EBA欧洲银行-Presentation-liquidity-and-leverage-reporting-public-hearing-18-July-2012_16页_670kb

EBA Draft ITS on Supervisory Liquidity and Leverage Reporting Summary

Overview

The European Banking Authority (EBA) has initiated the development of Draft Implementing Technical Standards (ITS) on supervisory liquidity and leverage reporting, as part of its mandate under the Capital Requirements Regulation (CRR). These ITS aim to harmonize reporting across the European Union (EU) while ensuring proportionality based on the nature, scale, and complexity of financial institutions.

Core Content

The EBA is tasked with developing binding technical standards to support the implementation of EU legislation, particularly the CRR. These standards will be delivered by 1 January 2013 and will cover several key areas, including:

• Own funds reporting (Art 95)
• Mortgage exposures reporting (Art 96)
• Large exposures reporting (Art 383)
• Liquidity reporting (Art 403)
• Leverage ratio reporting (Art 417)

The ITS development process is integrated and aims to create a common regulatory framework across the EU, using standardized definitions, structures, and data models.

Main Aspects of Liquidity and Leverage Reporting ITS

Reporting Population

• Applies to credit institutions and investment firms
• Requires reporting at consolidated and individual levels, unless a waiver is granted

Frequency

• Monthly for liquidity coverage
• Quarterly for net stable funding
• Quarterly for leverage ratio reporting (with some flexibility if a waiver is granted)

Proportionality

• Ensures that reporting requirements are proportional to the institution's size and complexity
• Applies to derivatives reporting and other metrics
• Specific thresholds are proposed for different reporting levels

Data and Reporting Standards

• Includes data templates, field definitions, and XBRL taxonomies (not mandatory)
• A data point model (DPM) is being developed to standardize data and include validation rules
• The taxonomy will be delivered within the COREP framework

Timeline for Liquidity and Leverage Reporting ITS

Key Questions and Consultation

The EBA has included several questions in the consultation process to gather feedback from stakeholders, including:

Liquidity Reporting Questions

• Are the proposed dates for first remittance of data feasible?
• Is the definition of significant currency appropriate?
• Is the 15-day remittance period feasible?
• Are there additional sub-categories of inflows and outflows that should be reported?
• What additional assets should be included in the classification of high and extremely high credit and liquidity quality?
• Does the template capture the requirements of the CRR?

Leverage Ratio Reporting Questions

• Do institutions agree with the use of existing and prudential measures?
• Do institutions already have the required data on a monthly basis?
• Is the same timeline for consolidated and individual reporting acceptable?
• What additional costs are expected from the proposed reporting approach?

Annex II Questions

• Is the calculation of the derivatives share threshold clear?
• Does the method capture derivatives exposure in a sensible way?
• Does reducing fields below the threshold significantly reduce administrative burden?
• Should the derivatives share threshold be adjusted (e.g., 0.5% to 2%)?
• Is the calculation of the nominal amount threshold clear?
• Should the nominal threshold be adjusted (e.g., 200–500 million €)?
• Is the term "reference name" and the distinction from "reference obligation" clear?
• Is the treatment of credit derivatives referring to indices and baskets clear?
• What additional contractual features should be considered for offsetting credit derivatives?
• Is the classification in template LR6 clear?
• Is the current split in template LR7 appropriate?

Contact Information

• Ivo Jarofke: ivo.jarofke@eba.europa.eu
• Lars Overby: lars.overby@eba.europa.eu

Conclusion

The EBA's Draft ITS on liquidity and leverage reporting aims to enhance the efficiency and quality of reporting across the EU, while ensuring harmonization and proportionality. The standards are expected to be directly applicable without further national implementation, and a detailed data point model is being developed to support the reporting process. The consultation period is critical for refining these standards and addressing concerns from financial institutions and supervisors.