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institutions except in extreme circumstances)

. The Commission

has also adopted the ITS on supervisory reporting

, which aims

at implementing uniform reporting requirements in order to
ensure comparability between institutions and enable the
supervisory assessment of fulfilling the requirements. It has to be
noted that this ITS requires a substantial revision, since current
templates and instructions are based on the CRR provisions,
whereas the delegated act on liquidity coverage ratio is far more
detailed and it differs from the initial reporting requirements
specified under the CRR. The EBA has already proposed a draft
ITS amending the Commission’s implementing regulation

however the EC is delaying its adoption

. The Commission’s

negligence brings serious consequences for a sound and uniform
application of the LCR within the EU Member States, as it
cannot even be properly calculated, even though the requirement
is already in force. There are several more technical standards,
which await adoption by the EC, of which there are draft ITS on
currencies with liquid assets shortage

and draft Regulatory

Technical Standard (RTS) on derogations for currencies with
constraints

. The draft ITS on currencies with liquid assets

shortage is aimed at listing the currencies, for which the
availability of liquid assets is constrained. In cases where the
demand for liquid assets resulting from the liquidity coverage
requirement exceeds the availability of such assets, banks may,
on condition that all necessary measures have been taken to
reduce the shortage of liquid assets in a domestic currency, opt
for one or more deregations specified under the RTS on
derogations for currencies with constraints, that is:



banks may use liquid assets denominated in a foreign
currency (derogation A), provided that they apply a general
additional 8% haircut to foreign currency liquid assets held
to meet domestic currency net outflows to adjust for
currency risk,



banks may use credit lines committed by the relevant
central bank as liquid assets (derogation B), provided that
they apply a minimum 15% haircut to collateral posted at a
central bank and that the associated fees to be paid by
banks offset the higher yield earned on the assets pledged
to secure the credit lines.

In May 2015 the EC expressed its intention to amend these draft
technical standards mentioned above. In Commission’s opinion
the derogation should apply to the Norwegian Krone only (the
draft ITS submitted by EBA also included the Danish Krone).
The EC proposed to remove the requirement to apply the
minimum 15% haircut to assets pledged as collateral under
derogation B. Certain other changes were proposed as regards
the notification process and a number of smaller drafting
changes were provided. The EBA, in its opinions

, accepted the

proposal to remove the Danish Krone from the scope of the ITS

EBA FINAL draft implementing technical standards on currencies with an

extremely narrow definition of central bank eligibility under Article 416(5) of
Regulation (EU) No 575/2013 (Capital Requirements Regulation – CRR),
EBA/ITS/2014/02, 28 March 2014. This ITS is no longer needed under the provisions
of the delegated act no. 2015/61 EC.

Commission Implementing Regulation (EU) No 680/2014 of 16 April 2014 laying

down implementing technical standards with regard to supervisory reporting of
institutions according to Regulation (EU) No 575/2013 of the European Parliament
and of the Council, OJ L 191, 28.6.2014.

EBA FINAL draft Implementing Technical Standards amending Commission

Implementing Regulation (EU) No 680/2014 (ITS on supervisory reporting) with
regard to the Liquidity Coverage Ratio (LCR) following the EC’s Delegated Act
specifying the LCR, EBA/ITS/2015/04, 23 June 2015.

It is important to note that will take 6 months to introduce the provisions of the ITS

from the date of its publication in the Official Journal, which makes it even longer to
wait for a proper and uniform application of the LCR.

EBA FINAL draft implementing technical standards on currencies for which the

justified demand for liquid assets exceeds the availability of those assets under Article
419(4) of Regulation (EU) No 575/2013 (Capital Requirements Regulation – CRR),
EBA/ITS/2014/01, 28 March 2014.

EBA FINAL draft regulatory technical standards on derogations for currencies with

constraints on the availability of liquid assets under Article 419(5) of Regulation (EU)
No 575/2013 (Capital Requirements Regulation – CRR), EBA/RTS/2014/04, 28
March 2014.

