On 13 July 2018, the European Commission published a Delegated Regulation amending Delegated Regulation (EU) 2015/61 supplementing the Capital Requirements Regulation with regard to the liquidity coverage requirement for credit institutions (the Delegated Regulation).

Commission Delegated Regulation (EU) 2015/61 (the LCR Delegated Regulation) entered into force on 1 October 2015 and specifies which assets are to be considered as liquid and how credit institutions must calculate the expected cash outflows and inflows over a 30 calendar day stressed period.

The Delegated Regulation that the Commission has now published makes certain amendments to the LCR Delegated Regulation in order to improve its practical application. In particular it provides for amendments to the LCR Delegated Regulation to fully align the calculation of 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. It also deals with the treatment of certain reserves held with third-country central banks, the 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 the integration of the new criteria for simple, transparent and standardised securitisations.

The next step is for the Delegated Regulations to be considered by the European Parliament and the Council of the EU.