The new guidance broadens the focus from the estimation of the liquidity position to an end-to-end capability. It combines the estimation of funding needs and the liquidity position, the measurement and reporting of the liquidity situation, and the identification and mobilisation of collateral within a single framework.
Estimating funding needs and the liquidity position
Banks are expected to develop or expand robust methodologies to estimate funding needs and the liquidity position in resolution ex ante. In particular, it is clarified that these methodologies should also consider the Variant Resolution Strategy (VRS) and be adaptable to changing market conditions at short notice. The SRB refers to an update capability within a 24-hour timeframe.
Particularly relevant is the adjustment of scenario assumptions: the fast-moving scenario is shortened from up to three months to no more than one month before resolution. The SRB’s guidance thereby reflects practical experience that liquidity crises can accelerate significantly due to rapid market reactions, digital payment technologies and resulting information dynamics.
Measurement and reporting of the liquidity situation
Another focus is the ability to measure the liquidity situation in resolution at short notice and with high frequency, and to report it to resolution authorities. Banks should be able to provide standardised data at resolution group or resolution entity level, as well as at the level of individual Key Liquidity Entities (KLEs) and in material currencies. The consultation emphasises data quality, completeness, accuracy, integrity and timeliness in line with BCBS 239.
The focus is on clear responsibilities for data, plausibility checks, approvals and escalation, as well as the ability to provide information quickly and consistently in a resolution case. Data gaps, manual process steps and operational dependencies should be made transparent and addressed in a targeted manner.
Identification and mobilisation of collateral
The consultation also clarifies expectations for the Collateral Management in resolution. Banks should be able to identify usable collateral at a granular level, assess its legal and operational availability, apply valuation and haircut methodologies, and document the expected time to mobilise collateral by asset class.
Less liquid or non-central-bank eligible assets are particularly relevant. Banks should analyse which assets could be actually mobilised in resolution, what legal or operational obstacles may exist and how quickly collateral could be made available.
Templates for Key Liquidity Entities, Key Liquidity Drivers and collateral
The SRB provides two Excel templates. The Key Liquidity Entities (KLE) and Key Liquidity Drivers (KLD) template supports banks in the structured identification of material entities and material liquidity drivers. It covers, among other things, funding structure, collateral, risk positions, roles as liquidity provider or liquidity receiver, as well as the development over time of outflows, inflows and drivers across different resolution phases.
The collateral template focuses on the expected time to mobilise different asset classes. It distinguishes, between central-bank eligible and non-central-bank eligible assets, marketable and non-marketable assets, and different time buckets for mobilising 50 percent or the maximum mobilisable amount of an asset class.
