The European Banking Authority (EBA) has published the following reports for the European Commission as required by the Capital Requirements Regulation (CRR), namely:

  • a report on appropriate uniform definitions of extremely high quality liquid assets (extremely HQLA) and high quality liquid assets (HQLA) and on operational requirements for liquid assets required by articles 509(3) and (5) of the CRR. The liquidity coverage ratio (LCR), which will be introduced through a delegated act made under the CRR, is intended to promote the short-term resilience of a bank’s liquidity risk profile by ensuring that it has sufficient HQLA to survive a significant stress scenario lasting for one month. In the report, the EBA sets out its recommendations on those assets that should qualify as HQLA (including residential mortgage backed securities, corporate bonds, equities and bonds) and those that should qualify as extremely HQLA (including EEA sovereigns, EEA central banks and supranational institutions); and
  • a report on impact assessment for liquidity measures required by article 509(1) of the CRR. The EBA concludes that a specification of the general liquidity requirement is not likely to have a material detrimental impact on the stability and orderly functioning of financial markets or on the economy and the stability of the supply of bank lending. However, it proposes specific derogations for certain business models under stringent and objective conditions. It also concludes that the calibration of the LCR as defined by the Basel Committee on Banking Supervision is generally appropriate across the EU.

The EBA was required to produce these reports by 31 December 2013. These results will assist the Commission in preparing a delegated act specifying detailed measures for the LCR, which it is required to adopt by 30 June 2014.

View EBA publishes reports on liquidity, 20 December 2013

View Report on appropriate uniform definitions of extremely high quality liquid assets and high quality liquid assets and on operational requirements for liquid assets under article 509(3) and (5) CRR, 20 December 2013

View Report on impact assessment for liquidity measures under article 509(1) of the CRR, 20 December 2013

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