4.2.15.2 Calculation of Inflow Cap

A covered company’s total cash inflow amount is capped at 75 percent of its total cash outflows. This is to ensure that covered companies would hold a minimum HQLA amount equal to at least 25 percent of total cash outflows.

However, certain foreign currency exchange derivative cash flows are to be treated on a net basis and have therefore effectively been removed from the gross inflow cap calculation. The inflow leg of a foreign currency exchange derivative transaction in effect is not subject to the 75 percent inflow cap as long as it settles on the same date as the corresponding outflow payment of that derivative transaction.

Note:

Inflow cap does not apply to the calculation of the maturity mismatch add-on.