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 [X1 ANNEX XXV] U.K.

Editorial Information

X1 Substituted by Corrigendum to Commission Implementing Regulation (EU) 2016/322 of 10 February 2016 amending Implementing Regulation (EU) No 680/2014 laying down implementing technical standards with regard to supervisory reporting of institutions of the liquidity coverage requirement (Official Journal of the European Union L 64 of 10 March 2016).

Textual Amendments

F1 Inserted by Commission Implementing Regulation (EU) 2016/322 of 10 February 2016 amending Implementing Regulation (EU) No 680/2014 laying down implementing technical standards with regard to supervisory reporting of institutions of the liquidity coverage requirement (Text with EEA relevance).

REPORTING 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

[F1 Row	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.]