Commission Implementing Regulation (EU) No 680/2014Dangos y teitl llawn

ANNEX XIII U.K.

REPORTING ON LIQUIDITY (PART 1 of 5: LIQUID ASSETS) U.K.

1. Liquid assets U.K.

1.1. General remarks U.K.

1. This is a summary template which contains information about assets for the purpose of monitoring the liquidity coverage requirement as specified in Article 412 REGULATION (EU) NO 575/2013. Items which do not need to be completed by institutions are colored grey. U.K.

2. Assets shall be reported in one of six sections in this template: U.K.

3. Assets which meet the requirements of Article 416 and Article 417: assets identified as liquid for reporting purposes in the REGULATION (EU) NO 575/2013, which meet the operational requirements for holdings of liquid assets. U.K.

4. Assets which meet the requirements of Article 416 (1) (b) and (d) but do not meet the requirements of Article 417 (b) and (c) REGULATION (EU) NO 575/2013. U.K.

5. Items subject to supplementary reporting of liquid assets according to Annex III REGULATION (EU) NO 575/2013 U.K.

6. Assets which do not meet the requirements of Article 416 REGULATION (EU) NO 575/2013 but meet the requirements of Article 417(b) and (c) REGULATION (EU) NO 575/2013. U.K.

7. Treatment for jurisdictions with insufficient liquid assets U.K.

8. Reporting of Shar'iah compliant assets as alternative assets under Article 509(2)(i). U.K.

1.2. Specific remarks U.K.

9. For items 1.1 to 1.2 institutions shall report the relevant amounts in column 030. U.K.

10. For items 1.3 to 1.4 institutions shall report the market value of assets in column 010 and the value according to Article 418 in column 020 for each category of assets. U.K.

11. For item 1.5 institutions shall report the relevant undrawn amount in column 040. U.K.

12. For item 1.6.1/1.6.2 institutions shall report the relevant amounts in column 030/040. U.K.

13. For items 1.7 to 2.2, in accordance with the last paragraph of Article 416(1) REGULATION (EU) NO 575/2013 and pending a uniform definition in accordance with Article 460 of high and extremely high liquidity and credit quality, institutions shall identify themselves in a given currency transferable assets that are of extremely high and high liquidity and credit quality and report their market value in columns 010 and 030 and the value according to Article 418 in columns 020 and 040. U.K.

14. For items 1.3 to 1.4 and 1.7 to 1.14, institutions shall only report assets that fulfill all the operational requirements referred to in Article 417 REGULATION (EU) NO 575/2013. U.K.

15. For items 2.1 to 2.2, institutions shall report assets which would otherwise qualify to be reported in section 1.1 to 1.14 but do not meet the operational requirements referred to in Article 417 (b) and (c) REGULATION (EU) NO 575/2013. U.K.

16. For items 1.1 to 2.2, with the exception of item 1.5, institutions shall only report assets which fulfill all the conditions referred to in Article 416(3) REGULATION (EU) NO 575/2013. U.K.

17. For items 3.1 to 3.12, institutions shall only report assets subject to supplementary reporting of liquid assets in accordance with Annex III REGULATION (EU) NO 575/2013. All items, with the exception of those referred to in sections 3.1, 3.2 and 3.9, must satisfy the conditions as set out in the last paragraph of that Annex. U.K.

18. For items 4.1 to 4.12.3, institutions shall only report assets which do not meet the requirements of Article 416 REGULATION (EU) NO 575/2013 but still meet the requirements of Article 417(b) and (c) REGULATION (EU) NO 575/2013 U.K.

19. For items 5.1 to 5.2, institutions shall only report items related to the derogations as referred to in Article 419(2) REGULATION (EU) NO 575/2013 for currencies with constraints on the availability of liquid assets U.K.

20. For items 6.1 to 6.1.3, only Shar'iah compliant banks shall report items that are Shar'iah compliant financial products as an alternative to assets that would qualify as liquid assets for the purposes of Article 416 REGULATION (EU) NO 575/2013 U.K.

21. The value of the liquid assets of all items in the template, with the exception of 1.1 to 1.2.1, 1.5 to 1.6.2, 3.1 to 3.2, 3.9 to 3.10 and 5.2 shall be the market value and the value after the application of the relevant haircuts. For items 1.1 to 1.2.1, 1.6 to 1.6.2, 3.1 to 3.2, 3.10 and 5.2 the amount of the item shall be reported. For item 1.5 and 3.9 the undrawn amount of the line shall be reported. U.K.

Liquid assets sub template U.K.

1.2.1. Instructions concerning specific rows U.K.

ANNEX XIII Table 1: rows 1 - 119

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REPORTING ON LIQUIDITY (PART 2 of 5: OUTFLOWS) U.K.

1. Outflows U.K.

1.1. General remarks U.K.

1. This is a summary template which contains information about liquidity outflows measured over the next 30 days, for the purpose of monitoring the liquidity coverage requirement as specified in Article 412 of the REGULATION (EU) NO 575/2013. Items which do not need to be completed by institutions are coloured grey. U.K.

2. In accordance with Article 420 REGULATION (EU) NO 575/2013, this section covers reporting requirements on retail deposits (Article 421), other deposits and liabilities (Article 422), additional outflows (Article 423) and outflows from credit and liquidity facilities (Article 424). U.K.

3. In accordance with Article 421(5) of the REGULATION (EU) NO 575/2013, institutions may exclude from the calculation of outflows certain clearly circumscribed categories of retail deposits. For completeness, the reporting of these deposits is requested in item 1.1.6 of the template. U.K.

1.2. Outflows sub template U.K.

1.2.1. Instructions concerning specific rows U.K.

ANNEX XIII Table 2: rows 1 - 179

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REPORTING ON LIQUIDITY (PART 3 of 5: INFLOWS) U.K.

1. Inflows U.K.

1.1. General remarks U.K.

1. This is a summary template which contains information about liquidity inflows measured over the next 30 days, for the purpose of monitoring the liquidity coverage requirement as specified in Article 412 of the REGULATION (EU) NO 575/2013. Items which do not need to be completed by institutions are coloured grey. U.K.

2. In accordance with Article 425(2) REGULATION (EU) NO 575/2013, liquidity inflows shall: U.K.

(i)

comprise only contractual inflows from exposures that are not passed due and for which the bank has no reason to expect non-performance within the 30-day time horizon.

(ii)

be reported in full,.

3. In accordance with Article 425(7) REGULATION (EU) NO 575/2013, institutions shall not report inflows from any of the liquid assets reported in accordance with Article 416 other than payments due on the assets that are not reflected in the market value of the asset. U.K.

4. In accordance with Article 425(8) REGULATION (EU) NO 575/2013, institutions shall not report inflows from any new obligations entered into. U.K.

1.2. Inflows sub template U.K.

1.2.1. Instructions concerning specific rows U.K.

ANNEX XIII Table 3: rows 1 - 136

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REPORTING ON LIQUIDITY (PART 4 of 5: COLLATERAL SWAPS) U.K.

General remarks U.K.

1. This is a summary template which contains information that will allow EBA to assess whether secured lending and collateral swap transactions have been properly unwound, where liquid assets referred to in points (a), (b) and (c) of Article 416(1) have been obtained against collateral that does not qualify under points (a), (b) and (c) of Article 416(1). U.K.

(a)

Collateral swaps sub template

i.

