ANNEX IXU.K.
“ANNEX XXV
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(1). 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 Delegated Regulation (EU) 2015/61.U.K.
3.By way of derogation from point 2, credit institutions shall not apply currency restrictions in accordance with Article 8(6), point (d) of Article 10(1) and point (c) of Article 12(1) of Delegated Regulation (EU) 2015/61 when completing the template in a separate currency in accordance with 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 415(2) of Regulation (EU) 575/2013.U.K.
5.In accordance with Article 9 of Delegated Regulation (EU) 2015/61, credit institutions shall report, where relevant, the amount/market value of liquid assets by taking into account the net liquidity outflows and inflows resulting from an early close-out of hedges referred to in point (b) of Article 8(5) and in accordance with the appropriate haircuts specified in Chapter 2 of that Delegated Regulation.U.K.
6.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 referred to in Article 9 of 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 of the template.U.K.
1.2.Specific remarksU.K.
1.2.1.Specific requirements regarding CIUsU.K.
8.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. of the template, 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 Article 15(4) of Delegated Regulation (EU) 2015/61.U.K.
1.2.2.Specific requirements regarding grandfathering and transitional provisionsU.K.
9.Credit institutions shall report items as referred to in Articles 35 to 37 of Delegated Regulation (EU) 2015/61 in the appropriate asset rows. A total of all asset amounts reported based on these Articles shall also be reported in the “Memorandum” section for reference.U.K.
1.2.3.Specific requirements for reporting by Central InstitutionsU.K.
10.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 in accordance with Article 27(3) of Delegated Regulation (EU) 2015/61.U.K.
1.2.4.Specific requirements regarding settlement and forward starting transactionsU.K.
11.All assets complying with Articles 7, 8 and 9 of Delegated Regulation (EU) 2015/61 and 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 from forward starting transactions referring to contractually agreed but not yet settled purchases of liquid assets and forward purchases of liquid assets shall be reported in this template.U.K.
1.2.5.Liquid assets sub templateU.K.
1.2.5.1.Instructions concerning specific columnsU.K.
1.2.5.2.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 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 415(2) of Regulation (EU) 575/2013.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. Those 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 Delegated Regulation (EU) 2015/61, liquidity outflows shall:U.K.
i.
include the categories referred to in Article 22(2) of 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 Delegated Regulation (EU) 2015/61.
5.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. Those 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 in accordance with Article 30 of Delegated Regulation (EU) 2015/61 are applicable or where the item is an “of which” item or a memorandum item.U.K.
8.In the case of separate reporting as referred to in Article 415(2) of Regulation (EU) 575/2013, 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 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 separate currency.
9.The standard weights in column 040 of template C 73.00 of Annex XXIV are those specified in 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 Delegated Regulation (EU) 2015/61, and for the purpose of calculating LCR as defined in that Regulation. Where those transactions are made against a collateral pool, the identification of the specific assets pledged for the purposes of reporting in this template will be made, according to the liquid assets categories specified in Title II, Chapter 2 of Delegated Regulation (EU) 2015/61, starting from the least liquid assets. Simultaneously, in case of transactions with different residual maturities made against a collateral pool, less liquid assets are assigned to the transactions with the longest residual maturities first.U.K.
