ANNEX IIU.K.
“ANNEX XXIII
REPORTING ON LIQUIDITY (PART 1: LIQUID ASSETS) U.K.
1.Liquid assetsU.K.
1.1.General remarksU.K.
1.This is a summary template which contains information about assets 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 credit institutions are coloured grey.U.K.
2.Assets reported shall comply with the requirements set out in Title II of the Commission Delegated Regulation (EU) 2015/61.U.K.
3.By derogation to paragraph 2, credit institutions shall not apply currency restrictions defined in Article 8(6), 10(1)(d) and 12(1)(c) of the Commission Delegated Regulation (EU) 2015/61 when completing the template on a significant currency basis, as required in Article 415(2) of Regulation (EU) No 575/2013. Credit institutions shall still apply jurisdiction restrictions.U.K.
4.Credit institutions shall report the template in the corresponding currencies in accordance with Article 4(5) of Commission Delegated Regulation (EU) 2015/61.U.K.
5.When referring to Article 9 of Commission Delegated Regulation (EU) 2015/61, credit institutions shall report, where relevant, the amount/market value of liquid assets taking into account the net liquidity outflows and inflows resulting from an early close-out of hedges defined in Article 8(5) and in accordance with the appropriate haircuts specified in Chapter 2.U.K.
6.Commission Delegated Regulation (EU) 2015/61 only refers to rates and haircuts. In these instructions the word “weighted” is used as general term for indicating the amount obtained after the application of the respective haircuts, rates and any other relevant additional instructions (in the case of e.g. secured lending and funding). The word “weight” in the context of these instructions refers to a number between 0 and 1, which multiplied by the amount yields the weighted amount or the value according to Article 9 of Commission Delegated Regulation (EU) 2015/61 respectively.U.K.
7.Credit institutions shall not double report items within and across sections 1.1.1., 1.1.2., 1.2.1., and 1.2.2.U.K.
8.Some memorandum items are included in the associated template to these instructions. While not strictly necessary for the calculation of the ratio itself, they are required to be completed. These items provide necessary information to allow the competent authority complete an adequate assessment of credit institutions' compliance with the liquidity requirements. In some cases they represent a more granular breakdown of items included in the main sections of the templates while in other cases they reflect additional liquidity resources credit institutions may have access to.U.K.
1.2.Specific remarksU.K.
1.2.1.Specific requirements regarding CIUsU.K.
9.For items 1.1.1.10., 1.1.1.11., 1.2.1.6., 1.1.2.2., 1.2.2.10., 1.2.2.11., 1.2.2.12., 1.2.2.13., credit institutions shall report the appropriate proportion of the market value of the CIUs corresponding to the liquid assets underlying the undertaking, in accordance with the principles defined in Article 15(4) of the Commission Delegated Regulation (EU) 2015/61.U.K.
1.2.2.Specific requirements regarding grandfathering and transitional provisionsU.K.
10.Credit institutions shall report items as referred to in Article 35, Article 36 and Article 37 of the Commission Delegated Regulation (EU) 2015/61 in the appropriate asset rows. A total of all asset amounts reported based on these article shall also be reported in the “Memorandum” section for reference.U.K.
1.2.3.Specific requirements for reporting by Central InstitutionsU.K.
11.Central institutions, when reporting liquid assets corresponding to deposits from credit institutions placed at the central institution that are considered as liquid assets for the depositing credit institution, shall ensure that the reported amount of these liquid assets after haircut does not exceed the outflow from the corresponding deposits (Article 27(3) of the Commission Delegated Regulation (EU) 2015/61).U.K.
1.2.4.Specific requirements regarding settlement and forward starting transactionsU.K.
12.All assets complying with Articles 7, 8 and 9 of the Commission Delegated Regulation (EU) 2015/61 which are in the stock of the credit institution on the reference date shall be reported in the relevant row in Template C72 even if they are sold or used in secured forward transactions. Consistently, no liquid assets shall be reported in the template C72.00 of Annex XXIV from forward starting transactions referring to contractually agreed but not yet settled purchases of liquid assets and forward purchases of liquid assets.U.K.
Liquid assets sub templateU.K.
Instructions concerning specific columnsU.K.
Instructions concerning specific rowsU.K.
REPORTING ON LIQUIDITY (PART 2 OUTFLOWS) U.K.
1.OutflowsU.K.
1.1.General remarksU.K.
1.This is a summary template which contains information about liquidity outflows measured over the next 30 days, 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 credit institutions are coloured grey.U.K.
2.Credit institutions shall report the template in the corresponding currencies in accordance with Article 4(5) of Commission Delegated Regulation (EU) 2015/61.U.K.
3.Some memorandum items are included in the associated template to these instructions. While not strictly necessary for the calculation of the ratio itself, they are required to be completed. These items provide necessary information to allow the competent authorities complete an adequate assessment of credit institutions' compliance with the liquidity requirements. In some cases they represent a more granular breakdown of the items included in the main sections of the templates while in other cases they reflect additional liquidity resources credit institutions may have access to.U.K.
