Commission Implementing Regulation (EU) No 680/2014Show full title

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)

[F1REPORTING ON LIQUIDITY (PART 5: CALCULATIONS) U.K.

4. Calculations U.K.

4.1. General remarks U.K.

This is a summary template which contains information about calculations 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 institutions are coloured grey.

4.2. Specific remarks U.K.

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.

Calculations sub template U.K.
Instructions concerning specific rows U.K.
ANNEX XXV Table 12: rows 1 - 44
[F1Row Legal references and instructions
CALCULATIONS
Numerator, Denominator, Ratio

Article 4 of Commission Delegated Regulation (EU) 2015/61

The Liquidity Coverage Ratio numerator, denominator and ratio.

Enter all below data into column 010 of given row.

010
1. Liquidity Buffer

Report figure from {C 76.00; r290; c010}.

020
2. Net Liquidity Outflow

Report figure from {C 76.00; r370; c010}.

030
3. Liquidity Coverage Ratio (%)

Report the liquidity coverage ratio calculated as specified in Article 4(1) of Commission Delegated Regulation (EU) 2015/61.

The liquidity coverage ratio shall be equal to the ratio of a credit institution's liquidity buffer to its net liquidity outflows over a 30 calendar day stress period and shall be expressed as a percentage.

If {C 76.00; r020; c010} is zero (causing a ratio of infinity) then report the value 999999.

Numerator calculations

Article 17 and ANNEX I of Commission Delegated Regulation (EU) 2015/61

Formula for the calculation of the Liquidity Buffer.

Enter all below data into column 010 of given row.

040
4. L1 excl. EHQCB liquidity buffer (value according to Article 9): unadjusted

Report figure from {C 72.00; r030; c040}.

050
5. L1 excl. EHQCB collateral 30 day outflows

Report outflows of Level 1 (excluding extremely high quality covered bonds) liquid securities 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 reference date.

060
6. L1 excl. EHQCB collateral 30 day inflows

Report inflows of Level 1 (excluding extremely high quality covered bonds) liquid securities 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 reference date.

070
7. Secured cash outflows

Report outflows of cash (a Level 1 asset) 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 reference date.

080
8. Secured cash inflows

Report inflows of cash (a Level 1 asset) 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 reference date.

090
9. L1 excl. EHQCB adjusted amount before cap application

This is referred to as (a) in Annex I (5)

Report the adjusted non-covered bond level 1 asset amount before cap application.

The adjusted amount takes into account the unwind of secured funding transactions, secured lending transactions, asset exchanges or collateralised derivatives transactions that mature within 30 calendar days from the reference date.

100
10. L1 EHQCB value according to Article 9: unadjusted

Report figure from {C 72.00; r180; c040}.

110
11. L1 EHQCB collateral 30 day outflows

Report outflows of Level 1 extremely high quality covered bonds 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 reference date.

120
12. L1 EHQCB collateral 30 day inflows

Report inflows of Level 1 extremely high quality covered bonds 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 reference date.

130
13. L1 EHQCB adjusted amount before cap application

This is referred to as (b) in Annex I (5)

Report the adjusted covered bond level 1 asset amount before cap application.

The adjusted amount takes into account the unwind of secured funding transactions, secured lending transactions, asset exchanges or collateralised derivatives transactions that mature within 30 calendar days from the reference date.

140
14. L1 EHQCB adjusted amount after cap application

This is referred to as (b′) in Annex I (5)

Report 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.

150
15. L1 EHQCB excess liquid assets amount

Report the difference between b and b′. b and b′ as referred to in Annex I (5)

160
16. L2A value according to Article 9: unadjusted

Report figure from {C 72.00; r230; c040}.

170
17. L2A collateral 30 day outflows

Report outflows of Level 2A liquid securities 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.

180
18. L2A collateral 30 day inflows

Report inflows of Level 2A liquid securities 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.

190
19. L2A adjusted amount before cap application

This is referred to as (c) in Annex I (5)

Report the adjusted level 2A asset amount before cap application.

