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Document 32018R1620
Commission Delegated Regulation (EU) 2018/1620 of 13 July 2018 amending Delegated Regulation (EU) 2015/61 to supplement Regulation (EU) No 575/2013 of the European Parliament and the Council with regard to liquidity coverage requirement for credit institutions (Text with EEA relevance.)
Commission Delegated Regulation (EU) 2018/1620 of 13 July 2018 amending Delegated Regulation (EU) 2015/61 to supplement Regulation (EU) No 575/2013 of the European Parliament and the Council with regard to liquidity coverage requirement for credit institutions (Text with EEA relevance.)
Commission Delegated Regulation (EU) 2018/1620 of 13 July 2018 amending Delegated Regulation (EU) 2015/61 to supplement Regulation (EU) No 575/2013 of the European Parliament and the Council with regard to liquidity coverage requirement for credit institutions (Text with EEA relevance.)
C/2018/4404
IO L 271, 30.10.2018, p. 10–24
(BG, ES, CS, DA, DE, ET, EL, EN, FR, HR, IT, LV, LT, HU, MT, NL, PL, PT, RO, SK, SL, FI, SV)
In force
Relation | Act | Comment | Subdivision concerned | From | To |
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Modifies | 32015R0061 | Athchur | iarscríbhinn I mír 3 | 30/04/2020 | |
Modifies | 32015R0061 | Aisghairm | iarscríbhinn I mír 5 | 30/04/2020 | |
Modifies | 32015R0061 | Athchur | airteagal 10 mír 1 pointe (b) PT (iii) | 30/04/2020 | |
Modifies | 32015R0061 | Athchur | airteagal 10 mír 1 pointe (d) | 30/04/2020 | |
Modifies | 32015R0061 | Athchur | airteagal 10 mír 1 pointe (f) PT (ii) | 30/04/2020 | |
Modifies | 32015R0061 | Athchur | airteagal 10 mír 2 | 30/04/2020 | |
Modifies | 32015R0061 | Athchur | airteagal 11 mír 1 pointe (c) PT (ii) | 30/04/2020 | |
Modifies | 32015R0061 | Athchur | airteagal 11 mír 1 pointe (d) PT (iv) | 30/04/2020 | |
Modifies | 32015R0061 | Athchur | airteagal 13 mír 1 | 30/04/2020 | |
Modifies | 32015R0061 | Athchur | airteagal 13 mír 2 pointe (a) | 30/04/2020 | |
Modifies | 32015R0061 | Athchur | airteagal 13 mír 2 pointe (b) | 30/04/2020 | |
Modifies | 32015R0061 | Aisghairm | airteagal 13 mír 2 pointe (c) | 30/04/2020 | |
Modifies | 32015R0061 | Aisghairm | airteagal 13 mír 2 pointe (d) | 30/04/2020 | |
Modifies | 32015R0061 | Aisghairm | airteagal 13 mír 2 pointe (e) | 30/04/2020 | |
Modifies | 32015R0061 | Aisghairm | airteagal 13 mír 2 pointe (f) | 30/04/2020 | |
Modifies | 32015R0061 | Athchur | airteagal 13 mír 2 pointe (g) FR | 30/04/2020 | |
Modifies | 32015R0061 | Athchur | airteagal 13 mír 2 pointe (g) PT (iv) | 30/04/2020 | |
Modifies | 32015R0061 | Aisghairm | airteagal 13 mír 2 pointe (h) | 30/04/2020 | |
Modifies | 32015R0061 | Aisghairm | airteagal 13 mír 2 pointe (i) | 30/04/2020 | |
Modifies | 32015R0061 | Aisghairm | airteagal 13 mír 2 pointe (j) | 30/04/2020 | |
Modifies | 32015R0061 | Aisghairm | airteagal 13 mír 2 pointe (k) | 30/04/2020 | |
Modifies | 32015R0061 | Aisghairm | airteagal 13 mír 3 | 30/04/2020 | |
Modifies | 32015R0061 | Aisghairm | airteagal 13 mír 4 | 30/04/2020 | |
Modifies | 32015R0061 | Aisghairm | airteagal 13 mír 5 | 30/04/2020 | |
Modifies | 32015R0061 | Aisghairm | airteagal 13 mír 6 | 30/04/2020 | |
Modifies | 32015R0061 | Aisghairm | airteagal 13 mír 7 | 30/04/2020 | |
Modifies | 32015R0061 | Aisghairm | airteagal 13 mír 8 | 30/04/2020 | |
Modifies | 32015R0061 | Aisghairm | airteagal 13 mír 9 | 30/04/2020 | |
Modifies | 32015R0061 | Athchur | airteagal 15 mír 3 pointe (b) | 30/04/2020 | |
Modifies | 32015R0061 | Cur le | airteagal 15 mír 4 mír neamhuimhrithe | 30/04/2020 | |
Modifies | 32015R0061 | Athchur | airteagal 16 | 30/04/2020 | |
Modifies | 32015R0061 | Athchur | airteagal 17 mír 2 | 30/04/2020 | |
Modifies | 32015R0061 | Cur le | airteagal 17 mír 4 | 30/04/2020 | |
Modifies | 32015R0061 | Cur le | airteagal 17 mír 5 | 30/04/2020 | |
Modifies | 32015R0061 | Athchur | airteagal 2 mír 3 pointe (a) | 30/04/2020 | |
Modifies | 32015R0061 | Athchur | airteagal 21 | 30/04/2020 | |
