Article 435 of the Capital Requirements Regulation (CRR) sets out the general disclosure framework for institutions with regard to every category of risk, where liquidity risk should be considered. It lays down qualitative and quantitative information to be disclosed on their liquidity risk management objectives and policies.

Commission Delegated Regulation (EU) 2015/61 of 10 October 2014 (LCR Delegated Act) specifies the liquidity coverage ratio (LCR) in credit institutions which is applicable from 1 October 2015. The LCR is intended to ensure that credit institutions maintain an adequate level of liquidity buffer to cover the net liquidity outflows under stressed conditions over a period of 30 days.

The European Banking Authority (EBA) has now published Consultation Paper 2016/06: Draft guidelines on liquidity coverage ratio (LCR) to complement the disclosure of liquidity risk management under article 435 of Regulation (EU) No 575/2013.

The draft guidelines are being developed by the EBA under its own initiative to harmonise and specify the disclosures that are required under general principles in the CRR on liquidity and particularly on the LCR. As credit institutions only are in the scope of the LCR Delegated Act, the scope of application of the draft guidelines is limited to them.

The draft guidelines include:

  • a qualitative and quantitative harmonised table for the disclosure of mainly information on liquidity risk management as laid down by the CRR; and
  • quantitative and qualitative harmonised templates, with their corresponding instructions, for the disclosure of information on the LCR composition.

The Basel standards constitute a benchmark for the design of this template and tables.

The application of these guidelines is expected to take place not earlier than 30 June 2017.

The deadline for comments is 11 August 2016.

View EBA consults on draft guidelines on liquidity coverage ratio disclosure, 11 May 2016