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[F1ANNEX XXV U.K.

Textual Amendments

REPORTING ON LIQUIDITY (PART 1: 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 reporting the liquidity coverage requirement as specified in Commission Delegated Regulation (EU) 2015/61 (1) . Items which do not need to be completed by credit institutions are coloured grey. U.K.
2. Assets reported shall comply with the requirements set out in Title II of Delegated Regulation (EU) 2015/61. U.K.
3. By way of derogation from point 2, credit institutions shall not apply currency restrictions in accordance with Article 8(6), point (d) of Article 10(1) and point (c) of Article 12(1) of Delegated Regulation (EU) 2015/61 when completing the template in a separate currency in accordance with Article 415(2) of Regulation (EU) No 575/2013. Credit institutions shall still apply jurisdiction restrictions. U.K.
4. Credit institutions shall report the template in the corresponding currencies in accordance with Article 415(2) of Regulation (EU) 575/2013. U.K.
5. In accordance with Article 9 of Delegated Regulation (EU) 2015/61, credit institutions shall report, where relevant, the amount/market value of liquid assets by taking into account the net liquidity outflows and inflows resulting from an early close-out of hedges referred to in point (b) of Article 8(5) and in accordance with the appropriate haircuts specified in Chapter 2 of that Delegated Regulation. U.K.
6. Delegated Regulation (EU) 2015/61 only refers to rates and haircuts. In these instructions the word ‘ weighted ’ is used as general term for indicating the amount obtained after the application of the respective haircuts, rates and any other relevant additional instructions (in the case of e.g. secured lending and funding). The word ‘ weight ’ in the context of these instructions refers to a number between 0 and 1, which multiplied by the amount yields the weighted amount or the value referred to in Article 9 of Delegated Regulation (EU) 2015/61, respectively. U.K.
7. Credit institutions shall not double report items within and across sections 1.1.1., 1.1.2., 1.2.1., and 1.2.2 of the template. U.K.
1.2. Specific remarks U.K.
1.2.1. Specific requirements regarding CIUs U.K.
8. For items 1.1.1.10., 1.1.1.11., 1.2.1.6., 1.1.2.2., 1.2.2.10., 1.2.2.11., 1.2.2.12., 1.2.2.13. of the template, credit institutions shall report the appropriate proportion of the market value of the CIUs corresponding to the liquid assets underlying the undertaking, in accordance with Article 15(4) of Delegated Regulation (EU) 2015/61. U.K.
1.2.2. Specific requirements regarding grandfathering and transitional provisions U.K.
9. Credit institutions shall report items as referred to in Articles 35 to 37 of Delegated Regulation (EU) 2015/61 in the appropriate asset rows. A total of all asset amounts reported based on these Articles shall also be reported in the ‘ Memorandum ’ section for reference. U.K.
1.2.3. Specific requirements for reporting by Central Institutions U.K.
10. Central institutions, when reporting liquid assets corresponding to deposits from credit institutions placed at the central institution that are considered as liquid assets for the depositing credit institution, shall ensure that the reported amount of these liquid assets after haircut does not exceed the outflow from the corresponding deposits in accordance with Article 27(3) of Delegated Regulation (EU) 2015/61. U.K.
1.2.4. Specific requirements regarding settlement and forward starting transactions U.K.
11. All assets complying with Articles 7, 8 and 9 of Delegated Regulation (EU) 2015/61 and which are in the stock of the credit institution on the reference date, shall be reported in the relevant row in template C72, even if they are sold or used in secured forward transactions. Consistently, no liquid assets from forward starting transactions referring to contractually agreed but not yet settled purchases of liquid assets and forward purchases of liquid assets shall be reported in this template. U.K.
1.2.5. Liquid assets sub template U.K.
1.2.5.1. Instructions concerning specific columns U.K.
Column Legal references and instructions
010
Amount/Market value

Credit institutions shall report in Column 010 the market value or the amount where applicable, of the liquid assets in accordance with Title II of Delegated Regulation (EU) 2015/61.

The amount/market value reported in Column 010:

  • shall take into account net outflows and net inflows due to early close-out of hedges defined in Article 8(5) of the same Regulation;

  • shall not take into account haircuts specified in Title II of the same Regulation;

  • shall include the proportion of deposits referred to in point (a) of Article 16(1) of the same Regulation that are holding differing specific assets in the corresponding asset rows;

  • shall be reduced, where applicable, by the amount of deposits defined in Article 16 placed at the central credit institution as referred to in Article 27(3) of the same Regulation.

When referring to Article 8(5) of Delegated Regulation (EU) 2015/61, credit institutions shall take into account the net cash flow, either outflow or inflow, that would arise if the hedge was to be closed out at the reporting reference date. Credit institutions shall not take into account potential future value changes in the asset.

020
Standard weight

Column 020 contains weights reflecting the amount obtained after the application of the respective haircuts specified in Title II of Delegated Regulation (EU) 2015/61. Weights are intended to reflect the reduction in value of the liquid assets after applying the appropriate haircuts.