11.A separate template is provided for collateral swaps, C 75.01 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 1.1.8.6. 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 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 a 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. If the amount to be received is larger than the market value of the asset (after LCR haircut) to be lent as collateral, the difference shall be reported as an inflow. 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 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 within the 30 day time horizon and mature after the 30-day horizon where the initial leg produces a net outflow | Yes | ID 1.1.8.6. |
| No | Do not report | ||
| 4 | An item requiring additional outflows in accordance with Article 30 of DA? | Yes | # 5 and subsequently # 51 |
| No | # 5 | ||
| 5 | Retail deposit in accordance with Article 411 (2) of Regulation (EU) 575/2013? | Yes | # 6 |
| No | # 12 | ||
| 6 | Cancelled deposit with a residual maturity of less than 30 calendar days and where pay-out has been agreed to another credit institution? | Yes | ID 1.1.1.2. |
| No | # 7 | ||
| 7 | Deposit in accordance with Article 25(4) of DA? | Yes | ID 1.1.1.1. |
| No | # 8 | ||
| 8 | Deposit in accordance with Article 25(5) of DA? | Yes | ID 1.1.1.6. |
| No | # 9 | ||
| 9 | Deposit in accordance with Article 25(2) of DA? | Yes | Allocate into one relevant item of ID 1.1.1.3. |
| No | # 10 | ||
| 10 | Deposit in accordance with Article 24(4) of DA? | Yes | ID 1.1.1.5. |
| No | # 11 | ||
| 11 | Deposit in accordance with Article 24(1) of DA? | Yes | ID 1.1.1.4. |
| No | ID 1.1.1.7. | ||
| 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 | # 30 | ||
| 13 | Liability resulting from the institution’s own operating expenses? | Yes | ID 1.1.8.1. |
| 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 1.1.8.2. |
| No | # 16 | ||
| 16 | Deposit received as collateral? | Yes | Allocate across relevant items of ID 1.1.5. |
| No | # 17 | ||
| 17 | Deposit arising out of a corresponding banking or from the prime brokerage? | Yes | ID1.1.4.1. |
| 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 | Excess operational deposits? | Yes | Allocate into one relevant item of ID 1.1.3. |
| No | # 25 | ||
| 25 | Other deposit? | Yes | # 26 |
| No | # 27 | ||
| 26 | Deposits by financial customers? | Yes | ID 1.1.4.2. |
| No | Allocate into one relevant item of ID 1.1.4.3. | ||
| 27 | 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 | # 28 | ||
| 28 | Liability from collateral swaps? | Yes | Allocate into one relevant item of C75.01 and ID 1.3. where applicable. |
| No | # 29 | ||
| 29 | Liability resulting in an outflow from derivatives in accordance with Article 30(4) of DA? | Yes | ID 1.1.5.5. |
| No | # 30 | ||
| 30 | Any other liability that becomes due in the next 30 days? | Yes | ID 1.1.8.3 |
| No | #31 | ||
| 31 | Contractual commitments to extend funding to non-financial customers that is due in the next 30 days in excess of inflows from those customers? | Yes | One of the following IDs: 1.1.8.4.1 to 1.1.8.4.4 |
| No | #32 | ||
| 32 | Other outflows that are due in the next 30 days not mentioned above? | Yes | ID 1.1.8.6 |
| No | #33 | ||
| 33 | Undrawn amount that can be drawn from committed credit and liquidity facility in accordance with Article 31 of DA? | Yes | #34 |
| No | # 42 | ||
| 34 | Committed credit facility? | Yes | # 35 |
| No | # 37 | ||
| 35 | Within IPS or cooperative network treated as liquid asset by the depositing institution? | Yes | ID 1.1.6.1.6. |
| No | # 36 | ||
| 36 | Within a group or an IPS subject to preferential treatment? | Yes | ID 1.1.6.1.5. |
| No | Allocate into one relevant remaining item of ID 1.1.6.1. | ||
| 37 | Committed liquidity facility? | Yes | #38 |
| n/a | n/a | ||
| 38 | Within IPS or cooperative network treated as liquid asset by the depositing institution? | Yes | ID 1.1.6.2.7. |
| No | # 39 | ||
| 39 | Within a group or an IPS subject to preferential treatment? | Yes | ID 1.1.6.2.6. |
| No | # 40 | ||
| 40 | To SSPEs? | Yes | Allocate into one relevant item of ID 1.1.6.2.4. |
| No | #41 | ||
| 41 | To personal investment companies? | Yes | ID 1.1.6.2.3. |
| No | Allocate into one relevant remaining item of ID 1.1.6.2. | ||
| 42 | Other product or service in accordance with Article 23 of DA? | Yes | # 43 |
| No | Do not report | ||
| 43 | Trade finance off balance sheet related product? | Yes | ID1.1.7.8. |
| No | # 44 | ||
| 44 | Undrawn loans and advances to wholesale counterparties? | Yes | ID 1.1.7.2. |
| No | # 45 | ||
| 45 | Mortgages that have been agreed but not yet drawn down | Yes | ID 1.1.7.3. |
| No | # 46 | ||
| 46 | Planned outflow related to renewal or extension of new retail or wholesale loans? | Yes | ID 1.1.7.6. |
| No | # 47 | ||
| 47 | Credit cards? | Yes | ID 1.1.7.4. |
| No | # 48 | ||
| 48 | Overdrafts? | Yes | ID 1.1.7.5. |
| No | # 49 | ||
| 49 | Derivatives payable? | Yes | ID1.1.7.7. |
| No | # 50 | ||
| 50 | Other off balance sheet and contingent funding obligation? | Yes | ID1.1.7.1. |
| No | ID 1.1.7.9. | ||
| 51 | Debt security already reported in item 1.1.8.2 of C 73.00? | Yes | Do not report |
| No | # 52 | ||
| 52 | Liquidity requirement for derivatives in accordance with Article 30.4 of DA already considered in question # 29? | Yes | Do not report |
| No | Allocate across relevant items of ID 1.1.5. |
1.3.Instructions concerning specific columnsU.K.
1.4.Instructions concerning specific rowsU.K.
REPORTING ON LIQUIDITY (PART 3: INFLOWS) U.K.
1.InflowsU.K.
1.1.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 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 corresponding currencies in accordance with Article 415(2) of Regulation (EU) 575/2013 .U.K.
3.In accordance with Article 32 of 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 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 3 of the template (rows 460-510).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 SSPE with which the credit institution has close links 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 assets pursuant to point (h) of Article 32(3) of Delegated Regulation (EU) 2015/61.U.K.
8.In accordance with Article 32(7) of Delegated Regulation (EU) 2015/61, credit institutions shall not report inflows from any new obligations entered into. This refers to contractual commitments which have not been contractually established at the reporting date, but will or may be entered into within the 30 day horizon.U.K.
9.In the case of a separate reporting in accordance with Article 415(2) of Regulation (EU) 575/2013, the reported balances shall comprise only those which are denominated in the relevant currency to ensure that currency gaps are correctly reflected. This may mean that only one side of the transaction is reported in the relevant currency template. For instance, in case of FX derivatives, credit institutions may only net inflows and outflows in accordance with Article 21 of 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 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 point (c) of Article 2(3) of 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.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. Among others, these items provide necessary information to allow the competent authority to complete an adequate assessment of credit institutions’ compliance with the liquidity requirements.U.K.
1.2.Specific remarks regarding secured lending and capital market-driven transactionsU.K.
14.The template categories collateralizsed flows by the quality of the underlying asset or HQLA eligibility. A separate template is provided for collateral swaps — C 75.01 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.
15.Where secured lending and capital market-driven transactions are secured by shares or units in CIUs, these transactions shall be reported as if they would be collateralised by the assets underlying the CIU. For instance, in case a secured lending transaction is collateralised by shares or units in a CIU that exclusively invests into Level 2A assets, the secured lending transaction shall be reported as if directly collateralised by Level 2A collateral. The potentially higher inflow rate for secured lending transactions backed by shares or units in CIUs shall be reflected in the relevant inflow rate to be reported.U.K.
16.In the case of a separate reporting in accordance with Article 415(2) of Regulation (EU) 575/2013 , the reported balances shall comprise only those which are denominated in the relevant currency to ensure that currency gaps are correctly reflected. This may mean that only one side of the transaction is reported in the relevant 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.
17.For the calculation of inflows, secured lending and capital market-driven transactions shall be reported irrespective of whether the underlying collateral received meets the operational requirements as provided under Article 8 of Delegated Regulation (EU) 2015/61. Furthermore, in order to allow for the calculation of the adjusted stock of liquid assets in accordance with Article 17(2) of Delegated Regulation (EU) 2015/61, credit institutions shall also report separately those transactions where the underlying collateral received additionally meets the operational requirements as provided under Article 8 of Delegated Regulation (EU) 2015/61.U.K.