Modifies | 32015R0061 | Athchur | airteagal 22 mír 2 pointe (a) | 30/04/2020 | |
Modifies | 32015R0061 | Athchur | airteagal 22 mír 2 pointe (b) | 30/04/2020 | |
Modifies | 32015R0061 | Cur le | airteagal 22 mír 3 | 30/04/2020 | |
Modifies | 32015R0061 | Athchur | airteagal 23 mír 1 | 30/04/2020 | |
Modifies | 32015R0061 | Athchur | airteagal 25 mír 2 pointe (b) | 30/04/2020 | |
Modifies | 32015R0061 | Cur le | airteagal 26 mír neamhuimhrithe | 30/04/2020 | |
Modifies | 32015R0061 | Athchur | airteagal 28 mír 3 | 30/04/2020 | |
Modifies | 32015R0061 | Athchur | airteagal 28 mír 4 | 30/04/2020 | |
Modifies | 32015R0061 | Cur le | airteagal 28 mír 7 | 30/04/2020 | |
Modifies | 32015R0061 | Cur le | airteagal 28 mír 8 | 30/04/2020 | |
Modifies | 32015R0061 | Cur le | airteagal 28 mír 9 | 30/04/2020 | |
Modifies | 32015R0061 | Athchur | airteagal 29 mír 2 pointe (a) | 30/04/2020 | |
Modifies | 32015R0061 | Athchur | airteagal 29 mír 2 pointe (c) | 30/04/2020 | |
Modifies | 32015R0061 | Athchur | airteagal 3 pointe 11 | 30/04/2020 | |
Modifies | 32015R0061 | Aisghairm | airteagal 3 pointe 8 | 30/04/2020 | |
Modifies | 32015R0061 | Aisghairm | airteagal 3 pointe 9 | 30/04/2020 | |
Modifies | 32015R0061 | Aisghairm | airteagal 30 mír 11 | 30/04/2020 | |
Modifies | 32015R0061 | Athchur | airteagal 30 mír 12 | 30/04/2020 | |
Modifies | 32015R0061 | Athchur | airteagal 30 mír 2 | 30/04/2020 | |
Modifies | 32015R0061 | Athchur | airteagal 30 mír 3 | 30/04/2020 | |
Modifies | 32015R0061 | Athchur | airteagal 30 mír 4 | 30/04/2020 | |
Modifies | 32015R0061 | Athchur | airteagal 30 mír 5 | 30/04/2020 | |
Modifies | 32015R0061 | Athchur | airteagal 30 mír 7 | 30/04/2020 | |
Modifies | 32015R0061 | Aisghairm | airteagal 31 mír 10 | 30/04/2020 | |
Modifies | 32015R0061 | Athchur | airteagal 31 mír 6 | 30/04/2020 | |
Modifies | 32015R0061 | Athchur | airteagal 31 mír 9 mír neamhuimhrithe 2 | 30/04/2020 | |
Modifies | 32015R0061 | Cur le | airteagal 31a | 30/04/2020 | |
Modifies | 32015R0061 | Athchur | airteagal 32 mír 2 | 30/04/2020 | |
Modifies | 32015R0061 | Athchur | airteagal 32 mír 3 | 30/04/2020 | |
Modifies | 32015R0061 | Athchur | airteagal 32 mír 5 | 30/04/2020 | |
Modifies | 32015R0061 | Athchur | airteagal 34 mír 2 pointe (a) | 30/04/2020 | |
Modifies | 32015R0061 | Athchur | airteagal 34 mír 2 pointe (c) | 30/04/2020 | |
Modifies | 32015R0061 | Athchur | airteagal 4 mír 5 | 30/04/2020 | |
Modifies | 32015R0061 | Cur le | airteagal 4 mír 6 | 30/04/2020 | |
Modifies | 32015R0061 | Athchur | airteagal 7 mír 2 | 30/04/2020 | |
Modifies | 32015R0061 | Athchur | airteagal 7 mír 4 pointe (a) | 30/04/2020 | |
Modifies | 32015R0061 | Athchur | airteagal 7 mír 4 pointe (g) | 30/04/2020 | |
Modifies | 32015R0061 | Cur le | airteagal 7 mír 7 pointe (aa) | 30/04/2020 | |
Modifies | 32015R0061 | Athchur | airteagal 8 mír 1 L 2 PT (a) PT (ii) | 30/04/2020 | |
Modifies | 32015R0061 | Athchur | airteagal 8 mír 3 pointe (b) | 30/04/2020 |
30.10.2018 |
EN |
Official Journal of the European Union |
L 271/10 |
COMMISSION DELEGATED REGULATION (EU) 2018/1620
of 13 July 2018
amending Delegated Regulation (EU) 2015/61 to supplement Regulation (EU) No 575/2013 of the European Parliament and the Council with regard to liquidity coverage requirement for credit institutions
(Text with EEA relevance)
THE EUROPEAN COMMISSION,
Having regard to the Treaty on the Functioning of the European Union,
Having regard to Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 (1), and in particular Article 460 thereof,
Whereas:
(1) |
Commission Delegated Regulation (EU) 2015/61 (2) should be amended in order to improve alignment with international standards and facilitate more efficient liquidity management by credit institutions. |
(2) |
