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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)
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[F1Row | Legal references and instructions |
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CALCULATIONS | |
Numerator, Denominator, RatioArticle 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 BufferReport figure from {C 76.00; r290; c010}. |
020 | 2. Net Liquidity OutflowReport 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 calculationsArticle 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): unadjustedReport figure from {C 72.00; r030; c040}. |
050 | 5. L1 excl. EHQCB collateral 30 day outflowsReport 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 inflowsReport 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 outflowsReport 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 inflowsReport 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: unadjustedReport figure from {C 72.00; r180; c040}. |
110 | 11. L1 EHQCB collateral 30 day outflowsReport 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 inflowsReport 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: unadjustedReport figure from {C 72.00; r230; c040}. |
170 | 15. L2A collateral 30 day outflowsReport 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 inflowsReport 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: unadjustedReport figure from {C 72.00; r310; c040}. |
230 | 19. L2B collateral 30 day outflowsReport 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 inflowsReport 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 amountAnnex 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 BUFFERAnnex 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 calculationsANNEX 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 OutflowsTO = from Outflow sheet Report figure from {C 73.00; r010; c060}. |
310 | 25. Fully Exempt InflowsFEI = from Inflows sheet Report figure from {C 74.00; r010; c160}. |
320 | 26. Inflows Subject to 90 % CapIHC = from Inflows sheet Report figure from {C 74.00; r010; c150}. |
330 | 27. Inflows Subject to 75 % CapIC = from Inflows sheet Report figure from {C 74.00; r010; c140}. |
340 | 28. Reduction for Fully Exempt InflowsReport the following part of the NLO calculation: = MIN (FEI, TO). |
350 | 29. Reduction for Inflows Subject to 90 % CapReport the following part of the NLO calculation: = MIN (IHC, 0.9*MAX(TO-FEI, 0)). |
360 | 30. Reduction for Inflows Subject to 75 % CapReport the following part of the NLO calculation: = MIN (IC, 0.75*MAX(TO-FEI-IHC/0.9, 0)). |
370 | 31. NET LIQUIDITY OUTFLOWReport 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 REQUIREMENTas 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).
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