LM-11.4 LM-11.4 Cash Inflows
LM-11.4.1
When considering its available cash inflows, the bank must only include contractual inflows from outstanding exposures that are fully performing and for which the bank has no reason to expect a default within the 30-day time horizon. Contingent inflows are not included in total net cash inflows.
August 2018LM-11.4.2
Bahraini conventional bank licensees need to monitor the concentration of expected inflows across wholesale counterparties in the context of the banks' liquidity risk management, in order to ensure that liquidity position is not overly dependent on the arrival of expected inflows from one or a limited number of wholesale counterparties.August 2018LM-11.4.3
The amount of inflows that can offset outflows is capped at 75 percent of the total expected cash outflows, as calculated in the Module for the purpose of calculating the net cash outflows.
August 2018A. Secured Lending, Including Reverse Repos and Securities Borrowing
LM-11.4.4
A bank must assume that maturing financing transactions secured by level 1 assets will be rolled-over and will not give rise to any cash inflows; as a result, an inflow factor of 0 percent will be applied to this kind of transaction. While maturing financing transactions secured by Level 2 HQLA will lead to cash inflows equivalent to the relevant haircut for the specific assets. A bank is assumed not to roll-over maturing secured financing transactions which have been secured by non-HQLA assets, and can assume receiving back 100 percent of the cash related to those agreements (i.e. an inflow factor of 100 percent).
August 2018LM-11.4.5
Maturing secured lending transactions backed by different asset categories will receive different factors provided that the collateral obtained through reverse repo, or securities borrowing which matures within the 30-day horizon, is not used to cover short positions.
August 2018LM-11.4.6
If the collateral obtained through reverse repo or securities borrowing matures within the 30-day horizon, and is re-used to cover short positions that could be extended beyond 30 days, a bank must assume that the reverse repo or securities borrowing arrangements will be rolled-over and will not give rise to any cash inflow (0 percent).
August 2018LM-11.4.7
In the case of a bank's short positions, if the short position is being covered by an unsecured security borrowing, the bank must assign a 100 percent outflow of either cash or HQLA to secure the borrowing, or cash to close out the short position by buying back the security. This must be assigned a 100% run-off rate under the other contractual cash outflows described in LM-11.3.10(F). However, if the bank's short position is being covered by a collateralized securities financing transaction, the bank must assume the short position will be maintained throughout the 30-day period and receive a 0 percent outflow.
August 2018B. Committed Facilities
LM-11.4.8
No cash inflows are assumed from credit facilities or liquidity facilities that the bank holds at other institutions for its own purposes. As such, these transactions must receive a 0 percent cash inflow rate, meaning that this scenario does not consider inflows from committed credit or liquidity facilities.
August 2018C. Other Inflows by Counterparty
LM-11.4.9
For all other types of transactions, either secured or unsecured, the bank must apply inflow rates according to the counterparty category, as explained in the following paragraphs.
August 2018LM-11.4.10
When considering loan payments, the bank must only include inflows from fully performing loans. For revolving credit facilities, this assumes that the existing loans are rolled-over and that any remaining balances (undrawn) are treated in the same way as a committed facility according to LM-11.3.10(E).
August 2018LM-11.4.11
Inflows from loans that have no specific maturity (i.e. have non-defined or open maturity) must not be included; therefore, no assumptions must be applied as to when maturity of such loans would occur. An exception to this would be minimum payments of principal, commission or interest associated with an open maturity financing transactions, provided that such payments are contractually due within 30 days. These minimum payment amounts must be captured as inflows at the rates prescribed in the paragraphs below (articles a. and b.).
August 2018LM-11.4.12
Bahraini conventional bank licensees must apply the below rates to the cash inflows maturing within 30 calendar days by counterparty:a. Cash inflows from retail customers and small business customers: 50 percent of the contractual amount.b. Other wholesale inflows:i. 100 percent for financial institutions and central bank counterparties; andii. 50 percent for non-financial wholesale counterparties.c. Operational deposits: Deposits held at other financial institutions for operational purposes will receive a 0 percent inflow rate.August 2018LM-11.4.13
Inflows from securities maturing within 30 days not included in the stock of HQLA must be treated in the same category as inflows from financial institutions (i.e. 100 percent inflow).
Bahraini conventional bank licensees may also recognize in this category inflows from the release of balances held in segregated accounts in accordance with regulatory requirements for the protection of customer trading assets, provided that these segregated balances are maintained in HQLA. Liquid assets from level 1 and level 2 securities maturing within 30 days must be included as HQLA, provided that they meet all operational and definitional requirements, as laid out in LM-11.2.August 2018D. Other Cash Inflows
LM-11.4.14
Derivatives cash inflows: The sum of all net cash inflows must receive a 100 percent inflows factor. The amounts of derivative cash inflows and outflows must be calculated in accordance with the methodology described in LM-11.3.10(A) Sub Paragraph.(i).
August 2018LM-11.4.15
Where derivative contracts are collateralized by HQLA, cash inflows must be calculated net of any corresponding cash or contractual outflows that would result, all other things being equal, from contractual obligations for cash or collateral to be posed by the bank, given these contractual obligations would reduce the stock of HQLA. This is in accordance with the principle that banks must not double-count liquidity inflows or outflows.
August 2018LM-11.4.16
Other contractual cash inflows: Other contractual cash inflows must be captured here, with an explanation given as to what this bucket comprises of; they must receive a 100 percent inflow rate. Cash inflows related to cash flows which are not pertinent to the bank's primary activities are not taken into account in the calculation of the net cash outflows for the purposes of calculating the LCR.
August 2018
