Document ID: chunk:federal_register_of_legislation:F2023L00417:body:0:p23
Version: federal_register_of_legislation:F2023L00417
Segment Type: other
Provision Reference: 
Character Range: 66755–69460

stressed conditions (Section A); and

    * the denominator of the LCR is equal to total net cash outflows, calculated according to the scenario parameters.

The term 'total net cash outflows' means 'total expected cash outflows' (Section B) minus 'total expected cash inflows' (Section C) up to 75 per cent of total expected cash outflows, in the specified stress scenario for the subsequent 30 calendar days.

An amount must be entered in each field. If the item is not applicable or there is no amount to be reported, enter a zero amount.

Column description

Column 1  Collects the market value/amount prior to the application of the scenario parameters (weights). The amount or value specified is to be entered in this column. Derived fields are indicated.

Column 2  Weights are pre-defined haircuts for liquid assets, run-off rates for cash outflows and inflow rates for cash inflows. All pre-defined weights are in accordance with the requirements of Attachment A of APS 210 with the following exclusions:

              * weights to cater for and advised by offshore jurisdictions where the ADI operates; and
              * weights set in consultation with APRA.
Column 3  Calculates the weighted amounts for items except those where requested in the instructions. Where fields are derived, they are calculated by multiplying the amount in column 1 by the weight in column 2.

Section A: Liquid assets

All assets must meet the operational requirements as outlined in paragraphs 22 to 25 of Attachment A of APS 210.

All assets in the stock must be available for the ADI to convert into cash through outright sale or repo to fill funding gaps between cash inflows and outflows at any time during the 30 day stress period.

An ADI is permitted to hedge the price risks associated with ownership of the stock of liquid assets and still include the assets in the stock. If it chooses to hedge the associated risks, the ADI must take into account (in the market value applied to each asset) the cash outflow that would arise if the hedge were to be closed out early (in the event of the asset being sold).

When included as part of the stock, liquid assets cannot be counted as cash inflows even if they mature within 30 days i.e. double-counting is not allowed.

For the purpose of calculating the LCR on an "all currencies" basis, surplus liquid assets in a currency are liquid assets (HQLA, RBNZ eligible securities and ALA, as applicable) that are in excess of net cash outflows (prior to applying the inflow cap) in that currency.

To the extent that surplus liquid assets in one jurisdiction or currency would not be freely available to meet outflows in other jurisdictions or