The adjusted amount takes into account the unwind of secured funding transactions, secured lending transactions, asset exchanges or collateralised derivatives transactions that mature within 30 calendar days from the calculation date.

200
20. L2A adjusted amount after cap application

This is referred to as (c′) in Annex I (5)

Report 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.

210
21. L2A excess liquid assets amount

Report the difference between c and c′. c and c′ as referred to in Annex I (5).

220
22. L2B value according to Article 9: unadjusted

Report figure from {C 72.00; r310; c040}.

230
23. L2B collateral 30 day outflows

Report outflows of Level 2B liquid securities 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.

240
24. L2B collateral 30 day inflows

Report inflows of Level 2B liquid securities 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.

250
25. L2B adjusted amount before cap application

This is referred to as (d) in Annex I (5)

Report the adjusted level 2B asset amount before cap application.

The adjusted amount takes into account the unwind of secured funding transactions, secured lending transactions, asset exchanges or collateralised derivatives transactions that mature within 30 calendar days from the calculation date.

260
26. L2B adjusted amount after cap application

This is referred to as (d′) in Annex I (5)

Report 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).

270
27. L2B excess liquid assets amount

Report the difference between d and d′. d and d′ as referred to in Annex I (5).

280
28. Excess liquid asset amount
Annex I(4)

Report the excess liquid assets amount : this amount shall be equal to:

(a)

the adjusted non-covered bond level 1 asset amount; plus

(b)

the adjusted level 1 covered bond amount; plus

(c)

the adjusted level 2A asset amount; plus

(d)

the adjusted level 2B asset amount;

minus the lesser of:

(e)

the sum of (a),(b),(c) and (d);

(f)

100/30 times (a);

(g)

100/60 times the sum of (a) and (b);

(h)

100/85 times the sum of (a), (b) and (c).

290
29. Liquidity buffer
Annex I (2)

Report the liquidity buffer which shall be equal to:

(a)

the level 1 asset amount; plus

(b)

the level 2A asset amount; plus

(c)

the level 2B asset amount;

minus the lesser of:

(d)

the sum of (a), (b), and (c); or

(e)

the excess liquid assets amount .

Denominator calculations

ANNEX II of Commission Delegated Regulation (EU) 2015/61

Formula for the calculation of the net liquidity outflow

Where,

NLO

=

Net liquidity outflow

TO

=

Total outflows

TI

=

Total inflows

FEI

=

Fully exempted inflows

IHC

=

Inflows subject to higher cap of 90 % outflows

IC

=

Inflows subject to cap of 75 % of outflows

Enter all below data in to column 010 of given row

300
30. Total Outflows
TO

=

from Outflow sheet

Report figure from {C 73.00; r010; c060}.

310
31. Fully Exempt Inflows
FEI

=

from Inflows sheet

Report figure from {C 74.00; r010; c160}.

320
32. Inflows Subject to 90 % Cap
IHC

=

from Inflows sheet

Report figure from {C 74.00; r010; c150}.

330
33. Inflows Subject to 75 % Cap
IC

=

from Inflows & Collateral swaps sheets

Report figure from {C 74.00; r010; c140}.

340
34. Reduction for Fully Exempt Inflows

Report the following part of the NLO calculation:

= MIN (FEI, TO).

350
35. Reduction for Inflows Subject to 90 % Cap

Report the following part of the NLO calculation:

= MIN (IHC, 0.9*MAX(TO-FEI, 0)).

360
36. Reduction for Inflows Subject to 75 % Cap

Report the following part of the NLO calculation:

= MIN (IC, 0.75*MAX(TO-FEI-IHC/0.9, 0)).

370
37. Net liquidity outflow

Report the net liquidity outflow which 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(T0-FEI-IHC/0.9,0))

Pillar 2
380
38. Pillar 2 requirement

as set out in Article 105 CRD

Report the Pillar 2 requirement.]