EBA, Opinion of the European Banking Authority on the Commission intention to

amend draft Implementing Technical Standards with regard to currencies with
constraints on the availability of liquid assets, EBA/Op/2015/12; EBA, Opinion of the
European Banking Authority on the Commission intention to amend draft Regulatory
Technical Standards specifying the derogations concerning currencies with
constraints on the availability of liquid assets according to Article 419(5) CRR,
EBA/Op/2015/13.

on currencies with liquid assets shortage. However, it disagreed
with the proposed removal of the minimum 15% haircut to the
assets securing the credit lines, as this condition was envisaged
to create disincentives for banks to excessively rely on the
derogation.

In order to ensure that the LCR is fully operational, the EC
should also adopt a final draft RTS on additional liquidity
outflows corresponding to collateral needs connected with
derivative transactions under adverse market scenario

According to this draft RTS all banks will be required to use the
Historical Look Back Approach (HLBA) to determine additional
collateral outflows. In addition, banks (especially those with
large derivative portfolios, provided that they already have
Internal Model Method for counterparty credit risk approved)
may choose to use an internal model-based method, i.e. the
Advanced Method for Additional Outflows (AMAO), which is
to be applied on top of the HLBA.

For the purpose of supplementing the quantitative liquidity
standards and enabling a comprehensive view of a bank’s
liquidity risk profile, certain additional monitoring metrics are
expected to be reported by banks in the near future. The EBA
submitted to the Commission a final draft ITS on additional
liquidity monitoring metrics (AMM)

, which is principally

based on the BCBS’ document

. The metrics proposed to be

covered by the ITS are as follows:



maturity ladder consisting of time buckets of up to 10
years, based on contractual maturities of assets, liabilities
and off-balance positions,



concentration of funding obtained from the 10 largest
counterparties, which exceed a threshold of 1% of total
bank liabilities, along with information on the
counterparties names, types and location, product type,
amounts received, weighted average and residual
maturities,



concentration by product type (wholesale or retail funding),
where the value of a particular product category exceeds
1% of total bank liabilities,



concentration of counterbalancing capacity by the 10
largest holdings of assets or liquidity lines granted to the
bank for this purpose,



average transaction volumes and prices related to these
transactions with maturities ranging from overnight to 10
years,



rollover of funding on a daily basis over a monthly time
horizon.

The EC proposed to delay the application date of the ITS on
AMM to 1 January 2016. Some minor drafting changes were
suggested as well. The EBA agreed to implement the proposed
amendments, however it opposed to remove the maturity ladder
from the ITS

. The rationale for maintaining the maturity ladder

within the scope of the additional monitoring metrics is
connected with its importance for the supervisors in making
justified judgments of the banks’ liquidity risk profiles and
funding needs over various time horizons. Since the date of the
EBA’s opinion of September 2015, the EC has not adopted the
ITS on AMM.

In addition to the abovementioned draft technical standards, the
EBA is entitled to develop guidelines in order to elaborate
further on certain issues, which require explenation. In the area

EBA FINAL draft Regulatory Technical Standards on additional liquidity outflows

corresponding to collateral needs resulting from the impact of an adverse market
scenario on the institution’s derivatives transactions, financing transactions and other
contracts for liquidity reporting under Article 423(3) of Regulation (EU) No 575/2013
(Capital Requirements Regulation CRR), EBA/RTS/2014/05, 28 March 2014.

EBA FINAL draft implementing technical standards on additional liquidity

monitoring metrics under Article 415(3)(b) of Regulation (EU) No 575/2013,
EBA/ITS/2013/11/rev1, 24/07/2014.

BCBS, Basel III: The Liquidity Coverage Ratio (...), op. cit.

EBA, Opinion of the European Banking Authority on the Commission intention to

amend draft Implementing Technical Standards on additional liquidity monitoring
metrics under Article 415(3)(b) of Regulation (EU) No 575/2013, EBA/Op/2015/16,
23 September 2015.

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