Based on information in Article 13 CRR and Paragraph 7 of GL and its explanatory text it is not clear whether the GL is applied only on EU parent company consolidated level, or on a solo level as well.
To ensure the data quality meets at least the minimal criterion for public disclosure the deadline for the implementation of such a complex task as a daily LCR calculation is too short. Not only the institutions have to build a technical solution but to ensure the good quality of daily data, they have to revise and rebuild their accounting procedures including consolidated basis. No feasibility study of this task has been done.
The application date may thus be 30. 6. 2017 if average end-of-month LCR will be disclosed instead of average daily LCR.
The scope of the required information is very close to those delivered in ICAAP and ILAAP. Sensitive information (strategies, and liquidity management processes, hedging policy) is contained. Their disclosure may adversely impact financial markets. We believe that the assessment of this kind of information by the regulator is sufficient.
The institutions shall only be compliant with the LCR as whole and there are no limits for the subcategories as proposed in the Annex II. Such granularity will disclose rather volatile data which might lead to wrong conclusions.
We did not find any statement how qualitative information should be measured. If it is meant as a verbal description, the institutions will be incomparable. If it develops into a series of numeric indicators, it cannot be assessed now.
We consider the required detail of information (weighted and unweighted volumes, division to stable and unstable, operational and non-operational) as business sensitive. We believe that the LCR quality should be left upon regulators.
In our point of view, disclosure of LCR, HQLA and inflows and outflows is sufficient.
We have no information to be added.
Daily LCR calculation is hardly workable in practice. Data from this exercise would be raw data from the source applications, not cleaned. In many cases, the daily data is not available (deposits covered by deposit guarantee scheme, customer segmentation, data on a consolidated level). Some of the data must be prepared manually. Daily LCR calculation would be operational only on using proxies. Daily data as raw data may be skewed with outliers. The question is whether the inaccuracy of proxies and outliers would not excess the one of end-of-month LCR measurement.
- Option 1B : a unique template for all the institutions
- Option 2B : not to make any consideration for a special attention
- Option 3B : to disclose indicators based on end-of-month observations
We support a more simple version of a unique template for all the institutions. The template in its submitted version discloses sensitive business information.