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 (Text with EEA relevance)
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
(Text with EEA relevance)
This Regulation shall be binding in its entirety and directly applicable in all Member States.
Formulae for the determination of the liquidity buffer composition
1.Credit institution shall use the formulae laid down in this Annex to determine the composition of their liquidity buffer in accordance with Article 17.
2.Calculation of the liquidity buffer: as of the calculation date, the liquidity buffer of the credit institution shall be equal to:
(a)
the level 1 asset amount; plus
(b)
the level 2A asset amount; plus
(c)
the level 2B asset amount;
minus the lesser of:
(d)
the sum of (a), (b), and (c); or
(e)
the ‘excess liquid assets amount’ as calculated in accordance with paragraphs 3 and 4 of this Annex.
3.‘Excess liquid assets’ amount: this amount shall be comprised of the components defined herein:
(a)
the adjusted non-covered bond level 1 asset amount, which shall be equal to the value post-haircuts of all level 1 liquid assets, excluding level 1 covered bonds, that would be held by the credit institution upon the unwind of any secured funding, secured lending or collateral swap transaction that matures within 30 calendar days from the calculation date and where the credit institution and the counterparty exchange liquid assets on at least one leg of the transaction;
(b)
the adjusted level 1 covered bond amount, which shall be equal to the value post-haircuts of all level 1 covered bonds that would be held by the credit institution upon the unwind of any secured funding, secured lending or collateral swap transaction that matures within 30 calendar days from the calculation date and where the credit institution and the counterparty exchange liquid assets on at least one leg of the transaction;
(c)
the adjusted level 2A asset amount, which shall be equal to the value post-haircuts of all level 2A assets that would be held by the credit institution upon the unwind of any secured funding, secured lending or collateral swap transaction that matures within 30 calendar days from the calculation date and where the credit institution and the counterparty exchange liquid assets on at least one leg of the transaction; and
(d)
the adjusted level 2B asset amount, which shall be equal to the value post-haircuts of all level 2B assets that would be held by the credit institution upon the unwind of any secured funding, secured lending or collateral swap transaction that matures within 30 calendar days from the calculation date and where the credit institution and the counterparty exchange liquid assets on at least one leg of the transaction.
Formula for the calculation of the net liquidity outflow
NLO
=
Net liquidity outflow
TO
=
Total outflows
TI
=
Total inflows
FEI
=
Fully exempted inflows
IHC
=
Inflows subject to higher cap of 90 % outflows
IC
=
Inflows subject to cap of 75 % of outflows
Net liquidity outflows 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