BIS国际清算银行-Global-banks-dollar-funding-needs-and-central-bank-swap-lines_9页_711kb

BIS Bulletin No. 27: Global Banks' Dollar Funding Needs and Central Bank Swap Lines

Core Content

This BIS Bulletin analyzes the short-term dollar funding needs of non-US banks and evaluates the adequacy of central bank swap lines in meeting these needs. The study is based on data from the end of 2019 and the early months of 2020, focusing on the impact of the global financial crisis (GFC) and the Covid-19 pandemic on dollar liquidity.

Key Findings

• Gross Dollar Liabilities:
  At the end of 2019, non-US banks had gross dollar liabilities of $13 trillion, nearly as high as before the GFC. The distribution of liabilities has shifted from European banks to Canadian, Japanese, Chinese, and other emerging market economy (EME) banks.

  • Japanese and UK banks had the highest dollar liabilities, each exceeding $2 trillion.
  • Canadian, French, Swiss, Chinese, and German banks each had liabilities over $1 trillion.
  • EME banks, particularly China, Russia, and Turkey, have become significant dollar borrowers.

• Dollar Funding Sources:
  Non-US banks primarily source dollar funding through their offices outside the United States. Only 22% of their dollar liabilities were booked through US-based affiliates.

  • US-based affiliates can access the Federal Reserve's facilities, but most dollar funding is sourced internationally.

• Short-Term Funding Needs:
  Short-term dollar funding needs are measured by comparing short-term liabilities (including FX swaps) with liquid dollar assets (such as reserves and USTs).

  • The net short-term dollar needs of non-US banks are estimated to be around $227 billion, based on FX swap activity.
  • Some banks, like the four Chinese Global Systemically Important Banks (G-SIBs), have moved from being net borrowers to net lenders in the FX swap market.

• Central Bank Swap Lines:

  • The scale of swap lines is comparable to the estimated short-term dollar funding needs of most non-US banking systems.
  • Swap line usage peaked at $449 billion in late May 2020, down from the $583 billion peak during the GFC.
  • The Bank of Japan and the European Central Bank (ECB) had the largest maximum allotments, while Canada's swap lines remained unused.
  • The FIMA Repo Facility, available to central banks without swap lines, saw modest uptake of $1.4 billion.

• Market Dynamics and Risks:

  • Short-term dollar funding needs are influenced by disruptions in other dollar markets (e.g., MMFs) and financial conditions.
  • Non-banks may also face liquidity pressures, leading to increased demand for short-term funding.
  • EMEs that have increasingly issued local currency debt may face greater refinancing risks if foreign investors retreat.

Main Viewpoints

• Historical Context:
  Dollar liabilities of non-US banks have remained high since the GFC, with a shift in the composition of borrowing from European to EME banks.

  • The share of dollar liabilities booked through US affiliates has increased but remains relatively low.

• Liquidity Management:
  Banks use FX swaps and other derivatives to manage currency risk, which helps identify short-term funding needs.

  • The assumption is that banks avoid significant open currency positions, thus using FX swaps to hedge.

• Policy Implications:
  Central bank swap lines have played a crucial role in providing liquidity to non-US banks during times of dollar shortage.

  • However, the effectiveness of these lines may be limited if the broader financial system faces stress, especially in EMEs.

Key Information

• Data Sources:

  • BIS consolidated and locational banking statistics.
  • CALL reports (FFIEC002, FFIEC031, FFIEC041, FR2886b).
  • US Money Market Fund Monitor (OFR).

• Methodology:

  • Gross dollar liabilities are compared with liquid dollar assets to estimate short-term funding needs.
  • Net positions in FX swaps and other derivatives are used to infer short-term funding requirements.
  • The study considers both lower and upper bounds of funding needs based on different assumptions about asset liquidity and usage.

• Trends and Outlook:

  • Swap line usage has declined since the peak in May 2020, but there is a risk of renewed demand if financial conditions worsen.
  • Non-US corporate dollar funding needs may increase, especially in EMEs, if foreign investors retreat.
  • The "original sin redux" phenomenon is highlighted, where EMEs face higher refinancing risks due to reliance on foreign capital.

Conclusion

The study concludes that while central bank swap lines have been effective in meeting short-term dollar funding needs, the broader financial system may still require additional liquidity support. The focus on non-US banks' dollar positions and the role of FX swaps in liquidity management underscores the importance of continued monitoring and policy coordination in maintaining global financial stability.