This chapter explains how to calculate the Liquidity Coverage Ratio, the minimum requirement and banks' reporting obligations.

Version effective as of 15 Dec 2019

First version in format of consolidated framework.

20.1 The Committee has developed the Liquidity Coverage Ratio (LCR) to promote the short-term resilience of the liquidity risk profile of banks by ensuring that they have sufficient high-quality liquid assets (HQLA) to survive a significant stress scenario lasting 30 calendar days.

20.2 The scenario for this standard entails a combined idiosyncratic and market-wide shock that would result in:

(1) the run-off of a proportion of retail deposits;

(2) a partial loss of unsecured wholesale funding;

(3) a partial loss of secured, short-term financing with certain collateral and counterparties;

(4) additional contractual outflows that would arise from a downgrade in the bank's public credit rating by up to and including three notches, including collateral posting requirements;

(5) increases in market volatilities that impact the quality of collateral or potential future exposure of derivative positions and thus require larger collateral haircuts or additional collateral, or lead to other liquidity needs;

(6) unscheduled draws on committed but unused credit and liquidity facilities that the bank has provided to its clients; and