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

  • 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: Final draft adopted by the EBA and submitted to the European Commission

  • 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

  • Regulatory Technical Standards on criteria for a preferential treatment in cross-border intragroup financial support under LCR

    The draft Regulatory Technical Standards (RTS) specify the additional objective criteria listed in the Delegated Act (Commission Delegated Regulation EU No 2015/61 of 10 October 2014), for the application of a preferential treatment in the calculation of the liquidity coverage requirement (LCR) for cross-border intragroup liquidity flows. The proposed draft RTS set out in more detail the additional criteria that institutions within a group or within an institutional protection scheme (IPS) need to meet in order to be able to apply higher inflows and/or lower outflows on liquidity and credit facilities on cross-border transactions. These criteria, as already specified in the LCR Delegated Act, aim at ensuring the effectiveness of the liquidity support.

    Status: Adopted and published in the Official Journal

  • 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 Commission’s adoption on 10 October 2014 of a Delegated Act specifying the LCR framework, the EBA has now developed amendments to the current ITS on reporting. These draft ITS will provide credit institutions with a completely new set of templates and instructions so as to capture all the necessary LCR items and to adequately ensure a proper supervisory reporting of the LCR according to the Commission’s Delegated Act. The proposed amendments are only applicable to credit institutions and not to investment firms (the latter will continue reporting the LCR items using the current instructions and templates).

    Status: Adopted and published in the Official Journal

  • Technical Standards (TS) on currencies with constraints on the availability of liquid assets

    These technical standards (ITS and RTS) draw a list of currencies featuring constraints on the availability of liquid assets and specify the derogations that could be applied to such currencies to address the inherent difficulties that institutions would face in meeting their liquidity coverage requirement even in spite of a sound liquidity management.

    Status: Final draft adopted by the EBA and submitted to the European Commission

  • Implementing Technical Standards on Supervisory Reporting

    These Implementing Technical Standards (ITS) aim at implementing uniform reporting requirements which are necessary to ensure fair conditions of competition between comparable groups of credit institutions and investment firms. Uniform requirements will ultimately make institutions more efficient and result in a greater convergence of supervisory practices. These ITS will cover reporting of own-funds and capital requirements (currently under the COREP Guidelines), reporting of financial information (currently under the FINREP Guidelines),reporting on large exposures (currently under the COREP Large Exposures Guidelines), reporting on leverage and reporting on liquidity and stable funding. They will be complemented by other specific reporting templates introduced by the Capital Requirements Regulation (asset encumbrance, forbearance and non-performing exposures).

    Status: Adopted and published in the Official Journal

  • Guidelines on harmonised definitions and templates for funding plans of credit institutions

    These Guidelines propose harmonised definitions and templates for funding plans of credit institutions, with the objective of ensuring consistency in the way the reporting of funding plans is conducted.

    Status: Final and translated into the EU official languages

  • Implementing Technical Standards (ITS) on currencies with an extremely narrow definition of central bank eligibility

    These ITS aim at drawing a list of currencies on the assumption that such a definition applies if only central government debt or debt issued by the central bank is eligible as collateral for standard liquidity operations at the central bank.

    Status: Adopted and published in the Official Journal

  • Regulatory Technical Standards (RTS) on additional liquidity outflows

    These RTS aim at developing methods to determine additional collateral outflows stemming from the impact of an adverse market scenario on an institution’s derivatives positions, financing transactions and other contracts, if material.

    Status: Adopted and published in the Official Journal

  • Guidelines on retail deposits subject to different outflows for the purposes of liquidity reporting

    These Guidelines will set the criteria for determining the conditions of application of the Capital Requirements Regulation (CRR) provisions related to the identification of retail deposits subject to different outflows than those specified in the CRR. The Guidelines will also specify the definitions of those deposits and the appropriate outflows for the purposes of liquidity reporting.

    Status: Repealed

  • Guidelines on liquidity cost benefit allocation

    These guidelines aim at providing high-level guidance to credit institutions on the main elements to be considered when creating or reviewing adequate fund allocation mechanisms including liquidity cost, benefits and risks. The Guidelines propose a liquidity cost concept that includes not only direct funding costs, but also associated indirect costs such as liquidity contingency support.

    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