Summary

In this study, we show that the banks optimise their liquidity position at the points in time on which the international liquidity metrics LCR and NSFR are focused. At other times, the banks demonstrate higher liquidity risks. To complement the existing liquidity metrics, liquidity risk should therefore also be measured by studying more future points in time.

In this light, the Riksbank has defined a new metric – Deposit Loss Capacity (DLC). This metric calculates when (that is, at which future point in time) a bank’s liquidity position is poorest according to contractual maturities. The metric also calculates how large bank run a bank could cope with at that time.

Authors: Ida Hansson and Tobias Lindqvist^[1] The authors would like to thank Mattias Danielsson, David Forsman, Jonatan Manfredini, Jonas Niemeyer, Olof Sandstedt and Daniel Westin for their valuable input. The opinions expressed in Economic Commentaries represent the authors’ personal opinions and cannot be regarded as an expression of the Riksbank’s view on the matters concerned. , work in the Financial Stability Department of the Riksbank.

Published: 9 May 2022