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July 13, 2018

EC published the text of the Commission Delegated Regulation on liquidity coverage requirement for credit institutions. This Regulation amends the Delegated Regulation (EU) 2015/61 to supplement the Capital Requirements Regulation or CRR (EU Regulation No 575/2013). The EC consultation on this regulation ended on February 21, 2018 and EC received 19 responses to the consultation. This Commission Delegated Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union.

The key changes relate to the following:

  • Calculation of expected liquidity outflows and inflows on repurchase agreements, reverse repurchase agreements, and collateral swaps transactions with the international liquidity standard
  • Treatment of certain reserves held with third-country central banks
  • 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 criteria for simple, transparent, and standardized securitizations

Given the limited amount of changes to the existing LCR Delegated Regulation, it is proposed to adopt the amendments to that Regulation rather than the whole new text. This would maintain the structure of the original LCR Delegated Regulation. In accordance with Article 462 of the CRR, EC remains empowered to review the Delegated Regulation for an indeterminate period of time.

 

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Effective Date: OJ+20 Days

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

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