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Commission Implementing Regulation (EU) No 680/2014Dangos y teitl llawn
Commission Implementing Regulation (EU) No 680/2014 of 16 April 2014 laying down implementing technical standards with regard to supervisory reporting of institutions according to Regulation (EU) No 575/2013 of the European Parliament and of the Council (Text with EEA relevance)
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- 2014 No. 680
- ANNEX XXV
- REPORTING ON LIQUIDITY (PART...
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Changes over time for: REPORTING ON LIQUIDITY (PART 3: INFLOWS)
Version Superseded: 01/06/2020
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Point in time view as at 01/12/2016.
Changes to legislation:
Commission Implementing Regulation (EU) No 680/2014,
REPORTING ON LIQUIDITY (PART 3: INFLOWS)
is up to date with all changes known to be in force on or before 05 November 2024. There are changes that may be brought into force at a future date. Changes that have been made appear in the content and are referenced with annotations.
EUR 2014 No. 680 may be subject to amendment by EU Exit Instruments made by both the Prudential Regulation Authority and the Financial Conduct Authority under powers set out in The Financial Regulators' Powers (Technical Standards etc.) (Amendment etc.) (EU Exit) Regulations 2018 (S.I. 2018/1115), regs. 2, 3, Sch. Pt. 4. These amendments are not currently available on legislation.gov.uk. Details of relevant amending instruments can be found on their website/s.
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[F1 [X1ANNEX XXV] U.K.
Editorial Information
X1 Substituted by Corrigendum to Commission Implementing Regulation (EU) 2016/322 of 10 February 2016 amending Implementing Regulation (EU) No 680/2014 laying down implementing technical standards with regard to supervisory reporting of institutions of the liquidity coverage requirement (Official Journal of the European Union L 64 of 10 March 2016).
Textual Amendments
[F1REPORTING ON LIQUIDITY (PART 3: INFLOWS) U.K.
2. Inflows U.K.
2.1. 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 reporting the liquidity coverage requirement as specified in Commission Delegated Regulation (EU) 2015/61. Items which do not need to be completed by credit institutions are coloured in grey. U.K.
2. Credit institutions shall submit the template in the currencies specified in Article 4(5) of Commission Delegated Regulation (EU) 2015/61. U.K.
3. In accordance with Article 32 of Commission Delegated Regulation (EU) 2015/61, liquidity inflows shall: U.K.
i.
comprise only contractual inflows from exposures that are not past due and for which the credit institution has no reason to expect non-performance within the 30-day time horizon.
ii.
be calculated by multiplying the outstanding balances of various categories of contractual receivables by the rates specified in Commission Delegated Regulation (EU) 2015/61.
4. Inflows within a group or an institutional protection scheme (except for inflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authority has granted permission to apply a preferential inflow rate) shall be assigned to the relevant categories. Unweighted amounts shall additionally be reported as memorandum items under section 4 of the template (lines 460-480). U.K.
5. In accordance with Article 32(6) of Delegated Regulation (EU) 2015/61, credit institutions shall not report inflows from any of the liquid assets reported in accordance with Title II of that Regulation other than payments due on the assets that are not reflected in the market value of the asset. U.K.
6. Inflows which are to be received in third countries where there are transfer restrictions or which are denominated in non-convertible currencies shall be reported in the relevant rows of sections 1.1., 1.2. or 1.3. The inflows shall be reported in full, regardless of the amount of outflows in the third country or currency. U.K.
7. Monies due from securities issued by the credit institution itself or by a related entity shall be taken into account on a net basis with an inflow rate applied on the basis of the inflow rate applicable to the underlying asset pursuant to Article 32(3)(h) of Commission Delegated Regulation (EU) 2015/61. U.K.
8. In accordance with Article 32(7) of Commission Delegated Regulation (EU) 2015/61, credit institutions shall not report inflows from any new obligations entered into. U.K.
9. In the case of a significant currency identified in accordance with Article 4(5) of Commission Delegated Regulation (EU) 2015/61, the reported balances shall comprise only those which are denominated in the significant currency to ensure that currency gaps are correctly reflected. This may mean that only one side of the transaction is reported in the significant currency template. For instance, in case of FX derivatives, credit institutions may only net inflows and outflows in accordance with Article 21 of Commission Delegated Regulation (EU) 2015/61 where they are denominated in the same currency. U.K.
10. The Column structure of this template is built to accommodate the different caps on inflows applicable pursuant to Article 33 of Commission Delegated Regulation (EU) 2015/61. In this regard, the template is based on three sets of Columns, one set for each cap treatment (75 % cap, 90 % cap, and exempted from the cap). Credit institutions reporting on a consolidated basis may use more than one such set of Columns if different entities under the same consolidation qualify for different cap treatments. U.K.
11. In accordance with Article 2(3)(c) of Commission Delegated Regulation (EU) 2015/61 regarding consolidation, liquidity inflows in a subsidiary undertaking in a third country which are subject under the national law of that third country to lower rates than those specified in Title III of the regulation shall be subject to consolidation in accordance with the lower rates specified in the national law of the third country. U.K.
12. Commission Delegated Regulation (EU) 2015/61 only refers to rates and haircuts, and the word ‘ weight ’ in the template just refers to these in the appropriate context. The word ‘ weighted ’ in this Annex shall be understood as a general term for indicating the amount calculated after the application of the respective haircuts, rates and any other relevant additional instructions (e.g. in the case of secured lending and funding). U.K.
