EBA consults on draft technical standards on liquidity

The European Banking Authority (EBA) launches today two consultations on (i) draft Implementing Technical Standards (ITS) related to supervisory reporting of additional monitoring metrics for liquidity and (ii) draft Regulatory Technical Standards (RTS) on additional collateral outflows. Both consultations run until 14 August 2013.

ITS on additional liquidity monitoring metrics

The proposed ITS aim at developing additional metrics other than those used to report liquidity coverage and stable funding requirements with a view to providing supervisors with an adequate toolkit to assess liquidity risk and to facilitate their work in performing reviews of Internal Liquidity Adequacy Assessment Processes (ILAAP).

The following five metrics are proposed in the draft ITS:

• Maturity ladder, both contractual and behavioural
• Concentration of funding by counterparty
• Prices for various sources of funding
• Roll-over of funding

To avoid double reporting, the definitions for additional reporting items have been aligned, to the greatest extent possible, with those of the draft ITS on liquidity risk reporting.

As for the scope and level of application, the additional metrics will be reported on a consolidated and/or individual basis, as appropriate. In particular, the default reporting frequency of the additional metrics will be one month but it can be reduced to a quarterly frequency if certain conditions are met.

The EBA is expected to submit these ITS to the European Commission by 1 January 2014.

RTS on additional liquidity outflows corresponding to collateral needs

The proposed draft RTS aim at developing methods to determine additional collateral outflows stemming from the impact of an adverse market scenario on an institution's derivatives positions, financing transactions and other contracts, if material. In particular, these RTS focus on capturing adverse changes in market valuation of derivatives and similar transactions and contracts that require collateral.

These RTS propose three methods to determine the additional collateral outflows:

• Standard method
• Simplified method
• Internal model-based method

Additionally, the consultation paper seeks feedback on the historical look-back approach.

These draft RTS are expected to be submitted to the European Commission by 31 March 2014.

Background

The final comprise on the Capital Requirements Regulation and Capital Requirements Directive (CRR/CRD) provides a mandate for the EBA to develop draft RTS or ITS related to liquidity and liquidity reporting requirements.

These standards will be part of the Single Rulebook aiming at enhancing regulatory harmonisation in Europe.

Consultation process

Comments to the consultation paper on additional liquidity monitoring metrics can be sent to the EBA by e-mail by e-mail to EBA-CP-2013-18@eba.europa.eu by 14 August 2013, indicating the reference EBA/CP/2013/18.

Comments to the consultation paper on additional outflows can be sent to the EBA by e-mail by e-mail to EBA-CP-2013-19@eba.europa.eu by 14 August 2013, indicating the reference EBA/CP/2013/19.

All contributions received will be published unless you request otherwise.

A public hearing on the consultation on additional liquidity monitoring metrics will take place at the EBA premises on 10 July 2013 from 10:00 to 13:00 UK time. To register for this public hearing, click here.

A public hearing on the consultation on additional outflows will take place at the EBA premises on 10 July 2013 from 14:00 to 17:00 UK time. To register for this public hearing, click here