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Banking Rule Book
Text applicable on 1 Jan 2023Consolidated version of 1 Jan 2023In forceUpcoming changefrom 1 Jan 2027Unofficial text · authentic on EBA (PDF) (opens in a new tab)

GL-SREP paragraph 512(d) — as applicable on 1 Jan 2023 (version of 1 Jan 2023)

Upcoming changeThis provision is amended or removed from 1 Jan 2027.View that version

9.2

Overall assessment of liquidity

509.

To assess whether the liquidity held by an institution provides appropriate coverage of risks to liquidity and funding, competent authorities should use the following sources of information:

a.

the institution’s ILAAP;

b.

the outcomes of the assessment of liquidity risk;

c.

the outcomes of the assessment of funding risk;

d.

the outcome of the supervisory benchmark calculation; and

e.

other relevant inputs (from on-site inspections, peer group analysis, stress testing, etc.).

510.

Competent authorities should consider the reliability of the institution’s ILAAP, including metrics for liquidity and funding risk used by the institution.

511.

When assessing the institution’s ILAAP framework – including, where relevant, internal methodologies for the calculation of internal liquidity requirements – competent authorities should assess whether ILAAP calculations are:

a.

credible: whether the calculations/methodologies used properly cover the risks they are looking to address; and

b.

understandable: whether there is a clear breakdown and summary of the underlying components of the ILAAP calculations.

512.

For the assessment of the institution’s liquidity adequacy, competent authorities should also combine their assessments of liquidity risk and funding risk. in particular, they should take into account findings regarding:

a.

risks not covered by liquidity requirements specified in Commission Delegated Regulation (EU) 2015/61, as regards the LCR, or in the Regulation (EU) No 575/2013 as regards the NSFR, including intraday liquidity risk and liquidity risk beyond the 30-day time period as well as funding risk beyond 1 year;

b.

other risks not adequately covered and measured by the institution, as a result of underestimation of outflows, overestimation of inflows, overestimation of the liquidity value of buffer assets or counterbalancing capacity, or unavailability from an operational point of view of liquid assets (assets not available for sale, assets that are encumbered, etc.);

c.

specific concentrations of counterbalancing capacity and/or funding by counterparty and/or product/type;

d.

funding gaps in specific maturity buckets in the short, medium and long term;

e.

appropriate coverage of funding gaps in different currencies;

f.

cliff effects; and

g.

other relevant outcomes of the supervisory liquidity stress tests.

513.

Competent authorities should translate this overall assessment into a liquidity score, which should reflect the view of competent authorities on the threats to the institution’s viability that may arise from risks to liquidity and funding.