18.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 on Level 1, Level 2A and Level 2B assets in accordance with point (ii) of point (c) of Article 12(1) and point (d) of Article 10(1) of 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 Delegated Regulation (EU) 2015/61 is being followed.U.K.
1.3.Specific remarks regarding settlement and forward starting transactionsU.K.
19.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 fulfils the related conditions.U.K.
20.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 fulfils 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”).U.K.
21.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.U.K.
1.4.Decision tree on LCR inflows in accordance with Article 32, Article 33 and Article 34 of Delegated Regulation (EU) 2015/61U.K.
22.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.
23.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.
1.4.1.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 75.01 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 within the 30 day horizon and mature after the 30-day horizon where the initial leg produces a net inflow | Yes | Row 260, ID 1.1.11. | ||
| No | No Reporting | ||||
| 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 1.1.10. | ||
| 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 calendar days (Article 32(2)(c)) | Yes | Row 190, ID 1.1.5. | ||
| No | # 9 | ||||
| 9 | Monies due from trade financing transactions with a residual maturity of no more than 30 days (Article 32(2)(b)) | Yes | Row 180, ID 1.1.4. | ||
| No | # 10 | ||||
| 10 | Loans with an undefined contractual end date (Article 32(3)(i)) | Yes | # 11 | ||
| No | # 12 | ||||
| 11 | Interest and minimum payments from loans 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)(d)) | Yes | Row 210, ID 1.1.7. | ||
| No | # 13 | ||||
| 13 | 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 1.1.8. | ||
| No | # 14 | ||||
| 14 | Derivatives cash inflows net by counterparty and collateral (Article 32(5)) | Yes | Row 240, ID 1.1.9. | ||
| No | # 15 | ||||
| 15 | 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 | # 16 | ||||
| 16 | Monies due from central banks and financial customers with a residual maturity of no more than 30 days (Article 32(2)(a)) | Yes | # 20 | ||
| No | # 17 | ||||
| 17 | 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 | # 18 | ||||
| 18 | Other monies due from non-financial customers (except for central banks) (Article 32(3)(a)) | Yes | # 19 | ||
| No | Row 260, ID 1.1.11. | ||||
| 19 | Other monies due from non-financial customers (except for central banks) (Article 32(3)(a)) | # 19.1 | Retail customers | Yes | Row 060, ID 1.1.1.2.1. |
| No | # 19.2 | ||||
| # 19.2 | Non-financial corporates | Yes | Row 070, ID 1.1.1.2.2. | ||
| No | # 19.3 | ||||
| # 19.3 | Sovereigns, MDBs and PSEs | Yes | Row 080, ID 1.1.1.2.3. | ||
| No | Row 090, ID 1.1.1.2.4. | ||||
| 20 | Inflows from financial customers being classified as operational deposits (Article 32(3)(d)) | Yes | # 21 | ||
| No | # 22 | ||||
| 21 | 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. | ||||
| 22 | 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. | ||||
| 23 | Collateral Swap Transaction (Article 32(3)(e)) | Yes | Row 410, ID 1.3a | ||
| No | # 24 | ||||
| 24 | Transaction is conducted with a central bank | Yes | #25 | ||
| No | # 31 | ||||
