What changed, Commission Delegated Regulation (EU) 2015/61 of 10 October 2014 to supplement Regulation (EU) No 575/2013

− ## TITLE I / **THE LIQUIDITY COVERAGE RATIO**
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+ **1.** This Regulation shall apply to credit institutions supervised under Directive 2013/36/EU of the European Parliament and of the Council (1).
− 1. This Regulation shall apply to credit institutions supervised under Directive 2013/36/EU of the European Parliament and of the Council (1).
+ **2.** Credit institutions shall comply with this Regulation on an individual basis in accordance with Article 6(4) of Regulation (EU) No 575/2013. The competent authorities may waive in full or in part the application of this Regulation on an individual basis in relation to a credit institution in …
− 2. Credit institutions shall comply with this Regulation on an individual basis in accordance with Article 6(4) of Regulation (EU) No 575/2013. The competent authorities may waive in full or in part the application of this Regulation on an individual basis in relation to a credit institution in acco…
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− 3. Where a group comprises one or more credit institutions, the EU parent institution, the institution controlled by an EU parent financial holding company or the institution controlled by an EU parent mixed financial holding company shall apply the obligations laid down in this Regulation on a cons…
+ **3.** Where a group comprises one or more credit institutions, the EU parent institution, the institution controlled by an EU parent financial holding company or the institution controlled by an EU parent mixed financial holding company shall apply the obligations laid down in this Regulation on a …
− (a) third country assets held by a subsidiary undertaking in a third country may be recognised as liquid assets for consolidation purposes where they qualify as liquid assets under that third country's national law setting out the liquidity coverage requirement and they satisfy one of the following …
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− (b) liquidity outflows in a subsidiary undertaking in a third country which are subject under the national law of that third country setting out the liquidity coverage requirement to higher percentages than those specified in Title III shall be subject to consolidation in accordance with the higher …
− (c) liquidity inflows in a subsidiary undertaking in a third country which are subject under the national law of that third country setting out the liquidity coverage requirement to lower percentages than those specified in Title III shall be subject to consolidation in accordance with the lower rat…
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− (d) investment firms within the group shall be subject to Article 4 of this Regulation on a consolidated basis and to Article 412 of Regulation (EU) No 575/2013 in relation to the definition of liquid assets, liquidity outflows and inflows for both individual and consolidated purposes. Other than as…
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− (e) at a consolidated level the amount of inflows arising from a specialised credit institution referred to in Article 33 paragraphs (3) and (4) shall only be recognised up to the amount of the outflows arising from the same undertaking.
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+ 
+ (12) ‘margin loans’ means collateralised loans extended to customers for the purpose of taking leveraged trading positions;
+ 
+ (13) ‘capital market-driven transaction’ means a capital market-driven transaction as defined in Article 192, point (3), of Regulation (EU) No 575/2013;
+ 
+ (14) ‘covered bond programme’ means a covered bond programme as defined in Article 3, point (2), of Directive (EU) 2019/2162 of the European Parliament and of the Council (3);
+ 
+ (15) ‘cover pool’ means a cover pool as defined in Article 3, point (3), of Directive (EU) 2019/2162;
+ (16) ‘cover pool liquidity buffer’ means the liquidity buffer composed of assets considered as liquid and held as part of the cover pool, in accordance with Article 16 of Directive (EU) 2019/2162.
− (12) ‘margin loans’ means collateralised loans extended to customers for the purpose of taking leveraged trading positions.
+ **1.** The detailed liquidity coverage requirement in accordance with Article 412(1) of Regulation (EU) No 575/2013 shall be equal to the ratio of a credit institution's liquidity buffer to its net liquidity outflows over a 30 calendar day stress period and shall be expressed as a percentage. Credit…
− 1. The detailed liquidity coverage requirement in accordance with Article 412(1) of Regulation (EU) No 575/2013 shall be equal to the ratio of a credit institution's liquidity buffer to its net liquidity outflows over a 30 calendar day stress period and shall be expressed as a percentage. Credit ins…
+ **2.** Credit institutions shall maintain a liquidity coverage ratio of at least 100 %.
− 2. Credit institutions shall maintain a liquidity coverage ratio of at least 100 %.
+ **3.** By derogation from paragraph 2, credit institutions may monetise their liquid assets to cover their net liquidity outflows during stress periods, even if such a use of liquid assets may result in their liquidity coverage ratio falling below 100 % during such periods.
− 3. By derogation from paragraph 2, credit institutions may monetise their liquid assets to cover their net liquidity outflows during stress periods, even if such a use of liquid assets may result in their liquidity coverage ratio falling below 100 % during such periods.
+ **4.** Where at any time the liquidity coverage ratio of a credit institution has fallen or can be reasonably expected to fall below 100 %, the requirement laid down in Article 414 of Regulation (EU) No 575/2013 shall apply. Until the liquidity coverage ratio has been restored to the level referred …
− 4. Where at any time the liquidity coverage ratio of a credit institution has fallen or can be reasonably expected to fall below 100 %, the requirement laid down in Article 414 of Regulation (EU) No 575/2013 shall apply. Until the liquidity coverage ratio has been restored to the level referred to i…
+ **5.** Credit institutions shall calculate and monitor their liquidity coverage ratio in the reporting currency for all items, irrespective of their actual currency denomination.
− 5. Credit institutions shall calculate and monitor their liquidity coverage ratio in the reporting currency for all items, irrespective of their actual currency denomination.
+ **6.** Credit institutions shall not double-count liquid assets, inflows and outflows.
− 6. Credit institutions shall not double-count liquid assets, inflows and outflows.
− ## *CHAPTER 1* / ***General provisions***
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+ **1.** In order to qualify as liquid assets, the assets of a credit institution shall comply with paragraphs 2 to 6.
− 1. In order to qualify as liquid assets, the assets of a credit institution shall comply with paragraphs 2 to 6.
+ **2.** The assets shall be a property, right, entitlement, or interest, that is held by the credit institution, or included in a pool as referred to in point (a), and is free from any encumbrance. For those purposes, an asset shall be deemed to be unencumbered where it is not subject to any legal, c…
− 2. The assets shall be a property, right, entitlement, or interest, that is held by the credit institution, or included in a pool as referred to in point (a), and is free from any encumbrance. For those purposes, an asset shall be deemed to be unencumbered where it is not subject to any legal, contr…
+ **2a.** By way of derogation from paragraph 2, liquid assets that are held as part of the cover pool liquidity buffer shall be deemed to be unencumbered during the 30 calendar day stress period, laid down in Article 4, up to the amount of net liquidity outflows as calculated under Title III of this …
− (a) assets included in a pool which are available for immediate use as collateral to obtain additional funding under committed but not yet funded credit lines available to the credit institution or, if the pool is operated by a central bank, under uncommitted and not yet funded credit lines availabl…
+ **2b.** Where liquid assets that are held in the cover pool liquidity buffer are not deemed to be unencumbered pursuant to paragraph 2a of this Article, they shall nonetheless be deemed to be unencumbered during the 30 calendar day stress period, laid down in Article 4, where all of the following co…
− (b) assets that the credit institution has received as collateral for credit risk mitigation purposes in reverse repo or securities financing transactions and that the credit institution may dispose of.
