Annex XIV, Point 8. · Commission Implementing Regulation (EU) 2021/637

Contents

8.In order to calculate the adjusted value of the liquidity buffer in item 21 and the adjusted value of total net cash outflows in item 22 of template EU LIQ1, institutions shall apply each of the following instructions:

(a)the adjusted value of the liquidity buffer is the value of total HQLA after the application of both haircuts and any applicable cap;

(b)the adjusted value of net cash outflows shall be calculated after the cap on inflows is applied, where applicable.

—These deposits do not fulfil the criteria for a higher outflow rate in accordance with Article 25(2), (3), or (5) of Commission Delegated Regulation (EU) 2015/61, and

—Row 17: Secured lending (e.g. reverse repos) of this template

—The market value and relevant outflows of collateral other than Level 1 collateral which is posted for contracts listed in Annex II CRR and credit derivatives, following Article 30(1) of Commission Delegated Regulation (EU) 2015/61.

—Assets borrowed on an unsecured basis, and maturing within the 30 days as envisaged in Article 28(7) of Commission Delegated Regulation (EU) 2015/61. These assets shall be assumed to run off in full, leading to a 100 % outflow. Institutions shall disclose the market value of assets borrowed on an unsecured basis and maturing within the 30 days period where the credit institution does not own the securities and they do not form part of institutions liquidity buffer.

—Other products and services as referred to in Article 23 of Commission Delegated Regulation (EU) 2015/61. Institutions shall disclose here on those products or services referred to in Article 23(1) of Commission Delegated Regulation (EU) 2015/61. The amount to be disclosed shall be the maximum amount that could be drawn from those products or services referred to in Article 23(1) of Commission Delegated Regulation (EU) 2015/61.

—Row 2: Retail deposits and deposits from small business customers of this template;

—The amounts of secured lending and capital market driven transactions with a residual maturity of no more than 30 days as envisaged in points (b), (c) and (f) of Article 32(3) of Commission Delegated Regulation (EU) 2015/61.

—Inflows from secured lending and capital market driven transactions with a residual maturity of no more than 30 days as envisaged in points (b), (c) and (f) of Article 32(3) of Commission Delegated Regulation (EU) 2015/61.

—monies due from non-financial customers (except for central banks) as envisaged in point (a) of Article 32(3) of Commission Delegated Regulation (EU) 2015/61.

—monies due from securities maturing within 30 days as envisaged in point (c) of Article 32(2) of Commission Delegated Regulation (EU) 2015/61.

—These deposits have not been taken in third countries where a higher outflow is applied in accordance with Article 25(5) of Commission Delegated Regulation (EU) 2015/61.

—Row 18: Inflows from fully performing exposures of this template

—The market value and relevant outflows of Level 1 EHQ Covered Bonds assets collateral posted for contracts listed in Annex II CRR and credit derivatives following Article 30(1) of Commission Delegated Regulation (EU) 2015/61.

—Short positions covered by an unsecured security borrowing. As established in Article 30(5) of Commission Delegated Regulation (EU) 2015/61, institutions shall add an additional outflow corresponding to 100 % of the market value of the securities or other assets sold short unless the terms upon which the credit institution has borrowed them require their return only after 30 calendar days. If the short position is covered by a collateralized securities financing transaction, the credit institution shall assume the short positon will be maintained throughout the 30 calendar day period and received a 0 % outflow.

—Excess of contractual commitments to extend funding to non-financial customers within 30 calendar days as envisaged in Article 31A(2) of Commission Delegated Regulation (EU) 2015/61.

—Row 5: Unsecured wholesale funding of this template,

—The market value of collateral lent in collateral swaps as envisaged in Article 32(3) of Commission Delegated Regulation (EU) 2015/61.

—Inflows from collateral swaps as envisaged in Article 32(3) of Commission Delegated Regulation (EU) 2015/61.

—monies due from central banks and financial customers as envisaged in point (a) of Article 32(2) of Commission Delegated Regulation (EU) 2015/61.

—loans with an undefined contractual end date as envisaged in point (i) of Article 32(3) of Commission Delegated Regulation (EU) 2015/61.

—The total amount of additional outflows calculated and notified to the competent authorities in accordance with Article 30(2) of Commission Delegated Regulation (EU) 2015/61 as material outflows due to deterioration of own credit quality.

—Liabilities resulting from operating expenses. As established in Article 28(2) of Commission Delegated Regulation (EU) 2015/61, institutions shall disclose the amount of the outstanding balance of liabilities resulting from the credit institution's own operating expenses. These liabilities do not trigger outflows.

