EBA欧洲银行-EBA-ITS-2013-11-28Final-draft-ITS-on-additional-monitoring-metrics29_44页_565kb

报告摘要

EBA FINAL Draft Implementing Technical Standards on Additional Liquidity Monitoring Metrics

Core Content

The European Banking Authority (EBA) has developed a FINAL draft implementing technical standards (ITS) under Article 415(3)(b) of Regulation (EU) No 575/2013 (CRR). These standards aim to enhance the supervisory reporting framework for liquidity risk monitoring by introducing additional metrics that provide a more comprehensive view of an institution’s liquidity risk profile, in line with the Basel Committee on Banking Supervision (BCBS) approach.

The ITS is designed to ensure harmonisation of reporting practices across the EU, which will facilitate cross-border supervision and comparability of data among institutions. It also aligns with the liquidity coverage ratio (LCR) and stable funding requirements, and is intended to support supervisory review and evaluation, cooperation among supervisors, and early warning mechanisms for liquidity risk.

Main Features of the ITS

The draft ITS includes the following key monitoring tools:

Maturity Ladder: A template that captures the maturity mismatch of an institution's balance sheet. It shows the potential liquidity needs across time bands from overnight to over 10 years, helping to identify reliance on maturity transformation.
Concentration of Funding by Counterparty: Institutions must report the top 10 counterparties providing funding exceeding 1% of total liabilities, including details such as counterparty name, type, location, product type, currency, amount, and maturity.
Concentration of Funding by Product Type: Institutions report funding received from each product category exceeding 1% of total liabilities, to identify concentration risks by funding type (retail and wholesale).
Concentration of Counterbalancing Capacity by Issuer/Counterparty: Information on the 10 largest holdings of assets or liquidity lines that can be used to counterbalance liquidity risks.
Prices for Various Lengths of Funding: Data on average transaction volumes and prices for funding with different maturities, from overnight to 10 years.
Rollover of Funding: Daily reporting on funds maturing and new funding obtained, over a monthly time horizon, to monitor funding continuity.

These metrics are intended to provide early warning signals of liquidity stress and support supervisory decision-making.

Regulatory Context and Rationale

The CRR and CRD IV were introduced in June 2013 to implement the Basel III framework in the EU. Article 415(3)(b) of the CRR mandates the EBA to develop ITS for additional liquidity monitoring metrics.

The ITS is based on the BCBS recommendations, but adapted to EU-specific needs. The aim is to ensure that supervisory authorities have consistent, reliable, and comparable data to assess the liquidity risk profile of institutions.

The reporting frequency is set at monthly, with the possibility of quarterly reporting for smaller institutions that meet certain criteria, such as:

No cross-border activities
A balance sheet total below 1% of the total in the respective Member State for two consecutive years
Total assets below EUR 30 billion

Scope and Application

The ITS applies to:

EU parent credit institutions and investment firms, and those controlled by EU parent financial holding companies
All credit institutions and investment firms that are authorised to provide investment services listed in Annex I, Section A, points 3 and 6 of Directive 2004/39/EC

The reporting is required on a consolidated basis, consistent with the LCR reporting requirements. Competent authorities may waive or reduce the application of Part Six of the CRR (liquidity requirements) for an institution if it meets certain predefined conditions.

Timing and Application Date

The ITS was submitted to the European Commission in January 2014
The proposed application date is 1 July 2015, following the implementation of other liquidity reporting requirements
The Regulation will enter into force on the 20th day after publication in the Official Journal of the EU

Accompanying Documents

The ITS is accompanied by several supporting documents, including:

Draft cost-benefit analysis/impact assessment
Views of the Banking Stakeholder Group (BSG)
Feedback from the public consultation and BSG opinion

These documents provide an overview of the potential costs and benefits, stakeholder input, and public feedback on the proposed ITS.

Summary of Costs and Benefits

Requirement	Party Affected	Compliance Costs	Benefits
Maturity Ladder	Institutions	One-off: limited impact on data collection, IT infrastructure, and staff costs; ongoing: low impact	Uniform reporting formats reduce compliance costs for cross-border institutions
Concentration of Funding by Counterparty	Institutions	Low impact	Early identification of liquidity risks
Concentration of Funding by Product Type	Institutions	Low impact	Early identification of liquidity risks
Concentration of Counterbalancing Capacity	Institutions	Low impact	Early identification of liquidity risks
Prices for Various Lengths of Funding	Institutions	Low impact	Provides insight into funding spreads and volumes
Rollover of Funding	Institutions	Low impact	Enables monitoring of funding continuity

The benefits are considered medium, while the costs are proportional to the size and complexity of the institution, with smaller institutions facing lower compliance costs.

Conclusion

The EBA’s draft ITS introduces comprehensive liquidity monitoring metrics to support supervisory authorities in assessing the liquidity risk profiles of institutions. It is aligned with Basel III and aims to harmonise reporting practices, improve transparency, and enhance cross-border supervision. The application date is set for 1 July 2015, with monthly reporting as the standard, and quarterly for smaller institutions.