+ **3.** The assets shall not have been issued by the credit institution itself, its parent undertaking, other than a public sector entity that is not a credit institution, its subsidiary or another subsidiary of its parent undertaking or by a securitisation special purpose entity with which the credi…
− 3. The assets shall not have been issued by the credit institution itself, its parent undertaking, other than a public sector entity that is not a credit institution, its subsidiary or another subsidiary of its parent undertaking or by a securitisation special purpose entity with which the credit in…
+ **4.** The assets shall not have been issued by any of the following:▼M1(a) another credit institution, unless one or more of the following conditions is met:(i) the issuer is a public sector entity referred to in point (c) of Article 10(1) or in point (a) or (b) of Article 11(1);(ii) the asset is a…
− 4. The assets shall not have been issued by any of the following:
+ For the purposes of this Article, SSPEs and official export credit agencies in Member States shall be deemed not included within the entities referred to in the first subparagraph, point (g).
− (a) another credit institution, unless one or more of the following conditions is met: (i) the issuer is a public sector entity referred to in point (c) of Article 10(1) or in point (a) or (b) of Article 11(1); (ii) the asset is a covered bond referred to in point (f) of Article 10(1) or in point (c…
+ **5.** The value of the assets shall be capable of being determined on the basis of widely disseminated and easily available market prices. In the absence of market-based prices, the value of the assets must be capable of being determined on the basis of an easy-to-calculate formula that uses public…
− (b) an investment firm;
+ **6.** The assets shall be listed on a recognised exchange or tradable via active outright sale or via simple repurchase transaction on generally accepted repurchase markets. These criteria shall be assessed separately for each market. An asset admitted to trading in an organised venue which is not …
− (c) an insurance undertaking;
+ **7.** The requirements laid down in paragraphs 5 and 6 shall not apply to:(a) banknotes and coins referred to in point (a) of Article 10(1);▼M1(aa) the exposures to central governments referred to in point (d) of Article 10(1);▼B(b) the exposures to central banks referred to in points (b) and (d) o…
− (d) a reinsurance undertaking;
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− (e) a financial holding company;
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− (f) a mixed financial holding company;
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− (g) any other entity that performs one or more of the activities listed in Annex I to Directive 2013/36/EU as its main business. For the purposes of this Article, SSPEs shall be deemed not included within the entities referred to in this point.
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− 5. The value of the assets shall be capable of being determined on the basis of widely disseminated and easily available market prices. In the absence of market-based prices, the value of the assets must be capable of being determined on the basis of an easy-to-calculate formula that uses publicly a…
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− 6. The assets shall be listed on a recognised exchange or tradable via active outright sale or via simple repurchase transaction on generally accepted repurchase markets. These criteria shall be assessed separately for each market. An asset admitted to trading in an organised venue which is not a re…
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− (a) historical evidence of market breadth and depth as proven by low bid-ask spreads, high trading volume and a large and diverse number of market participants;
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− (b) the presence of a robust market infrastructure.
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− 7. The requirements laid down in paragraphs 5 and 6 shall not apply to:
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− (a) banknotes and coins referred to in point (a) of Article 10(1);
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− (aa) the exposures to central governments referred to in point (d) of Article 10(1);
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− (b) the exposures to central banks referred to in points (b) and (d) of Article 10(1) and in point (b) of Article 11(1);
− (c) the restricted-use committed liquidity facility referred to in point (d) of Article 12(1);
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− (d) the deposits and other funding in cooperative networks and institutional protection schemes referred to in Article 16.
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+ **1.** Credit institutions shall have policies and limits in place to ensure that the holdings of liquid assets comprising their liquidity buffer remain appropriately diversified at all times. For those purposes, credit institutions shall take into account the extent of diversification between the v…
− 1. Credit institutions shall have policies and limits in place to ensure that the holdings of liquid assets comprising their liquidity buffer remain appropriately diversified at all times. For those purposes, credit institutions shall take into account the extent of diversification between the vario…
+ **2.** Credit institutions shall have ready access to their holdings of liquid assets and be able to monetise them at any time during the 30 calendar day stress period via outright sale or repurchase agreement on generally accepted repurchase markets. A liquid asset shall be deemed readily accessibl…
− 2. Credit institutions shall have ready access to their holdings of liquid assets and be able to monetise them at any time during the 30 calendar day stress period via outright sale or repurchase agreement on generally accepted repurchase markets. A liquid asset shall be deemed readily accessible to…
+ **3.** Credit institutions shall ensure that their liquid assets are under the control of a specific liquidity management function within the credit institution. Compliance with this requirement shall be demonstrated to the competent authority either by:(a) placing the liquid assets in a separate po…
− 3. Credit institutions shall ensure that their liquid assets are under the control of a specific liquidity management function within the credit institution. Compliance with this requirement shall be demonstrated to the competent authority either by:
+ **4.** Credit institutions shall regularly, and at least once a year, monetise a sufficiently representative sample of their holdings of liquid assets by means of outright sale or simple repurchase agreement on a generally accepted repurchase market. Credit institutions shall develop strategies for …
− (a) placing the liquid assets in a separate pool under the direct management of the liquidity function and with the sole intent of using them as a source of contingent funds, including during stress periods;
− (b) putting in place internal systems and controls to give the liquidity management function effective operational control to monetise the holdings of liquid assets at any point in the 30 calendar day stress period and to access the contingent funds without directly conflicting with any existing bus…
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− (c) a combination of options (a) and (b), provided that the competent authority has deemed such combination acceptable.
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− 4. Credit institutions shall regularly, and at least once a year, monetise a sufficiently representative sample of their holdings of liquid assets by means of outright sale or simple repurchase agreement on a generally accepted repurchase market. Credit institutions shall develop strategies for disp…
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− (a) test the access to the market for those assets and their usability;
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− (b) check that the credit institution's processes for the timely monetisation of assets are effective;
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− (c) minimise the risk of sending a negative signal to the market as a result of the credit institution's monetising its assets during stress periods.
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+ For liquid assets held in a cover pool liquidity buffer, the requirement laid down in the first subparagraph shall be considered as fulfilled, where the credit institution regularly, and at least once a year, monetises liquid assets that constitute a sufficiently representative sample of its holding…
− 5. The requirement set out in paragraph 2 shall not prevent credit institutions from hedging the market risk associated with their liquid assets provided that the following conditions are met:
+ **5.** The requirement set out in paragraph 2 shall not prevent credit institutions from hedging the market risk associated with their liquid assets provided that the following conditions are met:(a) the credit institution puts in place appropriate internal arrangements in accordance with paragraphs…
− (a) the credit institution puts in place appropriate internal arrangements in accordance with paragraphs 2 and 3 to ensure that those assets continue to be readily available and under the control of the liquidity management function;
+ **6.** Credit institutions shall ensure that the currency denomination of their liquid assets is consistent with the distribution by currency of their net liquidity outflows. However, where appropriate, competent authorities may require credit institutions to restrict currency mismatch by setting li…
− (b) the net liquidity outflows and inflows that would result in the event of an early close-out of the hedge are taken into account in the valuation of the relevant asset in accordance with Article 9.
− 6. Credit institutions shall ensure that the currency denomination of their liquid assets is consistent with the distribution by currency of their net liquidity outflows. However, where appropriate, competent authorities may require credit institutions to restrict currency mismatch by setting limits…
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− (a) whether the credit institution has the ability to do any of the following: (i) use the liquid assets to generate liquidity in the currency and jurisdiction in which the net liquidity outflows arise; (ii) swap currencies and raise funds in foreign currency markets during stressed conditions consi…
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− (b) the impact of sudden, adverse exchange rate movements on existing mismatched positions and on the effectiveness of any foreign exchange hedges in place.