4.In accordance with Article 22(1) of Commission Delegated Regulation (EU) 2015/61, liquidity outflows shall:U.K.
i.
include those categories referred to in Article 22(2) of Commission Delegated Regulation (EU) 2015/61
ii.
be calculated by multiplying the outstanding balances of various categories of liabilities and off-balance sheet commitments by the rates at which they are expected to run off or be drawn down as indicated in Commission Delegated Regulation (EU) 2015/61.
5.Commission Delegated Regulation (EU) 2015/61 only refers to rates and haircuts, and the word “weight” just refers to these. In these instructions the word “weighted” is used as general term for indicating the amount obtained after the application of the respective haircuts, rates and any other relevant additional instructions (in the case of e.g. secured lending and funding).U.K.
6.Outflows within a group or an institutional protection scheme (except for outflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authority has granted permission to apply a preferential outflow rate and outflows from operational deposits maintained in the context of an institutional Protection Scheme or a cooperative network) shall be reported in the relevant categories. These outflows shall also be separately reported as memorandum items.U.K.
7.The liquidity outflows shall be reported only once in the template unless additional outflows according to article 30 of the Commission Delegated Regulation (EU) 2015/61 are applicable or where the item is also a memorandum item. The reporting of the memorandum items does not affect the calculations of liquidity outflows.U.K.
8.When reporting in a significant currency, the following shall always apply:U.K.
only items and flows denominated in that currency shall be reported;
in case of currency mismatch between legs of a transaction, only the leg in that currency shall be reported;
where the Commission Delegated Regulation (EU) 2015/61 allows netting it may only be applied to flows in that currency;
where a flow has multicurrency optionality, the credit institution shall make an assessment of the currency in which the flow is likely to occur and shall report the item only in that significant currency.
9.The standard weights in column 040 of template C 73.00 of Annex XXIV are those specified in the Commission Delegated Regulation (EU) 2015/61 by default and are provided here for information.U.K.
10.The template contains information about collateralised liquidity flows, referred to as “secured lending and capital-market driven transactions” in Commission Delegated Regulation (EU) 2015/61, and for the purpose of calculating LCR as defined in that regulation.U.K.
11.A separate template is provided for collateral swaps, C 75.00 of Annex XXIV. Collateral swaps, which are collateral-versus-collateral transactions shall not be reported on the outflow template C 73.00 of Annex XXIV, which only covers cash- versus-collateral transactions.U.K.
1.2.Specific remarks regarding settlement and forward starting transactionsU.K.
12.Credit institutions shall report outflows stemming from forward starting repos, reverse repos and collateral swaps that start within the 30 day horizon and mature beyond the 30 day horizon where the initial leg produces an outflow. In the case of a reverse repo, the amount to be lent to the counterparty shall be considered as an outflow and reported in item 1.1.7.3. net of the market value of the asset to be received as collateral and after the application of the related LCR haircut if the asset qualifies as liquid asset. If the amount to be lent is lower than of the market value of the asset (after LCR haircut) to be received as collateral, the difference shall be reported as an inflow. If the collateral to be received does not qualify as liquid asset, the outflow shall be reported in full. In the case of repo, where the market value of the asset to be lent as collateral after the application of the related LCR haircut (if the asset qualifies as liquid asset) is larger than the cash amount to be received, the difference is to be reported as an outflow in the above mentioned row. For collateral swaps, where the net effect of the initial swap of liquid assets (taking into account LCR haircuts) gives rise to an outflow this outflow shall be reported in the above mentioned row.U.K.
Forward repos, forward reverse repos and forward collateral swaps that start and mature within the LCR's 30 day horizon do not have any impact on a bank's LCR and can be ignored
13.Decision tree for sections 1 of C 73.00 of Annex XXIV, the decision tree is without prejudice to the memorandum items reporting. The decision tree is part of the instructions to specify prioritization assessment criteria for the assignment of each reported item in order to secure homogenous and comparable reporting. Going through the decision tree alone is not sufficient, credit institutions shall always comply with the rest of the instructions. For the sake of simplicity the decision tree ignores totals and subtotals; this however does not mean that they shall not be reported as well. DA refers to Commission Delegated Regulation (EU) 2015/61.U.K.
