EBA欧洲银行-Guidelines-on-LCR-disclosure-to-complement-the-disclosure-of-liquidity-risk-management-28EBA-GL-2017-0129_68页_944kb

Summary of EBA/GL/2017/01: Guidelines on LCR Disclosure

Core Content

The EBA/GL/2017/01 guidelines provide a harmonised framework for the disclosure of liquidity coverage ratio (LCR) information, complementing the general liquidity risk management disclosure requirements under Article 435 of Regulation (EU) No 575/2013 (CRR). These guidelines are designed to ensure transparency, comparability, and consistency in liquidity risk disclosures across the EU, while also providing flexibility based on the systemic status of institutions.

Main Views and Key Information

1. Legal Basis and Rationale

• The guidelines are based on Article 435 of the CRR, which outlines the general disclosure framework for liquidity risk.
• They align with the Basel Committee on Banking Supervision (BCBS) disclosure standards for LCR, aiming to improve market discipline and transparency.
• The purpose is to harmonise the LCR disclosure format and ensure that all necessary quantitative and qualitative information is disclosed to external stakeholders and supervisors.

2. Scope of Application

• The guidelines apply to credit institutions subject to the LCR Delegated Act (EU) 2015/61.
• They are aligned with EBA/GL/2016/11, which outlines the general disclosure requirements under Part Eight of the CRR.
• The scope is flexible, allowing non-systemic institutions to use simplified disclosure templates on a voluntary basis.

3. Disclosure Framework

• The guidelines include:
  • A qualitative/quantitative table (Annex I) for liquidity risk management.
  • A quantitative LCR disclosure template (EU LIQ1, Annex II) and a qualitative template for LCR-related information.
  • Instructions (Annex III) on how to use the templates.
• The LCR disclosure template is fixed in format, while the qualitative template is flexible in content.

4. Implementation and Compliance

• The guidelines apply from 31 December 2017.
• Competent authorities must notify the EBA by a specific date (not specified in the summary) whether they comply with the guidelines or provide reasons for non-compliance.
• Compliance is encouraged through the incorporation of the guidelines into supervisory practices and legal frameworks.

5. Proportionality and Flexibility

• The guidelines differentiate between systemic and non-systemic institutions:
  • Systemic institutions must use the comprehensive LCR disclosure template.
  • Non-systemic institutions may use a simplified template containing only three key items: the LCR value, the liquidity buffer, and the net cash outflows.
• This proportionality ensures that the disclosure burden is aligned with the systemic importance of the institution.

6. Disclosure Frequency and Waivers

• The guidelines are consistent with EBA/GL/2014/14, which outlines the materiality, proprietary, and confidentiality criteria for disclosure.
• They allow for flexible disclosure frequency, with some items (such as the LCR value, net cash outflows, and liquidity buffer) considered prone to rapid change, thus requiring more frequent disclosure.
• Institutions may omit certain disclosures if they are deemed non-material, proprietary, or confidential.

7. Harmonisation and Benefits

• The use of uniform templates improves transparency and comparability across the EU.
• It supports market participants in making informed economic decisions based on consistent liquidity risk data.
• The simplified approach for non-systemic institutions reduces the administrative burden and enhances market discipline.

Key Templates and Tables

Annex I: Table EU LIQA

• Purpose: Disclose liquidity risk management objectives and policies.
• Scope: Mandatory for credit institutions under the guidelines.
• Content: Qualitative and quantitative information.
• Frequency: At least annual.
• Format: Flexible.

Annex II: Templates EU LIQ1

• Purpose: Disclose the level and components of the LCR.

• Scope: Mandatory for credit institutions under the guidelines.

• Content: Quantitative information.

• Frequency: At least annual.

• Format: Fixed.

• Items included:

  • High-quality liquid assets (HQLA)
  • Cash outflows (retail deposits, stable and less stable deposits, unsecured and secured wholesale funding, etc.)
  • Additional requirements (e.g., outflows related to derivative exposures and loss of funding on debt products)
  • Credit and liquidity facilities

Annex III: Instructions for Templates

• Provides detailed guidance on the use of the LCR disclosure and qualitative templates.
• Includes instructions for the accurate and consistent application of the templates.

Supporting Documents

• A mapping template is provided to link LCR reporting and disclosure templates.
• It is not legally binding and serves only informational purposes.
• A cost-benefit analysis and impact assessment is also included, highlighting the benefits of the harmonised framework.

Conclusion

These guidelines aim to ensure uniformity and transparency in LCR disclosures across the EU. They are aligned with both the CRR and BCBS standards, and they provide flexibility for institutions based on their systemic status. The use of standardised templates is expected to reduce costs, enhance comparability, and support market discipline.