030
Applicable weight

Credit institutions shall report in Column 030 the applicable weight applied to liquid assets set out in Title II of Delegated Regulation (EU) 2015/61. Applicable weights may result in weighted average values and shall be reported in decimal terms (i.e. 1,0 for an applicable weight of 100 per cent, or 0,5 for an applicable weight of 50 per cent). Applicable weights may reflect, but are not limited to, firm-specific and national discretions. The figure reported in Column 030 shall not exceed the figure in Column 020.

040
Value in accordance with Article 9

Credit institutions shall report in Column 040 the value of the liquid asset determined in accordance with Article 9 of Delegated Regulation (EU) 2015/61, which shall be the amount/market value, taking into account net liquidity outflows and inflows due to early close-out of hedges, multiplied by the applicable weight.

1.2.5.2. Instructions concerning specific rows U.K.
ANNEX XXV Table 2: rows 1 - 52

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REPORTING ON LIQUIDITY (PART 2 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 reporting the liquidity coverage requirement as specified in Delegated Regulation (EU) 2015/61. Items which do not need to be completed by credit institutions are coloured grey. U.K.
2. Credit institutions shall report the template in the corresponding currencies in accordance with Article 415(2) of Regulation (EU) 575/2013. U.K.
3. Some memorandum items are included in the associated template to these instructions. While not strictly necessary for the calculation of the ratio itself, they are required to be completed. Those items provide necessary information to allow the competent authorities complete an adequate assessment of credit institutions’ compliance with the liquidity requirements. In some cases, they represent a more granular breakdown of the 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.
4. In accordance with Article 22(1) of Delegated Regulation (EU) 2015/61, liquidity outflows shall: U.K.
i.

include the categories referred to in Article 22(2) of Delegated Regulation (EU) 2015/61

ii.

be calculated by multiplying the outstanding balances of various categories of liabilities and off-balance sheet commitments by the rates at which they are expected to run off or be drawn down as indicated in Delegated Regulation (EU) 2015/61.

5. Delegated Regulation (EU) 2015/61 only refers to rates and haircuts, and the word ‘ weight ’ just refers to these. In these instructions the word ‘ weighted ’ is used as general term for indicating the amount obtained after the application of the respective haircuts, rates and any other relevant additional instructions (in the case of e.g. secured lending and funding). U.K.
6. Outflows within a group or an institutional protection scheme (except for outflows 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 outflow rate and outflows from operational deposits maintained in the context of an institutional Protection Scheme or a cooperative network) shall be reported in the relevant categories. Those outflows shall also be separately reported as memorandum items. U.K.
7. The liquidity outflows shall be reported only once in the template unless additional outflows in accordance with Article 30 of Delegated Regulation (EU) 2015/61 are applicable or where the item is an ‘ of which ’ item or a memorandum item. U.K.
8. In the case of separate reporting as referred to in Article 415(2) of Regulation (EU) 575/2013, the following shall always apply: U.K.
9. The standard weights in column 040 of template C 73.00 of Annex XXIV are those specified in Delegated Regulation (EU) 2015/61 by default and are provided here for information. U.K.
10. The template contains information about collateralised liquidity flows, referred to as ‘ secured lending and capital-market driven transactions ’ in Delegated Regulation (EU) 2015/61, and for the purpose of calculating LCR as defined in that Regulation. Where those transactions are made against a collateral pool, the identification of the specific assets pledged for the purposes of reporting in this template will be made, according to the liquid assets categories specified in Title II, Chapter 2 of Delegated Regulation (EU) 2015/61, starting from the least liquid assets. Simultaneously, in case of transactions with different residual maturities made against a collateral pool, less liquid assets are assigned to the transactions with the longest residual maturities first. U.K.
11. A separate template is provided for collateral swaps, C 75.01 of Annex XXIV. Collateral swaps, which are collateral-versus-collateral transactions shall not be reported on the outflow template C 73.00 of Annex XXIV, which only covers cash-versus-collateral transactions. U.K.
1.2. Specific remarks regarding settlement and forward starting transactions U.K.
12. Credit institutions shall report outflows 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 outflow. In the case of a reverse repo, the amount to be lent to the counterparty shall be considered as an outflow and reported in item 1.1.8.6. net of the market value of the asset to be received as collateral and after the application of the related LCR haircut if the asset qualifies as liquid asset. If the amount to be lent is lower than the market value of the asset (after LCR haircut) to be received as collateral, the difference shall be reported as an inflow. If the collateral to be received does not qualify as liquid asset, the outflow shall be reported in full. In the case of a repo, where the market value of the asset to be lent 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 received, the difference is to be reported as an outflow in the above mentioned row. If the amount to be received is larger than the market value of the asset (after LCR haircut) to be lent as collateral, the difference shall be reported as an inflow. For collateral swaps, where the net effect of the initial swap of liquid assets (taking into account LCR haircuts) gives rise to an outflow this outflow shall be reported in the above mentioned row. U.K.

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.

13. Decision tree for sections 1 of C 73.00 of Annex XXIV, the decision tree is without prejudice to the memorandum items reporting. The decision tree is part of the instructions to specify prioritization 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 always comply with the rest of the instructions. For the sake of simplicity, the decision tree ignores totals and subtotals; this however does not mean that they shall not be reported as well. DA refers to Delegated Regulation (EU) 2015/61. U.K.
ANNEX XXV Table 3: rows 1 - 105

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1.3. Instructions concerning specific columns U.K.
Column Legal references and instructions
010
Amount
1.1. Unsecured transactions/deposits specific instructions:

Credit institutions shall report here the outstanding balance of various categories of liabilities and off-balance sheet commitments as specified in Articles 22 to 31 of Delegated Regulation (EU) 2015/61.

Subject to prior approval of the competent authority within each category of outflows, the amount of each item reported in Column 010 of template C 73.00 of Annex XXIV shall be netted by subtracting the relevant amount of interdependent inflow in accordance with Article 26.

1.2. Secured lending and capital market-driven transactions specific instructions:

Credit institutions shall report here the outstanding balance of the liabilities which represent the cash leg of the secured transaction in accordance with Article 22(2) of Delegated Regulation (EU) 2015/61,.

020
Market value of collateral extended

Secured lending and capital market-driven transactions specific instructions:

Credit institutions shall report here the market value of extended collateral which is calculated as the current market value gross of haircut and net of flows resulting from unwinding associated hedges in accordance with Article 8(5) of Delegated Regulation (EU) 2015/61) and subject to the following conditions:

  • 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 recognizable part shall be reported within the rows on Level 1, Level 2A and Level 2B asssets in accordance with point (ii) of point (c) of Article 12(1) and point (d) of Article 10(1) of Delegated Regulation (EU) 2015/61. Where the particular asset is used as collateral but in an amount which is surplus to the portion which can be recognised within liquid assets, the surplus amount shall be reported in the non-liquid section;

  • Level 2A assets shall be reported in the corresponding L2A asset row, even if the Alternative Liquidity Approach is being followed (i.e. do not move L2A to L1 in the secured transaction reporting).

030
Value of collateral extended in accordance with Article 9

Secured lending and capital market-driven transactions specific instructions:

Credit institutions shall report here the value of extended collateral in accordance with Article 9 of Delegated Regulation (EU) 2015/61. This is calculated by multiplying Column 020 of template C 73.00 of Annex XXIV by the applicable weight/haircut from template C 72.00 of Annex XXIV corresponding to asset type. Column 030 of template C 73.00 of Annex XXIV is used in the calculation of the adjusted amount of liquid assets in template C 76.00 of Annex XXIV.

040
Standard Weight

Articles 24 to 31a of Delegated Regulation (EU) 2015/61

The standard weights in Column 040 are those specified in Delegated Regulation (EU) 2015/61 by default and are provided for information only.

050
Applicable Weight

Both unsecured and secured:

Credit institutions shall report here applicable weights. These weights are those specified in Articles 22 to 31a of Delegated Regulation (EU) 2015/61. Applicable weights may result in weighted average values and shall be reported in decimal terms (i.e. 1,0 for an applicable weight of 100 per cent, or 0,5 for an applicable weight of 50 per cent). Applicable weights may reflect, but are not limited to, firm-specific and national discretions.

060
Outflow

Both unsecured and secured:

Credit institutions shall report here the outflows. Those outflows are calculated by multiplying Column 010 C 73.00 of Annex XXIV by Column 050 C 73.00 of Annex XXIV.

