On July 13, 2018, the European Commission adopted an Amending Regulation to make amendments to an existing Delegated Regulation (Regulation (EU) 2015/61) supplementing the Capital Requirements Regulation. The existing Delegated Regulation sets out detailed requirements on the Liquidity Coverage Requirement and specifies which assets are to be considered as liquid (so-called high quality liquid assets) and how the expected cash outflows and inflows over a 30-day stressed period are to be calculated.
The European Commission consulted on a draft of the Amending Regulation between January and February 2018. The Amending Regulation makes changes to the existing Delegated Regulation with the objective of improving its practical application, relating to:
- full alignment of the calculation of the expected liquidity outflows and inflows on repurchase agreements, reverse repurchase agreements and collateral swaps transactions with the international liquidity standard developed by the Basel Committee on Banking Supervision;
- treatment of certain reserves held with third-country central banks;
- waiver of the minimum issue size for certain non-EU liquid assets;
- the application of the unwind mechanism for the calculation of the liquidity buffer; and
- integration in the existing Delegated Regulation of the new criteria for simple, transparent and standardized securitizations.
The Amending Regulation will now be considered by the European Parliament and the Council of the European Union. It will enter into force twenty days following its publication in the Official Journal of the European Union and will apply directly across the EU 18 months after that date.
The Amending Regulation can be viewed at: http://ec.europa.eu/transparency/regdoc/rep/3/2018/EN/C-2018-4404-F1-EN-MAIN-PART-1.PDF
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