CRR: EBA consults on monitoring metrics for liquidity

The EBA has launched a consultation on its revised implementing technical standards (ITS) on additional monitoring metrics for liquidity.

The EBA proposes to reintroduce a maturity ladder in line with the reporting requirements laid down in the Commission's Delegated Act on the Liquidity Coverage Ratio (LCR). The aim of the revised ITS is to provide competent authorities with harmonised information on institutions' liquidity risk profile, taking into account the nature, scale and complexity of their activities.

The revised maturity ladder will require less detail on assets other than high quality liquid assets and on credit steps. It also captures the outflows from committed facilities as well as those due to downgrade triggers. In addition, a memorandum section has been included in the revised ITS to provide details on five LCR components, which help estimate any upcoming volatility of the LCR. Finally, the composition of the time buckets has been amended and the number of rows to be reported reduced.

Comments are due by 2 January 2017. The EBA intends to finalise and submit the revised ITS to the Commission in March/April 2017, with the revised reporting requirements applying from March 2018.