Document ID: chunk:federal_register_of_legislation:F2023L00417:body:0:p41
Version: federal_register_of_legislation:F2023L00417
Segment Type: other
Provision Reference: 
Character Range: 114321–117433

210).

            Inflows should only be taken at the latest possible date, based on the contractual rights available to counterparties, e.g. existing loans under revolving credit facilities are assumed to be rolled over and any remaining balances are reported in item 14.

            Exclude inflows from loans that have no specific maturity, i.e. non-maturing, non-defined or open maturity.

            Include the minimum payments of principal, fee or interest associated with open maturity loans that are contractually due within 30 days.

            Report cash inflows from retail customer, SME and non-financial corporate counterparties in items 20.1, 20.2 and 20.3 respectively.

            Report cash inflows from central banks in item 20.4. Include term deposits that expire within 30 days that were not eligible to be included in item 1.2.

            Report cash inflows from payments on loans and deposits from financial institutions in item 20.5. ADIs may include inflows, in line with the treatment of other related outflows and inflows in the LCR calculation, from the release of balances held in segregated accounts for the protection of customer trading assets, provided that these segregated balances are maintained in HQLA1 or HQLA2.

            Report cash inflows from other entities in item 20.6 that are not included in items 20.1 to 20.5.

            Items 20.7 to 20.9 collects information on the inflows from entities which are affiliated with the ADI.

            Report inflows from intra-group entities that are ADI/bank counterparties in item 20.7.

            Report inflows from intra-group entities that are financial institution counterparties in item 20.8 excluding amounts reported in item 20.7.

            Report inflows from other intra-group entities in item 20.9 excluding amounts reported in item 20.7 and item 20.8.

Item 21     Item 21 is a derived item calculated as the sum of items 21.1 to 21.5.
Item 21.1   Report derivatives cash inflows. Report an amount in accordance with the ADI's existing valuation methodologies to determine expected contractual derivative cash inflows and outflows.

            Derivative cash flows may be shown on a net basis if the netted inflows and outflows:

            a)      all occur within the next 30 days; and

                b)     are with the same counterparty; and

                c)      are either subject to a valid master netting agreement; or

                d)     are cash flows arising from one or more FX derivative transactions that involve a full exchange of principal amounts on a simultaneous basis (or within the same day).

            Report the sum of all net cash inflows under this item. Report the sum of all net cash outflows under item 13.1.

            Assume options are exercised when they are 'in the money' to the option buyer.

            Where derivative payments are collateralised by HQLA, cash inflows are calculated net of any corresponding cash or collateral outflows that would result, all other things being equal, from contractual obligations for cash