13. Some ‘ memorandum items ’ are included in the associated templates to these instructions. While not strictly necessary for the calculation of the ratio itself, they are required to be completed. These items provide necessary information to allow the competent authority to complete an adequate assessment of credit institutions' compliance with the liquidity requirements. In some cases they represent a more granular breakdown of items included in the main sections of the templates while in other cases they reflect additional liquidity resources credit institutions may have access to. U.K.
2.2. Specific remarks regarding secured lending and capital market-driven transactions U.K.
1. The template categories collateralizsed flows by the quality of the underlying asset or HQLA eligibility. A separate template is provided for collateral swaps — C 75.00 of ANNEX XXIV. Collateral swaps, which are collateral-versus-collateral transactions shall not be reported on the inflow template (C 74.00 of ANNEX XXIV) which only covers cash-versus-collateral transactions. U.K.
2. In the case of a significant currency return, the reported balances shall comprise only those which are denominated in the significant currency to ensure that currency gaps are correctly reflected. This may mean that only one side of the transaction is reported in the significant currency template. Hence a reverse repo transaction can result in a negative inflow. Reverse repo transactions reported in the same item shall be summed (positives and negatives). If the total is positive then this shall be reported on the inflow template. If the total is negative then this shall be reported on the outflow template. This approach shall be followed vice-versa for repos. U.K.
3. Credit institutions shall only report the Level 1, Level 2A and Level 2B assets that qualify as liquid assets in accordance with Title II of Commission Delegated Regulation (EU) 2015/61. Where collateral is Level 1, Level 2A or Level 2B but does not qualify as a liquid asset in accordance with Title II of Commission Delegated Regulation (EU) 2015/61 it shall be reported as non-liquid. Similarly, where a credit institution may only recognise part of their foreign currency shares, or foreign currency central government or bank assets, or domestic currency central government or central bank assets within their HQLA, only the recognisable part shall be reported within the rows related to Level 1, Level 2A and Level 2B assets (refer to Article 12(1)(c)(i)-(iii)) and Article 10(1)(d) of Commission Delegated Regulation (EU) 2015/61). Where the particular asset is used as collateral but for an amount which is surplus to the portion which can be recognised as liquid assets, the surplus amount shall be reported in the non-liquid section. Level 2A assets shall be reported in the corresponding Level 2A asset row, even if the Alternative Liquidity Approach under Article 19 of Commission Delegated Regulation (EU) 2015/61 is being followed. U.K.
2.3. Specific remarks regarding settlement and forward starting transactions U.K.
Credit institutions shall report inflows stemming from forward starting repos that start within the 30 day horizon and mature beyond the 30 day horizon. The inflow to be received shall be reported in {C 74.00; r260} ( ‘ other inflows ’ ), net of the market value of the asset to be delivered to the counterparty after the application of the related LCR haircut. If the asset is not a ‘ liquid asset ’ , the inflow to be received shall be reported in full. The asset to be pledged as collateral shall be reported in C 72.00 if the institution holds the asset in its book at the reference date and it fulfills the related conditions.
Credit institutions shall report inflows stemming from forward starting repos, reverse repos and collateral swaps that start within the 30 day horizon and mature beyond the 30 day horizon where the initial leg produces an inflow. In the case of a repo, the inflow to be received shall be reported in {C 74.00; r260} ( ‘ other inflows ’ ), net of the market value of the asset to be delivered to the counterparty after the application of the related LCR haircut. If the amount to be received is lower than the market value of the asset (after LCR haircut) to be lent as collateral, the difference shall be reported as an outflow in C.73.00. If the asset is not a ‘ liquid asset ’ , the inflow to be received shall be reported in full. The asset to be pledged as collateral shall be reported in C 72.00 where the institution holds the asset in its book at the reference date and it fulfills the related conditions. In the case of a reverse repo, where the market value of the asset to be received as collateral after the application of the related LCR haircut (if the asset qualifies as liquid asset) is larger than the cash amount to be lent, the difference is to be reported as an inflow in {C 74.00; r260} ( ‘ other inflows ’ ). For collateral swaps, where the net effect of the initial swap of assets (taking into account LCR haircuts) gives rise to an inflow this inflow shall be reported {C 74.00; r260} ( ‘ other inflows ’ ).
Forward repos, forward reverse repos and forward collateral swaps that start and mature within the LCR's 30 day horizon do not have any impact on a bank's LCR and can be ignored.
2.4. Decision tree on LCR inflows in accordance with Article 32, Article 33 and Article 34 of Commission Delegated Regulation (EU) 2015/61 U.K.
1. The decision tree is without prejudice to the reporting of the memorandum items. The decision tree is part of the instructions to specify prioritisation assessment criteria for the assignment of each reported item in order to secure homogenous and comparable reporting. Going through the decision tree alone is not sufficient — credit institutions shall comply with the rest of the instructions at all times. U.K.
2. For the sake of simplicity, the decision tree ignores totals and subtotals; this however does not necessarily imply that they shall not also be reported. U.K.
2.4.1. Decision tree on rows in template C 74.00 of ANNEX XXIV U.K.
ANNEX XXV Table 6: rows 1 - 73
2.4.2. Decision tree on columns in template C 74.00 of ANNEX XXIV U.K.
ANNEX XXV Table 7: rows 1 - 51
2.5. Inflows sub template U.K.
2.5.1. Instructions concerning specific columns U.K.
2.5.2. Instructions concerning specific rows] U.K.
ANNEX XXV Table 9: rows 1 - 54
Textual Amendments
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