—Internal netting of clients positions in accordance with Article 30(11) of Commission Delegated Regulation (EU) 2015/61. Institutions shall disclose here the market value of the non-liquid assets of a client that, in relation to prime brokerage services, the credit institution has used to cover short sales of another client by internally matching them.

—Row 9: Secured wholesale funding of this template,

—monies due from trade financing transactions as envisaged in point (b) of Article 32(2) of Commission Delegated Regulation (EU) 2015/61 with a residual maturity of no more than 30 days.

—monies due from positions in major index equity instruments provided that there is no double counting with liquid assets as envisaged in point (d) of Article 32(2) of Commission Delegated Regulation (EU) 2015/61. Position shall include monies contractually due within 30 calendar days, such as cash dividends from those major indexes and cash due from those equity instruments sold but not yet settled, if they are not recognized as liquid assets in accordance with Title II of Commission Delegated Regulation (EU) 2015/61.

—Row 19: Other cash inflows of this template

—The amount of outflows stemming from an impact of an adverse market scenario on derivatives transactions as envisaged in Article 30(3) of Commission Delegated Regulation (EU) 2015/61 and calculated in accordance with Commission Delegated Regulation (EU) 2017/208^note.

—Other unsecured transactions that come due in the next 30 calendar days and are not included in Articles 24 to 31 of Commission Delegated Regulation (EU) 2015/61, that, as established in Article 31A(1) of Commission Delegated Regulation (EU) 2015/61, trigger 100 % outflows.

—Row 10: Additional requirements of this template,

—inflows corresponding to outflows in accordance with promotional loan commitments as referred to in Article 31(9) of Commission Delegated Regulation (EU) 2015/61.

—inflows from the release of balances held in segregated accounts in accordance with regulatory requirements for the protection of customer trading assets as envisaged in Article 32(4) of Commission Delegated Regulation (EU) 2015/61. Inflows shall only be considered if these balances are maintained in liquid assets as specified in Title II of Commission Delegated Regulation (EU) 2015/61.

—minus:

—The amount of outflows expected over 30 calendar days from contracts listed in Annex II CRR and from credit derivatives as envisaged in Article 30(4) of Commission Delegated Regulation (EU) 2015/61 and calculated in accordance with Article 21 of Commission Delegated Regulation (EU) 2015/61.

—Row 14: Other contractual funding obligations of this template;

—inflows from derivatives as envisaged in Article 32(5) in conjunction with Article 21 of Commission Delegated Regulation (EU) 2015/61.

—Row EU-19a: (Difference between total weighted inflows and total weighted outflows arising from transactions in third countries where there are transfer restrictions or which are denominated in non-convertible currencies) of this template

—The market value, and relevant outflows, of excess collateral that the institution holds and that can be contractually called at any times by the counterparty as envisaged in point (a) of Article 30(6) of Commission Delegated Regulation (EU) 2015/61.

—Row 15: Other contingent funding obligations of this template.

—inflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authorities have granted permission to apply a higher inflow rate in accordance with Article 34 of Commission Delegated Regulation (EU) 2015/61.

—Row Eu-19b: (Excess inflows from a related specialised credit institution) of this template.

—The market value, and relevant outflows, of collateral that is due to be posted to counterparty within the 30 calendar day period as envisaged in point (b) of Article 30(6) of Commission Delegated Regulation (EU) 2015/61.

—other inflows following Article 32(2) of Commission Delegated Regulation (EU) 2015/61.

—The market value, and relevant outflows, of collateral that qualifies as liquid assets for the purpose of Title II of Commission Delegated Regulation (EU) 2015/61 that can be substituted for assets corresponding to assets that would not qualify as liquid assets for the purpose of Title II of the same Regulation without the consent of the institution, as envisaged in point (c) of Article 30(6) of Commission Delegated Regulation (EU) 2015/61.

