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) (c. 680)

[F1 ANNEX XXV U.K.

Textual Amendments

F1 Substituted by Commission Implementing Regulation (EU) 2020/429 of 14 February 2020 amending Implementing Regulation (EU) No 680/2014 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).

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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