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− ## *CHAPTER 2* / ***Liquid Assets***
+ **1.** Level 1 assets shall only include assets falling under one or more of the following categories and meeting in each case the eligibility criteria laid down herein:(a) coins and banknotes;(b) the following exposures to central banks:(i) assets representing claims on or guaranteed by the Europea…
− 1. Level 1 assets shall only include assets falling under one or more of the following categories and meeting in each case the eligibility criteria laid down herein:
+ **2.** The market value of extremely high quality covered bonds referred to in point (f) of paragraph 1 shall be subject to a haircut of at least 7 %. Except as specified in relation to shares and units in CIUs in points (b) and (c) of Article 15(2), no haircut shall be required on the value of the …
− (a) coins and banknotes;
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− (b) the following exposures to central banks: (i) assets representing claims on or guaranteed by the European Central Bank (ECB) or a Member State's central bank; (ii) assets representing claims on or guaranteed by central banks of third countries, provided that exposures to the central bank or its …
− (c) assets representing claims on or guaranteed by the following central or regional governments, local authorities or public sector entities: (i) the central government of a Member State; (ii) the central government of a third country, provided that it is assigned a credit assessment by a nominated…
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− (d) the following assets: (i) assets representing claims on or guaranteed by the central government or central bank of a third country which is not assigned a credit assessment of credit quality step 1 by a nominated ECAI in accordance with Article 114(2) of Regulation (EU) No 575/2013; (ii) reserve…
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− (e) assets issued by credit institutions which meet at least one of the following two requirements: (i) the issuer is a credit institution incorporated or established by the central government of a Member State or the regional government or local authority in a Member State, the government or local …
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− (f) exposures in the form of extremely high quality covered bonds, which shall comply with all of the following requirements: (i) they are bonds as referred to in Article 52(4) of Directive 2009/65/EC or meet the requirements to be eligible for the treatment set out in Article 129(4) or (5) of Regul…
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− (g) assets representing claims on or guaranteed by the multilateral development banks and the international organisations referred to in Article 117(2) and Article 118, respectively, of Regulation (EU) No 575/2013.
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− 2. The market value of extremely high quality covered bonds referred to in point (f) of paragraph 1 shall be subject to a haircut of at least 7 %. Except as specified in relation to shares and units in CIUs in points (b) and (c) of Article 15(2), no haircut shall be required on the value of the rema…
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− 
− 1. Level 2A assets shall only include assets falling under one or more of the following categories and meeting in each case the eligibility criteria laid down herein:
+ **1.** Level 2A assets shall only include assets falling under one or more of the following categories and meeting in each case the eligibility criteria laid down herein:(a) assets representing claims on or guaranteed by regional governments, local authorities or public sector entities in a Member S…
− (a) assets representing claims on or guaranteed by regional governments, local authorities or public sector entities in a Member State, where exposures to them are assigned a risk weight of 20 % in accordance with Article 115(1) and (5) and Article 116(1), (2) and (3) of Regulation (EU) No 575/2013,…
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− (b) assets representing claims on or guaranteed by the central government or the central bank of a third country or by a regional government, local authority or public sector entity in a third country, provided that they are assigned a 20 % risk weight in accordance with Articles 114(2), 115 or 116 …
+ **2.** The market value of each of the level 2A assets shall be subject to a haircut of at least 15 %.
− (c) exposures in the form of high quality covered bonds, which shall comply with all of the following requirements: (i) they are bonds as referred to in Article 52(4) of Directive 2009/65/EC or meet the requirements to be eligible for the treatment set out in Article 129(4) or (5) of Regulation (EU)…
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− (d) exposures in the form of covered bonds issued by credit institutions in third countries, which shall comply with all of the following requirements: (i) they are covered bonds in accordance with the national law of the third country which must define them as debt securities issued by credit insti…
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− (e) corporate debt securities which meet all of the following requirements: (i) they are assigned a credit assessment by a nominated ECAI which is at least credit quality step 1 in accordance with Article 122 of Regulation (EU) No 575/2013 or the equivalent credit quality step in the event of a shor…
− 2. The market value of each of the level 2A assets shall be subject to a haircut of at least 15 %.
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+ **1.** Level 2B assets shall only include assets falling under one or more of the following categories and meeting in each case the eligibility criteria laid down herein:(a) exposures in the form of asset-backed securities meeting the requirements laid down in Article 13;(b) corporate debt securitie…
− 1. Level 2B assets shall only include assets falling under one or more of the following categories and meeting in each case the eligibility criteria laid down herein:
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− (a) exposures in the form of asset-backed securities meeting the requirements laid down in Article 13;
+ **2.** The market value of each of the level 2B assets shall be subject to the following minimum haircuts:(a) the applicable haircut set out in Article 13(14) for level 2B securitisations;(b) a 50 % haircut for corporate debt securities referred to in paragraph (1)(b);(c) a 50 % haircut for shares r…
− (b) corporate debt securities which meet all of the following requirements: (i) they have received a credit assessment by a nominated ECAI which is at least credit quality step 3 in accordance with Article 122 of Regulation (EU) No 575/2013 or the equivalent credit quality step in the event of a sho…
+ **3.** For credit institutions which in accordance with their statutes of incorporation are unable for reasons of religious observance to hold interest bearing assets, the competent authority may allow to derogate from points (ii) and (iii) of paragraph 1(b) of this Article, provided there is eviden…
− (c) shares, provided that they meet all of the following requirements: (i) they form part of a major stock index in a Member State or in a third country, as identified as such for the purposes of this point by the competent authority of a Member State or the relevant public authority in a third coun…
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− (d) restricted-use committed liquidity facilities that may be provided by the ECB, the central bank of a Member State or the central bank of a third country, provided that the requirements laid down in Article 14 are met;
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− (e) exposures in the form of high quality covered bonds which shall comply with all of the following requirements: (i) they are bonds as referred to in Article 52(4) of Directive 2009/65/EC or meet the requirements to be eligible for the treatment set out in Article 129(4) or (5) of Regulation (EU) …
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− (f) for credit institutions which in accordance with their statutes of incorporation are unable for reasons of religious observance from holding interest bearing assets, non-interest bearing assets constituting a claim on or guaranteed by central banks or by the central government or the central ban…
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− 2. The market value of each of the level 2B assets shall be subject to the following minimum haircuts:
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− (a) the applicable haircut set out in Article 13(14) for level 2B securitisations;
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− (b) a 50 % haircut for corporate debt securities referred to in paragraph (1)(b);
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− (c) a 50 % haircut for shares referred to in paragraph 1(c);
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− (d) a 30 % haircut for covered bond programmes or issues referred to in paragraph (1)(e);
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− (e) a 50 % haircut for non-interest bearing assets referred to in paragraph 1(f).
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− 3. For credit institutions which in accordance with their statutes of incorporation are unable for reasons of religious observance to hold interest bearing assets, the competent authority may allow to derogate from points (ii) and (iii) of paragraph 1(b) of this Article, provided there is evidence o…
+ **1.** Exposures in the form of asset-backed securities as referred to in Article 12(1)(a) shall qualify as level 2B securitisations where the following conditions are satisfied:(a) the designation ‘STS’ or ‘simple, transparent and standardised’, or a designation that refers directly or indirectly t…
− 1. Exposures in the form of asset-backed securities as referred to in Article 12(1)(a) shall qualify as level 2B securitisations where the following conditions are satisfied:
+ **2.** The securitisation position and the exposures underlying the position shall meet all the following requirements:(a) ►M1 the position has been assigned a credit assessment of credit quality step 1 by a nominated ECAI in accordance with Article 264 of Regulation (EU) No 575/2013 or the equivale…
− (a) the designation ‘STS’ or ‘simple, transparent and standardised’, or a designation that refers directly or indirectly to those terms, is permitted to be used for the securitisation in accordance with Regulation (EU) 2017/2402 of the European Parliament and of the Council (4) and is being so used;
+ **10.** The underlying exposures shall not have been originated by the credit institution holding the securitisation position in its liquidity buffer, its subsidiary, its parent undertaking, a subsidiary of its parent undertaking or any other undertaking closely linked with that credit institution.
