[F1ANNEX XXV U.K.

Textual Amendments

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
[F1Row 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.]