| 25 | Collateral is generally eligible as a liquid asset (irrespective or not whether it is re-used in another transaction and irrespective of whether the asset meets the operational requirement under Article 8) | Yes | # 26 | ||
| No | # 30 | ||||
| 26 | Collateral is used to cover short positions | Yes | Row 297, ID 1.2.1.2 | ||
| No | # 27 | ||||
| 27 | Collateral received meets the operational requirements under Article 8 | Yes | # 28 | ||
| No | # 29 | ||||
| 28 | Secured funding transaction secured by (Article 32(3)(b)): | # 28.1 | Level 1 collateral excluding extremely high quality covered bonds | Yes | Row 269, ID 1.2.1.1.1 + Row 271, ID 1.2.1.1.1.1 |
| No | # 28.2 | ||||
| # 28.2 | Level 1 collateral which is extremely high quality covered bonds | Yes | Row 273, ID 1.2.1.1.2 + Row 275, ID 1.2.1.1.2.1 | ||
| No | # 28.3 | ||||
| # 28.3 | Level 2A collateral | Yes | Row 277, ID 1.2.1.1.3 + Row 279, ID 1.2.1.1.3.1 | ||
| No | # 28.4 | ||||
| # 28.4 | Level 2B asset backed securities (residential or auto) collateral | Yes | Row 281, ID 1.2.1.1.4 + Row 283, ID 1.2.1.1.4.1 | ||
| No | # 28.5 | ||||
| # 28.5 | Level 2B high quality covered bonds collateral | Yes | Row 285, ID 1.2.1.1.5 + Row 287, ID 1.2.1.1.5.1 | ||
| No | # 28.6 | ||||
| # 28.6 | Level 2B asset backed securities (commercial or individuals) collateral | Yes | Row 289, ID 1.2.1.1.6 + Row 291, ID 1.2.1.1.6.1 | ||
| No | Row 293, ID 1.2.1.1.7 + Row 295, ID 1.2.1.1.7.1 | ||||
| 29 | Secured funding transaction secured by (Article 32(3)(b)): | # 29.1 | Level 1 collateral excluding extremely high quality covered bonds | Yes | Row 269, ID 1.2.1.1.1 |
| No | # 29.2 | ||||
| # 29.2 | Level 1 collateral which is extremely high quality covered bonds | Yes | Row 273, ID 1.2.1.1.2 | ||
| No | # 29.3 | ||||
| # 29.3 | Level 2A collateral | Yes | Row 277, ID 1.2.1.1.3 | ||
| No | # 29.4 | ||||
| # 29.4 | Level 2B asset backed securities (residential or auto) collateral | Yes | Row 281, ID 1.2.1.1.4 | ||
| No | # 29.5 | ||||
| # 29.5 | Level 2B high quality covered bonds collateral | Yes | Row 285, ID 1.2.1.1.5 | ||
| No | # 29.6 | ||||
| # 29.6 | Level 2B asset backed securities (commercial or individuals) collateral | Yes | Row 289, ID 1.2.1.1.6 | ||
| No | Row 293, ID 1.2.1.1.7 | ||||
| 30 | Collateral that does not qualify as a liquid asset (Article 32(3)(b)) and is non-liquid equity | Yes | Row 301, ID 1.2.1.3.1 | ||
| No | Row 303, ID 1.2.1.3.2 | ||||
| 31 | Collateral is generally eligible as a liquid asset (irrespective or not whether it is re-used in another transaction and irrespective of whether the asset meets the operational requirement under Article 8) | Yes | # 32 | ||
| No | # 36 | ||||
| 32 | Collateral is used to cover short positions | Yes | Row 337, ID 1.2.2.2 | ||
| No | # 33 | ||||
| 33 | Collateral received meets the operational requirements under Article 8 | Yes | # 34 | ||
| No | # 35 | ||||
| 34 | Secured funding transaction secured by (Article 32(3)(b)) | # 34.1 | Level 1 collateral excluding extremely high quality covered bonds | Yes | Row 309, ID 1.2.2.1.1 + Row 311, ID 1.2.2.1.1.1 |
| No | # 34.2 | ||||
| # 34.2 | Level 1 collateral which is extremely high quality covered bonds | Yes | Row 313, ID 1.2.2.1.2 + Row 315, ID 1.2.2.1.2.1 | ||
| No | # 34.3 | ||||
| # 34.3 | Level 2A collateral | Yes | Row 317, ID 1.2.2.1.3 + Row 319, ID 1.2.2.1.3.1 | ||
| No | # 34.4 | ||||
| # 34.4 | Level 2B asset backed securities (residential or auto) collateral | Yes | Row 321, ID 1.2.2.1.4 + Row 323, ID 1.2.2.1.4.1 | ||
