The unwind mechanism of the liquidity coverage ratio

On 19 November 2020, the European Banking Authority (EBA) published a Report on the unwind mechanism of the liquidity coverage ratio (LCR) analyzing its effects over a three-year period, from the end of 2016 to the first quarter of 2020. The analysis is based on common reporting (COREP) of larger EU banks. It also discusses the functioning of the mechanism under particular situations and the opportunity to change some technical aspects of the mechanism.

Please find the full report here.