EBA欧洲银行-EBA-ITS-2015-04-Final-draft-ITS-amending-ITS-on-LCR-reporting_33页_425kb

Summary of EBA Final Draft Implementing Technical Standards on Liquidity Coverage Ratio (LCR)

Core Content

The EBA Final Draft Implementing Technical Standards (ITS) amends Commission Implementing Regulation (EU) No 680/2014 regarding the Liquidity Coverage Ratio (LCR), following the European Commission's Delegated Act (DA) on the LCR published on 17 January 2015. These standards aim to align the supervisory reporting requirements with the detailed specifications of the LCR as outlined in the DA, ensuring that credit institutions report their liquidity coverage in a structured and uniform manner.

Main Objectives

• To ensure proper supervisory review of the LCR by providing accurate and detailed reporting templates and instructions.
• To replace the existing LCR templates with new ones that reflect the DA, avoiding double reporting and reducing operational costs.
• To facilitate cross-border supervision by ensuring uniformity in reporting across all EU Member States.
• To update the ITS to reflect changes in the Single Rulebook and to address typos, legal references, and formatting inconsistencies.

Key Changes

The new ITS introduce significant changes to the LCR reporting templates and instructions, including:

• New templates for credit institutions:
  • Template C72.00: Reporting on liquid assets (Level 1 and Level 2), including applicable weights, market value, and asset-specific information.
  • Template C73.00: Reporting on liquidity outflows over 30 days, including outflow rates, inflows, and collateral-related information.
  • Template C74.00: Reporting on liquidity inflows over 30 days, including inflow rates, and collateral received.
  • Template C75.00: Reporting on collateral swaps and related transactions.
  • Template C76.00: Reporting on the calculation of the LCR, including the liquidity buffer and net liquidity outflows.

These templates are designed to align with the Commission Delegated Regulation (EU) 2015/61 and will replace the previous LCR templates in Regulation (EU) No 680/2014 for credit institutions.

Scope and Applicability

• The new ITS apply to credit institutions and replace the previous LCR templates in Regulation (EU) No 680/2014.
• Investment firms continue to use the existing templates (Annexes XII and XIII) unless they fall under the DA's scope.
• The templates and instructions will be binding and directly applicable in all Member States once adopted by the EU Commission.

Implementation Details

• Reference date: The EBA proposes a first reference date corresponding to the later of December 2015 and six months after publication in the Official Journal.
• Transitional period: For the first six months after the Regulation's application, the reporting remittance date is set to the thirtieth calendar day after the reference date.
• Entry into force: The Regulation will enter into force on the twentieth day following its publication in the Official Journal of the EU.

Legal and Regulatory Context

• The LCR is a key component of the Capital Requirements Regulation (CRR) and is intended to cover net liquidity outflows under gravely stressed conditions over a 30-day period.
• The Single Rulebook aims to ensure regulatory consistency and reduce complexity, and these ITS are part of this broader initiative.
• The Data Point Model (DPM) and Taxonomy are being finalised and will be published alongside the final ITS, providing a structured framework for data reporting.

Accompanying Documents

1. LCR Calculation Tool:

   • An Excel tool is provided for practical application of the LCR templates and instructions.
   • It has no legal value and is not part of the ITS.
   • It serves as an example and does not exempt institutions from their reporting obligations.

2. Cost-Benefit Analysis / Impact Assessment:

   • The EBA conducted a cost-benefit analysis to evaluate the impact of the new ITS on supervisors and institutions.
   • The analysis shows that most operational costs have already been incurred or planned by NCAs and credit institutions.
   • The preferred approach is to include only necessary data for the LCR calculation, while excluding memo items to avoid unnecessary reporting burdens.

EBA's Response to Consultation

• The EBA conducted a public consultation from August to October 2014.
• Nine responses were received, eight published on the EBA website.
• Minor amendments were made to the draft ITS based on feedback and final Q&As.
• The content of the ITS remained unchanged compared to the consultation paper.

Key Considerations

• The DA provides discretion for the EBA in terms of:
  • Displaying the calculation methodology.
  • Specifying haircuts and rates.
  • Including memo items.
  • Including all items from Part Six, Title II of the CRR.
• The preferred option is to include only the necessary data for the LCR calculation, as including all items would increase costs and reduce clarity.
• The EBA has emphasized the importance of harmonization, data comparability, and efficiency in supervisory reporting.

Conclusion

The EBA Final Draft ITS represent a comprehensive update to the supervisory reporting framework for the Liquidity Coverage Ratio (LCR), ensuring alignment with the DA and enhancing the effectiveness of liquidity risk monitoring. The new templates and instructions aim to simplify reporting, reduce costs, and support a robust supervisory framework across the EU.