Document ID: chunk:federal_register_of_legislation:F2023L00417:body:0:p42
Version: federal_register_of_legislation:F2023L00417
Segment Type: other
Provision Reference: 
Character Range: 117158–120187

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 or collateral to be posted by the ADI.

            Non-discretionary cash collateral flows arising as a consequence of expected derivative payment flows, including those related to the mutual margining provisions of a credit support annex, should be considered to be 'expected derivative amounts payable and receivable' as per footnotes 5 and 8 of Attachment A of APS 210. As such, they are eligible for netting with other expected derivative cash flows, subject to the test above.

            Exclude from this calculation those liquidity requirements that would result from increased collateral needs due to:

                * market value movements (i.e. reported in item 13.6); or

                * falls in value of collateral posted (i.e. reported in item 13.7).

            Note that cash flows do not equal the marked-to-market value since the marked-to-market value also includes estimates for contingent inflows and outflows and may include cash flows that occur beyond the 30-day horizon.

            It is generally expected that a positive amount is reported in this item and in item 13.1 for ADIs engaged in derivatives transactions.

            The following instruction on item 21.1 is applicable for the AUD derivatives inflow calculation in ARF 210.1B:

            For FX transactions involving the full exchange of principal relating to:

                * the transformation of liabilities in one currency for the purpose of funding assets in another, report the gross amount; and

                * proprietary trading, market-making or customer facilitation in FX derivatives, exclude the cash flows in their entirety.

            Other derivatives may be shown on a net basis if the netted inflows and outflows meet the test above.
Item 21.2   Item 21.2 is a derived item for contractual inflows from CLF securities maturing in less than, or equal to, 30 days calculated from Section A.

            Item 21.2 is calculated using the following formula:

Item 21.3   Report contractual inflows from other securities maturing in less than or equal to 30 days that are not already included in this form.

            Include contractual inflows from certificates of deposit, maturing in less than or equal to 30 days provided that they are fully performing (i.e. there is no default expected on those instruments).

            Exclude HQLA1, HQLA2, RBNZ securities and CLF securities that meet all operational and definitional requirements and that are maturing within 30 days. These are to be included in Section A and not in this item.

            Assets that are excluded from the liquid asset stock in Section A because they do not meet the operational requirements and are maturing in less than or equal to 30