The report presents the preliminary views on how CEBS could steer the approach the industry will use to calibrate the size, and determine the composition, of liquidity buffers over certain defined time horizons.
The report presents the preliminary views on how CEBS could steer the approach the industry will use to calibrate the size, and determine the composition, of liquidity buffers over certain defined time horizons, while also considering further differentiation around currencies and legal entities.
CEBS’s proposals are based on the understanding that a liquidity buffer is dependent on the severity and characteristics of the stress scenarios, the time horizon fixed as a survival period and the characteristics of the assets in the buffer. For conducting the stress tests a survival period of one month is tentatively suggested.
On assets eligible for the buffer, CEBS emphasizes that they should ensure generation of liquidity immediately or within a very short time and should provide a reasonable predictability regarding the amount of liquidity that they can generate, via the use of haircuts if necessary.
Principles for the determination of eligible assets and for setting the adequate minimum size of the buffer, especially in relation to survival periods, will be prepared. Further work will also be conducted on the stress scenarios to be used by the banks. CEBS intends to publish a Consultation Paper on its refined proposals by mid-2009.
Press release
Interim report
© CEBS - Committee of European Banking Supervisors
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