contractual obligations