^note^note^noteLegal references and instructionsRow numberExplanation1Total high quality liquid assets (HQLA)Institutions shall disclose as the weighted value the amount in accordance with Article 9 of Commission Delegated Regulation (EU) 2015/61 of the liquid assets before applying the adjustment mechanism as referred to in Article 17(2) of Commission Delegated Regulation (EU) 2015/61.2Retail deposits and deposits from small business customers, of which:Institutions shall disclose as the unweighted value the amount of the retail deposits in accordance with Articles 24 and 25 of Commission Delegated Regulation (EU) 2015/61.Institutions shall disclose as the weighted value the outflow of the retail deposits in accordance with Articles 24 and 25 of Commission Delegated Regulation (EU) 2015/61.Institutions shall disclose here on retail deposits in accordance with Article 411(2) CRR.In accordance with Article 28(6) of Commission Delegated Regulation (EU) 2015/61 institutions shall also disclose within the appropriate retail deposit category the amount of the notes, bonds and other securities issued which are sold exclusively in the retail market and held in a retail account. Institutions will consider for this category of liability the applicable outflow rates provided for by the Commission Delegated Regulation (EU) 2015/61 for the different categories of retail deposits.3Stable depositsInstitutions shall disclose as the unweighted value the sum of the amount of the stable deposits in accordance with Article 24 of Commission Delegated Regulation (EU) 2015/61.Institutions shall disclose as the weighted value the sum of the outflow of the stable deposits in accordance with Article 24 of Commission Delegated Regulation (EU) 2015/61.Institutions shall disclose here the part of the amounts of retail deposits covered by a Deposit Guarantee Scheme in accordance with Directive 94/19/EC^note or Directive 2014/49/EU^note or an equivalent deposit guarantee scheme in a third country and either is part of an established relationship making withdrawal highly unlikely or is held in a transactional account in accordance with Article 24 (2) and (3) of the Commission Delegated Regulation (EU) 2015/61 respectively and where:4Less stable depositsInstitutions shall disclose as the unweighted value the sum of the amount of the retail deposits in accordance with Article 25 (1), (2) and (3) of Commission Delegated Regulation (EU) 2015/61.Institutions shall disclose as the weighted value the sum of the outflow of the retail deposits in accordance with Article 25(1), (2) and (3) of Commission Delegated Regulation (EU) 2015/61.5Unsecured wholesale fundingInstitutions shall disclose the sums of the unweighted and weighted amounts that are necessary to be disclosed in row 6 'Operational deposits (all counterparties) and deposits in networks of cooperative banks', row 7 'Non-operational deposits (all counterparties)' and row 8 'Unsecured debt' of this template.6Operational deposits (all counterparties) and deposits in networks of cooperative banksInstitutions shall disclose as the unweighted value the amount of the operational deposits in accordance with Article 27 of Commission Delegated Regulation (EU) 2015/61.Institutions shall disclose as the weighted value the outflows of the operational deposits in accordance with Article 27 of Commission Delegated Regulation (EU) 2015/61.Institutions shall disclose here the part of the operational deposits, in accordance with Article 27 of the Commission Delegated Regulation (EU) 2015/61, which is necessary for the provision of operational services. Deposits arising out of a correspondent banking relationship or from the provision of prime brokerage services shall be considered non-operational deposits in accordance with Article 27(5) of Commission Delegated Regulation (EU) 2015/61.The part of the operational deposits in excess of the amount necessary for the provision of operational services shall not be disclosed here.7Non-operational deposits (all counterparties)Institutions shall disclose as the unweighted value the amount of the non-operational deposits following Article 27(5), Article 28(1) and Article 31A(1) of Commission Delegated Regulation (EU) 2015/61.Institutions shall disclose as the weighted value the outflow of the non- operational deposits following Article 27(5), Article 28(1) and Article 31A(1) of Commission Delegated Regulation (EU) 2015/61.Institutions shall disclose here on deposits arising out of a correspondent banking or from the provision of prime brokerage services in accordance with Article 27(5) of Commission Delegated Regulation (EU) 2015/61.The part of operational deposits in accordance with Article 27(5) of Commission Delegated Regulation (EU) 2015/61, in excess of those required for the provision of operational services, shall be disclosed here.8Unsecured debtInstitutions shall disclose as the unweighted value the outstanding balance of notes, bonds and other debt securities, issued by the institution other than that disclosed as retail deposits as referred to in Article 28(6) of Commission Delegated Regulation (EU) 2015/61. This amount includes also coupons that come due in the next 30 calendar days referred to all these securities.Institutions shall disclose as the weighted value the outflow of those notes, bonds and other debt securities indicated in the previous paragraph.9Secured Wholesale fundingInstitutions shall disclose as the weighted value the sum of the outflow resulting from secured lending or capital market-driven transactions as referred to in in Article 28(3) of Commission Delegated Regulation (EU) 2015/61 and from collateral swaps and other transactions