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:
the level 1 asset amount; plus
the level 2A asset amount; plus
the level 2B asset amount;
minus the lesser of:
the sum of (a), (b), and (c); or
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:
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;
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;
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
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.
4. Calculation of the ‘excess liquid assets amount’: this amount shall be equal to:
the adjusted non-covered bond level 1 asset amount; plus
the adjusted level 1 covered bond amount; plus
the adjusted level 2A asset amount; plus
the adjusted level 2B asset amount;
minus the lesser of:
the sum of (a),(b),(c) and (d);
100/30 times (a);
100/60 times the sum of (a) and (b);
100/85 times the sum of (a), (b) and (c).