Liquidity Coverage Ratio (CRR)

1.

Level 1 assets shall only include assets falling under one or more of the following categories and meeting in each case the eligibility criteria laid down herein:

1. (a) coins and banknotes;
2. (b) the following exposures to central banks:
1. (i) assets representing claims on or guaranteed by the Bank of England;
2. (ii) assets representing claims on or guaranteed by central banks of third countries, provided that exposures to the central bank or its central government (if applicable) are assigned a credit assessment by a nominated external credit assessment institution (ECAI) which is at least credit quality step 1 in accordance with Article 114(2) of CRR;
3. (iii) reserves held by the credit institution in a central bank referred to in point (i) or (ii) provided that the credit institution is permitted to withdraw such reserves at any time during stress periods and that the conditions for such withdrawal have been specified in an agreement between the competent authority of the credit institution and the central bank in which the reserves are held, or in the applicable rules of the third country.
3. For the purposes of this point, the following shall apply:
1. — where the reserves are held by a subsidiary credit institution, the conditions for the withdrawal shall be specified in an agreement between the United Kingdom or third country competent authority of the subsidiary credit institution and the central bank in which the reserves are held, or in the applicable rules of the third country, as applicable;
2. — where the reserves are held by a branch, the conditions for the withdrawal shall be specified in an agreement between the competent authority of the United Kingdom or third country where the branch is located and the central bank in which the reserves are held, or in the applicable rules of the third country, as applicable;
4. (c) assets representing claims on or guaranteed by the following central or regional governments, local authorities or public sector entities:
1. (i) the central government of the United Kingdom;
2. (ii) the central government of a third country, provided that it is assigned a credit assessment by a nominated ECAI which is at least credit quality step 1 in accordance with Article 114(2) of CRR;
3. (iii) regional governments or local authorities in the United Kingdom, provided that they are treated as exposures to the central government of the United Kingdom in accordance with Article 115(2) of CRR;
4. (iv) regional governments or local authorities in a third country of the type referred to in point (ii), provided that they are treated as exposures to the central government of the third country in accordance with Article 115(4) of CRR;
5. (v) public sector entities provided that they are treated as exposures to the central government of the United Kingdom or to one of the regional governments or local authorities referred to in point (iii) in accordance with paragraph 4 of Article 116 of CRR;
5. (d) the following assets:
1. (i) assets representing claims on or guaranteed by the central government or central bank of a third country which is not assigned a credit assessment of credit quality step 1 by a nominated ECAI in accordance with Article 114(2) of CRR;
2. (ii) reserves held by the credit institution in a central bank referred to in point (i), provided that the credit institution is permitted to withdraw those reserves at any time during stress periods and provided that the conditions for such withdrawal have been specified either in an agreement between the competent authorities of that third country and the central bank in which the reserves are held or in the applicable rules of that third country.
6. For the purposes of point (ii), the following shall apply:
1. — where the reserves are held by a subsidiary credit institution, the conditions for the withdrawal shall be specified either in an agreement between the third country competent authority of the subsidiary credit institution and the central bank in which the reserves are held or in the applicable rules of the third country;