| No | # 34.5 | ||||
| # 34.5 | Level 2B high quality covered bonds collateral | Yes | Row 325, ID 1.2.2.1.5 + Row 327, ID 1.2.2.1.5.1 | ||
| No | # 34.6 | ||||
| # 34.6 | Level 2B asset backed securities (commercial or individuals) collateral | Yes | Row 329, ID 1.2.2.1.6 + Row 331, ID 1.2.2.1.6.1 | ||
| No | Row 333, ID 1.2.2.1.7 + Row 335, ID 1.2.2.1.7.1 | ||||
| 35 | Secured funding transaction secured by (Article 32(3)(b)) | # 35.1 | Level 1 collateral excluding extremely high quality covered bonds | Yes | Row 309, ID 1.2.2.1.1 |
| No | # 35.2 | ||||
| # 35.2 | Level 1 collateral which is extremely high quality covered bonds | Yes | Row 313, ID 1.2.2.1.2 | ||
| No | # 35.3 | ||||
| # 35.3 | Level 2A collateral | Yes | Row 317, ID 1.2.2.1.3 | ||
| No | # 35.4 | ||||
| # 35.4 | Level 2B asset backed securities (residential or auto) collateral | Yes | Row 321, ID 1.2.2.1.4 | ||
| No | # 35.5 | ||||
| # 35.5 | Level 2B high quality covered bonds collateral | Yes | Row 325, ID 1.2.2.1.5 | ||
| No | # 35.6 | ||||
| # 35.6 | Level 2B asset backed securities (commercial or individuals) collateral | Yes | Row 329, ID 1.2.2.1.6 | ||
| No | Row 333, ID 1.2.2.1.7 | ||||
| 36 | Collateral that does not qualify as a liquid asset (Article 32(3)(b)) | # 36.1 | margin loans: collateral is non-liquid | Yes | Row 341, ID 1.2.2.3.1. |
| No | # 36.2 | ||||
| # 36.2 | collateral is non-liquid equity | Yes | Row 343, ID 1.2.2.3.2. | ||
| No | Row 345, ID 1.2.2.3.3. | ||||
1.4.2.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 is generally eligible as a liquid asset (irrespective or not whether it is re-used in another transaction and irrespective of whether the asset meets the operational requirement under Article 8) | 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 in accordance with Article 9 [only if the collateral received meets the operational requirements] | 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 in accordance with Article 9 [only if the collateral received meets the operational requirements] | 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 in accordance with Article 9 [only if the collateral received meets the operational requirements] | Column 130 | |||
| # 19.5 | Inflow | Column 160 | |||
1.5.Inflows sub templateU.K.
1.5.1.Instructions concerning specific columns U.K.
1.5.2.Instructions concerning specific rows U.K.
REPORTING ON LIQUIDITY (PART 4: COLLATERAL SWAPS) U.K.
1.Collateral swapsU.K.
1.1.General remarksU.K.
1.Any transaction maturing within the next 30 calendar 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 coloured grey.U.K.
2.Collateral swap transactions that mature within the next 30 calendar days shall lead to an outflow if the asset borrowed is subject to a lower haircut under Chapter 2 of Delegated Regulation (EU) 2015/61 than the asset lent. The outflow shall be calculated by multiplying the market value of the asset borrowed by the difference between the outflow rate applicable to the asset lent and the outflow rate applicable to the asset borrowed in secured funding transactions maturing within the next 30 calendar days. In the case that the counterparty is the credit institution’s domestic central bank, the outflow rate to be applied to the market value of the asset borrowed shall be 0%. The meaning of the credit institution’s domestic central bank follows the definition provided under Article 28(8) of Delegated Regulation (EU) 2015/61.U.K.