− (b) the criteria laid down in paragraph 2 and paragraphs 10 to 13 of this Article are met.
+ **11.** The issue size of the tranche shall be at least EUR 100 million (or the equivalent amount in domestic currency).
− 2. The securitisation position and the exposures underlying the position shall meet all the following requirements:
+ **12.** The remaining weighted average life of the tranche shall be 5 years or less, which shall be calculated using the lower of either the transaction's pricing prepayment assumption or a 20 % constant prepayment rate, for which the credit institution shall assume that the call is exercised on the…
− (a) the position has been assigned a credit assessment of credit quality step 1 by a nominated ECAI in accordance with Article 264 of Regulation (EU) No 575/2013 or the equivalent credit quality step in the event of a short-term credit assessment;
+ **13.** The originator of the exposures underlying the securitisation shall be an institution as defined in Article 4(3) of Regulation (EU) No 575/2013 or an undertaking whose principal activity is to pursue one or more of the activities listed in points 2 to 12 and point 15 of Annex I to Directive …
− (b) the position is in the most senior tranche or tranches of the securitisation and possesses the highest level of seniority at all times during the ongoing life of the transaction. For these purposes, a tranche shall be deemed to be the most senior where after the delivery of an enforcement notice…
+ **14.** The market value of level 2B securitisations shall be subject to the following minimum haircuts:(a) 25 % for securitisations backed by the subcategories of assets referred to in points (g)(i), (ii) and (iv) of paragraph 2;(b) 35 % for securitisations backed by the subcategories of assets ref…
− (g) ►M1 the securitisation position is backed by a pool of underlying exposures and those underlying exposures either all belong to only one of the following subcategories or else they consist of a combination of residential loans referred to in point (i) and residential loans referred to in point (…
− 10. The underlying exposures shall not have been originated by the credit institution holding the securitisation position in its liquidity buffer, its subsidiary, its parent undertaking, a subsidiary of its parent undertaking or any other undertaking closely linked with that credit institution.
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− 11. The issue size of the tranche shall be at least EUR 100 million (or the equivalent amount in domestic currency).
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− 12. The remaining weighted average life of the tranche shall be 5 years or less, which shall be calculated using the lower of either the transaction's pricing prepayment assumption or a 20 % constant prepayment rate, for which the credit institution shall assume that the call is exercised on the fir…
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− 13. The originator of the exposures underlying the securitisation shall be an institution as defined in Article 4(3) of Regulation (EU) No 575/2013 or an undertaking whose principal activity is to pursue one or more of the activities listed in points 2 to 12 and point 15 of Annex I to Directive 2013…
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− 14. The market value of level 2B securitisations shall be subject to the following minimum haircuts:
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− (a) 25 % for securitisations backed by the subcategories of assets referred to in points (g)(i), (ii) and (iv) of paragraph 2;
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− (b) 35 % for securitisations backed by the subcategories of assets referred to in points (g)(iii) and (v) of paragraph 2.
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+ **1.** Shares or units in CIUs shall qualify as liquid assets of the same level as the liquid assets underlying the relevant undertaking up to an absolute amount of EUR 500 million (or equivalent amount in domestic currency) for each credit institution on an individual basis, provided that:(a) the r…
− 1. Shares or units in CIUs shall qualify as liquid assets of the same level as the liquid assets underlying the relevant undertaking up to an absolute amount of EUR 500 million (or equivalent amount in domestic currency) for each credit institution on an individual basis, provided that:
+ **2.** Credit institutions shall apply the following minimum haircuts to the value of their shares or units in CIUs depending on the category of underlying liquid assets:(a) 0 % for coins and banknotes and exposures to central banks referred to in Article 10(1)(b);(b) 5 % for level 1 assets other th…
− (a) the requirements in Article 132(3) of Regulation (EU) No 575/2013 are complied with;
+ **3.** The approach referred to in paragraph 2 shall be applied as follows:(a) where the credit institution is aware of the exposures underlying the CIU, it may look-through to those underlying exposures to assign them the appropriate haircut in accordance with paragraph 2;▼M1(b) where the credit in…
− (b) the CIU invests only in liquid assets and derivatives, in the latter case only to the extent necessary to mitigate interest rate, currency or credit risk in the portfolio.
+ **4.** Credit institutions shall develop robust methodologies and processes to calculate and report the market value and haircuts for shares or units in CIUs. Where the exposure is not sufficiently material for a credit institution to develop its own methodologies and provided that, in each case, th…
− 2. Credit institutions shall apply the following minimum haircuts to the value of their shares or units in CIUs depending on the category of underlying liquid assets:
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− (a) 0 % for coins and banknotes and exposures to central banks referred to in Article 10(1)(b);
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− (b) 5 % for level 1 assets other than extremely high quality covered bonds;
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− (c) 12 % for extremely high quality covered bonds referred to in Article 10(1)(f);
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− (d) 20 % for level 2A assets;
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− (e) 30 % for level 2B securitisations backed by the subcategories of assets referred to in points (i), (ii) and (iv) of Article 13(2)(g);
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− (f) 35 % for level 2B covered bonds referred to in Article 12(1)e;
− (g) 40 % for level 2B securitisations backed by the subcategories of assets referred to in points (iii) and (v) of Article 13(2)(g); and
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− (h) 55 % for level 2B corporate debt securities referred to in Article 12(1)(b), shares referred to in Article 12(1)(c) and non-interest bearing assets referred to in Article 12(1)(f).
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− 3. The approach referred to in paragraph 2 shall be applied as follows:
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− (a) where the credit institution is aware of the exposures underlying the CIU, it may look-through to those underlying exposures to assign them the appropriate haircut in accordance with paragraph 2;
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− (b) where the credit institution is not aware of the exposures underlying the CIU, it shall assume, for the purposes of determining the liquidity level of the underlying assets and for the purposes of assigning the appropriate haircut to those assets, that the CIU invests in liquid assets, up to the…
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− 4. Credit institutions shall develop robust methodologies and processes to calculate and report the market value and haircuts for shares or units in CIUs. Where the exposure is not sufficiently material for a credit institution to develop its own methodologies and provided that, in each case, the co…
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− (a) the depository institution of the CIU, provided that the CIU invests exclusively in securities and deposits all such securities at this depository institution; or
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− (b) for other CIUs, the CIU management company, provided that the CIU management company meets the requirements laid down in Article 132(3)(a) of Regulation (EU) No 575/2013.
− 
+ **5.** Where a credit institution fails to comply with the requirements laid down in paragraph 4 of this Article in relation to shares or units in a CIU, it shall cease to recognise them as liquid assets for the purposes of this Regulation in accordance with Article 18.
− 5. Where a credit institution fails to comply with the requirements laid down in paragraph 4 of this Article in relation to shares or units in a CIU, it shall cease to recognise them as liquid assets for the purposes of this Regulation in accordance with Article 18.
+ **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, th…
− 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 si…
+ **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…
− (a) where, in accordance with the national law or the legally binding documents governing the scheme or network, the central institution is obliged to hold or invest the deposits in liquid assets of a specified level or category, the deposits shall be treated as liquid assets of that same level or c…
− 
− (b) where the central institution is not obliged to hold or invest the deposits in liquid assets of a specified level or category, the deposits shall be treated as level 2B assets in accordance with this Regulation and their outstanding amount shall be subject to a minimum haircut of 25 %.