| # | Item | Decision | Reporting |
|---|---|---|---|
| 1 | Forward starting transaction | Yes | # 2 |
| No | # 4 | ||
| 2 | Forward transaction entered into subsequent to the reporting date; | Yes | Do not report |
| No | # 3 | ||
| 3 | Forward transaction that start prior to and mature after the 30-day horizon. | Yes | Do not report |
| No | ID 1.1.7.3. | ||
| 4 | An item requiring additional outflows in accordance with Article 30 of DA? | Yes | # 5 and subsequently # 48 |
| No | # 5 | ||
| 5 | Retail deposit in accordance with Article 3(8) of DA. | Yes | # 6 |
| No | # 12 | ||
| 6 | Canceled deposit with a residual maturity of less than 30 calendar days and where pay-out has been agreed to another credit institution? | Yes | ID 1.1.1.1. |
| No | # 7 | ||
| 7 | Deposit in accordance with Article 25(4) of DA? | Yes | Do not report |
| No | # 8 | ||
| 8 | Deposit in accordance with Article 25(5) of DA? | Yes | ID 1.1.1.5. |
| No | # 9 | ||
| 9 | Deposit in accordance with Article 25(2) of DA? | Yes | Allocate into one relevant item of ID 1.1.1.2. |
| No | # 10 | ||
| 10 | Deposit in accordance with Article 24(4) of DA? | Yes | ID 1.1.1.4. |
| No | # 11 | ||
| 11 | Deposit in accordance with Article 24(1) of DA? | Yes | ID 1.1.1.3. |
| No | ID 1.1.1.6. | ||
| 12 | Liability that become due, can be called for pay- out by the issuer or by the provider of the funding or entail an expectation by the provider of the funding that the credit institution would repay the liability during the next 30 calendar days? | Yes | # 13 |
| No | # 29 | ||
| 13 | Liability resulting from the institution's own operating expenses? | Yes | ID 1.1.7.1. |
| No | # 14 | ||
| 14 | Liability in form of bond sold exclusively in the retail market and held in a retail account in accordance with Article 28(6) of DA? | Yes | Follow path for retail deposits (ie. answer yes for # 5 and treat accordingly) |
| No | # 15 | ||
| 15 | Liability in form of debt security? | Yes | ID 1.1.7.2. |
| No | # 16 | ||
| 16 | Deposit received as collateral? | Yes | Allocate across relevant items of ID 1.1.4. |
| No | # 17 | ||
| 17 | Deposit arising out of a corresponding banking or from the prime brokerage? | Yes | ID1.1.3.1. |
| No | # 18 | ||
| 18 | Operational deposit in accordance with Article 27 of DA? | Yes | # 19 |
| No | # 24 | ||
| 19 | Maintained in the context of IPS or a cooperative network? | Yes | # 20 |
| No | # 22 | ||
| 20 | Treated as liquid assets for the depositing credit institution? | Yes | ID 1.1.2.2.2. |
| No | # 21 | ||
| 21 | Maintained to obtain cash clearing and central credit institution services within a network? | Yes | ID 1.1.2.4. |
| No | ID 1.1.2.2.1. | ||
| 22 | Maintained for clearing, custody, cash management or other comparable services in the context of an established operational relationship? | Yes | Allocate into one relevant item of ID 1.1.2.1. |
| No | # 23 | ||
| 23 | Maintained in the context of an established operational relationship (other) with non-financial customers? | Yes | ID 1.1.2.3. |
| No | # 24 | ||
| 24 | Other deposit? | Yes | # 25 |
| No | # 26 | ||
| 25 | Deposits by financial customers? | Yes | ID 1.1.3.2. |
| No | Allocate into one relevant item of ID 1.1.3.3. | ||
| 26 | Liability from secured lending and capital market driven transaction with the exception of derivatives and collateral swaps? | Yes | Allocate into one relevant item of ID 1.2. |
| No | # 27 | ||
| 27 | Liability from collateral swaps? | Yes | Allocate into one relevant item of C75.00 and ID 1.3. where applicable. |
| No | # 28 | ||
| 28 | Liability resulting in an outflow from derivatives in accordance with Article 30(4) of DA? | Yes | ID 1.1.4.5. |
| No | ID1.1.7.3. | ||
| 29 | Undrawn amount that can be drawn from committed credit and liquidity facility in accordance with Article 31 of DA? | Yes | #30 |
| No | # 38 | ||
| 30 | Committed credit facility? | Yes | # 31 |
| No | # 33 | ||
| 31 | Within IPS or cooperative network treated as liquid asset by the depositing institution? | Yes | ID 1.1.5.1.6. |
| No | # 32 | ||
| 32 | Within a group or an IPS subject to preferential treatment? | Yes | ID 1.1.5.1.5. |
| No | Allocate into one relevant remaining item of ID 1.1.5.1. | ||
| 33 | Committed liquidity facility? | Yes | #34 |
| n/a | n/a | ||
| 34 | Within IPS or cooperative network treated as liquid asset by the depositing institution? | Yes | ID 1.1.5.2.7. |
| No | # 35 | ||
| 35 | Within a group or an IPS subject to preferential treatment? | Yes | ID 1.1.5.2.6. |
| No | # 36 | ||
| 36 | To SSPEs? | Yes | Allocate into one relevant item of ID 1.1.5.2.4. |
| No | #37 | ||
| 37 | To personal investment companies? | Yes | ID 1.1.5.2.3. |
| No | Allocate into one relevant remaining item of ID 1.1.5.2. | ||
| 38 | Other product or service in accordance with Article 23 of DA? | Yes | # 39 |
| No | Do not report | ||
| 39 | Trade finance off balance sheet related product? | Yes | ID1.1.6.8. |
| No | # 40 | ||
| 40 | Contractual commitments to extend funding to non-financial customers in excess of monies due from those customers? | Yes | One of the following IDs: 1.1.6.6.1.1. to 1.1.6.6.1.4. |
| No | # 41 | ||
| 41 | Undrawn loans and advances to wholesale counterparties? | Yes | ID 1.1.6.2. |
| No | # 42 | ||
| 42 | Mortgages that have been agreed but not yet drawn down | Yes | ID 1.1.6.3. |
| No | # 43 | ||
| 43 | Is it other planned outflow related to renewal or extension of new loans? | Yes | ID 1.1.6.6.2. |
| No | # 44 | ||
| 44 | Credit cards? | Yes | ID 1.1.6.4. |
| No | # 45 | ||
| 45 | Overdraft? | Yes | ID 1.1.6.5. |
| No | # 46 | ||
| 46 | Planned derivatives payable? | Yes | ID1.1.6.7. |
| No | # 47 | ||
| 47 | Other off balance sheet and contingent funding obligation? | Yes | ID1.1.6.1. |
| No | ID 1.1.6.9. | ||
| 48 | Debt security already reported in item 1.1.7.2 of C 73.00? | Yes | Do not report |
| No | # 49 | ||
| 49 | Liquidity requirement for derivatives in accordance with article 30.4 of DA already considered in question # 28? | Yes | Do not report |
| No | Allocate across relevant items of ID 1.1.4. |
1.3.Instructions concerning specific columnsU.K.
