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

[F1 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

[F1 Row	Legal references and instructions
CALCULATIONS
Numerator, Denominator, Ratio Article 4 of 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 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 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 in accordance with 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, secured lending or collateral swap transaction, that matures within 30 calendar days from the reference date unless the transaction is waived as per Article 17(4) of Delegated Regulation (EU) 2015/61.
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, secured lending, or collateral swap transaction, that matures within 30 calendar days from the reference date unless the transaction is waived as per Article 17(4) of Delegated Regulation (EU) 2015/61.
070	7. Secured cash outflows Report outflows of cash (a Level 1 asset) upon the unwind of any secured funding or secured lending transaction, that matures within 30 calendar days from the reference date unless the transaction is waived as per Article 17(4) of Delegated Regulation (EU) 2015/61.
080	8. Secured cash inflows Report inflows of cash (a Level 1 asset) upon the unwind of any secured funding or secured lending transaction, that matures within 30 calendar days from the reference date unless the transaction is waived as per Article 17(4) of Delegated Regulation (EU) 2015/61.
091	9. L1 excl. EHQCB ‘ adjusted amount ’ This is referred to in subparagraph (a) of Annex I (3) Report the adjusted non-covered bond level 1 asset amount before cap application. The adjusted amount takes into account the unwind of secured funding, secured lending or collateral swap transactions, that mature within 30 calendar days from the reference date unless the transaction is waived as per Article 17(4) of Delegated Regulation (EU) 2015/61.
100	10. L1 EHQCB value in accordance with 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, secured lending or collateral swap transaction, that matures within 30 calendar days from the reference date unless the transaction is waived as per Article 17(4) of Delegated Regulation (EU) 2015/61.
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, secured lending, or collateral swap transaction that matures within 30 calendar days from the reference date unless the transaction is waived as per Article 17(4) of Delegated Regulation (EU) 2015/61.
131	13. L1 EHQCB ‘ adjusted amount ’ This is referred to by subparagraph (b) of Annex I (3) Report the adjusted covered bond level 1 asset amount before cap application. The adjusted amount takes into account the unwind of secured funding, secured lending, or collateral swap transactions that mature within 30 calendar days from the reference date unless the transaction is waived as per Article 17(4) of Delegated Regulation (EU) 2015/61.
160	14. L2A value in accordance with Article 9: unadjusted Report figure from {C 72.00; r230; c040}.
170	15. L2A collateral 30 day outflows Report outflows of Level 2A liquid securities upon the unwind of any secured funding, secured lending or collateral swap transaction, that matures within 30 calendar days from the calculation date unless the transaction is waived as per Article 17(4) of Delegated Regulation (EU) 2015/61.
180	16. L2A collateral 30 day inflows Report inflows of Level 2A liquid securities upon the unwind of any secured funding, secured lending, or collateral swap transaction that matures within 30 calendar days from the calculation date unless the transaction is waived as per Article 17(4) of Delegated Regulation (EU) 2015/61.
191	17. L2A ‘ adjusted amount ’ This is referred to by subparagraph (c) in Annex I (3) Report the adjusted level 2A asset amount before cap application. The adjusted amount takes into account the unwind of secured funding, secured lending or collateral swap transactions, that mature within 30 calendar days from the calculation date unless the transaction is waived as per Article 17(4) of Delegated Regulation (EU) 2015/61.
220	18. L2B value in accordance with Article 9: unadjusted Report figure from {C 72.00; r310; c040}.
230	19. L2B collateral 30 day outflows Report outflows of Level 2B liquid securities upon the unwind of any secured funding, secured lending, or collateral swap transaction that matures within 30 calendar days from the calculation date unless the transaction is waived as per Article 17(4) of Delegated Regulation (EU) 2015/61.
240	20. L2B collateral 30 day inflows Report inflows of Level 2B liquid securities upon the unwind of any secured funding, secured lending or collateral swap transaction, that matures within 30 calendar days from the calculation date unless the transaction is waived as per Article 17(4) of Delegated Regulation (EU) 2015/61.
251	21. L2B ‘ adjusted amount ’ This is referred to by subparagraph (d) in Annex I (3) Report the adjusted level 2B asset amount before cap application. The adjusted amount takes into account the unwind of secured funding, secured lending or collateral swap transactions, that mature within 30 calendar days from the calculation date unless the transaction is waived as per Article 17(4) of Delegated Regulation (EU) 2015/61.
280	22. 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	23. 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 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	24. Total Outflows TO = from Outflow sheet Report figure from {C 73.00; r010; c060}.
310	25. Fully Exempt Inflows FEI = from Inflows sheet Report figure from {C 74.00; r010; c160}.
320	26. Inflows Subject to 90 % Cap IHC = from Inflows sheet Report figure from {C 74.00; r010; c150}.
330	27. Inflows Subject to 75 % Cap IC = from Inflows sheet Report figure from {C 74.00; r010; c140}.
340	28. Reduction for Fully Exempt Inflows Report the following part of the NLO calculation: = MIN (FEI, TO).
350	29. Reduction for Inflows Subject to 90 % Cap Report the following part of the NLO calculation: = MIN (IHC, 0.9*MAX(TO-FEI, 0)).
360	30. 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	31. 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	32. PILLAR 2 REQUIREMENT as set out in Article 105 CRD Report the Pillar 2 requirement.]

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).