− 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 sam…
− 
+ **1.** Credit institutions shall comply at all times with the following requirements on the composition of their liquidity buffer:(a) a minimum of 60 % of the liquidity buffer is to be composed of level 1 assets;(b) a minimum of 30 % of the liquidity buffer is to be composed of level 1 assets exclud…
− 1. Credit institutions shall comply at all times with the following requirements on the composition of their liquidity buffer:
+ **2.** The requirements set out in paragraph 1 shall be applied after adjusting for the impact on the stock of liquid assets of secured funding, secured lending or collateral swap transactions using liquid assets on at least one leg of the transaction where the transactions mature within 30 calendar…
− (a) a minimum of 60 % of the liquidity buffer is to be composed of level 1 assets;
+ **3.** Credit institutions shall determine the composition of their liquidity buffer in accordance with the formulae laid down in Annex I to this Regulation.
− (b) a minimum of 30 % of the liquidity buffer is to be composed of level 1 assets excluding extremely high quality covered bonds referred to in Article 10(1)(f);
+ **4.** The competent authority may, on a case-by-case basis, waive the application of paragraphs 2 and 3 in full or in part with respect to one or more secured funding, secured lending or collateral swap transactions using liquid assets on at least one leg of the transaction and maturing within 30 c…
− (c) a maximum of 15 % of the liquidity buffer may be held in level 2B assets.
+ **5.** EBA shall, by 19 November 2020, report to the Commission on the technical suitability of the unwind mechanism set out in paragraphs 2 to 4 and on whether it is likely to have a detrimental impact on the business and risk profile of credit institutions established in the Union, on the stabilit…
− 2. The requirements set out in paragraph 1 shall be applied after adjusting for the impact on the stock of liquid assets of secured funding, secured lending or collateral swap transactions using liquid assets on at least one leg of the transaction where the transactions mature within 30 calendar day…
− 3. Credit institutions shall determine the composition of their liquidity buffer in accordance with the formulae laid down in Annex I to this Regulation.
− 
− 4. The competent authority may, on a case-by-case basis, waive the application of paragraphs 2 and 3 in full or in part with respect to one or more secured funding, secured lending or collateral swap transactions using liquid assets on at least one leg of the transaction and maturing within 30 calen…
− 
− (a) the counterparty to the transaction or transactions is the ECB or the central bank of a Member State;
− 
− (b) exceptional circumstances exist which pose a systemic risk affecting the banking sector of one or more Member States;
− 
− (c) the competent authority has consulted with the central bank that is the counterparty to the transaction or transactions, and also with the ECB where that central bank is an Eurosystem central bank, before granting the waiver.
− 
− 5. EBA shall, by 19 November 2020, report to the Commission on the technical suitability of the unwind mechanism set out in paragraphs 2 to 4 and on whether it is likely to have a detrimental impact on the business and risk profile of credit institutions established in the Union, on the stability an…
− 
+ **1.** Where a liquid asset ceases to comply with any applicable general requirements laid down in Article 7, the operational requirements laid down in Article 8(2) or any applicable eligibility criteria laid down in this Chapter, the credit institution shall cease to recognise it as a liquid asset …
− 1. Where a liquid asset ceases to comply with any applicable general requirements laid down in Article 7, the operational requirements laid down in Article 8(2) or any applicable eligibility criteria laid down in this Chapter, the credit institution shall cease to recognise it as a liquid asset no l…
+ **2.** Paragraph 1 shall apply to shares or units in a CIU ceasing to meet eligibility requirements only where they do not exceed 10 % of the CIU's overall assets.
− 2. Paragraph 1 shall apply to shares or units in a CIU ceasing to meet eligibility requirements only where they do not exceed 10 % of the CIU's overall assets.
+ **1.** Where there are insufficient liquid assets in a given currency for credit institutions to meet the liquidity coverage ratio laid down in Article 4, one or more of the following provisions shall apply:(a) the requirement on currency consistency set out in Article 8(6) shall not apply in relati…
− 1. Where there are insufficient liquid assets in a given currency for credit institutions to meet the liquidity coverage ratio laid down in Article 4, one or more of the following provisions shall apply:
+ **2.** Credit institutions shall apply the derogations provided for in paragraph 1 on an inversely proportional basis with regard to the availability of the relevant liquid assets. Credit institutions shall assess their liquidity needs for the application of this Article taking into account their ab…
− (a) the requirement on currency consistency set out in Article 8(6) shall not apply in relation to that currency;
+ **3.** The currencies which may benefit from the derogations laid down in paragraph 1 and the extent to which one or more derogations may be available in total for a given currency shall be determined by the implementing regulation to be adopted by the Commission in accordance with Article 419(4) of…
− (b) the credit institution may cover the deficit of liquid assets in a currency with credit facilities from the central bank in a Member State or third country of that currency, provided that the facility complies with all the following requirements: (i) it is contractually irrevocably committed for…
+ **4.** The detailed conditions applicable to the use of the derogations laid down in paragraph 1(a) and (b) shall be determined by the delegated act to be adopted by the Commission in accordance with Article 419(5) of Regulation (EU) No 575/2013.
− (c) where there is a deficit of level 1 assets but there are sufficient level 2A assets, the credit institution may hold additional level 2A assets in the liquidity buffer and the caps by asset level set out in Article 17 shall be deemed amended accordingly. These additional level 2A assets shall be…
− 
− 2. Credit institutions shall apply the derogations provided for in paragraph 1 on an inversely proportional basis with regard to the availability of the relevant liquid assets. Credit institutions shall assess their liquidity needs for the application of this Article taking into account their abilit…
− 
− 3. The currencies which may benefit from the derogations laid down in paragraph 1 and the extent to which one or more derogations may be available in total for a given currency shall be determined by the implementing regulation to be adopted by the Commission in accordance with Article 419(4) of Reg…
− 4. The detailed conditions applicable to the use of the derogations laid down in paragraph 1(a) and (b) shall be determined by the delegated act to be adopted by the Commission in accordance with Article 419(5) of Regulation (EU) No 575/2013.
− 
− ## *CHAPTER 1* / ***Net Liquidity outflows***
− 
+ **1.** The net liquidity outflows shall be the sum of liquidity outflows in point (a) reduced by the sum of liquidity inflows in point (b), but shall not be less than zero, and shall be calculated as follows:(a) the sum of the liquidity outflows as defined in Chapter 2;(b) the sum of liquidity inflo…
− 1. The net liquidity outflows shall be the sum of liquidity outflows in point (a) reduced by the sum of liquidity inflows in point (b), but shall not be less than zero, and shall be calculated as follows:
+ **2.** Liquidity inflows and liquidity outflows shall be assessed over a 30 calendar day stress period, under the assumption of a combined idiosyncratic and market-wide stress scenario as referred to in Article 5.
− (a) the sum of the liquidity outflows as defined in Chapter 2;
+ **3.** The calculation laid down in paragraph 1 shall be performed in accordance with the formula set out in Annex II.
− (b) the sum of liquidity inflows as defined in Chapter 3, calculated as follows: (i) the inflows exempted from the cap as referred to in Article 33(2) and (3); (ii) the lower of the inflows referred to in Article 33(4) and 90 % of the outflows referred to in (a) reduced by the exempt inflows in Arti…
− 2. Liquidity inflows and liquidity outflows shall be assessed over a 30 calendar day stress period, under the assumption of a combined idiosyncratic and market-wide stress scenario as referred to in Article 5.
− 
− 3. The calculation laid down in paragraph 1 shall be performed in accordance with the formula set out in Annex II.
