EBA欧洲银行-Public-Hearing-on-Draft-amending-ITS-on-AMM_9页_1mb

报告摘要

EBA Draft Amending Additional Liquidity Monitoring Metrics (AMM) Summary

Core Content

The European Banking Authority (EBA) has issued a draft amending its guidelines on additional liquidity monitoring metrics (AMM), following a request from the European Commission to update the maturity ladder component. This amendment is intended to align the reporting framework with the Delegated Regulation (EU) 2015/61 (LCR DA), ensuring consistency and clarity in liquidity risk management across the EU banking sector.

Main Views and Key Information

Background and Mandate

Original ITS publication: In December 2013, the EBA published its initial ITS on additional liquidity monitoring metrics.
Legal basis: Article 415(3)(b) of the Capital Requirements Regulation (CRR) (Regulation No 575/2013).
Adoption of the ITS without maturity ladder: In March 2016, the EBA adopted the ITS without the maturity ladder, as per Regulation (EU) 2016/313.
Commission request: The Commission asked for an update to the maturity ladder based on reporting fully aligned with the LCR DA and for a resubmission for adoption.

Overview of Templates

Reintroduction of maturity ladder (C66.00): The maturity ladder is reintroduced in the consultation paper, aligned with the LCR DA where necessary and proportionate.
Non-maturity ladder templates (C67.00 to C71.00): Minor revisions are proposed to these templates and their instructions, reflecting guidance from published and draft reporting Q&As.
Track changes: The changes to templates C67.00 to C71.00 are presented in track change mode for clarity.

Reintroduction of Maturity Ladder (C66.00)

Simplified data requirements: Less detail is required for assets other than high-quality liquid assets and for credit quality steps.
Contingency and memorandum sections: New sections are introduced to capture outflows from committed facilities and downgrade triggers, as well as to provide a memorandum on the five LCR components.
Time bucket adjustments: The composition of time buckets is amended (3 to 6 months interval and >2 years), and the granularity of rows is reduced.
Row reduction: The number of rows to be reported in the maturity ladder is reduced by 10%, from 143 to 129.

Non-Maturity Ladder Templates (C67.00 to C71.00)

Clarifications on original maturity: The application of original maturity is clarified for templates C67.00, C68.00, and C70.00.
Revisions to C69.00:
- Transactions that have rolled over during the reporting period are assigned the highest spread.
- Only new sight deposits for the applicable reporting period are required to be reported.
Consistency: The revised templates ensure consistency across the ITS, particularly with the updates to the maturity ladder.

Next Steps

Consultation period: Responses to the consultation paper must be submitted by 2 January 2017.
Feedback assessment: The EBA will assess the feedback received after the consultation.
Final draft submission: The final draft ITS will be presented to the EBA Governance Structures in the first quarter of 2017 for approval and publication.
Implementation date: The amending ITS is expected to be part of the 2.7 Taxonomy release package and apply from approximately March 2018.

Questions in the Consultation Paper

The consultation paper includes the following key questions:

Q01: Do respondents agree to the structure and content of the maturity ladder template, including the contingency and memorandum sections? If not, do they have substantiated reasons for amendments?
Q02: Do respondents agree to the proposed revisions to the non-maturity ladder templates (Annex XVIII to Annex XXI of Implementing Regulation 680/2014)? If not, do they have substantiated reasons for further changes?
Q03: Do respondents agree to the clarification that rolled-over transactions receive the highest spread in template C69.00? Would they prefer daily averaging or end-of-month spreads instead?
Q04: Do respondents agree to the focus on new sight deposits in template C69.00? Would they prefer to align the treatment with rolled-over deposits?
Q05: Would respondents support an implementation period different from the proposed March 2018 date?
Q06: Do respondents have views on the proportionality threshold in the ITS on reporting? Are there alternative solutions?
Q07: Do respondents agree to the impact assessment? If not, do they have substantiated reasons for a different conclusion?

Conclusion

The EBA's draft aims to enhance the liquidity monitoring framework by reintroducing a maturity ladder aligned with the LCR DA and making minor but important revisions to other templates. The consultation process seeks to gather feedback on the structure, content, and implementation of these changes, with a view to finalizing and adopting the updated ITS by early 2017 and applying it from March 2018.

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