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 Text with EEA relevance

Where the credit institution and the counterparty credit institution are established in different Member States, competent authorities may waive the condition set out in point (d) of paragraph 1 where, in addition to the criteria in paragraph 1, the following additional objective criteria (a) to (c) are fulfilled:

(a) the liquidity provider and receiver will present a low liquidity risk profile after the application of the higher inflow rate being proposed under paragraph 1 and the application of the outflow rate referred to in point (c) of that paragraph;

(b) there are legally binding agreements and commitments between group entities regarding the credit or liquidity line;

(c) the liquidity risk profile of the liquidity receiver is taken into account adequately in the liquidity risk management of the liquidity provider.

The competent authorities shall work together in full consultation in accordance with Article 20(1)(b) of Regulation (EU) No 575/2013 to determine whether the additional criteria set out in this paragraph are met.

Where the application of a preferential inflow rate above 40 % is authorised, the competent authorities shall inform EBA about the result of the process referred to in paragraph 2. The competent authorities shall review regularly that the conditions for such higher inflows continue to be fulfilled.

TITLE IV

FINAL PROVISIONS

Article 35

Grandfathering of Member State-guaranteed bank assets

Assets issued by credit institutions which benefit from a guarantee from the central government of a Member State shall qualify as level 1 assets only where the guarantee:

(a) was granted or committed to for a maximum amount prior to 30 June 2014;

(b) is a direct, explicit, irrevocable and unconditional guarantee and covers the failure to pay principal and interest when due.

Article 36

Transitional provision for Member State-sponsored impaired asset management agencies

The senior bonds issued by the following Member State-sponsored impaired assets management agencies shall qualify as level 1 assets until 31 December 2023:

(a) in Ireland, the National Asset Management Agency (NAMA);

(b) in Spain, the Sociedad de Gestión de Activos Procedentes de la Reestructuración Bancaria, S.A. (SAREB);

(c) in Slovenia, the Bank Asset Management Company as established under the Measures of the Republic of Slovenia to Strengthen the Stability of Banks Act (MSSBA);

Article 37

Transitional provision for securitisations backed by residential loans

Article 38

Transitional provision for the introduction of the liquidity coverage ratio

In accordance with Article 460(2) of Regulation (EU) No 575/2013, the liquidity coverage ratio laid down in Article 4 shall be introduced as follows:

(a) 60 % of the liquidity coverage requirement as from 1 October 2015;

(b) 70 % as from1 January 2016;

(c) 80 % as from 1 January 2017;

(d) 100 % as from 1 January 2018.

Article 39

Entry into force

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 1 October 2015.

This Regulation shall be binding in its entirety and directly applicable in all Member States.

ANNEX I

Formulae for the determination of the liquidity buffer composition

1.Credit institution shall use the formulae laid down in this Annex to determine the composition of their liquidity buffer in accordance with Article 17.

2.Calculation of the liquidity buffer: as of the calculation date, the liquidity buffer of the credit institution shall be equal to:

(a) the level 1 asset amount; plus

(b) the level 2A asset amount; plus

(c) the level 2B asset amount;

minus the lesser of:

(d) the sum of (a), (b), and (c); or

(e) the ‘excess liquid assets amount’ as calculated in accordance with paragraphs 3 and 4 of this Annex.

3.‘Excess liquid assets’ amount: this amount shall be comprised of the components defined herein:

(a) the adjusted non-covered bond level 1 asset amount, which shall be equal to the value post-haircuts of all level 1 liquid assets, excluding level 1 covered bonds, that would be held by the credit institution upon the unwind of any secured funding, secured lending or collateral swap transaction that matures within 30 calendar days from the calculation date and where the credit institution and the counterparty exchange liquid assets on at least one leg of the transaction;

(b) the adjusted level 1 covered bond amount, which shall be equal to the value post-haircuts of all level 1 covered bonds that would be held by the credit institution upon the unwind of any secured funding, secured lending or collateral swap transaction that matures within 30 calendar days from the calculation date and where the credit institution and the counterparty exchange liquid assets on at least one leg of the transaction;

(c) the adjusted level 2A asset amount, which shall be equal to the value post-haircuts of all level 2A assets that would be held by the credit institution upon the unwind of any secured funding, secured lending or collateral swap transaction that matures within 30 calendar days from the calculation date and where the credit institution and the counterparty exchange liquid assets on at least one leg of the transaction; and

(d) the adjusted level 2B asset amount, which shall be equal to the value post-haircuts of all level 2B assets that would be held by the credit institution upon the unwind of any secured funding, secured lending or collateral swap transaction that matures within 30 calendar days from the calculation date and where the credit institution and the counterparty exchange liquid assets on at least one leg of the transaction.

4.Calculation of the ‘excess liquid assets amount’: this amount shall be equal to:

(a) the adjusted non-covered bond level 1 asset amount; plus

(b) the adjusted level 1 covered bond amount; plus

(c) the adjusted level 2A asset amount; plus

(d) the adjusted level 2B asset amount;

minus the lesser of:

(e) the sum of (a),(b),(c) and (d);

(f) 100/30 times (a);

(g) 100/60 times the sum of (a) and (b);

(h) 100/85 times the sum of (a), (b) and (c).

ANNEX II

Formula for the calculation of the net liquidity outflow

Net liquidity outflows equals total outflows less the reduction for fully exempt inflows less the reduction for inflows subject to the 90 % cap less the reduction for inflows subject to the 75 % cap

NLO = TO – MIN(FEI, TO) – MIN(IHC, 0,9MAX(TO – FEI, 0)) – MIN(IC, 0,75MAX(TO – FEI – IHC/0,9, 0))