2. — where the reserves are held by a branch, the conditions for the withdrawal shall be specified either in an agreement between the competent authority of the third country where the branch is located and the central bank in which the reserves are held or in the applicable rules of the third country.
7. The aggregate amount of assets falling within points (i) and (ii) of the first subparagraph and denominated in a given currency that the credit institution may recognise as level 1 assets shall not exceed the amount of the credit institution's stressed net liquidity outflows incurred in that same currency.
8. Moreover, where part or all of the assets falling within points (i) and (ii) of the first subparagraph are denominated in a currency which is not the domestic currency of the third country in question, the credit institution may only recognise those assets as level 1 assets up to an amount equal to the amount of the credit institution's stressed net liquidity outflows incurred in that foreign currency that corresponds to the credit institution's operations in the jurisdiction where the liquidity risk is being taken;
9. (e) assets issued by credit institutions which meet at least one of the following two requirements:
1. (i) the issuer is a credit institution incorporated or established by the central government of the United Kingdom or the regional government or local authority in the United Kingdom, the government or local authority is under the legal obligation to protect the economic basis of the credit institution and maintain its financial viability throughout its life-time and any exposure to that regional government or local authority, as applicable, is treated as an exposure to the central government of the United Kingdom in accordance with Article 115(2) of CRR;
2. (ii) the credit institution is a promotional lender which, for the purposes of this Article, shall be understood as any credit institution whose purpose is to advance the public policy objectives of the central or a regional government of, or a local authority in, the United Kingdom predominantly through the provision of promotional loans on a non-competitive, not for profit basis, provided that at least 90% of the loans that it grants are directly or indirectly guaranteed by the central or regional government or local authority and that any exposure to that regional government or local authority, as applicable, is treated as an exposure to the government of the United Kingdom in accordance with Article 115(2) of CRR;
10. (f) exposures in the form of extremely high quality covered bonds, which shall comply with all of the following requirements:
1. (i) they are CRR covered bonds or meet the requirements to be eligible for the treatment set out in Article 129(4) or (5) of CRR;
2. (ii) the exposures to institutions in the cover pool meet the conditions laid down in Article 129(1)(c) of CRR or, where the competent authority has granted the partial waiver referred to in the last subparagraph of Article 129(1) of CRR, the conditions referred to in that subparagraph;
3. (iii) the credit institution investing in the covered bonds and the issuer meet the transparency requirement referred to in Article 129(7) of CRR;
4. (iv) their issue size is at least GBP 440 million (or the equivalent amount in domestic currency);
5. (v) the covered bonds are assigned a credit assessment by a nominated ECAI which is at least credit quality step 1 in accordance with Article 129(4) of CRR, the equivalent credit quality step in the event of a short term credit assessment or, in the absence of a credit assessment, they are assigned a 10% risk weight in accordance with Article 129(5) of CRR;
6. (vi) the cover pool meets at all times an asset coverage requirement of at least 2% in excess of the amount required to meet the claims attaching to the covered bonds;
11. (g) assets representing claims on or guaranteed by the multilateral development banks and the international organisations referred to in Article 117(2) and Article 118, respectively, of CRR.