1.4. Instructions concerning specific rows U.K.
ANNEX XXV Table 5: rows 1 - 153

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REPORTING ON LIQUIDITY (PART 3: 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 reporting the liquidity coverage requirement as specified in 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 corresponding currencies in accordance with Article 415(2) of Regulation (EU) 575/2013 . U.K.
3. In accordance with Article 32 of 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 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 3 of the template (rows 460-510). 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 SSPE with which the credit institution has close links 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 assets pursuant to point (h) of Article 32(3) of Delegated Regulation (EU) 2015/61. U.K.
8. In accordance with Article 32(7) of Delegated Regulation (EU) 2015/61, credit institutions shall not report inflows from any new obligations entered into. This refers to contractual commitments which have not been contractually established at the reporting date, but will or may be entered into within the 30 day horizon. U.K.
9. In the case of a separate reporting in accordance with Article 415(2) of Regulation (EU) 575/2013, the reported balances shall comprise only those which are denominated in the relevant currency to ensure that currency gaps are correctly reflected. This may mean that only one side of the transaction is reported in the relevant currency template. For instance, in case of FX derivatives, credit institutions may only net inflows and outflows in accordance with Article 21 of 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 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 point (c) of Article 2(3) of 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. 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. Among others, these items provide necessary information to allow the competent authority to complete an adequate assessment of credit institutions’ compliance with the liquidity requirements. U.K.
1.2. Specific remarks regarding secured lending and capital market-driven transactions U.K.
14. The template categories collateralizsed flows by the quality of the underlying asset or HQLA eligibility. A separate template is provided for collateral swaps — C 75.01 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.
15. Where secured lending and capital market-driven transactions are secured by shares or units in CIUs, these transactions shall be reported as if they would be collateralised by the assets underlying the CIU. For instance, in case a secured lending transaction is collateralised by shares or units in a CIU that exclusively invests into Level 2A assets, the secured lending transaction shall be reported as if directly collateralised by Level 2A collateral. The potentially higher inflow rate for secured lending transactions backed by shares or units in CIUs shall be reflected in the relevant inflow rate to be reported. U.K.
16. In the case of a separate reporting in accordance with Article 415(2) of Regulation (EU) 575/2013 , the reported balances shall comprise only those which are denominated in the relevant currency to ensure that currency gaps are correctly reflected. This may mean that only one side of the transaction is reported in the relevant 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.
17. For the calculation of inflows, secured lending and capital market-driven transactions shall be reported irrespective of whether the underlying collateral received meets the operational requirements as provided under Article 8 of Delegated Regulation (EU) 2015/61. Furthermore, in order to allow for the calculation of the adjusted stock of liquid assets in accordance with Article 17(2) of Delegated Regulation (EU) 2015/61, credit institutions shall also report separately those transactions where the underlying collateral received additionally meets the operational requirements as provided under Article 8 of Delegated Regulation (EU) 2015/61. U.K.
18. 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 on Level 1, Level 2A and Level 2B assets in accordance with point (ii) of point (c) of Article 12(1) and point (d) of Article 10(1) of 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 Delegated Regulation (EU) 2015/61 is being followed. U.K.
1.3. Specific remarks regarding settlement and forward starting transactions U.K.
19. 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 fulfils the related conditions. U.K.
20. 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 fulfils 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 ’ ). U.K.
21. 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. U.K.
1.4. Decision tree on LCR inflows in accordance with Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61 U.K.
22. 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.
23. 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.
1.4.1. Decision tree on rows in template C 74.00 of ANNEX XXIV U.K.
ANNEX XXV Table 6: rows 1 - 119

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1.4.2. Decision tree on columns in template C 74.00 of ANNEX XXIV U.K.
ANNEX XXV Table 7: rows 1 - 51

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1.5. Inflows sub template U.K.
1.5.1. Instructions concerning specific columns U.K.
Column Legal references and instructions
010
Amount — Subject to the 75 % cap on inflows

Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61

For rows {040}, {060}-{090}, {120}-{130}, {150}-{260}, {269}-{297}, {301}-{303}, {309-337}, {341}-{345}, {450} and {470}-{510}, credit institutions shall report in Column 010 the total amount of assets/monies due/maximum amounts that can be drawn that are subject to the 75 % cap on inflows as specified in Article 33(1) of Delegated Regulation (EU) 2015/61 and following the relevant instructions included here.

Where a competent authority has approved a partial exemption from the cap on inflows in accordance with Article 33(2) of Delegated Regulation (EU) 2015/61, the part of the amount subject to the exemption shall be reported in Column 020 or 030 and the part of the amount not subject to the exemption shall be reported in Column 010.

020
Amount — Subject to the 90 % cap on inflows

Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61

For rows {040}, {060}-{090}, {120}-{130}, {150}-{260}, {269}-{297}, {301}-{303}, {309-337}, {341}-{345}, {450} and {470}-{510}, credit institutions shall report in Column 020 the total amount of assets/monies due/maximum amounts that can be drawn that are subject to the 90 % cap on inflows as specified in Article 33(4) and Article 33(5) of Delegated Regulation (EU) 2015/61 and following the relevant instructions included here.

Where a competent authority has approved a partial exemption from the cap on inflows in accordance with Article 33(2) of Delegated Regulation (EU) 2015/61, the part of the amount subject to the exemption shall be reported in Column 020 or 030 and the part of the amount not subject to the exemption shall be reported in Column 010.

030
Amount – Exempted from the cap on inflows

Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61

For rows {040}, {060}-{090}, {120}-{130}, {150}-{260}, {269}-{297}, {301}-{303}, {309-337}, {341}-{345}, {450} and {470}-{510}, credit institutions shall report in Column 030 the total amount of assets/monies due/maximum amounts that can be drawn that are fully exempted from the cap on inflows as specified in Article 33(2), Article 33(3) and Article 33(5) of Delegated Regulation (EU) 2015/61 and following the relevant instructions included here.

Where a competent authority has approved a partial exemption from the cap on inflows in accordance with Article 33(2) of Delegated Regulation (EU) 2015/61, the part of the amount subject to the exemption shall be reported in Column 020 or 030 and the part of the amount not subject to the exemption shall be reported in Column 010.

040
Market value of collateral received — Subject to the 75 % cap on inflows

Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61

For rows {269}-{295}, {309-335} and for row {490}, credit institutions shall report in Column 040 the market value of collateral received in secured lending and capital market-driven transactions that are subject to the 75 % cap on inflows as specified in Article 33(1) of Delegated Regulation (EU) 2015/61.

Where a competent authority has approved a partial exemption from the cap on inflows in accordance with Article 33(2) of Delegated Regulation (EU) 2015/61, the market value of collateral received in secured lending and capital market-driven transactions subject to the exemption shall be reported in Column 050 or 060 and the market value of collateral received in secured lending and capital market-driven transactions not subject to the exemption shall be reported in Column 040.

