LCR Gap Analysis and Regulatory Assessment
We analyse your current LCR position, identify gaps to CRD VI/CRR III compliance, and create a prioritised action plan based on regulatory risk.
CRD-compliant LCR calculation, HQLA management, and regulatory reporting for credit institutions
Liquidity Coverage Ratio (LCR) under CRD VI
The Liquidity Coverage Ratio (LCR) requires credit institutions to hold sufficient high-quality liquid assets (HQLA) to cover net cash outflows over a 30-day stress scenario.
- 01LCR calculation and HQLA portfolio analysis under CRR III / Delegated Regulation 2015/61
- 02Classification and valuation of Level 1, Level 2A, and Level 2B assets including haircuts
- 03Net cash outflow modelling: retail and wholesale deposits, credit lines, derivatives
- 04Regulatory reporting (COREP C 72–76) and ongoing LCR monitoring
11+Years of experience
120+Employees
540+Projects
ISO 27001certified
Liquidity Coverage Ratio — Formula, HQLA Categories, and CRD Implementation
The LCR formula is: LCR = High Quality Liquid Assets (HQLA) ÷ Net Cash Outflows over 30 days ≥ 100%. HQLA are classified into Level 1 (cash, central bank reserves, government bonds — no haircut), Level 2A (covered bonds, AA-rated corporate bonds — 15% haircut, max. 40% share) and Level 2B (certain RMBS, equities, A-rated corporate bonds — 25–50% haircut, max. 15% share).
ADVISORI supports credit institutions in implementing all CRD LCR requirements — from gap analysis and IT implementation to ongoing regulatory reporting. Our approach combines regulatory expertise with automation solutions for efficient HQLA management and liquidity risk control.
6 service modules
What we take on for you
Bookable individually or as an end-to-end programme.
HQLA Portfolio Optimisation and Level Classification
Assessment and classification of your liquid assets into Level 1, 2A, and 2B per Delegated Regulation 2015/61. Optimisation of HQLA composition considering haircuts and concentration limits.
Cash Outflow Modelling and Stress Scenarios
Modelling of all net cash outflows: retail and wholesale deposits, secured and unsecured funding, derivative collateral, and credit line drawdowns under regulatory stress scenarios.
LCR Reporting and COREP Automation
Implementation of automated COREP templates (C 72–C 76), data quality assurance, and reconciliation with internal liquidity reports for supervisory and internal reporting.
Intraday LCR Monitoring and Early Warning Systems
Setup of real-time LCR monitoring with defined escalation levels, early warning indicators, and automated alerts when approaching the 100% minimum ratio.
CRR III / CRD VI Transition and ESG Integration
Support in implementing new CRR III requirements (from 2025), CRD VI provisions (from 2026), extended disclosure obligations, and integration of ESG liquidity risks into LCR management.
Our Approach to CRD LCR Compliance
We develop a practical LCR compliance strategy with you that efficiently meets CRD VI/CRR III regulatory requirements and sustainably improves your liquidity risk management.
Your contact
Melanie Düring
Head of Risk Management
7 QUESTIONS, BRIEFLY ANSWERED
Frequently asked questions about CRD Liquidity Coverage Ratio
What is the Liquidity Coverage Ratio and why is it important for banks?
The Liquidity Coverage Ratio (LCR) is a liquidity metric introduced under Basel III that ensures credit institutions hold sufficient high-quality liquid assets (HQLA) to withstand net cash outflows over a 30-day stress scenario. The minimum ratio is 100%. In the EU, the LCR is governed by CRR (Regulation 575/2013) and Delegated Regulation 2015/61. The LCR protects financial stability by safeguarding depositors and the financial system against short-term liquidity shortfalls.
What is the LCR formula and what do numerator and denominator represent?
The LCR formula is: LCR = HQLA ÷ Net Cash Outflows (30 days) ≥ 100%. The numerator (High Quality Liquid Assets) includes Level 1 assets (cash, central bank reserves, government bonds — no haircut), Level 2A assets (15% haircut, max. 40%), and Level 2B assets (25–50% haircut, max. 15%). The denominator comprises weighted outflows minus capped inflows (inflow cap 75%).
What qualifies as High Quality Liquid Assets (HQLA) across the different levels?
Level 1 HQLA: Cash, central bank reserves, sovereign bonds with 0% risk weight — no haircut. Level 2A HQLA: Covered bonds (CQS1), corporate bonds (AA-rated) — 15% haircut, max. 40% of the HQLA buffer. Level 2B HQLA: Certain RMBS (CQS1), equities in major indices, corporate bonds (A-rated) — 25–50% haircut, max. 15% of the HQLA buffer.
What outflow rates apply to different deposit types?
Retail deposits: stable deposits 5%, less stable 10%. Wholesale deposits: operational deposits 25%, non-operational unsecured 40–100%. Secured funding: 0–100% depending on collateral. Credit lines: committed lines to non-financial corporates 10–30%, to financial institutions up to 40%. Derivative collateral outflows are calculated individually.
How does ADVISORI support CRD LCR implementation?
ADVISORI supports credit institutions from gap analysis through IT implementation to ongoing reporting. We review HQLA classification, model net cash outflows, automate COREP reporting (C 72–C 76), set up intraday LCR monitoring, and assist with the CRR III/CRD VI transition including ESG integration.
What changes do CRR III and CRD VI bring for the LCR?
CRR III (from 2025) introduces revised outflow rates, new disclosure requirements, and adjustments to HQLA classification. CRD VI (from 2026) strengthens supervisory powers, extends ESG integration into liquidity management, and tightens requirements for internal governance and risk management in the liquidity domain.
How does LCR reporting work under COREP?
The LCR is reported monthly via COREP templates: C 72.00 (overall LCR calculation), C 73.00 (inflows by category), C 74.00 (outflows by category), C 75.00 (counterparty concentration), and C 76.00 (breakdown by significant currencies). Reports are submitted to BaFin (LSI) or ECB (SSM institutions) within prescribed deadlines.
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