Regulatory Alerts2015-04-10
D6/2015: Matters Related to Liquidity Risk and the Liquidity Coverage Ratio
The Registrar of Banks requires financial institutions to submit monthly standardized templates detailing liquidity risk exposures through the Liquidity Coverage Ratio (LCR) and Net Stable Funding Ratio (NSFR). These frameworks mandate precise maturity ladder calculations for assets and liabilities across business-as-usual, contractual, and stressed scenarios while defining specific high-quality liquid asset tiers and cash flow run-off factors. Banks must also report funding concentrations, foreign exchange positions, and committed facilities to demonstrate sufficient short-term liquidity buffers and long-term stable funding capacity.
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