− 
+ **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 me…
− 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 meetin…
+ **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 transa…
− 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 transactio…
− 
− 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…
+ **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 bot…
− (a) the collateral, when received, will qualify as a liquid asset under Title II of this Regulation;
− 
− (b) the credit institution will be legally entitled and operationally able to reuse the collateral, when received.
− ## *CHAPTER 2* / ***Liquidity outflows***
− 
+ **1.** Liquidity outflows shall be calculated by multiplying the outstanding balances of various categories or types of liabilities and off-balance sheet commitments by the rates at which they are expected to run off or be drawn down as indicated in this Chapter.
− 1. Liquidity outflows shall be calculated by multiplying the outstanding balances of various categories or types of liabilities and off-balance sheet commitments by the rates at which they are expected to run off or be drawn down as indicated in this Chapter.
+ **2.** Liquidity outflows referred to in paragraph 1 shall include, in each case multiplied by the applicable outflow rate:▼M1(a) the current outstanding amount for stable retail deposits and other retail deposits determined in accordance with Articles 24 and 25;(b) the current outstanding amounts o…
− 2. Liquidity outflows referred to in paragraph 1 shall include, in each case multiplied by the applicable outflow rate:
+ **3.** The calculation of liquidity outflows in accordance with paragraph 1 shall be subject to any netting of interdependent inflows that is approved under Article 26.
− (a) the current outstanding amount for stable retail deposits and other retail deposits determined in accordance with Articles 24 and 25;
− 
− (b) the current outstanding amounts of other liabilities that become due, can be called for pay-out by the issuer or by the provider of the funding or entail an expectation by the provider of the funding that the credit institution would repay the liability during the next 30 calendar days determine…
− 
− (c) the additional outflows determined in accordance with Article 30;
− 
− (d) the maximum amount that can be drawn down during the next 30 calendar days from undrawn committed credit and liquidity facilities determined in accordance with Article 31;
− (e) the additional outflows identified in the assessment in accordance with Article 23.
− 
− 3. The calculation of liquidity outflows in accordance with paragraph 1 shall be subject to any netting of interdependent inflows that is approved under Article 26.
− 
+ **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 th…
− 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. …
− 
− (a) other off-balance-sheet and contingent funding obligations, including uncommitted funding facilities;
+ **2.** The outflows referred to in paragraph 1 shall be assessed under the assumption of a combined idiosyncratic and market-wide stress as referred to in Article 5. For that assessment, credit institutions shall particularly take into account material reputational damage that could result from not …
− (b) undrawn loans and advances to wholesale counterparties;
+ **3.** The competent authorities shall at least once a year report to the EBA the types of products or services for which they have determined outflows on the basis of the reports from credit institutions, and shall include in that report an explanation of the methodology applied to determine the ou…
− (c) mortgage loans that have been agreed but not yet drawn down;
− 
− (d) credit cards;
− 
− (e) overdrafts;
− 
− (f) planned outflows related to the renewal of existing retail or wholesale loans or the extension of new retail or wholesale loans;
− 
− (g) derivative payables, other than the contracts listed in Annex II to Regulation (EU) No 575/2013 and credit derivatives;
− 
− (h) trade finance off-balance-sheet related products.
− 
− 2. The outflows referred to in paragraph 1 shall be assessed under the assumption of a combined idiosyncratic and market-wide stress as referred to in Article 5. For that assessment, credit institutions shall particularly take into account material reputational damage that could result from not prov…
− 3. The competent authorities shall at least once a year report to the EBA the types of products or services for which they have determined outflows on the basis of the reports from credit institutions, and shall include in that report an explanation of the methodology applied to determine the outflo…
− 
+ **1.** Unless the criteria for a higher outflow rate under Article 25(2), (3) or (5) are fulfilled, the amount of retail deposits covered by a deposit guarantee scheme in accordance with Directive 94/19/EC of the European Parliament and of the Council (9) or Directive 2014/49/EU or an equivalent dep…
− 1. Unless the criteria for a higher outflow rate under Article 25(2), (3) or (5) are fulfilled, the amount of retail deposits covered by a deposit guarantee scheme in accordance with Directive 94/19/EC of the European Parliament and of the Council (8) or Directive 2014/49/EU or an equivalent deposit…
+ **2.** For the purpose of paragraph 1(a) a retail deposit shall be considered to be part of an established relationship where the depositor meets at least one of the following criteria:(a) has an active contractual relationship with the credit institution of at least 12 months duration;(b) has a bor…
− (a) part of an established relationship making withdrawal highly unlikely; or
+ **3.** For the purposes of paragraph 1(b) a retail deposit shall be considered as being held in a transactional account where salaries, income or transactions are regularly credited and debited respectively against that account.
− (b) held in a transactional account.
+ **4.** By way of derogation from paragraph 1, from 1 January 2019 competent authorities may authorise credit institutions to multiply by 3 % the amount of the stable retail deposits referred to in paragraph 1 covered by a deposit guarantee scheme in accordance with Directive 2014/49/EU up to a maxim…
− 2. For the purpose of paragraph 1(a) a retail deposit shall be considered to be part of an established relationship where the depositor meets at least one of the following criteria:
+ **5.** Competent authorities shall only grant the authorisation referred to in paragraph 4 after having obtained prior approval from the Commission. Such approval shall be requested by means of a reasoned notification, which shall include evidence that the run-off rates for stable retail deposits wo…
− (a) has an active contractual relationship with the credit institution of at least 12 months duration;
+ **6.** Credit institutions may be authorised by their competent authority to multiply by 3 % the amount of the retail deposits covered by a deposit guarantee scheme in a third country equivalent to the scheme referred to in paragraph 1 if the third country allows this treatment.
− (b) has a borrowing relationship with the credit institution for residential loans or other long term loans;
− 
− (c) has at least one other active product, other than a loan, with the credit institution.
− 
− 3. For the purposes of paragraph 1(b) a retail deposit shall be considered as being held in a transactional account where salaries, income or transactions are regularly credited and debited respectively against that account.
− 
− 4. By way of derogation from paragraph 1, from 1 January 2019 competent authorities may authorise credit institutions to multiply by 3 % the amount of the stable retail deposits referred to in paragraph 1 covered by a deposit guarantee scheme in accordance with Directive 2014/49/EU up to a maximum l…
− 
− (a) the deposit guarantee scheme has available financial means, as referred to in Article 10 of Directive 2014/49/EU, raised *ex ante* by contributions made by members at least annually;
− 
− (b) the deposit guarantee scheme has adequate means of ensuring ready access to additional funding in the event of a large call on its reserves, including access to extraordinary contributions from member credit institutions and adequate alternative funding arrangements to obtain short-term funding …
− 
− (c) the deposit guarantee scheme ensures a seven working day repayment period as referred to in Article 8(1) of Directive 2014/49/EU from the date of application of the 3 % outflow rate.
− 
− 5. Competent authorities shall only grant the authorisation referred to in paragraph 4 after having obtained prior approval from the Commission. Such approval shall be requested by means of a reasoned notification, which shall include evidence that the run-off rates for stable retail deposits would …
− 
− 6. Credit institutions may be authorised by their competent authority to multiply by 3 % the amount of the retail deposits covered by a deposit guarantee scheme in a third country equivalent to the scheme referred to in paragraph 1 if the third country allows this treatment.
+ **1.** Credit institutions shall multiply by 10 % other retail deposits, including that part of retail deposits not covered by Article 24, unless the conditions laid down in paragraph 2 apply.
− 1. Credit institutions shall multiply by 10 % other retail deposits, including that part of retail deposits not covered by Article 24, unless the conditions laid down in paragraph 2 apply.
