- Y Diweddaraf sydd Ar Gael (Diwygiedig)
- Gwreiddiol (Fel y’i mabwysiadwyd gan yr UE)
Commission Delegated Regulation (EU) 2015/61 of 10 October 2014 to supplement Regulation (EU) No 575/2013 of the European Parliament and the Council with regard to liquidity coverage requirement for Credit Institutions (Text with EEA relevance)
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This legislation may since have been updated - see the latest available (revised) version
the level 1 asset amount; plus
the level 2A asset amount; plus
the level 2B asset amount;
minus the lesser of:
the sum of (a), (b), and (c); or
the ‘excess liquid assets amount’ as calculated in accordance with paragraphs 3 and 4 of this Annex.
an adjusted non-covered bond level 1 assets amount, which shall be equal to the value of all level 1 liquid assets, excluding level 1 covered bonds, that would be held by the credit institution upon the unwind of any secured funding transaction, secured lending transaction, asset exchange or collateralised derivatives transaction that matures within 30 calendar days from the calculation date and where the credit institution and the counterparty exchange liquid assets on at least one leg of the transaction;
an adjusted level 1 covered bonds amount, which shall be equal to the value post-haircuts of all level 1 covered bonds that would be held by the credit institution upon the unwind of any secured funding transaction, secured lending transaction, asset exchange or collateralised derivatives transaction that matures within 30 calendar days from the calculation date and where the credit institution and the counterparty exchange liquid assets on at least one leg of the transaction;
adjusted level 2A asset amount, which shall be equal to the value post-haircuts of all level 2A assets that would be held by the credit institution upon the unwind of any secured funding transaction, secured lending transaction, asset exchange or collateralised derivatives transaction that matures within 30 calendar days from the calculation date and where the credit institution and the counterparty exchange liquid assets on at least one leg of the transaction; and
adjusted level 2B asset amount, which shall be equal to the value post-haircuts of all level 2B assets that would be held by the credit institution upon the unwind of any secured funding transaction, secured lending transaction, asset exchange or collateralised derivatives transaction that matures within 30 calendar days from the calculation date and where the credit institution and the counterparty exchange liquid assets on at least one leg of the transaction.
the adjusted non-covered bond level 1 asset amount; plus
the adjusted level 1 covered bond amount; plus
the adjusted level 2A asset amount; plus
the adjusted level 2B asset amount;
minus the lesser of:
the sum of (a),(b),(c) and (d);
100/30 times (a);
100/60 times the sum of (a) and (b);
100/85 times the sum of (a), (b) and (c).
a″ (the adjusted non-covered bond level 1 asset amount after cap application)
= a (the adjusted non-covered bond level 1 asset amount before cap application)
b″ (the adjusted covered bond level 1asset amount after cap application)
= MIN(b, a70/30)
where b = the adjusted covered bond level 1 asset amount before cap application
c″ (the adjusted level 2A asset amount after cap application)
= MIN(c, (a + b″)40/60, MAX(a70/30 – b″, 0))
where c = the adjusted level 2A asset amount before cap application
d″ (the adjusted level 2B asset amount after cap application)
= MIN (d, (a + b″ + c″)15/85, MAX((a + b″)40/60 – c″, 0), MAX(70/30a – b″ – c″, 0))
Where d = the adjusted level 2B asset amount before cap application)
=
Net liquidity outflow
=
Total outflows
=
Total inflows
=
Fully exempted inflows
=
Inflows subject to higher cap of 90 % outflows
=
Inflows subject to cap of 75 % of outflows
Net liquidity outflows equals total outflows less the reduction for fully exempt inflows less the reduction for inflows subject to the 90 % cap less the reduction for inflows subject to the 75 % cap
NLO = TO – MIN(FEI, TO) – MIN(IHC, 0,9*MAX(TO – FEI, 0)) – MIN(IC, 0,75*MAX(TO – FEI – IHC/0,9, 0))
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