Mapping template LCR disclosure vs LCR supervisory reporting.xlsx
Mapping template LCR disclosure vs LCR supervisory reporting
Mapping template LCR disclosure vs LCR supervisory reporting
These 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.
EBA report on liquidity measures and the review of the phase-in of the liquidity coverage requirement (EBA-Op-2016-22)
The European Banking Authority (EBA) published today its third impact assessment Report for the liquidity coverage ratio (LCR), together with a review of its phasing-in period. The Report shows a constant improvement of the average LCR across EU banks since 2011. At the reporting date of 31 December 2015, EU banks’ average LCR was significantly above the 100% minimum requirement, which will have to be fully implemented by January 2018, and no strong evidence was found suggesting that the EBA should recommend an extension of the phasing-in period of the LCR. The Report, which is based on liquidity data from 194 EU banks across 17 Member States, is the first publication after the implementation of the minimum binding standards in 2015 and accounts for the provisions of the Commission’s Delegated Regulation on the LCR.
Example template C66.00 of Annex XXIV
Annex XX - Compared to December 2013 publication
Annex XXIV - maturity ladder
Annex XVIII - Compared to December 2013 version
Consultation Paper on amending ITS on AMM (EBA-CP-2016-22)
Annex XIX - instructions - Compared to December 2013 version
Example template C70.00 of Annex XVIII
Annex XXI - instructions - Compared to December 2013 version
Annex XXV - instructions for maturity ladder
The European Banking Authority (EBA) launched today for consultation a proposal to review its Implementing Technical Standards (ITS) on additional monitoring metrics for liquidity, which mainly consists of reintroducing a maturity ladder in line with the reporting requirements laid down in the Commission’s Delegated Act on the Liquidity Coverage Ratio (LCR). These revised ITS aim at providing Competent Authorities with harmonised information on institutions’ liquidity risk profile, taking into account the nature, scale and complexity of their activities.
EBA Report on Core Funding Ratio (EBA-2016-Op-15)
EBA-2016-D-876 Letter to Mr Guersent, DG FISMA re EBA report on the core funds ratio
The European Banking Authority (EBA) published today a Report analysing the core funding ratio across the EU. The Report is in response to a request from the European Commission to explore the possibilities of the core stable funding ratio (CFR) as a potential alternative metrics for the assessment of EU banks’ funding risk, taking into account proportionality. The Report concludes that, overall, it would be misleading to rely only on the CFR to assess banks’ funding needs because, unlike the Net Stable Funding Ratio (NSFR), the CFR does not look at the whole balance sheet of a bank and, therefore, cannot fully assess a potential funding gap. This Report is based on the same QIS data used for the NSFR Report published in December 2015.