050
Market value of collateral received — Subject to the 90 % cap on inflows

Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61

For rows {269}-{295}, {309-335} and for row {490}, credit institutions shall report in Column 050 the market value of collateral received in secured lending and capital market-driven transactions that are subject to the 90 % cap on inflows as specified in Article 33(4) and Article 33(5) of Delegated Regulation (EU) 2015/61.

Where a competent authority has approved a partial exemption from the cap on inflows in accordance with Article 33(2) of Delegated Regulation (EU) 2015/61, the market value of collateral received in secured lending and capital market-driven transactions subject to the exemption shall be reported in Column 050 or 060 and the market value of collateral received in secured lending and capital market-driven transactions not subject to the exemption shall be reported in Column 040.

060
Market value of collateral received — Exempted from the cap on inflows

Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61

For rows {269}-{295}, {309-335} and for row {490}, credit institutions shall report in Column 060 the market value of collateral received in secured lending and capital market-driven transactions that are fully exempted from the cap on inflows as specified in Article 33(2), Article 33(3) and Article 33(5) of Delegated Regulation (EU) 2015/61.

Where a competent authority has approved a partial exemption from the cap on inflows in accordance with Article 33(2) of Delegated Regulation (EU) 2015/61, the market value of collateral received in secured lending and capital market-driven transactions subject to the exemption shall be reported in Column 050 or 060 and the market value of collateral received in secured lending and capital market-driven transactions not subject to the exemption shall be reported in Column 040.

070
Standard Weight

Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61

The standard weights in Column 070 are those specified in Delegated Regulation (EU) 2015/61 by default and are provided for information only.

080
Applicable Weight- Subject to the 75 % cap on inflows

Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61

The Applicable Weight is the one specified in Articles 32 to 34 of Delegated Regulation (EU) 2015/61. Applicable weights may result in weighted average values and shall be reported in decimal terms (i.e. 1,0 for an applicable weight of 100 per cent, or 0,5 for an applicable weight of 50 per cent). Applicable weights may reflect, but are not limited to, firm-specific and national discretions.

For rows {040}, {060}-{090}, {120}-{130}, {150}-{260}, {269}, {273}, {277}, {281}, {285}, {289}, {293}, {301}-{303}, {309}, {313}, {317}, {321}, {325}, {329}, {333}, {341}-{345}, {450} and {470} –{510}, credit institutions shall report in Column 080 the average weight applied to assets/monies due/maximum amounts that can be drawn that are subject to the 75 % cap on inflows as specified in Article 33(1) of Delegated Regulation (EU) 2015/61.

090
Applicable Weight- Subject to the 90 % cap on inflows

Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61

The Applicable Weight are those specified in Articles 32 to 34 of Delegated Regulation (EU) 2015/61. Applicable weights may result in weighted average values and shall be reported in decimal terms (i.e. 1,0 for an applicable weight of 100 per cent, or 0,5 for an applicable weight of 50 per cent). Applicable weights may reflect, but are not limited to, firm-specific and national discretions.

For rows {040}, {060}-{090}, {120}-{130}, {150}-{260}, {269}, {273}, {277}, {281}, {285}, {289}, {293}, {301}-{303}, {309}, {313}, {317}, {321}, {325}, {329}, {333}, {341}-{345}, {450} and {470} –{510}, credit institutions shall report in Column 090 the average weight applied to assets/monies due/maximum amounts that can be drawn that are subject to the 90 % cap on inflows as specified in Article 33(4) and Article 33(5) of Delegated Regulation (EU) 2015/61.

100
Applicable Weight — Exempted from the cap on inflows

Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61

The Applicable Weight are those specified in Articles 32 to 34 of Delegated Regulation (EU) 2015/61. Applicable weights may result in weighted average values and shall be reported in decimal terms (i.e. 1,0 for an applicable weight of 100 per cent, or 0,5 for an applicable weight of 50 per cent). Applicable weights may reflect, but are not limited to, firm-specific and national discretions.

For rows {040}, {060}-{090}, {120}-{130}, {150}-{260}, {269}, {273}, {277}, {281}, {285}, {289}, {293}, {301}-{303}, {309}, {313}, {317}, {321}, {325}, {329}, {333}, {341}-{345}, {450} and {470} –{510}, credit institutions shall report in Column 100 the average weight applied to assets/monies due/maximum amounts that can be drawn that are exempted from the cap on inflows as specified in Article 33(2), Article 33(3) and Article 33(5) of Delegated Regulation (EU) 2015/61.

110
Value of collateral received in accordance with Article 9 — Subject to the 75 % cap on inflows

Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61

For rows {271}, {275}, {279}, {283}, {287}, {291}, {295}, {311}, {315}, {319}, {323}, {327}, {331} and {335}, credit institutions shall report in Column 110 the value of collateral received in accordance with Article 9 of Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions that are subject to the 75 % cap on inflows as specified in Article 33(1) of Delegated Regulation (EU) 2015/61.

