The Committee of European Banking Supervisors (CEBS) has published a consultation paper on liquidity buffers. This paper sets out draft guidelines on the appropriate size and composition of liquidity buffers with a view to enhance banks' resilience to liquidity shocks. In particular, the consultation paper proposes that, when building their buffers, credit institutions consider: three types of stress test scenarios : idiosyncratic, market specific, and a combination of the two;
- a time horizon of at least one month;
- it will also be important to take into account a shorter time horizon of at least one week (acute phase of stress) during which a greater degree of confidence on the capacity for the eligible assets to generate liquidity would be required;
- that the core of the buffer should be composed of cash and assets that are both highly liquid in private markets and central bank eligible, although some flexibility might be appropriate for the longer end.