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Treatment of central bank reserves in the LCR

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

The recognition of reserves held in a central bank as level 1 assets in the liquidity coverage ratio (LCR) under the Delegated LCR Regulation is contingent on an agreement between the relevant competent authority and the ECB (Delegated Regulation (EU) 2015/61, Article 10 (1) (b) (iii)). The procedure described in this notice shall apply to the calculation of the LCR as of 1 October 2015 and also to reporting pursuant to Commission Implementing Regulation (EU) No 680/2014.

Guidance Notice

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