The Basel Committee has now released its final set of Liquidity Coverage Ratio Disclosure Standards, which require banks to complete a common disclosure template to present information on the composition of their High Quality Liquid Assets (HQLA, the numerator of the LCR), calculated on a consolidated basis and presented in a single currency. The common disclosure template sets out how the 22 individual elements of the LCR calculation should be presented, in terms of HQLAs, cash outflows and cash inflows. Other "qualitative discussion" around the LCR should be provided as part of the disclosure, for example, covering the composition of HQLAs, concentration of funding sources, derivative exposures and potential collateral calls, currency mismatches, intra-period changes and the main drivers of their LCR results. Quantitative information that can also be provided includes information about concentration limits, liquidity exposures and funding needs at branch, subsidiary and individual entity level, governance of liquidity risk management, and funding strategy generally. No set templates are provided for the disclosure of this additional qualitative and quantitative information. National authorities are required to give effect to the liquidity disclosure requirements no later than 1 January 2015 and banks would be required to comply from the date of publication of their first set of financial statements relating to balance sheet data on or after 1 January 2015.

Useful links

Basel Committee Liquidity Coverage Ratio Disclosure Standards