EBA publishes consolation paper on maturity ladder for liquidity reporting CP22/16

November 16, 2016

The European Banking Authority (EBA) published today a consultation paper (CP) containing a proposal to review its Implementing Technical Standards (ITS) on additional monitoring metrics for liquidity reporting. The proposal is to reintroducing a maturity ladder in line with the reporting requirements laid down in the Commission’s Delegated Act on the Liquidity Coverage Ratio (LCR). These revised ITS aim at providing Competent Authorities with harmonised information on institutions’ liquidity risk profile, taking into account the nature, scale and complexity of their activities.

The consolation paper provides information on the following:

  • A revised maturity ladder requiring less detail on assets other than high quality liquid assets and on credit steps which will capture outflows from committed facilities as well as those due to downgrade triggers.
  • Details on five LCR components which help estimate any upcoming volatility of the LCR.
  • The composition of the time buckets has been amended and the number of rows to be reported reduced.

The consultation, which runs until 2 January 2017 can be responded to here.

The original press release can be found on the EBA website here.

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