Where a competent authority has approved a partial exemption from the cap on inflows in accordance with Article 33(2) of Delegated Regulation (EU) 2015/61, the value of collateral received in accordance with Article 9 of Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions subject to the exemption shall be reported in Column 120 or 130 and the value of collateral received in accordance with Article 9 of Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions not subject to the exemption shall be reported in Column 110.

120
Value of collateral received in accordance with Article 9 — Subject to the 90 % cap on inflows

Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61

For rows {271}, {275}, {279}, {283}, {287}, {291}, {295}, {311}, {315}, {319}, {323}, {327}, {331} and {335}, credit institutions shall report in Column 120 the value of collateral received in accordance with Article 9 of Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions that are subject to the 90 % cap on inflows as specified in Article 33(4) and Article 33(5) of Delegated Regulation (EU) 2015/61.

Where a competent authority has approved a partial exemption from the cap on inflows in accordance with Article 33(2) of Delegated Regulation (EU) 2015/61, the value of collateral received in accordance with Article 9 of Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions subject to the exemption shall be reported in Column 120 or 130 and the value of collateral received in accordance with Article 9 of Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions not subject to the exemption shall be reported in Column 110.

130
Value of collateral received in accordance with Article 9 — Exempted from the cap on inflows

Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61

For rows {271}, {275}, {279}, {283}, {287}, {291}, {295}, {311}, {315}, {319}, {323}, {327}, {331} and {335}, credit institutions shall report in Column 130 the value of collateral received in accordance with Article 9 of Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions that are fully exempted from the cap on inflows as specified in Article 33(2), Article 33(3) and Article 33(5) of Delegated Regulation (EU) 2015/61.

Where a competent authority has approved a partial exemption from the cap on inflows in accordance with Article 33(2) of Delegated Regulation (EU) 2015/61, the value of collateral received in accordance with Article 9 of Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions subject to the exemption shall be reported in Column 120 or 130 and the value of collateral received in accordance with Article 9 of Delegated Regulation (EU) 2015/61 in secured lending and capital market-driven transactions not subject to the exemption shall be reported in Column 110.

140
Inflow — Subject to the 75 % cap on inflows

Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61

For rows {040}, {060}-{090}, {120}-{130}, {150}-{260}, {269}, {273}, {277}, {281}, {285}, {289}, {293}, {301}-{303}, {309}, {313}, {317}, {321}, {325}, {329}, {333}, {341}-{345}, {450} and {470}-{510}, credit institutions shall report in Column 140 total inflows that are subject to the 75 % cap on inflows as specified in Article 33(1) of Delegated Regulation (EU) 2015/61 which shall be calculated by multiplying the total amount/maximum amount that can be drawn from Column 010 with the relevant weight from Column 080.

For row {170}, credit institutions shall report in Column 140 total inflows that are subject to the 75 % cap on inflows as specified in Article 33(1) of Delegated Regulation (EU) 2015/61 only if the credit institution received this commitment in order for them to disburse a promotional loan to a final recipient, or have received a similar commitment from a multilateral development bank or a public sector entity.

150
Inflow — Subject to the 90 % cap on inflows

Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61

For rows {040}, {060}-{090}, {120}-{130}, {150}-{260}, {269}, {273}, {277}, {281}, {285}, {289}, {293}, {301}-{303}, {309}, {313}, {317}, {321}, {325}, {329}, {333}, {341}-{345}, {450} and {470}-{510}, credit institutions shall report in Column 150 total inflows that are subject to the 90 % cap on inflows as specified in Article 33(4) and Article 33(5) of Delegated Regulation (EU) 2015/61 which shall be calculated by multiplying the total amount/maximum amount that can be drawn from Column 020 with the relevant weight from Column 090.For row {170}, credit institutions shall report in Column 150 total inflows that are subject to the 90 % cap on inflows as specified in Article 33(4) and Article 33(5) of Delegated Regulation (EU) 2015/61 only if the credit institution received this commitment in order for them to disburse a promotional loan to a final recipient, or have received a similar commitment from a multilateral development bank or a public sector entity.

160
Inflow — Exempted from the cap on inflows

Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61

For rows {040}, {060}-{090}, {120}-{130}, {150}-{260}, {269}, {273}, {277}, {281}, {285}, {289}, {293}, {301}-{303}, {309}, {313}, {317}, {321}, {325}, {329}, {333}, {341}-{345}, {450} and {470}-{510}, credit institutions shall report in Column 160 total inflows that are fully exempted from the cap on inflows as specified in Article 33(2), Article 33(3) and Article 33(5) of Delegated Regulation (EU) 2015/61 which shall be calculated by multiplying the total amount/maximum amount that can be drawn from Column 030 with the relevant weight from Column 100.

For row {170}, credit institutions shall report in Column 160 total inflows that fully exempted from the cap on inflows as specified in Article 33(2), Article 33(3) and Article 33(5) of Delegated Regulation (EU) 2015/61 only if the credit institution received this commitment in order for them to disburse a promotional loan to a final recipient, or have received a similar commitment from a multilateral development bank or a public sector entity.