1.4.Instructions concerning specific rowsU.K.
REPORTING ON LIQUIDITY (PART 3: INFLOWS) U.K.
2.InflowsU.K.
2.1.General remarksU.K.
1.This is a summary template which contains information about liquidity inflows measured over the next 30 days, 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 credit institutions are coloured in grey.U.K.
2.Credit institutions shall submit the template in the currencies specified in Article 4(5) of Commission Delegated Regulation (EU) 2015/61.U.K.
3.In accordance with Article 32 of Commission Delegated Regulation (EU) 2015/61, liquidity inflows shall:U.K.
i.
comprise only contractual inflows from exposures that are not past due and for which the credit institution has no reason to expect non-performance within the 30-day time horizon.
ii.
be calculated by multiplying the outstanding balances of various categories of contractual receivables by the rates specified in Commission Delegated Regulation (EU) 2015/61.
4.Inflows within a group or an institutional protection scheme (except for inflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authority has granted permission to apply a preferential inflow rate) shall be assigned to the relevant categories. Unweighted amounts shall additionally be reported as memorandum items under section 4 of the template (lines 460-480).U.K.
5.In accordance with Article 32(6) of Delegated Regulation (EU) 2015/61, credit institutions shall not report inflows from any of the liquid assets reported in accordance with Title II of that Regulation other than payments due on the assets that are not reflected in the market value of the asset.U.K.
6.Inflows which are to be received in third countries where there are transfer restrictions or which are denominated in non-convertible currencies shall be reported in the relevant rows of sections 1.1., 1.2. or 1.3. The inflows shall be reported in full, regardless of the amount of outflows in the third country or currency.U.K.
7.Monies due from securities issued by the credit institution itself or by a related entity shall be taken into account on a net basis with an inflow rate applied on the basis of the inflow rate applicable to the underlying asset pursuant to Article 32(3)(h) of Commission Delegated Regulation (EU) 2015/61.U.K.
8.In accordance with Article 32(7) of Commission Delegated Regulation (EU) 2015/61, credit institutions shall not report inflows from any new obligations entered into.U.K.
9.In the case of a significant currency identified in accordance with Article 4(5) of Commission Delegated Regulation (EU) 2015/61, the reported balances shall comprise only those which are denominated in the significant currency to ensure that currency gaps are correctly reflected. This may mean that only one side of the transaction is reported in the significant currency template. For instance, in case of FX derivatives, credit institutions may only net inflows and outflows in accordance with Article 21 of Commission Delegated Regulation (EU) 2015/61 where they are denominated in the same currency.U.K.
10.The Column structure of this template is built to accommodate the different caps on inflows applicable pursuant to Article 33 of Commission Delegated Regulation (EU) 2015/61. In this regard, the template is based on three sets of Columns, one set for each cap treatment (75 % cap, 90 % cap, and exempted from the cap). Credit institutions reporting on a consolidated basis may use more than one such set of Columns if different entities under the same consolidation qualify for different cap treatments.U.K.
11.In accordance with Article 2(3)(c) of Commission Delegated Regulation (EU) 2015/61 regarding consolidation, liquidity inflows in a subsidiary undertaking in a third country which are subject under the national law of that third country to lower rates than those specified in Title III of the regulation shall be subject to consolidation in accordance with the lower rates specified in the national law of the third country.U.K.
12.Commission Delegated Regulation (EU) 2015/61 only refers to rates and haircuts, and the word “weight” in the template just refers to these in the appropriate context. The word “weighted” in this Annex shall be understood as a general term for indicating the amount calculated after the application of the respective haircuts, rates and any other relevant additional instructions (e.g. in the case of secured lending and funding).U.K.
