Article 5 Stress Scenarios for the Purposes of the Liquidity Coverage Ratio

Credit institutions may regard the following scenarios as indicators of circumstances in which they may be considered as being subject to stress:

  1. (a) the run-off of a significant proportion of its retail deposits;
  2. (b) a partial or total loss of unsecured wholesale funding capacity, including wholesale deposits and other sources of contingent funding such as received committed or uncommitted liquidity or credit lines;
  3. (c) a partial or total loss of secured, short-term funding;
  4. (d) additional liquidity outflows as a result of a credit rating downgrade of up to three notches;
  5. (e) increased market volatility affecting the value of collateral or its quality or creating additional collateral needs;
  6. (f) unscheduled draws on liquidity and credit facilities;
  7. (g) potential obligation to buy-back debt or to honour non-contractual obligations.

[Note: This rule corresponds to Article 5 of Regulation (EU) No 2015/61 as it applied immediately before revocation by the Treasury]