with a similar form in accordance with Articles 28(4) of Commission Delegated Regulation (EU) 2015/61.10Additional requirementsInstitutions shall disclose the sums of the unweighted and weighted amounts that are necessary to be disclosed in row 11 'Outflows related to derivative exposures and other collateral requirements', row 12 'Outflows related to loss of funding on debt products' and row 13 'Credit and liquidity facilities' of this template.11Outflows related to derivative exposures and other collateral requirementsInstitutions shall disclose as the unweighted value and as the weighted value the sum of the following amounts and outflows respectively:12Outflows related to loss of funding on debt productsInstitutions shall disclose as the unweighted value and as the weighted value the amount and outflows respectively, of the loss of funding on structured financing activities, as envisaged in Article 30(8) to 30(10) of Commission Delegated Regulation (EU) 2015/61.Institutions shall assume 100 % outflow for loss of funding on asset backed securities, covered bonds and other structured financing instruments maturing within the 30 calendar day period issued by the credit institution or by sponsored conduits or SPVs.Institutions that are providers of liquidity facilities associated with financing programs disclosed here do not need to double count the maturing financing instrument and the liquidity facility for consolidated programs.13Credit and liquidity facilitiesInstitutions shall disclose as the unweighted value and as the weighted value the amount and outflow respectively, of the credit and liquidity facilities in accordance with Article 31 of Commission Delegated Regulation (EU) 2015/61.Institutions shall also disclose here on committed facilities in accordance with Article 29 of the Commission Delegated Regulation (EU) 2015/61.14Other contractual funding obligationsInstitutions shall disclose as the unweighted value and as the weighted value the sum of amounts and outflows respectively, of the following items:15Other contingent funding obligationsInstitutions shall disclose as the unweighted value and as the weighted value the sum of amounts and outflows respectively, of the following items:16TOTAL CASH OUTFLOWSInstitutions shall disclose the sum of the weighted value of the following items under these instructions:17Secured lending (e.g. reverse repos)Institutions shall disclose as the unweighted value the sum of:Institutions shall disclose as the weighted value the sum of:18Inflows from fully performing exposuresInstitutions shall disclose as the unweighted value and as the weighted value the sum of the total amounts and inflows, respectively, of the items:19Other cash inflowsInstitutions shall disclose as the unweighted value and as the weighted value the sum of the total amounts and inflows respectively, of the items:EU-19a(Difference between total weighted inflows and total weighted outflows arising from transactions in third countries where there are transfer restrictions or which are denominated in non-convertible currencies)As envisaged in Article 32(8) of Commission Delegated Regulation (EU) 2015/61, institutions shall disclose as the weighted value the excess of those weighted inflows with respect to those outflows.EU-19b(Excess inflows from a related specialised credit institution)As envisaged in point (e) of Article 2(3) and in Article 33(6) of Commission Delegated Regulation (EU) 2015/61, credit institutions, for the purposes of disclosing in a consolidated basis, shall disclose as the weighted value the inflows arising from a related specialised credit institution referred to in Article 33(3) and (4) of Commission Delegated Regulation (EU) 2015/61 that are in excess of the amount of outflows arising from the same undertaking.20TOTAL CASH INFLOWSInstitutions shall disclose the sum of the unweighted and weighted value of the following items under these instructions:EU-20aFully exempt inflowsInstitutions shall disclose as the unweighted value and as the weighted value the total amount of assets/monies due/maximum amount that can be drawn and their relevant total inflows, respectively, which are exempted from the cap on inflows in accordance with Article 32, Article 33 and Article 34 of Commission Delegated Regulation (EU) 2015/61.EU-20bInflows subject to 90 % capInstitutions shall disclose as the unweighted value and as the weighted value the total amount of assets/monies due/maximum amount that can be drawn and their relevant total inflows, respectively, which are subject to the 90 % inflows cap in accordance with Article 32, Article 33 and Article 34 of Commission Delegated Regulation (EU) 2015/61.EU-20cInflows subject to 75 % capInstitutions shall disclose as the unweighted value and as the weighted value the total amount of assets/monies due/maximum amount that can be drawn and their relevant total inflows, respectively, which are subject to the 75 % inflows cap in accordance with Article 32, Article 33 and Article 34 of Commission Delegated Regulation (EU) 2015/61.EU-21LIQUIDITY BUFFERInstitutions shall disclose as the adjusted value the value of the institution's Liquidity buffer calculated in accordance with Annex I – Formulae for the determination of the liquidity buffer composition of Commission Delegated Regulation (EU) 2015/61.22TOTAL NET CASH OUTFLOWSInstitutions shall disclose as the adjusted value 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.23LIQUIDITY COVERAGE RATIO (%)Institutions shall disclose as the adjusted value the percentage of the item 'Liquidity coverage ratio (%)' as defined in Article 4(1) of Commission 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.