EBA欧洲银行-Update-of-the-ITS-on-LCR-reporting_Public-Hearing-10-October-2018_13页_1mb

报告摘要

EBA: Update of the ITS on LCR Reporting Due to LCR Corrigendum

Core Content

The European Banking Authority (EBA) has updated its Implementing Technical Standards (ITS) for Liquidity Coverage Ratio (LCR) reporting to align with the changes introduced by the LCR Amending Act, which was adopted and published by the European Commission on 13 July 2018. This update aims to improve the supervisory reporting instrument and ensure consistency in the application of the LCR requirements.

Main Changes in the ITS Update

1. Changes in the LCR Calculation

A new approach for calculating inflows and outflows in Secured Funding Transactions (SFTs) and collateral swaps has been introduced, aligning with the methodology used for repos.
The calculation involves the cash leg (or the more liquid leg in a collateral swap) multiplied by the relevant rate based on the collateral haircuts.
A waiver for the unwind of some SFTs and collateral swaps with central banks is introduced, allowing certain transactions to be excluded from the HQLA cap determination.

2. Update of the ITS Templates

The collateral swaps template has been expanded due to changes in the LCR calculation.
A new template, C 77.00, is introduced to identify entities reporting a consolidated LCR, providing transparency for supervisors.
Memo items have been reviewed and some deleted, retaining only those strictly necessary for supervisory reporting.

3. Rationalization of Memo Items

Memo items in templates C 72.00 (HQLA) and C 73.00 (outflows) have been streamlined.
In C 72.00, 12 memo items were deleted, while in C 73.00, 12 memo items were deleted and 5 new ones added.
The purpose of these changes is to enhance clarity and reduce redundancy in the reporting framework.

4. Excess Amount of Operational Deposits

Operational deposits that are necessary for operational services are subject to preferential outflow rates (e.g., 25% vs. 40% or 100%).
Excess operational deposits are those beyond the operational needs and are not eligible for preferential treatment.
This distinction is crucial for supervisors, as the definition of "excess" is not fully clear in the Regulation and has significant implications for liquidity risk management.

Key Templates and Their Changes

C 72.00: HQLA

Includes memo items related to:
- Alternative Liquidity Approaches (ALA)
- Deposits by network members with central institutions
- Adjustments for early close-out of hedges
- Exclusions based on currency or operational reasons
- Assets subject to grandfathering or transitional provisions

C 73.00: Outflows

Includes detailed breakdowns of operational and non-operational deposits.
Specific attention is given to:
- Operational deposits maintained for clearing, custody, cash management, etc.
- Excess operational deposits
- Non-operational deposits (e.g., correspondent banking, prime brokerage)
- Funding commitments to non-financial customers
- FX outflows and third-country outflows due to transfer restrictions or non-convertible currencies

C 77.00: Perimeter of Consolidation

Required for consolidated LCR reporting.
Lists the names and codes of entities within the consolidation perimeter.
Includes LEI codes and country codes for better identification.
Key for supervisors to understand the structure behind the reporting templates.

Next Steps

The updated ITS is expected to be published and submitted to the Commission by April 2019, alongside other reporting packages (FINREP and securitisations).
The first reference date for the application of the LCR Amending Act is set as the first end month date after the Act's publication in the Official Journal (around April 2020).
The LCR calculation tool will be considered for an update after the ITS is published.

Key Information and Implications

The LCR Amending Act will apply 18 months after publication in the OJ.
There is no major gap between the application dates of the LCR Amending Act, the ITS, and the taxonomies.
The granularity of the templates is essential to:
- Identify transactions meeting operational requirements
- Identify transactions with central banks that are waived from unwinding
The excess amount of operational deposits is a critical item for supervisors due to its impact on liquidity risk and the lack of clarity in the Regulation.

Questions for Stakeholders

Do you have any comments on how the changes in the LCR Regulation are captured in the updated ITS, particularly those related to SFTs and collateral swaps?
Are there any parts of the ITS that you find unclear or difficult to implement?
Do you expect any major operational challenges during the implementation on the expected application date?