1.5.2. Instructions concerning specific rows U.K.
ANNEX XXV Table 9: rows 1 - 87

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

1. Collateral swaps U.K.

1.1. General remarks U.K.
1. Any transaction maturing within the next 30 calendar days in which non-cash assets are swapped for other non-cash assets, shall be reported in this template. Items which do not need to be completed by institutions are coloured grey. U.K.
2. Collateral swap transactions that mature within the next 30 calendar days shall lead to an outflow if the asset borrowed is subject to a lower haircut under Chapter 2 of Delegated Regulation (EU) 2015/61 than the asset lent. The outflow shall be calculated by multiplying the market value of the asset borrowed by the difference between the outflow rate applicable to the asset lent and the outflow rate applicable to the asset borrowed in secured funding transactions maturing within the next 30 calendar days. In the case that the counterparty is the credit institution’s domestic central bank, the outflow rate to be applied to the market value of the asset borrowed shall be 0%. The meaning of the credit institution’s domestic central bank follows the definition provided under Article 28(8) of Delegated Regulation (EU) 2015/61. U.K.
3. Collateral swaps that mature within the next 30 calendar days shall lead to an inflow where, under Chapter 2 of Delegated Regulation (EU) 2015/61, the asset lent is subject to a lower haircut than the asset borrowed. The inflow shall be calculated by multiplying the market value of the asset lent by the difference between the inflow rate applicable to the asset borrowed and the inflow rate applicable to the asset lent in secured lending transactions maturing within the next 30 calendar days. If the collateral obtained is used to cover short positions that can be extended beyond 30 calendar days no inflow shall be recognised. U.K.
4. For liquid assets the liquidity value is calculated in accordance with Article 9 of Delegated Regulation (EU) 2015/61. U.K.
5. Each collateral swap transaction shall be assessed individually and the flow reported as either an outflow or an inflow (per transaction) in the corresponding row. If one trade contains multiple categories of collateral type (e.g. a basket of collateral) then for reporting it shall be split into parts corresponding with the template rows and assessed in parts. In the context of swap transactions of collateral baskets or pools that are maturing within the next 30 calendar days, non-cash assets lent shall be assigned individually to non-cash assets borrowed, in accordance with the liquid assets categories as defined in Title II, Chapter 2 of Delegated Regulation (EU) 2015/61, starting from the least liquid combination (i.e. non-liquid non-cash assets lent, non-liquid non-cash assets borrowed). Any excess collateral within one combination is moved to the higher category, so that up to the most liquid combination, the relevant combinations are fully matched. Any overall excess collateral is then captured in the most liquid combination. U.K.
6. Collateral swap transactions involving shares or units in CIUs shall be reported as if the transactions would involve the assets underlying the CIU. The different haircuts applied to shares or units in CIUs shall be reflected in the relevant outflow or inflow rate to be reported. U.K.
7. Credit institutions shall report the template in the corresponding currencies in accordance with Article 415 (2) of Regulation (EU) 575/2013. In this case, the reported balances shall comprise only those which are denominated in the relevant currency to ensure that currency gaps are correctly reflected. This may mean that only one side of the transaction is reported in the relevant currency template, with corresponding impact on the excess liquidity value. U.K.
1.2. Specific remarks U.K.
8. For the calculation of inflows or outflows, collateral swap transactions shall be reported irrespective of whether the underlying collateral involved meets, or would meet if not already being used to secure this transaction, the operational requirements as provided under Article 8 of Delegated Regulation (EU) 2015/61. Furthermore, in order to allow for the calculation of the adjusted stock of liquid assets in accordance with Article 17(2) of Delegated Regulation (EU) 2015/61, credit institutions shall also report separately those transactions where at least one collateral leg meets the operational requirements as provided under Article 8 of Delegated Regulation (EU) 2015/61. U.K.
9. Where an 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 recognizable part shall be reported within rows on the Level 1, Level 2A and Level 2B assets in accordance with point (ii) of point (c) of Article 12(1) and point (d) of Article 10(1) of Delegated Regulation (EU) 2015/61. Where the particular asset is used as collateral but in an amount which is surplus to the portion which can be recognised within liquid assets, the surplus amount shall be reported in the non-liquid section. U.K.
10. Collateral Swaps involving Level 2A assets shall be reported in the corresponding L2A asset row, even if the Alternative Liquidity Approach is being followed (i.e. do not move L2A to L1 in the collateral swaps reporting). U.K.
1.3. Collateral swaps sub template U.K.
1.3.1. Instructions concerning specific columns U.K.
Column Legal references and instructions
0010
Market value of collateral lent

The market value of the collateral lent shall be reported in Column 0010. The market value shall reflect current market value, be gross of haircut and be net of flows resulting from unwinding associated hedges in accordance with Article 8(5) of Delegated Regulation (EU) 2015/61.

0020
Liquidity value of collateral lent

The liquidity value of the collateral lent shall be reported in Column 0020. For liquid assets, the liquidity value shall reflect the value of the asset net of haircut.

