Document ID: chunk:federal_register_of_legislation:F2023L00417:body:0:p33
Version: federal_register_of_legislation:F2023L00417
Segment Type: other
Provision Reference: 
Character Range: 92479–95484

that would allow the return of assets in a financing arrangement or that require the originator to provide liquidity, effectively ending the financing arrangement ('liquidity puts') within the 30 day period. ADIs are to look through to the maturity of the debt instrument or facility and consider any embedded options that could potentially trigger the return of assets or the need for liquidity.

Item 13     Item 13 is a derived item calculated as the sum of items 13.1 to 13.7. Report cash outflows due to increased liquidity needs related to derivatives and other transactions in items 13.1 to 13.7.

Item 13.1   Report derivatives cash outflow. Report an amount in accordance with the ADI's existing valuation methodologies to determine expected contractual derivative cash outflows and inflows.

            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 outflows under this item. Report the sum of all net cash inflows under item 21.1.

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

            Where derivative payments are collateralised by HQLA, cash outflows are calculated net of any corresponding cash or collateral inflows that would result, all other things being equal, from contractual obligations for cash or collateral to be provided to the ADI if the ADI is legally entitled and operationally capable to re-use the collateral in new cash raising transactions once the collateral is received.

            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