2.

The market value of extremely high quality covered bonds referred to in point (f) of paragraph 1 shall be subject to a haircut of at least 7%. Except as specified in relation to shares and units in CIUs in points (b) and (c) of Article 15(2), no haircut shall be required on the value of the remaining level 1 assets.

[Note: The rule corresponds to Article 10 of Regulation (EU) No 2015/61 as it applied immediately before revocation by the Treasury]

1.

Level 2A assets shall only include assets falling under one or more of the following categories and meeting in each case the eligibility criteria laid down herein:

1. (a) assets representing claims on or guaranteed by regional governments, local authorities or public sector entities in the United Kingdom, where exposures to them are assigned a risk weight of 20% in accordance with Article 115(1) and (5) and Article 116(1), (2) and (3) of CRR, as applicable;
2. (b) assets representing claims on or guaranteed by the central government or the central bank of a third country or by a regional government, local authority or public sector entity in a third country, provided that they are assigned a 20% risk weight in accordance with Articles 114(2), 115 or 116 of CRR, as applicable;
3. (c) exposures in the form of high quality covered bonds, which shall comply with all of the following requirements:
1. (i) they are CRR covered bonds or meet the requirements to be eligible for the treatment set out in Article 129(4) or (5) of CRR;
2. (ii) the exposures to institutions in the cover pool meet the conditions laid down in Article 129(1)(c) of CRR or, where the competent authority has granted the partial waiver referred to in the last subparagraph of Article 129(1) of CRR, the conditions referred to in that subparagraph;
3. (iii) the credit institution investing in the covered bonds and the issuer meet the transparency requirement laid down in Article 129(7) of CRR;
4. (iv) their issue size is at least GBP 220 million (or the equivalent amount in domestic currency);
5. (v) the covered bonds are assigned a credit assessment by a nominated ECAI which is at least credit quality step 2 in accordance with Article 129(4) of CRR, the equivalent credit quality step in the event of a short term credit assessment or, in the absence of a credit assessment, they are assigned a 20% risk weight in accordance with Article 129(5) of CRR;
6. (vi) the cover pool meets at all times an asset coverage requirement of at least 7% in excess of the amount required to meet the claims attaching to the covered bonds. However, where covered bonds with a credit quality step 1 credit assessment do not meet the minimum issue size for extremely high quality covered bonds in accordance with point (f)(iv) of Article 10(1) but meet the requirements for high quality covered bonds laid down in points (i), (ii), (iii) and (iv), they shall instead be subject to a minimum asset coverage requirement of 2%;
4. (d) exposures in the form of covered bonds issued by credit institutions in third countries, which shall comply with all of the following requirements:
1. (i) they are covered bonds in accordance with the national law of the third country which must define them as debt securities issued by credit institutions, or by a wholly owned subsidiary of a credit institution which guarantees the issue, and secured by a cover pool of assets, in respect of which bondholders shall have direct recourse for the repayment of principal and interest on a priority basis in the event of the issuer's default;
2. (ii) the issuer and the covered bonds are subject by the national law in the third country to special public supervision designed to protect bondholders and the supervisory and regulatory arrangements applied in the third country must be at least equivalent to those applied in the United Kingdom;
3. (iii) the covered bonds are backed by a pool of assets of one or more of the types described in points (b), (d)(i), (f)(i) or (g) of Article 129(1) of CRR. Where the pool comprises loans secured by immovable property, the requirements in Articles 208 and 229(1) of CRR must be met;
4. (iv) the exposures to institutions in the cover pool meet the conditions laid down in Article 129(1)(c) of CRR or, where the competent authority has granted the partial waiver referred to in the last subparagraph of Article 129(1) of CRR, the conditions referred to in that subparagraph;
5. (v) the credit institution investing in the covered bonds and the issuer meet the transparency requirement laid down in Article 129(7) of CRR;
6. (vi) the covered bonds are assigned a credit assessment by a nominated ECAI which is at least credit quality step 1 in accordance with Article 129(4) of CRR, the equivalent credit quality step in the event of a short term credit assessment or, in the absence of a credit assessment, they are assigned a 10% risk weight in accordance with Article 129(5) of CRR; and
7. (vii) the cover pool meets at all times an asset coverage requirement of at least 7% in excess of the amount required to meet the claims attaching to the covered bonds. However, where the issue size of the covered bonds is GBP 440 million (or the equivalent amount in domestic currency) or higher, they shall instead be subject to a minimum asset coverage requirement of 2%;
5. (e) corporate debt securities which meet all of the following requirements:
1. (i) they are assigned a credit assessment by a nominated ECAI which is at least credit quality step 1 in accordance with Article 122 of CRR or the equivalent credit quality step in the event of a short term credit assessment;
2. (ii) the securities issue size is at least GBP 220 million (or the equivalent in domestic currency);
3. (iii) the maximum time to maturity of the securities at the time of issuance is 10 years.

2.

The market value of each of the level 2A assets shall be subject to a haircut of at least 15%.

[Note: This rule corresponds to Article 11 of Regulation (EU) No 2015/61 as it applied immediately before revocation by the Treasury]

1.

Level 2B assets shall only include assets falling under one or more of the following categories and meeting in each case the eligibility criteria laid down herein:

1. (a) exposures in the form of asset-backed securities meeting the requirements laid down in Article 13;
2. (b) corporate debt securities which meet all of the following requirements:
1. (i) they have received a credit assessment by a nominated ECAI which is at least credit quality step 3 in accordance with Article 122 of CRR or the equivalent credit quality step in the event of a short term credit assessment;
2. (ii) the securities issue size is at least GBP 220 million (or the equivalent in domestic currency);
3. (iii) the maximum time to maturity of the securities at the time of issuance is 10 years;
3. (c) shares, provided that they meet all of the following requirements:
1. (i) they form part of the Financial Times Stock Exchange 100 (FTSE 100) in the United Kingdom or a major stock index of a third country composed of leading companies in the relevant jurisdiction;
2. (ii) they are denominated in pounds Sterling or, where denominated in a different currency, they count as level 2B only up to the amount to cover stressed net liquidity outflows in that currency or in the jurisdiction where the liquidity risk is taken; and
3. (iii) they have a proven record as a reliable source of liquidity at all times, including during stress periods. This requirement shall be deemed met where the level of decline in the share's stock price or increase in its haircut during a 30 day calendar day market stress period did not exceed 40% or 40 percentage points, respectively;
4. (d) restricted-use committed liquidity facilities that may be provided by the Bank of England or the central bank of a third country, provided that the requirements laid down in Article 14 are met;
5. (e) exposures in the form of high quality covered bonds which shall comply with all of the following requirements:
1. (i) they are CRR covered bonds or meet the requirements to be eligible for the treatment set out in Article 129(4) or (5) of the CRR;
2. (ii) the credit institution investing in the covered bonds meets the transparency requirement laid down in Article 129(7) of the CRR;
3. (iii) the issuer of the covered bonds makes the information referred to in Article 129(7)(a) of the CRR available to investors on at least a quarterly basis;
4. (iv) their issue size is at least GBP 220 million (or the equivalent amount in domestic currency);
5. (v) the covered bonds are collateralised exclusively by the assets referred to in points (a) and (d)(i) of Article 129(1) of the CRR;
6. (vi) the pool of underlying assets consists exclusively of exposures which qualify for a 35% or lower risk weight under Article 125 of the CRR for credit risk;
7. (vii) the cover pool meets at all times an asset coverage requirement of at least 10% in excess of the amount required to meet the claims attaching to the covered bonds;
8. (viii) the issuing credit institution needs to publicly disclose on a monthly basis that the cover pool meets the 10% asset coverage requirement;
6. (f) for credit institutions which in accordance with their statutes of incorporation are unable for reasons of religious observance from holding interest bearing assets, non-interest bearing assets constituting a claim on or guaranteed by central banks or by the central government or the central bank of a third country or by a regional government, local authority or public sector entity in a third country, provided that those assets have a credit assessment by a nominated ECAI of at least credit quality step 5 in accordance with Article 114 of CRR, or the equivalent credit-quality step in the event of a short-term credit assessment.

2.

The market value of each of the level 2B assets shall be subject to the following minimum haircuts:

1. (a) the applicable haircut set out in Article 13(14) for level 2B securitisations;
2. (b) a 50% haircut for corporate debt securities referred to in paragraph (1)(b);
3. (c) a 50% haircut for shares referred to in paragraph (1)(c);
4. (d) a 30% haircut for covered bond programmes or issues referred to in paragraph (1)(e);
5. (e) a 50% haircut for non-interest bearing assets referred to in paragraph (1)(f).

3.

For credit institutions which in accordance with their statutes of incorporation are unable for reasons of religious observance to hold interest bearing assets, the credit institution may apply for permission from the competent authority to derogate from points (ii) and (iii) of paragraph 1(b) of this Article where there is evidence of insufficient availability of non-interest bearing assets meeting these requirements and the non-interest bearing assets in question are adequately liquid in private markets.

[Note: This is a permission under section 144G of FSMA to which Part 8 of the Capital Requirements Regulations applies]

[Note: This rule corresponds to Article 12 of Regulation (EU) No 2015/61 as it applied immediately before revocation by the Treasury]

1.

Exposures in the form of asset-backed securities as referred to in Article 12(1)(a) shall qualify as level 2B securitisations where the following conditions are satisfied:

1. (a) the designation ‘STS’ or ‘simple, transparent and standardised’, or a designation that refers directly or indirectly to those terms, is permitted to be used for the securitisation in accordance with regulation 12 of the Securitisation Regulations 2024 (SI 2024/102) and is being so used;
2. (b) the criteria laid down in paragraph 2 and paragraphs 10 to 13 of this Article are met.

2.

The securitisation position and the exposures underlying the position shall meet all the following requirements:

1. (a) the position has been assigned a credit assessment of credit quality step 1 by a nominated ECAI in accordance with Article 264 of CRR or the equivalent credit quality step in the event of a short-term credit assessment;
2. (b) the position is in the most senior tranche or tranches of the securitisation and possesses the highest level of seniority at all times during the ongoing life of the transaction. For these purposes, a tranche shall be deemed to be the most senior where after the delivery of an enforcement notice and where applicable an acceleration notice, the tranche is not subordinated to other tranches of the same securitisation transaction or scheme in respect of receiving principal and interest payments, without taking into account amounts due under interest rate or currency derivative contracts, fees or other similar payments in accordance with Article 242(6) of CRR;
3. (g) the securitisation position is backed by a pool of underlying exposures and those underlying exposures either all belong to only one of the following subcategories or else they consist of a combination of residential loans referred to in point (i):
1. (i) residential loans secured with a first-ranking mortgage granted to individuals for the acquisition of their main residence, provided that one of the two following conditions is met:
1. — the loans in the pool meet on average the loan-to-value requirement laid down in point (i) of Article 129(1)(d) of CRR;
2. — the national law of the jurisdiction where the loans were originated provides for a loan-to-income limit on the amount that an obligor may borrow in a residential loan. The loan-to-income limit is calculated on the gross annual income of the obligor, taking into account the tax obligations and other commitments of the obligor and the risk of changes in the interest rates over the term of the loan. For each residential loan in the pool, the percentage of the obligor's gross income that may be spent to service the loan, including interest, principal and fee payments, does not exceed 45%;
2. (iii) commercial loans, leases and credit facilities to undertakings established in the United Kingdom to finance capital expenditures or business operations other than the acquisition or development of commercial real estate, provided that at least 80% of the borrowers in the pool in terms of portfolio balance are small and medium-sized enterprises at the time of issuance of the securitisation, and none of the borrowers is an institution as defined in Article 4(1)(3) of CRR;
3. (iv) auto loans and leases to borrowers or lessees established or resident in the United Kingdom. For these purposes, auto loans and leases shall include loans or leases for the financing of motor vehicles or trailers as defined in provisions implementing points (11) and (12) of Article 3 of Directive 2007/46/EC of the European Parliament and of the Council, tractors as defined in point (8) of Article 3 of Regulation (EU) No 167/2013 of the European Parliament and of the Council (as it had effect immediately before exit day), powered two-wheelers or powered tricycles as defined in points (68) and (69) of Article 3 of Regulation (EU) No 168/2013 of the European Parliament and of the Council (as it had effect immediately before exit day) or tracked vehicles as referred to in provisions implementing point (c) of Article 2(2) of Directive 2007/46/EC. Such loans or leases may include ancillary insurance and service products or additional vehicle parts, and in the case of leases, the residual value of leased vehicles. All loans and leases in the pool shall be secured with a first-ranking charge or security over the vehicle or an appropriate guarantee in favour of the SSPE, such as a retention of title provision;
4. (v) loans and credit facilities to individuals resident in the United Kingdom for personal, family or household consumption purposes.

10.

The underlying exposures shall not have been originated by the credit institution holding the securitisation position in its liquidity buffer, its subsidiary, its parent undertaking, a subsidiary of its parent undertaking or any other undertaking closely linked with that credit institution.

11.

The issue size of the tranche shall be at least GBP 88 million (or the equivalent amount in domestic currency).

12.

The remaining weighted average life of the tranche shall be 5 years or less, which shall be calculated using the lower of either the transaction's pricing prepayment assumption or a 20% constant prepayment rate, for which the credit institution shall assume that the call is exercised on the first permitted call date.

13.

The originator of the exposures underlying the securitisation shall be an institution as defined in Article 4(3) of CRR or an undertaking whose principal activity is to pursue one or more of the activities listed in points 2 to 12 and point 15 of Annex I to Directive 2013/36/EU, as that Directive has effect immediately before exit day, provided that for the purposes of this paragraph the reference in point 4 of Annex 1 to that Directive to point (3) of Article 4 of Directive (EU) 2015/2366 is to be read as a reference to regulation 2 of the Payment Services Regulations 2017.

14.

The market value of level 2B securitisations shall be subject to the following minimum haircuts:

1. (a) 25% for securitisations backed by the subcategories of assets referred to in points (g)(i)and (iv) of paragraph 2;
2. (b) 35% for securitisations backed by the subcategories of assets referred to in points (g)(iii) and (v) of paragraph 2.

[Note: This rule corresponds to Article 13 of Regulation (EU) No 2015/61 as it applied immediately before revocation by the Treasury]

In order to qualify as level 2B assets, the restricted-use committed liquidity facilities that may be provided by a central bank as referred to in paragraph (1)(d) of Article 12 shall fulfil all of the following criteria:

1. (a) during a non-stress period, the facility is subject to a commitment fee on the total committed amount which is at least the greater of the following:
1. (i) 75 basis points per annum; or
2. (ii) at least 25 basis points per annum above the difference in yield on the assets used to back the facility and the yield on a representative portfolio of liquid assets, after adjusting for any material differences in credit risk.
2. During a stress period, the central bank may reduce the commitment fee described in the first subparagraph of this point, provided that the minimum requirements applicable to liquidity facilities under the alternative liquidity approaches in accordance with Article 19 are met;
3. (b) the facility is backed by unencumbered assets of a type specified by the central bank. The assets provided as collateral shall fulfil all of the following criteria:
1. (i) they are held in a form which facilitates their prompt transfer to the central bank in the event of the facility being called;
2. (ii) their value post-haircut as applied by the central bank is sufficient to cover the total amount of the facility;
3. (iii) they are not to be counted as liquid assets for the purposes of the credit institution's liquidity buffer;
4. (c) the facility is compatible with the counterparty policy framework of the central bank;
5. (d) the commitment term of the facility exceeds the 30 calendar day stress period referred to in Article 4;
6. (e) the facility is not revoked by the central bank prior to its contractual maturity and no further credit decision is taken for as long as the credit institution concerned continues to be assessed as solvent;
7. (f) there is a formal policy published by the central bank stating its decision to grant restricted-use committed liquidity facilities, the conditions governing the facility and the types of credit institutions that are eligible to apply for those facilities.

[Note: This rule corresponds to Article 14 of Regulation (EU) No 2015/61 as it applied immediately before revocation by the Treasury]

1.

Shares or units in CIUs shall qualify as liquid assets of the same level as the liquid assets underlying the relevant undertaking up to an absolute amount of GBP 440 million (or equivalent amount in domestic currency) for each credit institution on an individual basis, provided that:

1. (a) the requirements in Article 132(3) of CRR are complied with;
2. (b) the CIU invests only in liquid assets and derivatives, in the latter case only to the extent necessary to mitigate interest rate, currency or credit risk in the portfolio.

2.

Credit institutions shall apply the following minimum haircuts to the value of their shares or units in CIUs depending on the category of underlying liquid assets:

1. (a) 0% for coins and banknotes and exposures to central banks referred to in Article 10(1)(b);
2. (b) 5% for level 1 assets other than extremely high quality covered bonds;
3. (c) 12% for extremely high quality covered bonds referred to in Article 10(1)(f);
4. (d) 20% for level 2A assets;
5. (e) 30% for level 2B securitisations backed by the subcategories of assets referred to in points (i), (ii) and (iv) of Article 13(2)(g);
6. (f) 35% for level 2B covered bonds referred to in Article 12(1)(e);
7. (g) 40% for level 2B securitisations backed by the subcategories of assets referred to in points (iii) and (v) of Article 13(2)(g); and
8. (h) 55% for level 2B corporate debt securities referred to in Article 12(1)(b), shares referred to in Article 12(1)(c) and non-interest bearing assets referred to in Article 12(1))(f).

3.

The approach referred to in paragraph 2 shall be applied as follows:

1. (a) where the credit institution is aware of the exposures underlying the CIU, it may look-through to those underlying exposures to assign them the appropriate haircut in accordance with paragraph 2;
2. (b) where the credit institution is not aware of the exposures underlying the CIU, it shall assume, for the purposes of determining the liquidity level of the underlying assets and for the purposes of assigning the appropriate haircut to those assets, that the CIU invests in liquid assets, up to the maximum amount allowed under its mandate, in the same ascending order as liquid assets are classified for the purposes of paragraph 2, starting with the assets referred to in point (h) of paragraph 2 and ascending until the maximum total investment limit is reached.

4.

Credit institutions shall develop robust methodologies and processes to calculate and report the market value and haircuts for shares or units in CIUs. Where the exposure is not sufficiently material for a credit institution to develop its own methodologies and provided that, in each case, the competent authority is satisfied that this condition has been met, a credit institution may only rely on the following third parties to calculate and report the haircuts for shares or units in CIUs:

1. (a) the depository institution of the CIU, provided that the CIU invests exclusively in securities and deposits all such securities at this depository institution; or
2. (b) for other CIUs, the CIU management company.

The correctness of the calculations made by the depository institution or by the CIU management company when determining the market value and haircuts for shares or units in CIUs shall be confirmed by an external auditor on at least an annual basis.

5.

Where a credit institution fails to comply with the requirements laid down in paragraph 4 of this Article in relation to shares or units in a CIU, it shall cease to recognise them as liquid assets for the purposes of this Chapter 2 of the Liquidity Coverage Ratio (CRR) Part in accordance with Article 18.

