4.1 Overview

The EBA Delegated Act (DA) Liquidity Coverage Ratio calculations cater to the guidelines on liquidity coverage requirement for Credit Institutions that were published by the European Commission in October 2014 as a supplement to Regulation (EU) 575/2013. The Commission proposed a number of adjustments to reflect the Union specificities, most notably for certain covered bonds and securitized assets.

Liquidity coverage ratio addresses the short-term liquidity needs of an institution during a stress situation. It estimates whether the stock of high quality liquid assets is sufficient to cover the net cash outflows under stress situations over a specified future period, in general, lasting 30 calendar days (or LCR horizon). Liquidity coverage ratio is calculated at the legal entity level, on a standalone and consolidated basis.