(1)

Commission Delegated Regulation (EU) 2015/61 (2) should be amended to better allow the credit institutions issuing covered bonds to comply, on the one hand, with the general liquidity coverage requirement for a 30 calendar day stress period, laid down in Article 4(1) of that Delegated Regulation, and on the other hand, with the cover pool liquidity buffer requirement of holding liquid assets to cover net liquidity outflows over the next 180 days, laid down in Article 16 of Directive (EU) 2019/2162 of the European Parliament and of the Council (3). In order to clarify some of the existing rules and to align the text of Delegated Regulation (EU) 2015/61 with the definitions laid down in Regulation (EU) No 575/2013 and in Directive (EU) 2019/2162, some additional changes have proven necessary.

(2)

The general liquidity coverage requirement laid down in Article 4(1) of Delegated Regulation (EU) 2015/61 and the cover pool liquidity buffer requirement laid down in Article 16 of Directive (EU) 2019/2162 result in an obligation for credit institutions issuing covered bonds to hold a certain amount of liquid assets for the same period of 30 calendar days. However, credit institutions should not have an obligation to cover the same outflows with different liquid assets for the same period. To address that overlap, a new amendment to the encumbrance criterion under the general liquidity coverage requirement should be introduced. This amendment, together with the provisions already in place in the Article 7 of Delegated Regulation (EU) 2015/61 and still applicable in the case of cover pool segregated assets, would address situations where segregated assets are fulfilling the criteria to be recognised as unencumbered in a prudentially sound way. This new amendment would treat liquid assets held as part of the cover pool liquidity buffer as unencumbered up to the amount of net liquidity outflows stemming from the associated covered bond programme.

(3)

In addition, specific models of covered bond issuance apply in some Member States, characterised by specific legal requirements imposed to covered bonds issuers to protect investors and going beyond those listed in the Directive (EU) 2019/2162. Those covered bonds issuers that are subject to such specific legal requirements carry out similar covered bonds issuances activities than other cover bonds issuers in the EU, and as a consequence have a similar liquidity risk profile. They also provide a high degree of protection to covered bonds issuers notably via the recourse to non-mandatory overcollateralisation for the issuance of their covered bond programmes. However, all the assets of these covered bond issuers would be attached to cover pools and therefore considered encumbered, making them unavailable and ineligible for the purpose of the liquidity coverage ratio (LCR) liquidity buffer. That situation would make those covered bonds issuers breaching their LCR requirement laid down in Regulation (EU) No 575/2013 and Delegated Regulation (EU) 2015/61 and thus create an uneven playing field between issuers despite the similarity of their prudential profile. In order to meet mandatory and non-mandatory overcollateralisation requirements for the purpose of the issuance of a covered bond programme, those covered bonds issuers are operationally constrained to issue junior debt. The general net liquidity outflow of those issuers is higher than the net liquidity outflow stemming from the sole covered bonds issued. In this context, additional amendments should be introduced to allow in some specific and limited situations to recognise as unencumbered the assets held in the cover pool in order to meet non-mandatory overcollateralisation requirements. In order to ensure that such an extension of the recognition of assets held in a cover pool as unencumbered is prudentially sound and consistent with the LCR requirements, covered bond issuers should fulfil several conditions. In particular, only covered bond issuers which are obliged by the virtue of a legal requirement of national law to attach all their assets to covered bonds issuances can benefit from that provision, up to the volume of assets necessary to meet the total net liquidity outflow of the covered bonds issuer.

(4)

Moreover, it is necessary to lay down monetisation rules for the assessment of liquid assets held in a cover pool liquidity buffer.

(5)

Taking into account the recommendations made by the European Banking Authority (EBA) in its report of 20 December 2013 (4), prepared pursuant to Article 509(3) and (5) of Regulation (EU) No 575/2013, all types of bonds issued or guaranteed by Member States’ central governments and central banks as well as those issued or guaranteed by multilateral developments banks and international organisations should be given level 1 status. In the EBA report an empirical and qualitative analysis regarding the high or extremely high liquidity and credit quality of such bonds has been performed and the report concludes that those bonds fulfil Basel standards in terms of high liquidity and credit quality. Therefore, bonds issued by official export credit agencies, irrespective of those agencies’ organisational structure, should be qualified as ‘liquid assets’ and consequently given level 1 status.

(6)

Some of the conditions for preferential treatment of exposures in the form of covered bonds laid down in Article 129 of Regulation (EU) No 575/2013 have been amended by Regulation (EU) 2019/2160 of the European Parliament and of the Council (5). References to that Article in Delegated Regulation (EU) 2015/61 should therefore be amended accordingly.

(7)

Delegated Regulation (EU) 2015/61 should therefore be amended accordingly.

(8)

This Regulation should be applied in conjunction with the provisions of national law transposing Directive (EU) 2019/2162 and with Regulation (EU) No 575/2013, as amended by Regulation (EU) 2019/2160. In order to ensure the consistent application of the new framework establishing the structural features for the issue of covered bonds and the amended requirements for preferential treatment, the date of application of this Regulation should be the same as the date from which Member States are to apply the provisions of national law transposing Directive (EU) 2019/2162, and as the date of application of Regulation (EU) 2019/2160,

(1)

in Article 3, the following points (13) to (16) are added:

(*1)  Directive (EU) 2019/2162 of the European Parliament and of the Council of 27 November 2019 on the issue of covered bonds and covered bond public supervision and amending Directives 2009/65/EC and 2014/59/EU (OJ L 328, 18.12.2019, p. 29).’;"

(2)

Article 7 is amended as follows:

(3)

in Article 8(4), the following third subparagraph is added:

‘For liquid assets held in a cover pool liquidity buffer, the requirement laid down in the first subparagraph shall be considered as fulfilled, where the credit institution regularly, and at least once a year, monetises liquid assets that constitute a sufficiently representative sample of its holdings of assets in the cover pool liquidity buffer without having to be part of that buffer.’;

(4)

in Article 10(1), point (f) is amended as follows:

(5)

in Article 11, paragraph 1 is amended as follows:

(6)

in Article 12(1), point (e) is amended as follows:

(7)

in Article 28, paragraph 3 is amended as follows:

(8)

Article 32 is amended as follows: