年-IMF国际货币组织全球_Luxembourg_Financial_System_Stability_Assessment_70页_2mb

Financial System Stability Assessment of Luxembourg (May 2017)

Core Content

The Financial System Stability Assessment (FSSA) of Luxembourg, conducted by the International Monetary Fund (IMF) in April 2017, evaluates the stability of the country's financial system. Luxembourg is recognized as having a systemically important financial sector, and the assessment is part of the Fund's bilateral surveillance under Article IV. The report draws on the findings of the Financial Sector Assessment Program (FSAP) mission, which visited Luxembourg and Frankfurt in 2016 and discussed results during the Article IV consultation in March 2017.

The financial system is characterized by its role in global capital intermediation, with a strong presence in banking, investment funds, and insurance. The country's financial institutions are highly interconnected and have a significant impact on global markets. Despite robust financial soundness indicators, the assessment identifies several vulnerabilities and recommends actions to enhance resilience.

Main Points

Financial Soundness

• The financial system has remained relatively robust, with strong profitability, capital, liquidity, and asset quality in the banking sector.
• The investment fund industry has experienced strong growth in assets under management (AuM), with steady exposure to liquid assets.
• The insurance industry has maintained high profitability and capitalization, with relatively low exposure to guaranteed products compared to regional peers.

Vulnerabilities

• High interconnectedness and size of the financial system increase systemic risk.
• Residential real estate market has seen elevated valuations, which could lead to affordability issues and higher household debt.
• Foreign bank subsidiaries aggregate liquidity from investment funds and wealth management, exposing them to maturity and currency transformation risks at the parent level.
• Clearstream Banking Luxembourg (CBL), a central securities depository, is a key player in global securities settlement, and its disruption could have wide spillover effects.
• Liquidity risk among investment funds and banks could be exacerbated by large redemption shocks or FX funding stresses.

Resilience

• The system shows good resilience to severe but plausible shocks, with high starting capital levels allowing most banks to absorb large shocks.
• Liquidity coverage ratio (LCR) and net stable funding ratio (NSFR) are key indicators that highlight the system's ability to withstand liquidity stress.
• Spillover analysis indicates material cross-border exposures, which require ongoing vigilance.

Key Recommendations

• Strengthen prudential oversight by increasing resources for risk-based supervision at BCL, CSSF, and CAA.
• Enhance engagement with supervision and resolution authorities in countries where Luxembourg's LSIs and investment funds operate.
• Enshrine operational independence of CSSF and CAA in legislation and update board member codes of conduct.
• Implement a group-level FX liquidity requirement and monitor related FX liquidity risk.
• Develop internal liquidity stress testing capacity for investment funds and provide guidance on liquidity management tools.
• Expand the macroprudential toolkit to include borrower-based lending limits.
• Continue monitoring real estate market and bank-investment fund interlinkages, closing related data gaps.
• Increase frequency of on-site inspections for subsidiaries using large exposure limit waivers.
• Harmonize data reporting standards for loan-to-value and debt-to-income ratios.
• Strengthen guidance on substance in delegated activities and fund directorships.
• Implement a revised early warning system under Solvency II for the insurance sector.
• Reduce CBL's exposure to commercial banks by establishing direct links with central securities depositories (CSDs) and central banks.
• Require a third data center and conduct full failover tests for CBL.
• Finalize credible resolution plans and operationalize bail-in mechanisms.
• Develop business sale and bridge bank resolution tools and ensure adequate liquidity funding in resolution.
• Address intragroup exposures and custodian function transfer in recovery and resolution.

Conclusion

Luxembourg's financial system is robust and well-integrated into global markets. However, the assessment highlights the need for continued vigilance and reform to address systemic risks, particularly related to real estate, interconnectedness, and liquidity. Strengthening prudential frameworks, enhancing cross-border cooperation, and ensuring operational independence and resilience in financial market infrastructures are key priorities.