On 28 February 2022, the European Commission adopted a Delegated Regulation supplementing the Capital Requirements Regulation (CRR) with regard to regulatory technical standards (RTS) on liquidity horizons for the alternative internal model approach, as referred to in Article 325bd(7). In accordance with Article 325bd of the CRR, the Commission Delegated Regulation establishes, for the purpose of identifying the relevant liquidity horizons, the rules that institutions should use to map risk factors of positions for which they have been granted A-IMA permission to the appropriate risk factor category and subcategory. The Delegated Regulation is based on the final draft RTS submitted by the European Banking Authority in March 2020.
The Council of the EU and the European Parliament will now scrutinise the Delegated Regulation. If neither object, it will enter into force twenty days after its publication in the Official Journal of the European Union.