3.Collateral swaps that mature within the next 30 calendar days shall lead to an inflow where, under Chapter 2 of Delegated Regulation (EU) 2015/61, the asset lent is subject to a lower haircut than the asset borrowed. The inflow shall be calculated by multiplying the market value of the asset lent by the difference between the inflow rate applicable to the asset borrowed and the inflow rate applicable to the asset lent in secured lending transactions maturing within the next 30 calendar days. If the collateral obtained is used to cover short positions that can be extended beyond 30 calendar days no inflow shall be recognised.U.K.
4.For liquid assets the liquidity value is calculated in accordance with Article 9 of Delegated Regulation (EU) 2015/61.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. In the context of swap transactions of collateral baskets or pools that are maturing within the next 30 calendar days, non-cash assets lent shall be assigned individually to non-cash assets borrowed, in accordance with the liquid assets categories as defined in Title II, Chapter 2 of Delegated Regulation (EU) 2015/61, starting from the least liquid combination (i.e. non-liquid non-cash assets lent, non-liquid non-cash assets borrowed). Any excess collateral within one combination is moved to the higher category, so that up to the most liquid combination, the relevant combinations are fully matched. Any overall excess collateral is then captured in the most liquid combination.U.K.
6.Collateral swap transactions involving shares or units in CIUs shall be reported as if the transactions would involve the assets underlying the CIU. The different haircuts applied to shares or units in CIUs shall be reflected in the relevant outflow or inflow rate to be reported.U.K.
7.Credit institutions shall report the template in the corresponding currencies in accordance with Article 415 (2) of Regulation (EU) 575/2013. In this case, the reported balances shall comprise only those which are denominated in the relevant currency to ensure that currency gaps are correctly reflected. This may mean that only one side of the transaction is reported in the relevant currency template, with corresponding impact on the excess liquidity value.U.K.
1.2.Specific remarksU.K.
8.For the calculation of inflows or outflows, collateral swap transactions shall be reported irrespective of whether the underlying collateral involved meets, or would meet if not already being used to secure this transaction, the operational requirements as provided under Article 8 of Delegated Regulation (EU) 2015/61. Furthermore, in order to allow for the calculation of the adjusted stock of liquid assets in accordance with Article 17(2) of Delegated Regulation (EU) 2015/61, credit institutions shall also report separately those transactions where at least one collateral leg meets the operational requirements as provided under Article 8 of Delegated Regulation (EU) 2015/61.U.K.
9.Where an 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 recognizable part shall be reported within rows on the Level 1, Level 2A and Level 2B assets in accordance with point (ii) of point (c) of Article 12(1) and point (d) of Article 10(1) of Delegated Regulation (EU) 2015/61. 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.
10.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.
1.3.Collateral swaps sub templateU.K.
1.3.1.Instructions concerning specific columnsU.K.
1.3.2.Instructions concerning specific rowsU.K.
REPORTING ON LIQUIDITY (PART 5: CALCULATIONS) U.K.
1.CalculationsU.K.
1.1.General remarksU.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 remarksU.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 rowsU.K.
REPORTING ON LIQUIDITY (PART 6: PERIMETER OF CONSOLIDATION) U.K.
1.Perimeter of consolidationU.K.
1.1.General remarksU.K.
1.This is a template that, for the only purposes of LCR at a consolidated level, identifies the entities to which the information reported in templates C 72.00, C 73.00, C 74.00, C 75.01 and C 76.00 refers. This template identifies all the entities that form part of the perimeter of consolidation of the LCR in accordance with Articles 8 and 10, Article 11(3) and (5) of Regulation (EU) 575/2013, as applicable. This template shall have as many rows as entities are in the perimeter of consolidation.U.K.
1.2.Instructions concerning specific columnsU.K.
(1)
Commission Delegated Regulation (EU) 2015/61 of 10 October 2014 to supplement Regulation (EU) No 575/2013 of the European Parliament and the Council with regard to liquidity coverage requirement for Credit Institutions (OJ L 11, 17.1.2015, p. 1).