EBA updates report on monitoring of LCR and NSFR in the EU
The European Banking Authority (EBA) has published an updated report on the monitoring of the liquidity coverage ratio (LCR) and the net stable funding ratio (NSFR) in the EU. This update was prompted by the banking turmoil in March 2023, which underscored the need for enhanced supervision of liquidity aspects due to changes in the interest rate environment and trends in deposit behaviour. The report provides clarification on the recognition of LCR inflows from open reverse repurchase agreements without a maturity date within 30 days. It builds on two approaches: one based on trigger events to terminate transactions and the other on historical experience. The report also addresses recent changes in operational deposits and the interest rate environment, supplementing the EBA’s 2019 guidance on operational deposits. Additionally, an addendum to the EBA’s 2023 report on interdependent assets and liabilities in the NSFR clarifies regulatory expectations for indirect client clearing activities involving affiliated institutions.
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