In particular, in order to take adequate account of activities carried out by credit institutions active outside the Union, any requirement for a minimum issue size applying to liquid assets held by a subsidiary undertaking in a third country should be waived, so that such assets can be recognised for consolidation purposes. Otherwise, the parent institution could suffer a shortfall in liquid assets at consolidated level since the liquidity requirement arising from a subsidiary in a third country would be included in the consolidated liquidity requirement while the assets held by that subsidiary to fulfil its liquidity requirement in the third country would be excluded from the consolidated liquidity requirement. However, the assets of the subsidiary undertaking in a third country should only be recognised up to the level of the stressed net liquidity outflows incurred in the same currency as the currency in which the assets are denominated and arising from that particular subsidiary. Moreover, as for any other third-country assets, the assets should only be recognised if they qualify as liquid assets under the national law of the third country in question. |
(3) |
It is recognised that central banks can provide liquidity in their own currency and that the credit rating of central banks is less relevant for liquidity purposes than for solvency purposes. As a result, and in order to align the rules in Delegated Regulation (EU) 2015/61 more closely with the international standard and to provide a level playing field for internationally active credit institutions, reserves held by a third country subsidiary or branch of a Union credit institution in the central bank of a third country which is not assigned a credit assessment of credit quality step 1 by a nominated external credit assessment institution should be eligible as level 1 liquid assets where certain conditions are met. Specifically, those reserves should be eligible where the credit institution is permitted to withdraw them at any time during stress periods and, in addition, the conditions for their withdrawal are specified in an agreement between the supervisory authority of the third country and the central bank in which the reserves are held or in the applicable rules of the third country. However, those reserves should only be capable of being recognised as level 1 assets to cover stressed net liquidity outflows incurred in the same currency as that in which the reserves are denominated. |
(4) |
It is appropriate to take into account Regulation (EU) 2017/2402 of the European Parliament and of the Council (3). That Regulation contains criteria to determine whether a securitisation can be designated as a simple, transparent and standardised (‘STS’) securitisation. Since those criteria ensure that STS securitisations are of high quality, they should also be used to determine which securitisations are to count as high quality liquid assets for the calculation of the liquidity coverage requirement. Securitisations should therefore be eligible as level 2B assets for the purposes of Delegated Regulation (EU) 2015/61 if they fulfil all the requirements laid down in Regulation (EU) 2017/2402, in addition to those criteria already specified in Delegated Regulation (EU) 2015/61 that are specific to their liquidity characteristics. |
(5) |
The implementation of Delegated Regulation (EU) 2015/61 should not hinder the effective transmission of monetary policy to the economy. Transactions with the ECB or the central bank of a Member State can be expected to be rolled-over under conditions of severe stress. It should therefore be possible for competent authorities to waive the unwind mechanism for the calculation of the liquidity buffer in the case of secured transactions with the ECB or the central bank of a Member State where the transactions involve high quality liquid assets on at least one leg of each transaction and are due to mature within the next 30 calendar days. However, before granting the waiver, competent authorities should be required to consult with the central bank that is the counterparty to the transaction, and also with the ECB if that central bank is an Eurosystem central bank. In addition, the waiver should be subject to appropriate safeguards in order to avoid possible regulatory arbitrage opportunities or adverse incentives for credit institutions. Finally, to align the Union rules more closely with the international standard set by the BCBS, collateral received through derivatives transactions should be removed from the unwind mechanism. |
