Document ID: chunk:federal_register_of_legislation:F2023L00417:body:0:p34
Version: federal_register_of_legislation:F2023L00417
Segment Type: other
Provision Reference: 
Character Range: 95227–98273

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 21.1 for ADIs engaged in derivatives transactions.

            The following instruction on item 13.1 is applicable for the AUD derivatives outflow calculation in ARF 210.1B:

            For FX transactions involving 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 13.2   Report the amount of collateral that would need to be posted, or contractual cash outflows generated by a downgrade of 3 notches in the ADI's long-term credit rating. Exclude cash outflows from the entity's own self-securitisation.

            Triggers linked to the ADI's short-term rating should be assumed to be triggered at the corresponding long-term credit rating in accordance with published ratings criteria. The impact of the downgrade should consider impacts on all types of margin collateral and contractual triggers which change re-hypothecation rights for non-segregated collateral. This includes drawdown of contingent facilities or early repayment of existing liabilities.

            Where an ADI has other options besides posting collateral, such as novation or finding a guarantor, the ADI must assume it posts collateral and does not utilise the other options unless and until another option has been completed and executed such that collateral is no longer required to be posted.
Item 13.3   Report the amount of non-segregated collateral that the reporting ADI has received from counterparties that could, under legal documentation, be recalled because the collateral is in excess of that counterparty's current collateral requirements.

Item 13.4   Report the amount of collateral that is contractually due from the reporting ADI, but for which the counterparty has not yet demanded the collateral to be posted.

Item 13.5   Report the amount of HQLA collateral that can be substituted for non-HQLA collateral without the ADI's consent, that has been received to secure transactions and that has not been segregated.

Item 13.6   Report the largest absolute net 30 day collateral flow realised during the preceding 24 months, where the absolute net collateral flow is based on both realised outflows and inflows. Inflows and 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