On 20 May 2022, there was published in the Official Journal of the EU, Commission Delegated Regulation (EU) 2022/786 of 10 February 2022 amending Commission Delegated Regulation 2015/61 supplementing the Capital Requirements Regulation (CRR) with regard to the liquidity coverage requirement for credit institutions.
Commission Delegated Regulation 2015/61 (LCR Delegated Regulation) is applicable to all EU credit institutions, including those issuing covered bonds. Such credit institutions are currently subject to the liquidity coverage requirement (LCR) applicable for a period of 30 days. In accordance with the LCR, a covered bond issuer has to ensure it has sufficient liquid assets to cover the net liquidity outflows, including those stemming from the covered bond programme. At the same time, the Covered Bond Directive (CBD) requires EU credit institutions issuing covered bonds to maintain, at all times, a liquidity buffer composed of liquid assets available to cover the net liquidity outflows of their covered bonds programmes for a period of 180 days.
The Delegated Regulation is intended to better allow EU 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 the LCR 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 the CBD. The Delegated Regulation also aligns the text of the LCR Delegated Regulation with the definitions in the CRR and CBD.
The Delegated Regulation applies from 8 July 2022.