European Banking Authority Consults on LCR Disclosure and Disclosure of Liquidity Risk Management 

The European Banking Authority published a consultation paper on draft guidelines on liquidity coverage ratio disclosures, to complement the disclosure requirements of liquidity risk management under the Capital Requirements Regulation. The CRR provides general disclosure framework for firms for each category of risk where liquidity risk should be considered. Disclosure of ratios and figures to regulators is required under the CRR, in particular, ratios and figures that provide external stakeholders with a comprehensive view of the firm’s management of risk. In January 2015 the Liquidity Coverage Ratio Delegated Act was published, specifying the LCR for credit institutions. The ratio targets ensure that credit institutions maintain an adequate level of liquidity buffer to cover net liquidity outflows in the context of stressed conditions over a period of thirty days. The EBA proposes these draft guidelines to harmonize and specify disclosures required under the general principles in the CRR on liquidity and LCR. 

The draft guidelines include a qualitative and quantitative harmonized table for the disclosure of information on liquidity risk management, as well as quantitative and qualitative harmonized templates with corresponding instructions, for the disclosure of information on the LCR composition.
 
The consultation seeks feedback on, among other things, the scope of application of the guidelines and whether the instructions are sufficiently clear. Responses to the consultation paper are due by August 11, 2016.

View the consultation page.