Instructions concerning specific rows

Row	Legal references and instructions
1. Collateral Swaps Article 415(1) paragraph 2 of REGULATION (EU) NO 575/2013. Institutions shall report any collateral swap where liquid assets referred to in points (a), (b) or (c) of Article 416 have been obtained against collateral that does not qualify under points (a), (b) and(c) of Article 416(1). Assets that do not qualify under points (a), (b) and(c) of Article 416(1) of REGULATION (EU) NO 575/2013 are referred to as ‘other assets’ in this template. Collateral swaps maturating in less than or equal to 30 days shall be reported in columns 010 and 020. In column 010 the notional amount shall be reported. In column 020 the market value shall be reported. Collateral swaps maturating in greater than 30 days shall be reported in columns 030 and 040. In column 030 the notional amount shall be reported. In column 040 the market value shall be reported.
010-060	1.0 Assets
010	1.1 cash and exposures to central banks Article 416(1)(a) REGULATION (EU) NO 575/2013
020	1.2 other transferable assets according to Article 416(1)(b) Article 416(1)(b) REGULATION (EU) NO 575/2013
030-060	1.3 other transferable assets representing claims on or guaranteed by Article 416(1)(c) of REGULATION (EU) NO 575/2013 The following subcategories shall be reported:
030	1.3.1 transferable assets representing claims on or guaranteed by the central government of a Member State, on a region with fiscal autonomy to raise and collect taxes, or of a third country in the domestic currency of the central or regional government, if the institution incurs a liquidity risk in that Member State or third country that it covers by holding those liquid assets Article 416(1)(c)(i) of REGULATION (EU) NO 575/2013
040	1.3.2 transferable assets representing claims on or guaranteed by central banks and non-central government public sector entities in the domestic currency of the central bank and public sector entity Article 416(1)(c)(ii) of REGULATION (EU) NO 575/2013
050	1.3.3 transferable assets representing claims on or guaranteed by the Bank for International Settlements, the International Monetary Fund, the Commission and multilateral development banks Article 416(1)(c)(iii) of REGULATION (EU) NO 575/2013
060	1.3.4 transferable assets representing claims on or guaranteed by the European Financial Stability Facility and the European Stability Mechanism Article 416(1)(c)(iv) of REGULATION (EU) NO 575/2013

REPORTING ON LIQUIDITY (PART 5 of 5: STABLE FUNDING) U.K.

1. Items providing stable funding U.K.

1.1. General remarks U.K.

1. This is a summary template which contains information about items providing stable funding. Items which do not need to be completed by institutions are coloured grey. U.K.

2. All own funds and liabilities reported on an institution's balance sheet shall be reported here. The total amount of these two categories shall therefore reflect the size of the institutions' total assets. U.K.

3. In accordance with Article 427(2) REGULATION (EU) NO 575/2013, liabilities shall be reported in five buckets as follows: U.K.

(a)

liabilities for which the closer of their maturity date and the earliest date at which they can contractually be called is within three months of the reporting date, shall be reported in column F of the relevant category. All sight deposits shall be reported here.

(b)

liabilities for which the closer of their maturity date and the earliest date at which they can contractually be called is between three and six months from the reporting date, shall be reported in column G of the relevant category.

(c)

liabilities for which the closer of their maturity date and the earliest date at which they can contractually be called is between 6 and 9 months from the reporting date, shall be reported in column H of the relevant category.

(d)

liabilities for which the closer of their maturity date and the earliest date at which they can contractually be called is between 9 and 12 months from the reporting date, shall be reported in column I of the relevant category.

(e)

liabilities for which the closer of their maturity date and the earliest date at which they can contractually be called is beyond one year of the reporting date and own funds shall be reported in column J of the relevant category.

4. Institutions shall assume that investors redeem a call option at the earliest possible date. For funding with options exercisable at the institution's discretion, reputational factors that may limit the institution's ability to exercise the option shall be taken into account. In particular, where the market expects certain liabilities to be redeemed before their legal final maturity date, institutions shall assume such behaviour. U.K.

5. For retail deposits reported in section 1.2, the same assumptions with regard to maturity for the Liquidity Coverage template shall be used in the Available Stable Funding template. U.K.