0030
Market value of collateral borrowed

The market value of the collateral borrowed shall be reported in Column 0030. The market value shall reflect current market value, be gross of haircut and be net of flows resulting from unwinding associated hedges in accordance with Article 8(5) of Delegated Regulation (EU) 2015/61.

0040
Liquidity value of collateral borrowed

The liquidity value of the collateral borrowed shall be reported in Column 0040. For liquid assets, the liquidity value shall reflect the value of the asset net of haircut.

0050
Standard weight

Articles 28 and 32 of Delegated Regulation (EU) 2015/61,

The standard weights in column 0050 are those specified in Delegated Regulation (EU) 2015/61 by default and are provided for information only.

0060
Applicable weight

Articles 28 and 32 of Delegated Regulation (EU) 2015/61,

The applicable weights are those specified in Articles 28 and 32 of Delegated Regulation (EU) 2015/61. Applicable weights may result in weighted average values and shall be reported in decimal terms (i.e. 1,0 for an applicable weight of 100 per cent, or 0,5 for an applicable weight of 50 per cent). Applicable weights may reflect, but are not limited to, firm-specific and national discretions.

0070
Outflows

Credit institutions shall report here the outflows. This is calculated by multiplying column 0060 by column 0030, both from C75.01 of Annex XXIV

0080
Inflows subject to the 75 % cap on inflows

Credit institutions shall report here the inflows of transactions subject to the 75% cap on inflows. The inflows are calculated by multiplying column 0060 by column 0010, both from C 75.01 of Annex XXIV.

0090
Inflows subject to the 90 % cap on inflows

Credit institutions shall report here the inflows of transactions subject to the 90% cap on inflows. The inflows are calculated by multiplying column 0060 by column 0010, both from C 75.01 of Annex XXIV.

0100
Inflows exempted from the cap on inflows

Credit institutions shall report here the inflows of transactions exempt from the cap on inflows. The inflows are calculated by multiplying column 0060 by column 0010, both from C 75.01 of Annex XXIV.

1.3.2. Instructions concerning specific rows U.K.
ANNEX XXV Table 11: rows 1 - 200

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ANNEX XXV Table 11: rows 201 - 285

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REPORTING ON LIQUIDITY (PART 5: CALCULATIONS) U.K.

1. Calculations U.K.

1.1. General remarks U.K.
1. This is a summary template which contains information about calculations for the purpose of reporting the liquidity coverage requirement as specified in Delegated Regulation (EU) 2015/61. Items which do not need to be completed by institutions are coloured grey. U.K.
1.2. Specific remarks U.K.
2. Cell references are given in the format: template; row; column. For example, {C 72.00; r130; c040} refers to Liquid Assets template; row 130; column 040. U.K.
1.3. Calculations sub template – Instructions concerning specific rows U.K.
ANNEX XXV Table 12: rows 1 - 38

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REPORTING ON LIQUIDITY (PART 6: PERIMETER OF CONSOLIDATION) U.K.

1. Perimeter of consolidation U.K.

1.1. General remarks U.K.
1. This is a template that, for the only purposes of LCR at a consolidated level, identifies the entities to which the information reported in templates C 72.00, C 73.00, C 74.00, C 75.01 and C 76.00 refers. This template identifies all the entities that form part of the perimeter of consolidation of the LCR in accordance with Articles 8 and 10, Article 11(3) and (5) of Regulation (EU) 575/2013, as applicable. This template shall have as many rows as entities are in the perimeter of consolidation. U.K.
1.2. Instructions concerning specific columns U.K.
Column Legal references and instructions
0005
Parent or subsidiary

‘ Parent ’ will be reported in the case the entity in the row is:

  • the EU parent institution, EU parent financial holding company or EU parent mixed financial holding company as envisaged in Article 11(3) of Regulation (EU) 575/2013;

  • the parent institution or subsidiary institution that need to comply with the LCR on a consolidated basis or in a sub-consolidated basis, respectively, in the context of a single liquidity subgroup as per Article 8 of Regulation (EU) 575/2013;

  • the relevant institution required to comply with the LCR on a sub-consolidated basis as per Article 11(5) of Regulation (EU) 575/2013;

  • the EU central institution.

‘ Subsidiary ’ will be reported in the rest of the rows.

010
Name

The name of each entity in the perimeter of consolidation shall be reported in Column 010.

020
Code

This code is a row identifier and shall be unique for each row in the table.

Code assigned to the entity within the scope of consolidation.

030
LEI code

The Legal Entity Identifier code of each entity in the perimeter of consolidation shall be reported in Column 020. Where a Legal Entity Identification code (LEI code) exists for a given entity, it shall be used to identify that entity.

040
Country code

ISO code 3166-1-alpha-2 of the country of incorporation of each entity in the perimeter of consolidation shall be reported in Column 030.

050
Type of entity

Entities reported in column 010 shall be assigned an entity type corresponding to its legal form as per the following list:

‘ Credit institution ’

‘ Investment firm ’

‘ Other ’ x]

(1)

[F1Commission 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 ( OJ L 11, 17.1.2015, p. 1 ).]

Textual Amendments