(6) |
In addition, the treatment of outflow and inflow rates for repurchase agreements (‘repos’), reverse repurchase agreements (‘reverse repos’) and collateral swaps should be fully aligned with the approach in the international standard for the liquidity coverage ratio set by the Basel Committee on Banking Supervision (‘BCBS’). Specifically, the cash outflows calculation should be directly linked to the prolongation rate of the transaction (aligned with the haircut on the collateral provided applied to the cash liability, as in the BCBS standard) rather than to the liquidity value of the underlying collateral. |
(7) |
Given divergent interpretations that have emerged, it is important to clarify various provisions of Delegated Regulation (EU) 2015/61, in particular regarding the fulfilment of the liquidity coverage requirement; the eligibility in the buffer of assets included in a pool available to obtain funding under uncommitted lines operated by the central bank, of CIUs and of deposits and other funding in cooperative networks and institutional protection schemes; the calculation of additional liquidity outflows for other products and services; the granting of preferential treatment to intragroup credit and liquidity facilities; the treatment of short position; and the recognition of monies due from securities maturing in the next 30 calendar days, |
(8) |
Delegated Regulation (EU) 2015/61 should therefore be amended accordingly, |
HAS ADOPTED THIS REGULATION:
Article 1
Delegated Regulation (EU) 2015/61 is amended as follows:
(1) |
in Article 2(3), point (a) is replaced by the following:
|
(2) |
Article 3 is amended as follows:
|
(3) |
Article 4 is amended as follows:
|
(4) |
Article 7 is amended as follows:
|
(5) |
Article 8 is amended as follows:
|
(6) |
Article 10 is amended as follows:
|
(7) |
Article 11 is amended as follows:
|
(8) |
Article 13 is amended as follows:
|
(9) |
Article 15 is amended as follows:
|
(10) |
Article 16 is replaced by the following: ‘Article 16 Deposits and other funding in cooperative networks and institutional protection schemes 1. Where a credit institution belongs to an institutional protection scheme of the type referred to in Article 113(7) of Regulation (EU) No 575/2013, to a network that would be eligible for the waiver provided for in Article 10 of that Regulation or to a cooperative network in a Member State, the sight deposits that the credit institution maintains with the central institution may be treated as liquid assets unless the central institution receiving the deposits treats them as operational deposits. Where the deposits are treated as liquid assets, they shall be treated in accordance with one of the following provisions:
2. Where, under the law of a Member State or the legally binding documents governing one of the networks or schemes described in paragraph 1, the credit institution has access within 30 calendar days to undrawn liquidity funding from the central institution or from another institution within the same network or scheme, such funding shall be treated as a level 2B asset to the extent that it is not collateralised by liquid assets and that it is not being dealt with in accordance with the provisions of Article 34. A minimum haircut of 25 % shall be applied to the undrawn committed principal amount of the liquidity funding.’; |
(11) |
Article 17 is amended as follows:
|
(12) |
