• PRU A10.2.18 PRU A10.2.18

    The following table specifies, for each of the various categories and types of contractual receivables, the rates at which they are expected to flow in for the purpose of the calculation of the LCR:

    Cash Inflows
    Item Factor
    Maturing secured lending (incl. reverse repos and Securities borrowing), backed by the following as Collateral:  
    •   Level 1 HQLA
    0%
    •   Level 2A HQLA
    15%
    •   Level 2B HQLA — eligible RMBS
    25%
    •   Level 2B HQLA — Other assets
    50%
    •   Margin lending backed by all other Collateral
    50%
    •   All other assets
    100%
    •   Credit or liquidity facilities provided to the reporting Bank
    0%
    •   Operational Deposits held at other Financial Institutions (including Deposits held at centralised institution of network
    0%
    Other inflows by Counter party  
    •   Amounts receivable from retail Counterparties
    50%
    •   Amounts receivable from non-financial wholesale Counterparties, from transactions other than those listed in the above inflow categories
    50%
    •   Amounts receivable from Financial Institutions and central banks, from transactions other than those listed in the above inflow categories
    100%
    •   Net Derivative receivables
    100%
    •   Other contractual cash inflows
    100%

    • Guidance

      Maturing secured lending, including reverse repos and Securities borrowing

      1. An Authorised Person should assume that maturing reverse repurchase or Securities borrowing agreements secured by Level 1 HQLA will be rolled over and will not give rise to any cash inflows (zero %). Maturing reverse repurchase or Securities borrowing agreements secured by Level 2 HQLA should be modelled as cash inflows, equivalent to the relevant haircut for the specific assets. An Authorised Person is assumed not to roll-over maturing reserve repurchase or Securities borrowing agreements secured by non-HQLA assets and can assume it will receive 100% of the cash related to those agreements. Collateralised loans extended to customers for the purpose of taking leveraged trading positions, i.e. margin loans, should be modelled with a 50% cash inflow from contractual inflows made against non-HQLA Collateral.
      2. An exception to paragraph 1 is the situation where, if the Collateral obtained through reverse repo, Securities borrowing or Collateral swaps, which matures within the 30-day period, is re-used (i.e. rehypothecated) and is tied up for 30 days or longer to cover short positions. An Authorised Person should then assume that such reverse repo or Securities borrowing arrangements will be rolled over and will not give rise to any cash inflows (zero %), reflecting its need to continue to cover the short position or to repurchase the relevant Securities.
      3. An Authorised Person should manage its Collateral so that it is able to fulfil obligations to return Collateral whenever the Counterparty decides not to roll-over any reverse repo or Securities lending transaction. This is especially the case for non-HQLA Collateral, since such outflows are not captured in the LCR framework.

    • Lines of credit

      4. Lines of credit, liquidity facilities and other contingent funding facilities that an Authorised Person holds at other institutions for its own purposes should be assumed to be able to be drawn and so such facilities should receive a zero % inflow rate.

    • Inflows by Counterparty

      5. All inflows should be taken only at the latest possible date, based on the contractual rights available to Counterparties. Inflows from loans that have no specific maturity should not be included, with the exception of minimum payments of principal, fee or interest associated with an open maturity loan.
      6. Operational Deposits: a zero % inflow rate should apply to Deposits held at other Financial Institutions for operational purposes.

    • Other cash inflows

      7. Other contractual cash inflows: other contractual cash inflows should be included under this category. Cash inflows related to non-financial revenues should not be taken into account in the calculation of the net cash outflows for the purposes of the LCR. These items should receive an inflow rate of 100%.