The main LCR eligibility features are summarised in the table below (the EU and UK positions, at least in their current form, remain largely aligned post-Brexit). The below table highlights in green the more permissive regime.

In its 2024 market study, AFME found that although 80% of bank treasuries surveyed in the EU/UK invested in securitisations for HQLA purposes, there was significantly reduced appetite as a result of haircut levels, LCR eligibility criteria and limited eligible asset availability. Notwithstanding the regulatory treatment, it was noted that the performance and liquidity of securitisation positions remained resilient during periods of stress (such as, for example, during COVID-19 and during the UK's liability-driven investment crisis).  

The EU is currently considering a more substantive recalibration of the LCR regime. As part of its June 2025 securitisation package, the European Commission published draft delegated regulation amending Commission Delegated Regulation (EU) 2015/61 (the LCR Delegated Regulation) (the LCR Proposals). The LCR Proposals do not amend any Level 1 legislation and, as a result, are not subject to the trilogue negotiations which are currently being progressed in respect of the Securitisation Regulation and the Capital Requirements Regulation. However, the Commission has noted that, given the overlap between the proposals (including by reference to resilient securitisations which are expected to be a key feature of the trilogue discussions), it would be prudent to wait until the trilogues have concluded so that the amended LCR Delegated Regulation applies simultaneously with the updated Securitisation Regulation and CRR package. 
The LCR Proposals currently envisage the following changes:

1. Removal of five-year remaining WAL. This aligns with the Basel standard and may be particularly beneficial for long-dated assets like RMBS (which have generally relied on call options to maintain LCR eligibility).
2. Expansion of credit rating eligibility, expanding from the current CQS 1 (AAA), to:
   1. CQS 2 (AA+) to CQS 4 (AA-);
   2. CQS 5 (A+) to CQS 7 (A-), albeit subject to a higher 50% haircut;
3. A reduction in the haircut to 15% for resilient securitisations which have a rating of CQS 4 or higher and an issue size of at least EUR250m.
4. Removal of 35% haircut for non-RMBS securitisations, which will now be treated like RMBS securitisations with a 25% haircut.
5. Alignment of homogeneity requirements with the Securitisation Regulation, such that (broadly) compliance with the STS criteria is sufficient for portfolio composition requirements. Changes to the Securitisation Regulation contemplate reducing homogeneity requirements for the STS criteria to 70% for SME loans which could help to increase SME transactions within the STS framework.

There are no changes to the STS requirement, the requirement for the position to represent the senior tranche and the 15% overall cap on Level 2B assets in the HQLA stock. In addition, the inclusion of assets only as Level 2B remains unchanged, failing to create a more level playing field with covered bonds, despite similar performance of senior tranches in stressed conditions.

The UK has, to date, taken a materially different approach. In the Bank of England's March 2026 consultation paper CP5/26 (Modernising the liquidity policy framework), the PRA has focussed on a much lighter-touch principles based amendment in assessing whether assets treated as liquid for regulatory purposes can in fact be monetised quickly during periods of stress. This was, in large part, driven by the March 2023 banking turmoil which showed that modern technology (in particular banking apps and the ability to withdraw deposits within a few seconds online) allow liquidity stresses to crystallise materially faster than contemplated in the original 30-day LCR period.

As a result, rather than relaxing the rules, the PRA has proposed adding additional annual monetisation testing (i.e. a requirement to repo or sell HQLA stock on a regular basis to verify its liquidity), even for perceived safer HQLA such as sovereign bonds. Firms would also be required to assess monetisation risk in internal stress testing procedures, including market depth, operation and governance frictions.

In a policy paper published on 19 February 2026, His Majesty's Treasury stated that it would consider the treatment of covered bonds in the HQLA composition, although nothing was specifically mentioned in the context of securitisations. Although there are currently no formal proposals in the UK to track the EU changes, the PRA has already brought the LCR framework into its own rulebook process (thereby making future changes administratively easier to pass), and a number of statements (including David Bailey's speech in April 2026 and the Bank of England's holistic policy overview in May 2026) have expressly considered the benefits and use of securitisations and the need to continue modernising and updating the UK's prudential liquidity framework.

It is therefore possible that future consultations may seek to adjust the treatment of securitisations in the UK's LCR regime.

Although the current position between the EU and the UK is largely identical, the proposed changes in the EU in light of the Savings and Investments Union are likely to make the treatment of securitisations in the EU more favourable from an LCR perspective.

Setting the two regimes side by side once the LCR Proposals take effect, EU credit institutions will be able to build HQLA buffers using senior STS positions across a materially broader rating band (down to A-), without the 5-year WAL cap that has historically excluded long-dated RMBS, and at haircuts ranging from 15% to 50% depending on rating and structural characteristics. UK credit institutions, absent equivalent PRA action, will remain limited to senior STS positions rated CQS 1 (AAA), with the 5-year WAL cap, the £88m minimum issue size and the 25%/35% haircut split. Absent any equivalency decisions, UK banks investing in EU securitisations will not be able to benefit from the same LCR treatment as their EU counterparts.

The divergence also has a cross-border dimension. On 30 June 2026, the UK made its recognition of EU STS securitisations permanent through the Securitisation (Overseas STS Equivalence) (European Union, Iceland, Liechtenstein and Norway) Regulations 2026 (SI 2026/550), so EU-issued STS positions will continue to qualify as UK STS for LCR HQLA purposes. Reciprocity, however, has not been forthcoming: the EU has not extended equivalence to UK STS designation, meaning UK-issued STS positions cannot be counted as HQLA by EU credit institutions at all. Combined with the widening of the EU eligibility perimeter, this produces an asymmetric divergence:

6. EU bank treasuries will enjoy meaningfully broader HQLA treatment for EU-originated STS positions;
7. UK bank treasuries will retain access to the same pool of EU-originated STS positions but on materially stricter terms (given the UK's LCR eligibility will be tighter than that of the EU); and
8. UK-originated STS positions will remain outside the EU HQLA universe altogether.

Over time, that asymmetry is likely to influence issuer choice of jurisdiction where the investor base is LCR-sensitive, and to reinforce the incentives for HM Treasury and the PRA to revisit Article 13 of the LCR (CRR) Part of the PRA Rulebook. Whether the UK responds by aligning with the EU changes or accepts a period of divergence as a deliberate policy choice, will be one of the more significant open questions for the UK securitisation market in the 2026-2027 window, particularly taking into account the overall competitiveness and growth objectives to the extent that the EU adopts a more favourable regime.