The European Banking Authority (EBA) published today its final Guidelines on liquidity coverage ratio (LCR) disclosure. These Guidelines provide harmonised disclosure templates and tables for LCR disclosure and aim at improving transparency and comparability of LCR and other liquidity risk management related information.
These final Guidelines provide harmonised disclosure templates and tables for LCR disclosure without altering the general disclosure framework provided for in the Capital Requirements Regulation (CRR). In particular, they envisage a fully-fledged quantitative LCR disclosure template - in line with that proposed by the standard developed by the Basel Committee on Banking Supervision (BCBS) - for systemic credit institutions and a simplified one (including only the LCR figure, the amount of the liquidity buffer and that of net outflows) for the rest of the credit institutions which will apply them.
Items in the LCR disclosure template are calculated as simple averages of monthly reporting observations based on the Implementing Technical Standards (ITS) on LCR reporting
. The LCR disclosure template is complemented by explanatory notes, both qualitative and quantitative, of the disclosed LCR items. Finally, the Guidelines provide a table for the disclosure of risk management objectives and policies for liquidity risk.
These Guidelines, which are consistent with the EBA Pillar 3 Guidelines
in terms of scope and date of application, apply to credit institutions covered by the LCR Delegated Regulation and identified as Globally and Other Systemically Important Institutions (G-SIIs and O-SIIs). Furthermore, other credit institutions should apply these Guidelines at the discretion of the relevant competent authority or on a voluntary basis. The Guidelines will apply from 31 December 2017.
For informative purposes only, the EBA is also publishing an excel-based tool mapping the LCR disclosure template with the LCR supervisory reporting, which is not part of the Guidelines and, therefore, will not have any legal value for disclosure purposes.
Legal basis and background
These final Guidelines have been developed on the EBA's own initiative in accordance with Article 16 of Regulation (EU) No 1093/2010 and will complement the EBA Guidelines on revised Pillar 3 disclosures published on 14 December 2016.
These Guidelines will ensure that the implementation in the EU is aligned with that of the standard on LCR disclosure developed at global level by the Basel Committee on Banking Supervision (BCBC).