+ **2.** Other retail deposits shall be subject to higher outflow rates, as determined by the credit institution, in accordance with paragraph 3, where the following conditions are met:(a) the total deposit balance, including all the client's deposit accounts at that credit institution or group, excee…
− 2. Other retail deposits shall be subject to higher outflow rates, as determined by the credit institution, in accordance with paragraph 3, where the following conditions are met:
+ **3.** Credit institutions shall apply a higher outflow rate determined as follows:(a) where the retail deposits fulfil the criterion in point (a) or two of the criteria in points (b) to (e) of paragraph 2, an outflow rate of between 10 % and 15 % shall be applied;(b) where the retail deposits fulfi…
− (a) the total deposit balance, including all the client's deposit accounts at that credit institution or group, exceeds EUR 500 000 ;
− 
− (b) the deposit is an internet access-only account;
− 
− (c) the deposit offers an interest rate that fulfils any of the following conditions: (i) the rate significantly exceeds the average rate for similar retail products; (ii) its return is derived from the return on a market index or set of indices; (iii) its return is derived from any market variable …
− (d) the deposit was originally placed as fixed-term with an expiry date maturing within the 30 calendar day period or the deposit presents a fixed notice period shorter than 30 calendar days, in accordance with contractual arrangements, other than those deposits that qualify for the treatment provid…
− 
− (e) for credit institutions established in the Union, the depositor is resident in a third country or the deposit is denominated in a currency other than the euro or the domestic currency of a Member State. For credit institutions or branches in third countries, the depositor is a non-resident in th…
− 
− 3. Credit institutions shall apply a higher outflow rate determined as follows:
− 
− (a) where the retail deposits fulfil the criterion in point (a) or two of the criteria in points (b) to (e) of paragraph 2, an outflow rate of between 10 % and 15 % shall be applied;
− 
− (b) where the retail deposits fulfil point (a) of paragraph 2 and at least another criterion referred to in paragraph 2, or three or more criteria of paragraph 2, an outflow rate of between 15 % and 20 % shall be applied.
− 
+ **4.** Credit institutions may exclude from the calculation of outflows certain clearly circumscribed categories of retail deposits as long as in each and every instance the credit institution rigorously applies the following provisions for the whole category of those deposits, unless an exception c…
− 4. Credit institutions may exclude from the calculation of outflows certain clearly circumscribed categories of retail deposits as long as in each and every instance the credit institution rigorously applies the following provisions for the whole category of those deposits, unless an exception can b…
− (a) within 30 calendar days, the depositor is not allowed to withdraw the deposit; or
− 
− (b) for early withdrawals within 30 calendar days, the depositor has to pay a penalty that includes the loss of interest between the date of withdrawal and the contractual maturity date plus a material penalty that does not have to exceed the interest due for the time that elapsed between the date o…
− 
+ **5.** By derogation from paragraphs 1 to 4 and Article 24, credit institutions shall multiply retail deposits that they have taken in third countries by a higher percentage outflow rate if such a percentage is provided for by the national law establishing liquidity requirements in that third countr…
− 5. By derogation from paragraphs 1 to 4 and Article 24, credit institutions shall multiply retail deposits that they have taken in third countries by a higher percentage outflow rate if such a percentage is provided for by the national law establishing liquidity requirements in that third country.
+ **1.** Credit institutions shall multiply by 25 % liabilities resulting from deposits that are maintained as follows:(a) by the depositor in order to obtain clearing, custody, cash management or other comparable services in the context of an established operational relationship from the credit insti…
− 1. Credit institutions shall multiply by 25 % liabilities resulting from deposits that are maintained as follows:
+ **2.** By derogation from paragraph 1, credit institutions shall multiply by 5 % the portion of liabilities resulting from deposits referred to in paragraph 1(a) which is covered by a deposit guarantee scheme in accordance with Directive 94/19/EC or Directive 2014/49/EU or an equivalent deposit guar…
− (a) by the depositor in order to obtain clearing, custody, cash management or other comparable services in the context of an established operational relationship from the credit institution;
+ **3.** Deposits from credit institutions placed at the central institution that are considered as liquid assets for the depositing credit institution in accordance with Article 16 shall be multiplied by a 100 % outflow rate for the central institution on the amount of these liquid assets after hairc…
− (b) in the context of common task sharing within an institutional protection scheme meeting the requirements of Article 113(7) of Regulation (EU) No 575/2013 or within a group of cooperative credit institutions permanently affiliated to a central body meeting the requirements of Article 113(6) of th…
+ **4.** Clearing, custody, cash management or other comparable services referred to in points (a) and (d) of paragraph 1 only cover such services to the extent that they are rendered in the context of an established relationship which is critically important to the depositor. Deposits referred to in …
− (c) by the depositor in the context of an established operational relationship other than that mentioned in point (a);
+ **5.** Deposits arising out of a correspondent banking relationship or from the provision of prime brokerage services shall not be treated as an operational deposit and shall receive a 100 % outflow rate.
− (d) by the depositor to obtain cash clearing and central institution services and where the credit institution belongs to one of the networks or schemes referred to in Article 16.
− 
− 2. By derogation from paragraph 1, credit institutions shall multiply by 5 % the portion of liabilities resulting from deposits referred to in paragraph 1(a) which is covered by a deposit guarantee scheme in accordance with Directive 94/19/EC or Directive 2014/49/EU or an equivalent deposit guarante…
+ **6.** In order to identify the deposits referred to in point (c) of paragraph 1, a credit institution shall consider that there is an established operational relationship with a non-financial customer, excluding term deposits, savings deposits and brokered deposits, where all of the following crite…
− 3. Deposits from credit institutions placed at the central institution that are considered as liquid assets for the depositing credit institution in accordance with Article 16 shall be multiplied by a 100 % outflow rate for the central institution on the amount of these liquid assets after haircut. …
− 
− 4. Clearing, custody, cash management or other comparable services referred to in points (a) and (d) of paragraph 1 only cover such services to the extent that they are rendered in the context of an established relationship which is critically important to the depositor. Deposits referred to in poin…
− 
− 5. Deposits arising out of a correspondent banking relationship or from the provision of prime brokerage services shall not be treated as an operational deposit and shall receive a 100 % outflow rate.
− 
− 6. In order to identify the deposits referred to in point (c) of paragraph 1, a credit institution shall consider that there is an established operational relationship with a non-financial customer, excluding term deposits, savings deposits and brokered deposits, where all of the following criteria …
− (a) the remuneration of the account is priced at least 5 basis points below the prevailing rate for wholesale deposits with comparable characteristics, but need not be negative;
− 
− (b) the deposit is held in specifically designated accounts and priced without creating economic incentives for the depositor to maintain funds in the deposit in excess of what is needed for the operational relationship;
− 
− (c) material transactions are credited and debited on a frequent basis on the account considered;
− 
− (d) one of the following criteria is met: (i) the relationship with the depositor has existed for at least 24 months; (ii) the deposit is used for a minimum of 2 active services. These services may include direct or indirect access to national or international payment services, security trading or d…
− 
+ **1.** Credit institutions shall multiply liabilities resulting from deposits by clients that are non-financial customers, sovereigns, central banks, multilateral development banks, public sector entities, credit unions authorised by a competent authority, personal investment companies or by clients…
− 1. Credit institutions shall multiply liabilities resulting from deposits by clients that are non-financial customers, sovereigns, central banks, multilateral development banks, public sector entities, credit unions authorised by a competent authority, personal investment companies or by clients tha…
+ **2.** Credit institutions shall multiply liabilities resulting from the institution's own operating expenses by 0 %.
− 2. Credit institutions shall multiply liabilities resulting from the institution's own operating expenses by 0 %.