Article 21 is replaced by the following: ‘Article 21 Netting of derivatives transactions 1. Credit institutions shall calculate liquidity outflows and inflows expected over a 30 calendar day period, for the contracts listed in Annex II to Regulation (EU) No 575/2013 and for credit derivatives, on a net basis by counterparty subject to the existence of bilateral netting agreements meeting the conditions laid down in Article 295 of that Regulation. 2. By way of derogation from paragraph 1, credit institutions shall calculate cash outflows and inflows arising from foreign currency derivative transactions that involve a full exchange of principal amounts on a simultaneous basis (or within the same day) on a net basis, even where those transactions are not covered by a bilateral netting agreement. 3. For the purposes of this Article, net basis shall be considered to be net of collateral to be posted or received in the next 30 calendar days. However, in the case of collateral to be received in the next 30 calendar days, net basis shall be considered to be net of that collateral only if both of the following conditions are met:
|
(13) |
Article 22 is amended as follows:
|
(14) |
in Article 23, paragraph 1 is replaced by the following: ‘1. Credit institutions shall regularly assess the likelihood and potential volume of liquidity outflows during 30 calendar days for products or services which are not referred to in Articles 27 to 31a and which they offer or sponsor or which potential purchasers would consider associated with them. Those products or services shall include, but not be limited to:
|
(15) |
in Article 25(2), point (b) is replaced by the following:
|
(16) |
at the end of Article 26, the following paragraph is added: ‘Competent authorities shall inform the EBA which institutions benefit from the netting of outflows with interdependent inflows under this article. The EBA may request supporting documentation.’; |
(17) |
Article 28 is amended as follows:
|
(18) |
in Article 29, paragraph 2 is amended as follows:
|
(19) |
Article 30 is amended as follows:
|
(20) |
Article 31 is amended as follows:
|
(21) |
the following Article 31a is inserted: ‘Article 31a Outflows from liabilities and commitments not covered by other provisions of this Chapter 1. Credit institutions shall multiply by a 100 % outflow rate any liabilities that become due within 30 calendar days, except for the liabilities referred to in Articles 24 to 31. 2. Where the total of all contractual commitments to extend funding to non-financial customers within 30 calendar days, other than commitments referred to in Articles 24 to 31, exceeds the amount of inflows from those non-financial customers calculated in accordance with point (a) of Article 32(3), the excess shall be subject to a 100 % outflow rate. For the purposes of this paragraph, non-financial customers shall include, but not be limited to, natural persons, SMEs, corporates, sovereigns, multilateral development banks and public sector entities, and shall exclude financial customers and central banks.’; |
(22) |
Article 32 is amended as follows:
|
(23) |
Article 34(2) is amended as follows:
|
(24) |
Annex I is amended as follows:
|
Article 2
This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union.
It shall apply from 30 April 2020.
This Regulation shall be binding in its entirety and directly applicable in all Member States.
Done at Brussels, 13 July 2018.
For the Commission
The President
Jean-Claude JUNCKER
(1) OJ L 176, 27.6.2013, p. 1.
(2) Commission Delegated Regulation (EU) 2015/61 of 10 October 2014 to supplement Regulation (EU) No 575/2013 of the European Parliament and the Council with regard to liquidity coverage requirement for Credit Institutions (OJ L 11, 17.1.2015, p. 1).
(3) Regulation (EU) 2017/2402 of the European Parliament and of the Council of 12 December 2017 laying down a general framework for securitisation and creating a specific framework for simple, transparent and standardised securitisation, and amending Directives 2009/65/EC, 2009/138/EC and 2011/61/EU and Regulations (EC) No 1060/2009 and (EU) No 648/2012 (OJ L 347, 28.12.2017, p. 35).