EBA欧洲银行-CP19_NVB_2页_87kb

NVB Response to CEBS's Technical Advice on Liquidity Risk Management

Core Content

The Dutch Bankers' Association (NVB) has responded to the Second Part of CEBS's Technical Advice to the European Commission on Liquidity Risk Management, expressing general support for the recommendations aimed at enhancing banks' liquidity risk management and contingency funding plans. The NVB emphasizes the importance of qualitative approaches with quantitative elements to manage liquidity risk effectively. It highlights that liquidity risk should be managed at a central level, and quantitative supervisory requirements should be applied at an aggregated and consolidated level to align with the macroeconomic perspective of supervisors.

Main Views and Key Points

General Comments

• Support for CEBS advice: The NVB generally supports the CEBS recommendations as they aim to strengthen liquidity risk management practices.
• Qualitative vs. Quantitative: The NVB advocates for liquidity risk management to be primarily qualitative, with quantitative elements used where necessary.
• Avoiding administrative burden: If additional quantitative information is required, it should align with existing internal data to minimize the administrative burden, especially during stress periods.
• Internal models and scenarios: Supervisors should specify liquidity scenarios in a way that allows the use of internal models, ensuring consistency and efficiency.

Specific Comments

• Support for specific recommendations: The NVB supports CEBS recommendations 8, 9, 10, 14, 15, 20, 26, and 27.
• Recommendation 2: The NVB believes that an adequate internal liquidity cost/benefit allocation mechanism is essential, and suggests the inclusion of the word 'relevant' in the last sentence. It also emphasizes that a risk/reward strategy is a prerequisite for an effective cost pricing model and that other mechanisms can be used to provide appropriate incentives.
• Recommendation 11: The NVB endorses the importance of intraday liquidity management but questions the rationale for managing it on a gross basis instead of a nett basis with safety margins. It calls for clarification on this point.
• Recommendation 16: The NVB supports the idea that liquidity buffers should be sufficient to cover liquidity stress during the defined survival period. It adds that the survival period is influenced by the institution's strategic risk appetite.
• Recommendation 18: The NVB agrees that institutions should disclose qualitative and quantitative information to stakeholders, but stresses that such information should be necessary and relevant. It also warns that qualitative disclosures during stressed times may be misinterpreted and potentially harmful to the institution.
• Recommendation 28: The NVB supports the idea that supervisors need precise and timely information to assess liquidity risk and the robustness of risk management. It emphasizes that institutions and supervisors should use the same information during stress, and that internal data should be prioritized to reduce administrative burden.

Key Information

• Liquidity Risk Management (LRM): Should be based on relevant data, both qualitative and quantitative.
• Intraday Liquidity Management: Should be based on gross basis information, but the NVB questions the necessity of this approach and suggests the use of nett basis with safety margins.
• Liquidity Buffers: Should be sufficient to cover liquidity stress during the survival period, which is determined by the strategic risk appetite of the institution.
• Disclosure: Must be relevant and necessary for stakeholders, and should be generalized due to the complexity of different situations.
• Supervisory Information: Should be timely, precise, and consistent with internal data, especially during stress periods.

Conclusion

The NVB's response underscores the importance of aligning supervisory requirements with internal data and ensuring that liquidity risk management is both effective and efficient. It highlights the need for clarity in certain recommendations, particularly those related to intraday liquidity management and information disclosure, and advocates for a balanced approach between qualitative and quantitative elements in liquidity risk frameworks.