− 
− 3. Credit institutions shall multiply liabilities maturing within 30 calendar days and resulting from secured lending or capital market-driven transactions, as defined in points (2) and (3) respectively of Article 192 of Regulation (EU) No 575/2013, by:
+ **3.** ►M2 Credit institutions shall multiply liabilities maturing within 30 calendar days and resulting from securities financing transactions or capital market-driven transactions by:** ◄ **(a) 0 % where they are collateralised by assets that, but for being used as collateral for those transaction…
− (a) 0 % where they are collateralised by assets that, but for being used as collateral for those transactions, would qualify in accordance with Articles 7 and 10 of this Regulation as liquid assets of any of the categories of level 1 asset referred to in Article 10, with the exception of extremely h…
+ ►M2 By way of derogation from the first subparagraph, where the counterparty to the securities financing transactions or capital market-driven transaction is the domestic central bank of the credit institution, the outflow rate shall be 0 %.** ◄ ** However, in cases where the transaction is done thr…
− (b) 7 % where they are collateralised by assets that, but for being used as collateral for those transactions, would qualify in accordance with Articles 7 and 10 of this Regulation as liquid assets of the category referred to in point (f) of Article 10(1);
+ By way of derogation from the first subparagraph, for securities financing transactions or capital market-driven transactions that would require an outflow rate under that subparagraph higher than 25 %, the outflow rate shall be 25 % where the counterparty to the transaction is an eligible counterpa…
− (c) 15 % where they are collateralised by assets that, but for being used as collateral for those transactions, would qualify in accordance with Articles 7 and 11 of this Regulation as liquid assets of any of the categories of level 2A asset referred to in Article 11;
+ **4.** Collateral swaps, and other transactions with a similar form, that mature within the next 30 calendar days shall lead to an outflow where the asset borrowed is subject to a lower haircut under Chapter 2 than the asset lent. The outflow shall be calculated by multiplying the market value of th…
− (d) 25 % where they are collateralised by assets that, but for being used as collateral for those transactions, would qualify in accordance with Articles 7 and 13 of this Regulation as liquid assets of any of the categories of level 2B asset referred to in point (i), (ii) or (iv) of point (g) of Art…
− 
− (e) 30 % where they are collateralised by assets that, but for being used as collateral for those transactions, would qualify in accordance with Articles 7 and 12 of this Regulation as liquid assets of the category of level 2B asset referred to in point (e) of Article 12(1);
− (f) 35 % where they are collateralised by assets that, but for being used as collateral for those transactions, would qualify in accordance with Articles 7 and 13 of this Regulation as liquid assets of any of the categories of level 2B asset referred to in point (iii) or (v) of point (g) of Article …
− 
− (g) 50 % where they are collateralised by assets that, but for being used as collateral for those transactions, would qualify in accordance with Articles 7 and 12 of this Regulation as liquid assets of any of the categories of level 2B asset referred to in point (b), (c) or (f) of Article 12(1);
− 
− (h) the percentage minimum haircut determined in accordance with paragraphs (2) and (3) of Article 15 of this Regulation where they are collateralised by shares or units in CIUs that, but for being used as collateral for those transactions, would qualify in accordance with Articles 7 and 15 as liqui…
− 
− (i) 100 % where they are collateralised by assets that do not fall within any of points (a) to (h) of this subparagraph.
− 
− By way of derogation from the first subparagraph, where the counterparty to the secured lending or capital market-driven transaction is the domestic central bank of the credit institution, the outflow rate shall be 0 %. However, in cases where the transaction is done through a branch with the centra…
− 
− By way of derogation from the first subparagraph, for secured lending or capital market-driven transactions that would require an outflow rate under that first subparagraph higher than 25 %, the outflow rate shall be 25 % where the counterparty to the transaction is an eligible counterparty.
− 
− 4. Collateral swaps, and other transactions with a similar form, that mature within the next 30 calendar days shall lead to an outflow where the asset borrowed is subject to a lower haircut under Chapter 2 than the asset lent. The outflow shall be calculated by multiplying the market value of the as…
− 
+ **5.** The offsetting balances held in segregated accounts related to client protection regimes imposed by national regulations shall be treated as inflows in accordance with Article 32 and shall be excluded from the stock of liquid assets.
− 5. The offsetting balances held in segregated accounts related to client protection regimes imposed by national regulations shall be treated as inflows in accordance with Article 32 and shall be excluded from the stock of liquid assets.
+ **6.** Credit institutions shall apply a 100 % outflow rate to all notes, bonds and other debt securities issued by the credit institution, unless the bond is sold exclusively in the retail market and held in a retail account, in which case those instruments can be treated as the appropriate retail …
− 6. Credit institutions shall apply a 100 % outflow rate to all notes, bonds and other debt securities issued by the credit institution, unless the bond is sold exclusively in the retail market and held in a retail account, in which case those instruments can be treated as the appropriate retail depo…
+ **7.** Assets borrowed on an unsecured basis and maturing within the next 30 calendar days shall be assumed to run off in full, leading to a 100 % outflow of liquid assets, unless the credit institution owns the assets borrowed and the assets borrowed do not form part of the credit institution's liq…
− 7. Assets borrowed on an unsecured basis and maturing within the next 30 calendar days shall be assumed to run off in full, leading to a 100 % outflow of liquid assets, unless the credit institution owns the assets borrowed and the assets borrowed do not form part of the credit institution's liquidi…
− 
− 8. For the purposes of this Article, ‘domestic central bank’ means any of the following:
+ **8.** For the purposes of this Article, ‘domestic central bank’ means any of the following:(a) any Eurosystem central bank where the credit institution's home Member State has adopted the Euro as its currency;(b) the national central bank of the credit institution's home Member State where that Mem…
− (a) any Eurosystem central bank where the credit institution's home Member State has adopted the Euro as its currency;
+ **9.** For the purposes of this Article, ‘eligible counterparty’ means any of the following:(a) the central government, a public sector entity, a regional government or a local authority of the credit institution's home Member State;(b) the central government, a public sector entity, a regional gove…
− (b) the national central bank of the credit institution's home Member State where that Member State has not adopted the Euro as its currency;
− 
− (c) the central bank of the third country in which the credit institution is incorporated.
− 
− 9. For the purposes of this Article, ‘eligible counterparty’ means any of the following:
− 
− (a) the central government, a public sector entity, a regional government or a local authority of the credit institution's home Member State;
− 
− (b) the central government, a public sector entity, a regional government or a local authority of the Member State or of the third country in which the credit institution is incorporated for the transactions undertaken by that credit institution;
− (c) a multilateral development bank.
− 
+ **1.** By way of derogation from Article 31 competent authorities may authorise the application of a lower outflow rate on a case by case basis for undrawn credit or liquidity facilities when all of the following conditions are fulfilled:(a) there are reasons to expect a lower outflow even under a c…
− 1. By way of derogation from Article 31 competent authorities may authorise the application of a lower outflow rate on a case by case basis for undrawn credit or liquidity facilities when all of the following conditions are fulfilled:
+ **2.** Competent authorities may waive the condition set out in point (d) of paragraph 1 where Article 20(1)(b) of Regulation (EU) No 575/2013 is applied. In that case, the following additional objective criteria have to be met:▼M1(a) the liquidity provider and receiver will present a low liquidity …
− (a) there are reasons to expect a lower outflow even under a combined market and idiosyncratic stress of the provider;
− (b) the counterparty is the parent or subsidiary institution of the credit institution or another subsidiary of the same parent institution or linked to the institution by a relationship within the meaning of Article 12(1) of Directive 83/349/EEC (9) or a member of the same institutional protection …
− 
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