1.2. Items providing stable funding U.K.

1.2.1. Instructions concerning specific rows U.K.

ANNEX XIII Table 5: rows 1 - 36

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2. Items requiring stable funding U.K.

2.1. General remarks U.K.

1. This is a summary template which contains information about items requiring stable funding. Items which do not need to be completed by institutions are coloured grey. U.K.

2. All assets reported on an institutions balance sheet shall be reported here. The total amount reported shall therefore reflect the size of total own funds and liabilities together. U.K.

3. Treatment of maturity: U.K.

(i)

In accordance with Article 428(2) of the REGULATION (EU) NO 575/2013, items shall be presented in five buckets as follows:

(a)

assets for which the closer of their maturity date and the earliest date at which they can contractually be called is within three months of the reporting date, shall be reported in column 010, 060 or 110 depending on the relevant category.

(b)

assets for which the closer of their maturity date and the earliest date at which they can contractually be called is between three and six months from the reporting date, shall be reported in column 020, 070, or 120 depending on the relevant category.

(c)

assets for which the closer of their maturity date and the earliest date at which they can contractually be called is between 6 and 9 months from the reporting date, shall be reported in column 030, 080, or 130 depending on the relevant category.

(d)

assets for which the closer of their maturity date and the earliest date at which they can contractually be called is between 9 and 12 months from the reporting date, shall be reported in column 040, 090, or 140 depending on the relevant category.

(e)

assets for which the closer of their maturity date and the earliest date at which they can contractually be called is beyond one year of the reporting date and own funds shall be reported in column 050, 100, or 150 depending on the relevant category.

(ii)

For options exercisable at the institution's discretion, institutions shall take into account reputational factors that may limit the ability not to exercise the option. In particular, if third parties expect that an option will not be exercised, the institution shall assume such behaviour for the purpose of reporting assets in this template.

(iii)

Assets shall be reported according to their residual contract maturity and not behavioural assumptions.

4. In accordance with Article 510 of the REGULATION (EU) NO 575/2013, for the purpose of monitoring Stable Funding, for each category of assets reported in the required stable funding template, institutions shall provide a separate break down of the assets encumbrance as follows: U.K.

(i)

The amount of assets reported which are unencumbered shall be reported in the first sub-category.

(ii)

The amount of assets which are encumbered shall be reported in the relevant sub-line depending on the period of encumbrance, as follows:

i.

for a period within three months

ii.

for a period between three and 6 months

iii.

for a period between 6 and 9 months

iv.

for a period between 9 and 12 months

v.

for a period greater than 12 months

5. Treatment of assets received or lent in secured lending and capital market driven transactions in accordance with Article 192 of REGULATION (EU) NO 575/2013: U.K.

(i)

Institutions shall exclude assets which they have borrowed in secured lending and capital market driven transactions in accordance with Article 192 or REGULATION (EU) NO 575/2013 (such as reverse repurchase transactions and collateral swaps) of which they do not have beneficial ownership.

(ii)

Institutions shall report those assets they have lent in secured lending and capital market driven transactions in accordance with Article 192 or REGULATION (EU) NO 575/2013 (such as repurchase transactions or collateral swaps) of which they retain beneficial ownership.

(iii)

Where an institution has encumbered securities in repurchase transactions lent in secured lending and capital market driven transactions in accordance with Article 192 or REGULATION (EU) NO 575/2013 but retained beneficial ownership and they remain on their balance sheet, they shall allocate such securities to the appropriate RSF category.

6. Treatment of derivatives payables and receivables: U.K.

(i)

An institution will usually have both net derivatives liabilities (i.e. payables) and net derivative assets (i.e. receivables) on its balance sheet. Institutions shall calculate these according to regulatory netting rules, not accounting rules, and report the amounts in both template 1.1. ‘Required funding’ and template 1.2 ‘Stable funding’ accordingly.

2.2. Items requiring stable funding U.K.

2.2.1. Instructions concerning specific rows U.K.

ANNEX XIII Table 6: rows 1 - 180

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