The Liquidity Coverage Ratio: the need for further complementary ratios?

Roedl, Marianne (2013): The Liquidity Coverage Ratio: the need for further complementary ratios? Published in: Bank for International Settlements Publications (15 October 2013)

Abstract

This paper considers components of the Liquidity Coverage Ratio – as well as certain prevailing gaps which may necessitate the introduction of a complementary liquidity ratio. The definitions and objectives accorded to the Liquidity Coverage Ratio (LCR) and Net Stable Funding Ratio (NSFR) highlight the focus which is accorded to time horizons for funding bank operations. A ratio which would focus on the rate of liquidity transformations and which could also serve as a complementary metric given certain gaps which currently prevail with the Liquidity Coverage Ratio, as well as existing gaps with other complementary liquidity monitoring tools, is proposed.

• Item Type: MPRA Paper
• Language: English
• Keywords: Liquidity Coverage Ratio (LCR); Net Stable Funding Ratio (NSFR); High Quality Liquid Assets (HQLA); liquidity monitoring tools; objectivity; comparability; transparency; disclosure
• Subjects: E - Macroeconomics and Monetary Economics > E0 - General; E - Macroeconomics and Monetary Economics > E0 - General > E02 - Institutions and the Macroeconomy; G - Financial Economics > G2 - Financial Institutions and Services; G - Financial Economics > G3 - Corporate Finance and Governance; K - Law and Economics > K2 - Regulation and Business Law

References

Basel Committee on Banking Supervision, Consultative Document 'Liquidity Coverage Ratio Disclosure Standards' July 2013 http://www.bis.org/publ/bcbs259.htm

Basel Committee on Banking Supervision, 'Basel III: The Liquidity Coverage Ratioand Liquidity Risk Monitoring Tools“ January 2013 http://www.bis.org/publ/bcbs238.pdf

Basel Committee on Banking Supervision, Basel III: International Framework for Liquidity Risk Measurement, Standards and Monitoring December 2010 www.bis.org/publ/bcbs188.pdf