13.Some “memorandum items” are included in the associated templates to these instructions. While not strictly necessary for the calculation of the ratio itself, they are required to be completed. These items provide necessary information to allow the competent authority to complete an adequate assessment of credit institutions' compliance with the liquidity requirements. In some cases they represent a more granular breakdown of items included in the main sections of the templates while in other cases they reflect additional liquidity resources credit institutions may have access to.U.K.
2.2.Specific remarks regarding secured lending and capital market-driven transactionsU.K.
1.The template categories collateralizsed flows by the quality of the underlying asset or HQLA eligibility. A separate template is provided for collateral swaps — C 75.00 of ANNEX XXIV. Collateral swaps, which are collateral-versus-collateral transactions shall not be reported on the inflow template (C 74.00 of ANNEX XXIV) which only covers cash-versus-collateral transactions.U.K.
2.In the case of a significant currency return, the reported balances shall comprise only those which are denominated in the significant currency to ensure that currency gaps are correctly reflected. This may mean that only one side of the transaction is reported in the significant currency template. Hence a reverse repo transaction can result in a negative inflow. Reverse repo transactions reported in the same item shall be summed (positives and negatives). If the total is positive then this shall be reported on the inflow template. If the total is negative then this shall be reported on the outflow template. This approach shall be followed vice-versa for repos.U.K.
3.Credit institutions shall only report the Level 1, Level 2A and Level 2B assets that qualify as liquid assets in accordance with Title II of Commission Delegated Regulation (EU) 2015/61. Where collateral is Level 1, Level 2A or Level 2B but does not qualify as a liquid asset in accordance with Title II of Commission Delegated Regulation (EU) 2015/61 it shall be reported as non-liquid. Similarly, where a credit institution may only recognise part of their foreign currency shares, or foreign currency central government or bank assets, or domestic currency central government or central bank assets within their HQLA, only the recognisable part shall be reported within the rows related to Level 1, Level 2A and Level 2B assets (refer to Article 12(1)(c)(i)-(iii)) and Article 10(1)(d) of Commission Delegated Regulation (EU) 2015/61). Where the particular asset is used as collateral but for an amount which is surplus to the portion which can be recognised as liquid assets, the surplus amount shall be reported in the non-liquid section. Level 2A assets shall be reported in the corresponding Level 2A asset row, even if the Alternative Liquidity Approach under Article 19 of Commission Delegated Regulation (EU) 2015/61 is being followed.U.K.
2.3.Specific remarks regarding settlement and forward starting transactionsU.K.
Credit institutions shall report inflows stemming from forward starting repos that start within the 30 day horizon and mature beyond the 30 day horizon. The inflow to be received shall be reported in {C 74.00; r260} (“other inflows”), net of the market value of the asset to be delivered to the counterparty after the application of the related LCR haircut. If the asset is not a “liquid asset”, the inflow to be received shall be reported in full. The asset to be pledged as collateral shall be reported in C 72.00 if the institution holds the asset in its book at the reference date and it fulfills the related conditions.
Credit institutions shall report inflows stemming from forward starting repos, reverse repos and collateral swaps that start within the 30 day horizon and mature beyond the 30 day horizon where the initial leg produces an inflow. In the case of a repo, the inflow to be received shall be reported in {C 74.00; r260} (“other inflows”), net of the market value of the asset to be delivered to the counterparty after the application of the related LCR haircut. If the amount to be received is lower than the market value of the asset (after LCR haircut) to be lent as collateral, the difference shall be reported as an outflow in C.73.00. If the asset is not a “liquid asset”, the inflow to be received shall be reported in full. The asset to be pledged as collateral shall be reported in C 72.00 where the institution holds the asset in its book at the reference date and it fulfills the related conditions. In the case of a reverse repo, where the market value of the asset to be received as collateral after the application of the related LCR haircut (if the asset qualifies as liquid asset) is larger than the cash amount to be lent, the difference is to be reported as an inflow in {C 74.00; r260} (“other inflows”). For collateral swaps, where the net effect of the initial swap of assets (taking into account LCR haircuts) gives rise to an inflow this inflow shall be reported {C 74.00; r260} (“other inflows”).
Forward repos, forward reverse repos and forward collateral swaps that start and mature within the LCR's 30 day horizon do not have any impact on a bank's LCR and can be ignored.
2.4.Decision tree on LCR inflows in accordance with Article 32, Article 33 and Article 34 of Commission Delegated Regulation (EU) 2015/61U.K.
1.The decision tree is without prejudice to the reporting of the memorandum items. The decision tree is part of the instructions to specify prioritisation assessment criteria for the assignment of each reported item in order to secure homogenous and comparable reporting. Going through the decision tree alone is not sufficient — credit institutions shall comply with the rest of the instructions at all times.U.K.
2.For the sake of simplicity, the decision tree ignores totals and subtotals; this however does not necessarily imply that they shall not also be reported.U.K.
