ITS on additional liquidity monitoring metrics
The proposed ITS aim at developing additional metrics other than those used to report liquidity coverage and stable funding requirements with a view to providing supervisors with an adequate toolkit to assess liquidity risk and to facilitate their work in performing reviews of Internal Liquidity Adequacy Assessment Processes (ILAAP).
The following five metrics are proposed in the draft ITS:
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maturity ladder, both contractual and behavioural
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concentration of funding by counterparty
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prices for various sources of funding
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roll-over of funding.
To avoid double reporting, the definitions for additional reporting items have been aligned, to the greatest extent possible, with those of the draft ITS on liquidity risk reporting.
As for the scope and level of application, the additional metrics will be reported on a consolidated and/or individual basis, as appropriate. In particular, the default reporting frequency of the additional metrics will be one month but it can be reduced to a quarterly frequency if certain conditions are met.
The EBA is expected to submit these ITS to the European Commission by 1 January, 2014.
RTS on additional liquidity outflows corresponding to collateral needs
The proposed draft RTS aim at developing methods to determine additional collateral outflows stemming from the impact of an adverse market scenario on an institution’s derivatives positions, financing transactions and other contracts, if material. In particular, these RTS focus on capturing adverse changes in market valuation of derivatives and similar transactions and contracts that require collateral.
These RTS propose three methods to determine the additional collateral outflows:
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standard method
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simplified method
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internal model-based method.
Additionally, the consultation paper seeks feedback on the historical look-back approach.
These draft RTS are expected to be submitted to the European Commission by 31 March, 2014.
Both consultations run until 14 August, 2013. Public hearings on the consultations will take place on 10 July, 2013.
Press release
Consultation on monitoring metrics for liquidity
Consultation on additional collateral outflows
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