When considering its available cash inflows, an ADI must only include contractual inflows from outstanding exposures that are fully performing and for which it has no reason to expect a default within the 30‑day time horizon. Where APRA is of the view that an ADI is overly reliant on cash inflows from one or a limited number of wholesale counterparties, APRA may set an alternative limit on the level of cash inflows that may be included in the LCR in consultation with the ADI.
Secured lending, including reverse repos and securities borrowing
An ADI must assume that maturing reverse repurchase or securities borrowing agreements secured by HQLA1 will be rolled over and will not give rise to any cash inflows (zero per cent). Maturing reverse repurchase or securities borrowing agreements secured by other HQLA are to be modelled as cash inflows, as outlined in Table 4 below, due to the reduction of funds extended against the collateral. Collateralised loans extended to customers for the purpose of taking leveraged trading positions are to be modelled with a 50 per cent cash inflow from contractual inflows made against non-HQLA1 or non-HQLA2.
As an exception to paragraph 55 of this Attachment, if the collateral obtained through reverse repo, securities borrowing or collateral swaps, which matures within the 30-day horizon, is re-used (i.e. rehypothecated) and is tied up for 30 days or longer to cover short positions, an ADI must assume that such reverse repo or securities borrowing arrangements will be rolled over and will not give rise to any cash inflows (zero per cent), reflecting its need to continue to cover the short position or to re-purchase the relevant securities.
Table 4 – Maturing secured lending inflow rates
Maturing secured lending backed by the following asset category
Inflow rate(%)(if collateral is not used to cover short positions)
Inflow rate(%)(if collateral is used to cover short positions)
HQLA1
0
0
CLF-eligible debt securities, where the ADI receiving assets has a CLF with the RBA subject to the ADI’s CLF limit
Margin lending backed by securities that are not HQLA1, HQLA2 or CLF-eligible securities
50
0
All other collateral
100
0
Lines of credit
Lines of credit, liquidity facilities and other contingent funding facilities that an ADI holds at other institutions for its own purposes receive a zero per cent inflow rate.
APRA may allow recognition of access to head office funds via a committed funding facility if the ADI is a foreign ADI. In such instances, the head office committed funding facility must meet all of the following criteria:
the committed funding facility is an irrevocable commitment from the branch’s head office and is appropriately documented; and
the committed funding facility is quantified.
This paragraph does not apply to a foreign ADI that is part of a group that also has a locally-incorporated banking subsidiary in Australia.
A foreign ADI may meet up to 50 per cent of its LCR requirement with a head office committed funding facility. The remaining liquidity requirement must be met with eligible liquid assets as detailed in this Attachment.
Inflows by counterparty
All inflows are to be taken only at the latest possible date, based on the contractual rights available to counterparties. Inflows from loans that have no specific maturity are not included, with the exception of minimum payments of principal, fee or interest associated with an open maturity loan.
Retail and SME inflows
An ADI is assumed to receive all fully performing contractual inflows from retail and SME[\[7\]](#_ftn7) customers. At the same time, however, an ADI is assumed to continue to extend loans to retail and SME customers, at a rate of 50 per cent of contractual inflows. This results in a net inflow rate of 50 per cent of the contractual amount.
Other wholesale inflows
An ADI is assumed to receive all fully performing contractual wholesale cash inflows. In addition, an ADI is assumed to continue to extend loans to wholesale clients, at a rate of zero per cent of inflows for financial institutions and central banks, and 50 per cent for all others, including non-financial corporates, sovereigns, PSEs and MDBs. This will result in an inflow rate of:
100 per cent from financial institution and central bank counterparties; and
50 per cent for other entities.
Inflows from maturing securities not included in the stock of HQLA receive an inflow rate of 100 per cent.
Operational deposits
A zero per cent inflow rate applies to deposits held at other financial institutions for operational purposes.
Likewise, the depositing ADI must not count any inflow for deposits held at the centralised institution in a cooperative banking network, which are assumed to stay at the centralised institution. These funds will receive a zero per cent inflow rate.
These derivative items receive an inflow rate of 100 per cent.
Other contractual cash inflows
Other contractual cash inflows receive an inflow rate of 100 per cent. Cash inflows related to non-financial revenues are not taken into account in the calculation of the net cash outflows for the purposes of the LCR.