This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union.
It shall apply from 1 October 2015.
This Regulation shall be binding in its entirety and directly applicable in all Member States.
Done at Brussels, 10 October 2014.
For the Commission
The President
José Manuel BARROSO
(1)
OJ L 176, 27.6.2013, p. 1.
(2) Regulation (EC) No 1060/2009 of the European Parliament and of the Council of 16 September 2009 on credit rating agencies (OJ L 302, 17.11.2009, p. 1).
(3) Directive 2014/49/EU of the European Parliament and of the Council of 16 April 2014 on deposit guarantee schemes (OJ L 173, 12.6.2014, p. 149).
(4) Directive 2013/36/EU of the European Parliament and of the Council of 26 June 2013 on access to the activity of credit institutions and the prudential supervision of credit institutions and investment firms, amending Directive 2002/87/EC and repealing Directives 2006/48/EC and 2006/49/EC (OJ L 176, 27.6.2013, p. 338).
(5) Commission Recommendation 2003/361/EC of 6 May 2003 concerning the definition of micro, small and medium-sized enterprises (OJ L 124, 20.5.2003, p. 36).
(6) Commission Implementing Regulation (EU) No 680/2014 of 16 April 2014 laying down implementing technical standards with regard to supervisory reporting of institutions according to Regulation (EU) No 575/2013 of the European Parliament and of the Council (OJ L 191, 28.6.2014, p. 1).
(7) Directive 2014/17/EU of the European Parliament and of the Council of 4 February 2014 on credit agreements for consumers relating to residential immovable property and amending Directives 2008/48/EC and 2013/36/EU and Regulation (EU) No 1093/2010 (OJ L 60, 28.2.2014, p. 34).
(8) Directive 2008/48/EC of the European Parliament and of the Council of 23 April 2008 on credit agreements for consumers and repealing Council Directive 87/102/EEC (OJ L 133, 22.5.2008, p. 66).
(9) Directive 94/19/EC of the European Parliament and of the Council of 30 May 1994 on deposit-guarantee schemes (OJ L 135, 31.5.1994, p. 5).
(10) Seventh Council Directive 83/349/EEC of 13 June 1983 based on the Article 54 (3) (g) of the Treaty on consolidated accounts (OJ L 193, 18.7.1983, p. 1).
ANNEX I
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)
an adjusted non-covered bond level 1 assets amount, which shall be equal to the value 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 transaction, secured lending transaction, asset exchange or collateralised derivatives 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)
an adjusted level 1 covered bonds 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 transaction, secured lending transaction, asset exchange or collateralised derivatives 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)
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 transaction, secured lending transaction, asset exchange or collateralised derivatives 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)
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 transaction, secured lending transaction, asset exchange or collateralised derivatives 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.
4.
Calculation of the ‘excess liquid assets amount’: this amount shall be equal to:
(a)
the adjusted non-covered bond level 1 asset amount; plus
(b)
the adjusted level 1 covered bond amount; plus
(c)
the adjusted level 2A asset amount; plus
(d)
the adjusted level 2B asset amount;
minus the lesser of:
(e)
the sum of (a),(b),(c) and (d);
(f)
100/30 times (a);
(g)
100/60 times the sum of (a) and (b);
(h)
100/85 times the sum of (a), (b) and (c).
5.
The composition of the liquidity buffer after taking into account the unwind of any secured funding transaction, secured lending transaction, asset exchange or collateralised derivatives transaction and the application of the above caps in accordance with Article 17 shall be determined as follows:
a″ (the adjusted non-covered bond level 1 asset amount after cap application)
= a (the adjusted non-covered bond level 1 asset amount before cap application)
b″ (the adjusted covered bond level 1asset amount after cap application)
= MIN(b, a70/30)
where b = the adjusted covered bond level 1 asset amount before cap application
c″ (the adjusted level 2A asset amount after cap application)
= MIN(c, (a + b″)40/60, MAX(a70/30 – b″, 0))
where c = the adjusted level 2A asset amount before cap application
d″ (the adjusted level 2B asset amount after cap application)
= MIN (d, (a + b″ + c″)15/85, MAX((a + b″)40/60 – c″, 0), MAX(70/30a – b″ – c″, 0))
Where d = the adjusted level 2B asset amount before cap application)
ANNEX II
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
NLO = TO – MIN(FEI, TO) – MIN(IHC, 0,9*MAX(TO – FEI, 0)) – MIN(IC, 0,75*MAX(TO – FEI – IHC/0,9, 0))