1. Liquidity Risk Regulatory Calculations for European Banking Authority User Guide
  2. Net Stable Funding Ratio Calculation as Per Capital Requirements Regulation
  3. Preconfigured Regulatory LCR Scenario

5.4 Preconfigured Regulatory LCR Scenario

This section explains the business assumptions which support inflow and outflow percentage/rates as per:

  • Corrigendum to Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012.
  • DIRECTIVE 2013/36/EU OF THE EUROPEAN PARLIAMENT AND OF THE COUNCIL on access to the activity of credit institutions and the prudential supervision of credit institutions and investment firms.
  • EBA FINAL draft Implementing Technical Standards on supervisory reporting under Regulation (EU) No 575/2013.
  • Report on appropriate uniform definitions of extremely high-quality liquid assets (extremely HQLA) and high-quality liquid assets (HQLA) and operational requirements for liquid assets under Article 509(3) and (5) CRR.
  • Implementing Technical Standards amending Commission Implementing Regulation (EU) No 680/2014 (ITS on supervisory reporting) concerning the Liquidity Coverage Ratio (LCR).

Note:

For detailed Processes and Tasks, see the Run Chart.