EBA欧洲银行-Public-Hearing-on-LCR-and-LR-15-January-2015_28页_1mb

报告摘要

EBA Consultation Papers on LCR and LR Reporting

Overview

The European Banking Authority (EBA) conducted a public hearing on 15 January 2015 to discuss consultation papers on the amendment of the Implementing Technical Standards (ITS) related to the Liquidity Coverage Ratio (LCR) and the Leverage Ratio (LR), following the European Commission's Delegated Acts on these topics. These amendments aim to align the supervisory reporting templates and instructions with the updated regulatory requirements.

Consultation Paper on LCR

Core Content

The Liquidity Coverage Ratio (LCR) is a requirement under the Capital Requirements Regulation (CRR) that mandates banks to hold sufficient liquid assets to cover net outflows over a 30-day stress period.
The European Commission adopted a Delegated Act on 10 October 2014, which specifies the LCR, and it will apply from 1 October 2015.
The EBA is tasked with updating the ITS on LCR supervisory reporting to reflect the changes introduced by the Delegated Act.
The updated ITS will also incorporate the answers to the Single Rulebook Q&As.

Scope

The amendments apply only to credit institutions.
The current ITS templates for investment firms remain unchanged.

Implementation Period

The updated ITS will apply from the later of six months after publication in the Official Journal or December 2015.
Reporting frequency remains monthly, with the remittance date being the 15th calendar day after the reference date, except for the first six months where it is the 30th calendar day.

Content of the Draft ITS

The new ITS includes five templates for liquid assets, outflows, inflows, collateral swaps, and the LCR calculation.
These templates are accompanied by instructions for their use.
An Excel-based LCR calculation tool is provided for informative purposes only and has no legal value.
It does not exempt institutions from their reporting obligations or responsibilities.

Liquid Assets

The templates break down level 1 and level 2 assets and provide the following details:
- Amount/market value
- Standard weights (based on the Delegated Act)
- Applicable weights (firm-specific, national discretions)
- Value according to Article 9 of the Delegated Act

Outflows

The templates categorize outflows from:
- Unsecured transactions/deposits
- Secured lending and capital market-driven transactions
- Collateral swaps
For each category, the following are included:
- Amount
- Market value of collateral extended
- Value of collateral extended according to Article 9
- Standard and applicable weights
- Outflow itself

Inflows

The templates categorize inflows from:
- Unsecured transactions/deposits
- Secured lending and capital market-driven transactions
- Collateral swaps
For each category, the following are included:
- Amount
- Market value of collateral received
- Value of collateral received according to Article 9
- Standard and applicable weights
- Inflow itself
The inflows are subject to caps (75%, 90%, or no cap) depending on the type of transaction.

Collateral Swaps

The templates break down collateral swaps and collateralised derivatives.
They include:
- Market value and liquidity value of collateral lent and borrowed
- Outflows or inflows with cap distinctions
The total inflows and outflows are integrated into the corresponding templates.

Calculations

Liquidity Buffer (Numerator):
- Unadjusted amounts of liquid assets
- Adjustments from the unwinding mechanism (collateral inflows and secured cash)
- Application of caps to excess liquid assets
Net Liquidity Outflow (Denominator):
- Total outflows
- Inflows subject to caps and reductions
Liquidity Coverage Ratio (LCR) is calculated as the ratio of the numerator to the denominator.

Consultation Paper on LR

Core Content

The Leverage Ratio (LR) is updated by the European Commission's Delegated Act from 10 October 2014, aligning with Basel III revised rules.
The amendments directly affect Article 429 of the CRR, which defines the LR calculation.
The EBA is updating the ITS on LR reporting templates and instructions to reflect these changes.

Key Changes

SFT transactions: Clarification on how to handle exposures, including netting of cash receivables and payables.
Derivatives cash variation margin (CVM): Allows for reduction of replacement costs.
Written credit derivatives: Introduces a capped notional treatment with limited offset.
Off-balance sheet items: CCFs are aligned with Basel III SA, with a 10% floor.

Reporting Templates

The new templates will have 224 cells, which is 88 fewer than the current 312 cells.
The "(-)" symbol is added to rows that require subtraction.
Some changes reflect published answers to Single Rulebook Q&As.

Application

The updated ITS applies to both credit institutions and investment firms.
The LR annexes (X and XI) will replace annexes 1 and 2 of the current ITS.

Implementation Date

The first application date will be the later of December 2015 or six months after the final ITS publication.
Reporting frequency remains quarterly, with reference dates on the last day of each quarter and remittance dates on 12 May, 11 August, 11 November, and 11 February.

Summary of Key Changes

LCR:

New templates for liquid assets, outflows, inflows, collateral swaps, and LCR calculation.
Excel tool for LCR calculation (informative only).
Implementation period from December 2015 or six months after publication.
Monthly reporting with adjusted remittance dates.