Liquidity risk

The EBA has a broad mandate related to liquidity risk stemming from the Capital Requirements Regulation (CRR). The EBA's deliverables in the area of liquidity are mainly binding technical standards (BTS) and reports. While the CRR explicitly refers only to liquidity reporting, those aspects linked to the calibration of a specific liquidity coverage requirement are to be included in a delegated act to be adopted by the EU Commission. The EBA's mandate in the development of BTS includes uniform reporting formats, currencies with constraint availability of liquid assets, and additional outflows stemming from collateral needs due to an adverse market scenario. The EBA is also mandated to inform the work of the European Commission with two reports: (i) on the economic impact of liquidity risk regulation and (ii) on possible criteria for the definition of high-quality liquid assets.

Technical Standards, Guidelines & Recommendations

  • ITS on Supervisory Reporting amendments with regards to COREP LCR

    The proposed changes to the ITS amending Regulation (EU) No 680/2014 on Supervisory Reporting aim at updating the LCR reporting with the European Commission’s draft Delegated Act amending the Commission Delegated Regulation with regard to the Liquidity Coverage Requirement (‘LCR’) for credit institutions.

    Status: Under development

  • Implementing Technical Standards (ITS) amending ITS on additional liquidity monitoring metrics

    These revised Implementing Technical Standards (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 related documents on the right hand side of this page only refer to the consultation launched on 16 November 2016 (EBA-CP-2016-22), whereas the final draft amendments to the additional monitoring metrics for liquidity, published on 7 April 2017, are included in the final draft ITS amending the European Commission's Implementing Regulation (EU) No 680/2014 on supervisory reporting (see 'Related Links' on this page).

    Status: Adopted and published in the Official Journal

  • Implementing Technical Standards (ITS) on additional liquidity monitoring metrics

    These ITS aim at developing additional metrics other than those used to report liquidity coverage and stable funding requirements with a view to providing supervisors with an adequate toolkit to assess liquidity risk and to facilitate their work in performing reviews of Internal Liquidity Adequacy Assessment Processes (ILAAP).

    Status: Adopted and published in the Official Journal

  • Guidelines on the LCR disclosure

    These Guidelines aim to specify key liquidity ratios and figures in a harmonised manner across the EU, as envisaged in Article 435 (1) CRR for the general disclosure framework which includes liquidity risk. They build on the Liquidity Coverage Ratio disclosure standards published by the Basel Committee on Banking Supervision (BCBS) in March 2014. They contain a harmonised table on liquidity risk management and harmonised templates for the LCR disclosure together with all relevant instructions.

    Status: Final and translated into the EU official languages

Opinions, Reports and other Publications

 

Opinions

 

Other Publications

  • EBA updates list of credit institutions subject to an LCR inflow cap derogation
    The European Banking Authority (EBA) published today an updated list of credit institutions exempted from or subject to a higher cap on inflows in the calculation of the Liquidity Coverage Ratio (LCR) in accordance with the provisions laid down in the LCR Delegated Act. Three new institutions have been added to the previous list published in May 2017. Read More
    1
    9/01/2018
  • Call for advice to the EBA for the purposes of the Net Stable Funding Requirements and the Leverage Ratio [213KB]

    The European Banking Authority (EBA) informed today that it will incorporate additional analysis into its calibration reports on Net Stable Funding Requirements and Leverage Ratio. The announcement follows a request by the European Commission (EC) to obtain further advice so as to ensure... Read More

    19/08/2015

  • Discussion Paper on Defining Liquid Assets in the Liquidity Coverage ratio [598KB]

    The EBA issues today a discussion paper presenting the methodology and scope of its forthcoming analysis on definitions of highly liquid assets. The proposed methodology is based on a scorecard, which aims at producing an ordinal ranking of assets by combining a set of different liquidity indicators. Following the outcome of the analysis, the EBA will report to the European Commission on appropriate definitions of high and extremely high liquidity and credit quality of transferable assets for the purpose of the LCR. ... Read More

    21/02/2013

     

     

Reports