EBA欧洲银行-Monitoring-of-the-LCR-implementation-in-the-EU-First-report_16页_1mb

EBA LCR Implementation Monitoring Report Summary (July 2019)

Core Content

The European Banking Authority (EBA) published its first report on the implementation of the Liquidity Coverage Ratio (LCR) in the EU, highlighting key challenges and areas for improvement in the application of the LCR Delegated Regulation (LCR DR). The report aims to ensure a consistent and harmonized application of the LCR across banks and jurisdictions, and to address discrepancies that may arise due to the lack of clear regulatory specifications.

Main Objectives of the Monitoring

• Identify difficulties in understanding and applying the LCR rules.
• Provide clarifications to address ambiguities.
• Ensure harmonized application to protect the level playing field.

Work Done

• A public report was prepared based on monitoring activities.
• Feedback was gathered from competent authorities and supervisors through expert and policy groups.
• A roundtable with banks and associations was held in February 2019.
• Presentations were made at the EBA Banking Stakeholder Group in April 2018 and February 2019.
• The EBA Board of Supervisors endorsed the report, which was published before the end of July 2019.

Key Areas Investigated

1. Operational Deposits

• Issue: Ambiguity in identifying operational deposits and "excess operational deposits."
• Risk: Different outflow rates based on whether deposits are classified as operational or not.
• EBA Guidance:
  • Provides a list of operational deposits and clarifies their treatment.
  • Encourages use of historical data or the client's trade cycle for quantification.
  • Added "custody specialized institutions" to the list of potential operational deposits.

2. Excluded Retail Deposits

• Issue: Lack of a clear definition of "material penalty" for retail deposits maturing beyond 30 days.
• Risk: Inconsistent interpretations leading to different LCR outcomes.
• EBA Guidance:
  • Defines "material penalty" as including opportunity costs and transactional costs.
  • Banks must provide a reasoned justification for a 0% outflow rate in stress scenarios.
  • Penalties based on interest or other factors are not sufficient to justify 0% outflow unless the early withdrawable amount is materially lower than the principal.

3. Outflows from Other Products and Services (Article 23 LCR DR)

• Issue: Ambiguity in the identification of 10 broad outflow categories.
• Risk: Divergent interpretations may lead to inconsistent outflow rates and affect liquidity risk coverage.
• EBA Guidance:
  • Proposes harmonized definitions for the categories.
  • Clarifies interaction with Article 31 (committed facilities) and Article 32 (contractual commitments).
  • Does not provide specific outflow rates, as they remain to be determined by competent authorities.

Other Implementation Issues

1. Haircut Reclassification of HQLA

• Issue: Banks reclassify HQLA with high haircuts to non-HQLA before maturity, leading to higher inflows.
• Prudent Practice: HQLA should be treated as such if they meet operational and general requirements.

2. Contingent Inflows and Outflows

• Issue: Banks have doubts about whether inflows dependent on options can be considered.
• Prudent Practice: Contingent inflows are not eligible for the LCR. Outflows dependent on options are expected under stress.

3. Window Dressing and Concentration of Outflows

• Issue: Banks may manipulate LCR values for reporting purposes or concentrate outflows outside the 30-day window.
• Prudent Practice: Banks should avoid distorting LCR values and supervisors should assess intra-monthly LCR values to ensure transparency.

Industry Comments and EBA Responses

Operational Deposits

• Comments: Concerns over the stringency of proposed approaches and the need for a more comprehensive list.
• EBA Response: Encourages use of the deposit activity cycle if the trade cycle is complex. Added specialized custody accounts to the list.

Excluded Retail Deposits

• Comments: Request for consideration of external factors like public subsidies and tax advantages.
• EBA Response: Acknowledges opportunity costs as part of the material penalty assessment, but clarifies that such factors do not imply higher penalties.

Other Aspects

• Comments: Criticisms of the strict treatment of contingent outflows and lack of clarity on Article 23 categories.
• EBA Response:
  • Contingent outflows should be recognized under stress.
  • Clarifications on Article 23 categories are included.
  • The guidance is not binding but serves as a benchmark for harmonized application.

Upcoming Reports

The EBA plans to:

• Publish further guidance on the LCR, including:
  • Outflows with interdependent inflows
  • Concentration of liquidity buffer by currency
  • Liquidity risk beyond the 30-day window
• Consider additional topics for future reports, such as:
  • Correspondent banking
  • Structured notes with autocollable triggers
  • Internalisation of collateral

Additional Regulatory Work

• The EBA will publish technical standards (CPs) on NSFR reporting and disclosure in the second half of 2019.
• Mandated by the amended LCR DR and CRR2, the EBA will report to the European Commission on:
  • NSFR treatment of precious metals clearing and settlement services (June 2021)
  • NSFR treatment of derivatives (June 2024)
  • Other NSFR-related topics by 2023.

Contact Information

• EBA
  Floor 46, One Canada Square, London E14 5AA
  Tel: +44 207 382 1776
  Fax: +44 207 382 1771
  E-mail: info@eba.europa.eu
  Website: http://www.eba.europa.eu