Document ID: chunk:federal_register_of_legislation:F2023L00417:body:0:p44
Version: federal_register_of_legislation:F2023L00417
Segment Type: other
Provision Reference: 
Character Range: 122317–124905

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.

            The following instruction on item 23.1 is applicable for ARF 210.1B only:

            Of the total cash inflows in item 23, report in item 23.1 total cash inflows due from intra-group entities. Report cash inflows in column 1 and the weighted cash inflows in column 3.

Section D: Cash outflows and cash inflows by currency

This section captures the currency mismatches for AUD, NZD, USD, GBP, EUR, JPY, RMB and all other currencies before applying the 75 per cent cap on cash inflows. All items in Section D are derived. Items 24.1 to 24.8 are equal to the respective amounts in item 18 less the respective amounts in item 23.

In ARF 210.1B, only item 24 is derived.

Section E: Calculation of the LCR

Item 25    Item 25 is a derived item and is equal to item 4.

Item 26    Item 26 is a derived item calculated as the sum of item 5 and item 6.

Item 27    Item 27 is a derived item and is equal to item 18 (column 3).

Item 28    Item 28 is a derived item which equals the lower of:

               * inflows in item 23 (column 3); or
               * 75 per cent of outflows in item 18 (column 3).

           Total expected contractual cash inflows are calculated up to an aggregate cap of 75 per cent of total expected cash outflows (paragraph 30 of Attachment A of APS 210).

Item 29    Item 29 is a derived item calculated as the sum of items 27 and 29.1, less item 28.
Item 29.1  Report the amount of any adjustments applied to net cash outflows that are specific to the application of the requirements of paragraph 70 of APS 210.

           If APRA has not advised the ADI of a net cash outflow overlay, report zero in item 29.1.

Item 30    Item 30 is a derived item of the LCR calculated as the sum of items 25 and 26 divided by item 29 and multiplied by 100.

Item 31    Report the ADI's board-approved minimum LCR as contained in its Liquidity Management Strategy.

Item 32    Report the ADI's lowest end of day LCR during the reporting period.

Item 33  Report the ADI's highest end of day LCR during the reporting period.

Item 34  Report the ADI's mean end of day LCR during the reporting period. Use business days only.

The following instruction for item 35 is applicable for ARF 210.1A only.

Item 35  Report the foreign currency LCR for all currencies where