2.4.1.Decision tree on rows in template C 74.00 of ANNEX XXIVU.K.
| a Collateral swap transactions additionally need to be reported in template C 75.00 of ANNEX XXIV. | |||||
| # | Item | Decision | Reporting | ||
|---|---|---|---|---|---|
| 1 | Inflow meeting the operational criteria as specified in Article 32, such as:
| No | No Reporting | ||
| Yes | # 2 | ||||
| 2 | Forward starting transaction | Yes | # 3 | ||
| No | # 5 | ||||
| 3 | Forward transaction entered into subsequent to the reporting date; | Yes | No Reporting | ||
| No | # 4 | ||||
| 4 | Forward transaction that start prior to and mature after the 30-day horizon | Yes | No Reporting | ||
| No | Row 260, ID 1.1.12. | ||||
| 5 | Inflows within a group or an institutional protection scheme | Yes | # 6 | ||
| No | # 7 | ||||
| 6 | Inflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authority has granted permission to apply a higher inflow rate (Article 34) | Yes | Row 250, ID 1.1.11. | ||
| No | # 7 | ||||
| 7 | Inflows from secured lending and capital markets-driven transactions with the exception of derivatives (Article 32(3)(b)-(c);(e)-(f)) | Yes | # 23 | ||
| No | # 8 | ||||
| 8 | Monies due from securities maturing within 30 days (Article 32(2)(a)(i)) | Yes | Row 190, ID 1.1.5. | ||
| No | # 9 | ||||
| 9 | Inflows from trade financing transactions (Article 32(2)(a)(ii)) | Yes | Row 180, ID 1.1.4. | ||
| No | # 10 | ||||
| 10 | Assets with an undefined contractual end date (Article 32(3)(i)) | Yes | # 11 | ||
| No | # 12 | ||||
| 11 | Interest and minimum payments from assets with an undefined contractual end date that are contractually due and that are subject to an actual cash inflow within the next 30 days | Yes | # 12 | ||
| No | Row 200, ID 1.1.6. | ||||
| 12 | Monies due from positions in major index equity instruments provided that there is no double counting with liquid assets (Article 32(2)(b)) | Yes | Row 210, ID 1.1.7. | ||
| No | # 13 | ||||
| 13 | Inflows from undrawn credit or liquidity facilities and any other commitments provided by central banks provided that there is no double counting with liquid assets (Article 32(3)(g)) | Yes | Row 220, ID 1.1.8. | ||
| No | # 14 | ||||
| 14 | Inflows from the release of balances held in segregated accounts in accordance with regulatory requirements for the protection of customer trading assets (Article 32(4)) | Yes | Row 230, ID 1.1.9. | ||
| No | # 15 | ||||
| 15 | Derivatives cash inflows net by counterparty and collateral (Article 32(5)) | Yes | Row 240, ID 1.1.10. | ||
| No | # 16 | ||||
| 16 | Inflows related to outflows in accordance with promotional loan commitments referred to in Article 31(9) (Article 32(3)(a)) | Yes | Row 170, ID 1.1.3. | ||
| No | # 17 | ||||
| 17 | Monies due from central banks and financial customers (Article 32(2)(a)) | Yes | # 21 | ||
| No | # 18 | ||||
| 18 | Monies due from non-financial customers (except for central banks) not corresponding to principal repayment (Article 32(2)) | Yes | Row 040, ID 1.1.1.1. | ||
| No | # 19 | ||||
| 19 | Other monies due from non-financial customers (except for central banks) (Article 32(3)(a)) | Yes | # 20 | ||
| No | Row 260, ID 1.1.12. | ||||
| 20 | Other monies due from non-financial customers (except for central banks) (Article 32(3)(a)) | # 20.1 | Retail customers | Yes | Row 060, ID 1.1.1.2.1. |
| No | # 20.2 | ||||
| # 20.2 | Non-financial corporates | Yes | Row 070, ID 1.1.1.2.2. | ||
| No | # 20.3 | ||||
| # 20.3 | Sovereigns, MDBs and PSEs | Yes | Row 080, ID 1.1.1.2.3. | ||
| No | Row 090, ID 1.1.1.2.4. | ||||
| 21 | Inflows from financial customers being classified as operational deposits (Article 32(3)(d)) | Yes | # 22 | ||
| No | # 23 | ||||
| 22 | Credit institution is able to establish a corresponding symmetrical inflow rate (Article 32(3)(d)) | Yes | Row 120, ID 1.1.2.1.1. | ||
| No | Row 130, ID 1.1.2.1.2. | ||||
| 23 | Monies due from central banks (Article 32(2)(a)) | Yes | Row 150, ID 1.1.2.2.1. | ||
| No | Row 160, ID 1.1.2.2.2. | ||||
| 24 | Collateral Swap Transaction (Article 32(3)(e)) | Yes | Row 410, ID 1.3a | ||
| No | # 25 | ||||
| 25 | Collateral qualifies as a liquid asset (Article 32(3)(b)) | Yes | # 26 | ||
| No | # 27 | ||||
| 26 | Secured funding transaction secured by (Article 32(3)(b)) | # 26.1 | Collateral is used to cover short positions | Yes | Row 360, ID 1.2.2. |
| No | # 26.2 | ||||
| # 26.2 | Level 1 collateral excluding extremely high quality covered bonds | Yes | Row 290, ID 1.2.1.1. | ||
| No | # 26.3 | ||||
| # 26.3 | Level 1 collateral which is extremely high quality covered bonds | Yes | Row 300, ID 1.2.1.2. | ||
| No | # 26.4 | ||||
| # 26.4 | Level 2A collateral | Yes | Row 310, ID 1.2.1.3. | ||
