Stellungnahme DK on the EBA Consultation Paper ”On additional liquidity out-flows corresponding to collateral needs resulting from the impact of an adverse market scenario on the institution’s derivatives transactions, financing transactions and other co

18. August 2013

Die Deutsche Kreditwirtschaft hat Stellung genommen zur Konsultation der EBA zu additional collateral outflows für Derivategeschäfte.

Aus der Stellungnahme:
The draft EBA standard that has been submitted for consultation purposes presents four methods for measuring additional liquidity outflows, namely a standard method, a simplified method, an internal model based method and an historical look-back approach. First, it is worth noting that, in fleshing out the requirements set out under Article 411(3) CRR, the EBA
does not wish to latch onto the provisions promulgated by the Basel Committee for banking Supervision. In January 2013, the Basel Committee published its revised LCR recommendations. In these recommendations the Basel Committee's proposes a “historical look-back approach” for the purposes of measuring “additional outflows”. Under these recommendations, banks should use the “largest absolute net 30-day collateral flow realised during the preceding 24 months”. In Recital 110 of the CRR (previously 75f CRR),
the EBA is called upon to “consider a historical look-back standardised approach as a method of measurement” during its development of “draft regulatory technical standards to determine methods for the measurement of additional outflow” (previously Art. 411(3) CRR). […]

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