[Note: This rule corresponds to Article 15 of Regulation (EU) No 2015/61 as it applied immediately before revocation by the Treasury]

1.

Credit institutions shall comply at all times with the following requirements on the composition of their liquidity buffer:

1. (a) a minimum of 60% of the liquidity buffer is to be composed of level 1 assets;
2. (b) a minimum of 30% of the liquidity buffer is to be composed of level 1 assets excluding extremely high quality covered bonds referred to in Article 10(1)(f);
3. (c) a maximum of 15% of the liquidity buffer may be held in level 2B assets.

2.

The requirements set out in paragraph 1 shall be applied after adjusting for the impact on the stock of liquid assets of secured funding, secured lending or collateral swap transactions using liquid assets on at least one leg of the transaction where the transactions mature within 30 calendar days, after deducting any applicable haircuts and provided that the credit institution complies with the operational requirements laid down in Article 8.

3.

Credit institutions shall determine the composition of their liquidity buffer in accordance with the formulae laid down in Annex I to Chapter 2 of the Liquidity Coverage Ratio (CRR) Part of the PRA Rulebook.

4.

Credit institutions may apply to the competent authority for permission, on a case-by-case basis, to disapply paragraphs 2 and 3 in full or in part with respect to one or more secured funding, secured lending or collateral swap transactions with the Bank of England using liquid assets on at least one leg of the transaction and maturing within 30 calendar days.

[Note: This is a permission under section 144G of FSMA to which Part 8 of the Capital Requirements Regulations applies]

5.

[Note: Provision left blank]

[Note: This rule corresponds to Article 17 of Regulation (EU) No 2015/61 as it applied immediately before revocation by the Treasury]

1.

Where a liquid asset ceases to comply with any applicable general requirements laid down in Article 7, the operational requirements laid down in Article 8(2) or any applicable eligibility criteria laid down in this Chapter 2 of Title II (The Liquidity Buffer), the credit institution shall cease to recognise it as a liquid asset no later than 30 calendar days from the date when the breach of requirements occurred.

2.

Paragraph 1 shall apply to shares or units in a CIU ceasing to meet eligibility requirements only where they do not exceed 10% of the CIU's overall assets.

[Note: This rule corresponds to Article 18 of Regulation (EU) No 2015/61 as it applied immediately before revocation by the Treasury]

1.

Where there are insufficient liquid assets in a given currency for credit institutions to meet the liquidity coverage ratio laid down in Article 4, one or more of the following provisions shall apply:

1. (a) the requirement on currency consistency set out in Article 8(6) shall not apply in relation to that currency;
2. (b) the credit institution may cover the deficit of liquid assets in a currency with credit facilities from the Bank of England or the central banks of third countries of that currency, provided that the facility complies with all the following requirements:
1. (i) it is contractually irrevocably committed for the next 30 calendar days;
2. (ii) it is priced with a fee which is payable regardless of the amount, if any, drawn down against that facility;
3. (iii) the fee is set in an amount such that the net yield on the assets used to secure the facility must not be higher than the net yield on a representative portfolio of liquidity assets, after adjusting for any material differences in credit risk;
3. (c) where there is a deficit of level 1 assets but there are sufficient level 2A assets, the credit institution may hold additional level 2A assets in the liquidity buffer and the caps by asset level set out in Article 17 shall be deemed amended accordingly. These additional level 2A assets shall be subject to a minimum haircut equal to 20%. Any level 2B assets held by the credit institution shall remain subject to the haircuts applicable in each case in accordance with this Chapter 2 of Title II (The Liquidity Buffer).

2.

Credit institutions shall apply the derogations provided for in paragraph 1 on an inversely proportional basis with regard to the availability of the relevant liquid assets. Credit institutions shall assess their liquidity needs for the application of this Article taking into account their ability to reduce, by sound liquidity management, the need for those liquid assets and the holdings of those assets by other market participants.

3.

[Note: Provision left blank]

4.

The detailed conditions applicable to the use of the derogations laid down in paragraph 1(a) and (b) shall be determined in accordance with Chapter 3 of the Liquidity Coverage Ratio (CRR) Part of the PRA Rulebook.

[Note: This rule corresponds to Article 19 of Regulation (EU) No 2015/61 as it applied immediately before revocation by the Treasury]