| No | # 26.5 | ||||
| # 26.5 | Level 2B asset backed securities (residential or auto) collateral | Yes | Row 320, ID 1.2.1.4. | ||
| No | # 26.6 | ||||
| # 26.6 | Level 2B high quality covered bonds collateral | Yes | Row 330, ID 1.2.1.5. | ||
| No | # 26.7 | ||||
| # 26.7 | Level 2B asset backed securities (commercial or individuals) collateral | Yes | Row 340, ID 1.2.1.6. | ||
| No | Row 350, ID 1.2.1.7. | ||||
| 27 | Collateral that does not qualify as a liquid asset (Article 32(3)(b)) | # 27.1 | margin loans: collateral is non-liquid | Yes | Row 380, ID 1.2.3.1. |
| No | # 27.2 | ||||
| # 27.2 | collateral is non-liquid equity | Yes | Row 390, ID 1.2.3.2. | ||
| No | Row 400, ID 1.2.3.3. | ||||
2.4.2.Decision tree on columns in template C 74.00 of ANNEX XXIVU.K.
| # | Item | Decision | Reporting | ||
|---|---|---|---|---|---|
| 1 | Inflow to be reported in rows 010-430 of template C 74.00 of ANNEX XXIV in accordance with Article 32, Article 33 and Article 34 and in accordance with the classification as specified in section 1 ('Decision tree on rows in template C 74.00') | No | No Reporting | ||
| Yes | # 2 | ||||
| 2 | Inflows from secured lending and capital markets-driven transactions with the exception of derivatives (Article 32(3)(b)-(c);(e)-(f)) | Yes | # 11 | ||
| No | # 3 | ||||
| 3 | Partial exemption from the cap on inflows (Article 33(2)-(5)) | Yes | # 4 | ||
| No | # 6 | ||||
| 4 | Partial exemption from the cap on inflows (Article 33(2)-(5)) | # 4.1 | Part of inflows exempted from the cap on inflows | — | # 5 |
| # 4.2 | Part of inflows not exempted from the cap on inflows | — | # 7 | ||
| 5 | Part of the inflows exempted from the 75 % cap on inflows subject to 90 % cap on inflows (Article 33(4) and Article 33(5)) | Yes | # 9 | ||
| No | # 10 | ||||
| 6 | Inflow subject to the 75 % cap on inflows (Article 33(1)) | Yes | # 7 | ||
| No | # 8 | ||||
| 7 | Inflow subject to the 75 % cap on inflows (Article 33(1)) | #7.1 | Monies due/maximum amount that can be drawn | — | Column 010 |
| # 7.2 | Applicable Weight | — | Column 080 | ||
| # 7.3 | Inflow | — | Column 140 | ||
| 8 | Inflow subject to the 90 % cap on inflows (Article 33(4) and Article 33(5)) | Yes | # 9 | ||
| No | # 10 | ||||
| 9 | Inflow subject to the 90 % cap on inflows (Article 33(4) and Article 33(5)) | # 9.1 | Monies due/maximum amount that can be drawn | — | Column 020 |
| # 9.2 | Applicable Weight | — | Column 090 | ||
| # 9.3 | Inflow | — | Column 150 | ||
| 10 | Inflows that are fully exempted from the cap on inflows (Article 33(2)-(3)) | # 10.1 | Monies due/maximum amount that can be drawn | — | Column 030 |
| # 10.2 | Applicable Weight | — | Column 100 | ||
| # 10.3 | Inflow | — | Column 160 | ||
| 11 | Secured funding transaction where the collateral qualify as a liquid asset | Yes | # 12 | ||
| No | # 3 | ||||
| 12 | Partial exemption from the cap on inflows (Article 33(2)-(5)) | Yes | # 13 | ||
| No | # 15 | ||||
| 13 | Partial exemption from the cap on inflows (Article 33(2)-(5)) | # 13.1 | Part of inflows exempted from the cap on inflows | — | # 14 |
| # 13.2 | Part of inflows not exempted from the cap on inflows | — | # 16 | ||
| 14 | Part of the inflows exempted from the 75 % cap on inflows subject to 90 % cap on inflows (Article 33(4) and Article 33(5)) | Yes | # 18 | ||
| No | # 19 | ||||
| 15 | Inflow subject to the 75 % cap on inflows (Article 33(1)) | Yes | # 16 | ||
| No | # 17 | ||||
| 16 | Inflow subject to the 75 % cap on inflows (Article 33(1)) | # 16.1 | Monies due | — | Column 010 |
| # 16.2 | Market value of collateral received | — | Column 040 | ||
| # 16.3 | Applicable Weight | — | Column 080 | ||
| # 16.4 | Value of collateral received according to Article 9 | — | Column 110 | ||
| # 16.5 | Inflow | — | Column 140 | ||
| 17 | Inflow subject to the 90 % cap on inflows (Article 33(4) and Article 33(5)) | Yes | # 18 | ||
| No | # 19 | ||||
| 18 | Inflow subject to the 90 % cap on inflows (Article 33(4) and Article 33(5)) | # 18.1 | Monies due | — | Column 020 |
| # 18.2 | Market value of collateral received | — | Column 050 | ||
| # 18.3 | Applicable Weight | — | Column 090 | ||
| # 18.4 | Value of collateral received according to Article 9 | — | Column 120 | ||
| # 18.5 | Inflow | — | Column 150 | ||
| 19 | Inflows that are fully exempted from the cap on inflows (Article 33(2)-(3)) | # 19.1 | Monies due | — | Column 030 |
| # 19.2 | Market value of collateral received | — | Column 060 | ||
| # 19.3 | Applicable Weight | — | Column 100 | ||
| # 19.4 | Value of collateral received according to Article 9 | — | Column 130 | ||
| # 19.5 | Inflow | — | Column 160 | ||
2.5.Inflows sub templateU.K.
