The European Banking Authority (EBA) has published its final draft implementing technical standards (ITS) on additional liquidity monitoring metrics in accordance with article 415(3)(b) of the Capital Requirements Regulation (CRR). The proposed application date for these ITS is 1 January 2015.
Article 415(3)(b) of the CRR obliges the EBA to develop draft ITS to specify additional liquidity monitoring metrics required to allow Member State regulatory authorities to obtain a comprehensive view of a firm’s liquidity risk profile, proportionate to the nature, scale and complexity of its activities. The EBA’s metrics covered by these ITS therefore include a template and instructions on a maturity ladder and some additional monitoring tools relating to:
- concentration of funding by counterparty;
- concentration of funding by product type;
- concentration of counterbalancing capacity by issuer or by counterparty;
- prices for various lengths of funding; and
- rollover of funding.
View EBA publishes final draft Technical Standards on metrics for monitoring additional liquidity, 18 December 2013