EBA欧洲银行-Monitoring-of-the-LCR-implementation-in-the-EU-first-report_45页_1mb

Summary of the First Report on LCR Implementation in the EU

Core Content

This report, published by the European Banking Authority (EBA) on 12 July 2019, outlines the findings and observations on the implementation of the Liquidity Coverage Ratio (LCR) in the European Union (EU). The LCR became applicable in the EU on 1 October 2015, with full implementation at a minimum of 100% effective from January 2018, replacing any national provisions. The report focuses on key implementation issues and provides guidance to promote consistency and a level playing field across EU credit institutions.

Main Conclusions and Observations

1. Operational Deposits (Article 27 of the LCR Delegated Regulation)

• Definition: Operational deposits include those received for clearing, custody, cash management, or comparable services in an established operational relationship, excluding those in the context of a deposit guarantee scheme (DGS) or cooperative network.
• Outflow Rates: Operational deposits are subject to preferential outflow rates (25% or 5% if covered by a DGS), whereas non-operational deposits are subject to higher outflow rates (40% or 20% if covered by a DGS, or 100%).
• Key Issue: The LCR Delegated Regulation lacks sufficient clarity on how to identify and quantify operational deposits, leading to inconsistent approaches across jurisdictions.
• EBA Guidance: The EBA provides non-exhaustive examples of prudent practices for estimating 'excess operational deposits' and encourages a proportionate application by smaller institutions. It also clarifies which specific transactions should be considered operational.

2. Retail Deposits Excluded from Outflows (Article 25(4) of the LCR Delegated Regulation)

• Definition: Retail deposits maturing beyond 30 calendar days can be excluded from outflows if the depositor is not legally allowed to withdraw the deposit before maturity or must pay a material penalty.
• Impact on LCR: Excluding such deposits significantly reduces the outflow rate, which can have a material impact on the LCR.
• Key Issue: The lack of a concrete definition of 'material penalty' leads to different interpretations and practices across institutions.
• EBA Guidance: The EBA encourages a common understanding of what constitutes a material penalty and promotes best practices for its assessment.

3. Other Implementation Issues

• Recognition of Inflows from Maturing HQLA: Some assets classified as HQLA are reclassified as non-HQLA in the last 30 calendar days of their maturity, potentially affecting the LCR negatively. The EBA emphasizes the need for justification of such reclassifications.
• Optionality and Contingent Inflows: Inflows contingent on the exercise of an option are not eligible for LCR, while outflows contingent on such options should be integrated based on expected exercise in stress scenarios.
• Interbank Swaps of Retained Covered Bonds or ABS: Swapped retained own securities may be eligible for HQLA if they meet certain criteria, but banks must ensure that these assets are priced and marketable before being classified as HQLA.
• Time Dimension of the LCR: End-of-month LCR values can be higher than intra-month values due to cash inflows. Unwritten arrangements for early withdrawal in evergreen liabilities may cause cliff effects. The EBA encourages close monitoring and regular notification of competent authorities if LCR falls below 100%.
• Notification Process: The EBA highlights the importance of the notification process and provides guidance to supervisors, particularly regarding Article 23 of the LCR Delegated Regulation.

Methodology

• The EBA used data from LCR COREP reports submitted by 192 credit institutions in June 2018, representing around 75% of the total assets of the EU banking system.
• The sample was categorized into larger institutions (35 banks) and smaller institutions (157 banks), based on the EBA Guidelines on disclosure of indicators of global systemic importance.
• The report also incorporated qualitative input from competent authorities and feedback from the banking industry through roundtables, surveys, and a public hearing.

Feedback from the Industry

• The EBA engaged with stakeholders, including banking associations and selected banks, to gather input and refine its guidance.
• A public hearing was held on 8 July 2019 to present the rationale and discuss the way forward.
• Stakeholders generally supported the EBA's work and suggested further areas for clarification.

Next Steps

• The EBA will continue to monitor LCR implementation and update the report regularly.
• It will focus on further scrutiny of the aspects mentioned in the first report and explore new areas, such as Article 26 of the LCR Delegated Regulation and HQLA diversification.
• The EBA will assess the use of its guidance by banks and supervisors and may introduce more formal legal instruments if needed.
• It will also work on refining the LCR COREP reporting framework and consult on proposed changes to the Implementing Technical Standards (ITS) on additional liquidity monitoring metrics (ALMM).

Key Takeaways

• Harmonisation: The EBA aims to foster harmonisation in LCR implementation, particularly in areas where divergent practices have been observed.
• Clarity: The report highlights the need for greater clarity in regulatory provisions to ensure a level playing field.
• Supervisory Role: The EBA plays a central role in providing guidance and monitoring to ensure consistent application of the LCR across the EU.