2.5.1.Instructions concerning specific columns U.K.
2.5.2.Instructions concerning specific rows U.K.
REPORTING ON LIQUIDITY (PART 4: COLLATERAL SWAPS) U.K.
3.Collateral swapsU.K.
3.1.General remarksU.K.
1.Any transaction maturing within 30 days in which non-cash assets are swapped for other non-cash assets, shall be reported in this Template. Items which do not need to be completed by institutions are colored grey.U.K.
2.Collateral swaps that mature within 30 days shall lead to an outflow for the excess liquidity value of the assets borrowed compared to the liquidity value of the assets lent unless the counterparty is a central bank in which case a 0 % outflow shall apply.U.K.
3.Collateral swaps that mature within 30 days shall lead to an inflow for the excess liquidity value of the assets lent compared to the liquidity value of the assets borrowed unless the collateral obtained is re-hypothecated to cover short positions that can be extended beyond 30 days in which case a 0 % inflow shall apply.U.K.
4.For liquid assets the liquidity value is according to Article 9, for non-liquid assets the liquidity value is zero.U.K.
5.Each collateral swap transaction shall be assessed individually and the flow reported as either an outflow or an inflow (per transaction) in the corresponding row. If one trade contains multiple categories of collateral type (e.g. a basket of collateral) then for reporting it shall be split into parts corresponding with the template rows and assessed in parts.U.K.
6.In the case of a significant currency return, the reported balances shall comprise only those which are denominated in the significant currency to ensure that currency gaps are correctly reflected. This may mean that only one side of the transaction is reported in the significant currency template, with corresponding impact on the excess liquidity value.U.K.
7.Credit institutions shall report the template in the corresponding currencies in accordance with Article 4(5) of Commission Delegated Regulation (EU) 2015/61.U.K.
8.Collateralized derivatives flows within 30 days shall be reported on this Template in Columns 090-120, not in Columns 010-080.U.K.
1.2.Specific remarksU.K.
9.Institutions shall only report the Level 1, 2A and 2B assets that qualify as liquid assets in accordance with Title II. For collateral lent, this refers to assets that would qualify upon maturity as liquid assets in accordance with Title II, including general and operational requirements as defined in Articles 7 and 8 of the Commission Delegated Regulation (EU) 2015/61.U.K.
10.Where collateral meets the criteria for Level 1, 2A or 2B in Articles 10-19 of the Commission Delegated Regulation (EU) 2015/61 but does not qualify as liquid asset in accordance with Title II, including general and operational requirements as defined in Articles 7 and 8 of the Commission Delegated Regulation (EU) 2015/61, it shall be reported as non-liquid. Similarly, where an institution may only recognize part of their foreign currency shares, or foreign currency central government or bank assets, or domestic currency central government or central bank assets within their HQLA, only the recognizable part shall be reported within the Levels 1, 2A and 2B rows (refer to Article 12(1)(c)(i) to (iii) and Article 10(1)(d)). Where the particular asset is used as collateral but in an amount which is surplus to the portion which can be recognised within liquid assets, the surplus amount shall be reported in the non-liquid section.U.K.
11.Collateral Swaps involving Level 2A assets shall be reported in the corresponding L2A asset row, even if the Alternative Liquidity Approach is being followed (i.e. do not move L2A to L1 in the collateral swaps reporting).U.K.
Collateral swaps sub templateU.K.
Instructions concerning specific columnsU.K.
Instructions concerning specific rowsU.K.
REPORTING ON LIQUIDITY (PART 5: CALCULATIONS) U.K.
4.CalculationsU.K.
4.1.General remarksU.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 remarksU.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.