Liquidity Coverage Ratios of Large U.S. Banks During and After the COVID-19 Shock

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April 2, 2024

Liquidity Coverage Ratios of Large U.S. Banks During and After the COVID-19 Shock

Authors: Paul Glasserman and H. Peyton Young

Large U.S. bank holding companies are subject to a Liquidity Coverage Ratio rule that is intended to enhance the short-term resilience of the banking system through better measurement and management of liquidity risk. The authors review the performance of components of the LCR since 2017, with particular emphasis on the effects of the market turbulence in early 2020, referred to as the COVID-19 shock. In addition to examining performance through the COVID-19 shock, this brief provides a retrospective review of six years of LCR disclosures to increase public awareness and understanding of these reports. The authors’ analysis uses reports from Q2 2017, when public disclosures began, through Q1 2023.

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