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January 24, 2018

EC published a draft version of the commission delegated regulation amending Delegated Regulation (EU) 2015/61 of October 10, 2014 to supplement Capital Requirements Regulation (CRR or EU Regulation No 575/2013) with regard to liquidity coverage requirement for credit institutions. This draft has not been adopted or endorsed by the EC and it expresses the preliminary views of the Commission services. The consultation period ends on February 21, 2018.

The  key amendments relate to the following:

  • Calculation of the expected liquidity outflows and inflows on repos, reverse repos, and collateral swap transactions should be fully aligned with the BCBS liquidity standard
  • Treatment of certain reserves with central banks and non-EU public-sector entities that are not rated
  • Waiver of the minimum issue size for certain non-EU liquid assets
  • Application of the unwind mechanism for the calculation of the liquidity buffer
  • Integration in the LCR Delegated Regulation of the new simple, transparent, and standardized (STS) criteria for securitization

Given the limited amount of changes to the existing LCR Delegated Regulation, it is proposed to adopt the amendments to this Regulation rather than a new whole text. The structure of the amended Delegated Regulation is then expected to be identical to the original LCR Delegated Regulation. The EC communication states that it is opportune to propose adoption by the College in March 2018.

 

Related Link: Draft of Regulation

Comment Due Date: February 21, 2018

Keywords: Europe, EU, Banking, LCR, Liquidity Risk, CRR, EC

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