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    EBA Issues Proposal to Enhance Proportionality in Liquidity Reporting

    April 28, 2021

    EBA launched a consultation on the implementing technical standards that amend the Regulation 2021/451 on supervisory reporting, with respect to the Additional Liquidity Monitoring Metrics (ALMM). Following the mandate laid down in the revised Capital Requirements Regulation (CRR2), EBA is proposing to introduce proportionality considerations in ALMM reporting for small and non-complex institutions. Amendments are being proposed to the templates to streamline reporting requirements, meet data gaps, and further clarify the reporting instructions. The consultation period is open until July 28, 2021.

    The proposed amendments are mainly driven by the introduction of new proportionality measures for small and non-complex institutions, in line with the CRR2 provisions to specify which ALMM shall apply to those type of institutions. EBA is proposing to keep the reduced quarterly frequency for the information that small and non-complex institutions need to report, already included in the reporting framework version 3.0. It is also proposing to exempt small and non-complex institutions from reporting metrics on the concentration of funding by product type (C 68.00), the funding price for various lengths of funding (C 69.00), and information on roll-over of funding (C 70.00). The liquidity metrics and related reporting are thus reduced to the maturity ladder-monitoring tool and the concentration of funding by counterparty and by counterbalancing capacity. EBA also proposed that institutions falling outside the small and non-complex institutions or large institutions classification, as defined in the CRR2, would be exempt from reporting metrics on roll-over funding. 

    After a three-month consultation, EBA will finalize the draft technical standards and is expected to submit the amending final draft technical standards to EC in December 2021. The first reference date for the application of these technical standards is foreseen to be in December 2022. The expected implementation period for the proposed changes is approximately one year. EBA will also develop the data point model (DPM), XBRL taxonomy, and validation rules based on the final draft technical standards. 

     

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    Comment Due Date: July 28, 2021

    Keywords: Europe, EU, Banking, Reporting, ALMM, Proportionality, CRR2, Basel, Implementing Technical Standards, Reporting Framework 3.0, Liquidity Risk, EBA

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