What Liquidity coverage ratio disclosure standards requires
This disclosure framework sets out requirements for the Liquidity Coverage Ratio (LCR) to improve transparency, reinforce the Sound Principles for sound liquidity risk management, enhance market discipline, and reduce market uncertainty. The LCR standard aims to promote the short-term resilience of a bank’s liquidity risk profile by ensuring that it has sufficient high-quality liquid assets (HQLA) to survive a significant stress scenario lasting for 30 days. These standards are an essential component of the reforms introduced by Basel III and will increase banks’ resilience to liquidity shocks and promote a more stable funding profile. The disclosure requirements apply to all internationally active banks on a consolidated basis. The core obligation is for these banks to publish their LCR according to a common template. The LCR will be introduced on 1 January 2015, with a minimum requirement set at 60%, rising in equal annual steps to reach 100% on 1 January 2019. Banks must publish this disclosure at the same frequency as, and concurrently with, their financial statements. The framework requires quantitative information in a common template and sufficient qualitative discussion to facilitate understanding of the results and data provided.
Pillar: Banking & Global Finance · Authority: Basel Committee on Banking Supervision · Version: 1.0.0 · Last updated:
Primary source: https://www.bis.org/publ/bcbs272.pdf
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Primary Citations — 8 traced to source
- Paragraph 2: The first objective is to promote short-term resilience of a bank's liquidity risk profile by ensuring that it has sufficient high-quality liquid assets (HQLA) to survive a significant stress scenario lasting for 30 days.
- Paragraph 4: The LCR will be introduced on 1 January 2015, with a minimum requirement set at 60%. The minimum requirement will rise in equal annual steps to reach 100% on 1 January 2019.
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