EBA欧洲银行-Additional-liquidity-outflows-slides-for-public-hearing-10-July_11页_129kb

EBA Consultation on Additional Collateral Outflows

Core Content

The European Banking Authority (EBA) issued a consultation document in July 2013 regarding draft regulatory technical standards (RTS) for additional collateral outflows resulting from adverse market scenarios. This initiative is based on Article 423(3) of the Capital Requirements Regulation (CRR), which mandates institutions to report additional outflows related to collateral needs in such scenarios if they are material.

The consultation aims to develop a framework for determining the conditions of application and methods for measuring these additional outflows. The EBA is tasked with submitting the draft RTS to the European Commission by 31 March 2014. The scope of the RTS aligns with the CRR's liquidity reporting requirements, applicable on an individual and consolidated basis.

Main Views

The EBA proposed three methods for calculating additional collateral outflows:

1. Standard Method

   • The default approach, involving a basic stress test.
   • Institutions revalue their positions against pre-defined market shocks.
   • The method includes an iterative process where the most adverse scenario for each risk factor is selected, and then revaluation is done assuming all selected scenarios occur simultaneously.
   • Key concepts include reusability of collateral inflows and net basis collateral flows.
   • Collateral is considered usable if it is unilaterally available and a liquid asset under Article 416(1) CRR.

2. Simplified Method

   • Designed for institutions with less material and complex portfolios.
   • Only applicable if the estimated additional outflows are less than 5% of liquid assets under Article 416(1) CRR.
   • Uses notional amounts multiplied by outflow factors from Annex II.
   • No revaluation of positions is required; only sensitivity categorization is needed.
   • Only the larger of the upward or downward sensitive transactions is multiplied by the outflow factor.

3. Internal Model Based Method (UNE)

   • An option for institutions with an approved Expected Positive Exposure (EPE) model.
   • Requires validation of models for the transactions and contracts covered by the RTS.
   • Involves generating scenarios using the EPE model's simulation capabilities, with a focus on negative revaluations.
   • Institutions not meeting the conditions must revert to the standard method and notify their competent authority.

Key Information

• A fourth method, the Historical Look Back Approach, was also considered. Proposed by the Basel Committee on Banking Supervision (BCBS) in January 2013, it involves looking at the largest absolute net 30-day collateral flow over the preceding 24 months.
• This approach is backward-looking, which may lead to procyclicality concerns.
• The EBA is open to practical suggestions to improve the feasibility of implementing the proposed methods.

Conclusion

The consultation outlines a range of methods to ensure the RTS on additional collateral outflows is applicable to different types of institutions. The methods aim to balance complexity, cost, and accuracy in measuring collateral needs under adverse market conditions. Institutions are encouraged to provide feedback to enhance the practicality of the proposed approaches.

Contact Information

• Email: EBA-CP-2013-19@eba.europa.eu
• Reference: ‘EBA/CP/2013/19’
• Deadline: 14 August 2013
• Address: Floor 18 | Tower 42 | 25 Old Broad Street, London EC2N 1HQ, United Kingdom
• Phone: +44 (0)20 7933 9900
• Fax: +44 (0)20 7382 1771
• Website: www.eba.europa.eu