2012年-IMF国际货币组织全球_Austria_Selected_Issues_12页_626kb

报告摘要

Summary of "Austria: Selected Issues"

Core Content

This document analyzes the funding model and credit risk vulnerability of Austrian banks' subsidiaries in Central, Eastern, and South Eastern Europe (CESEE), focusing on the Loan-to-Deposit Ratio (LDR) and its implications for financial stability.

Main Points

A. Introduction

The Austrian authorities introduced new supervisory guidance in March 2012 to constrain the funding model of the three largest Austrian banks' subsidiaries.
The guidance was designed to improve the sustainability of these banks' business models and was informed by the lessons from the recent boom-bust cycle in CESEE.
The Loan-to-Local-Stable-Funding Ratio (LLSFR), a variant of the LDR, was introduced as a monitoring tool.
Subsidiaries with a LLSFR above 110% and a flow-LLSFR exceeding 110% were identified as particularly vulnerable and received supervisory attention.

B. Background

Austrian banks' subsidiaries have a significant market share in several CESEE countries and represent a large portion of the Austrian banking system's assets and profits.
During the 2005–2008 credit boom, Austrian subsidiaries experienced rapid growth, especially in CIS countries and South-Eastern Europe.
The growth of these subsidiaries was largely funded by non-deposit sources, including cross-border funding and foreign currency swaps.
At the end of 2008, about 45% of Austrian subsidiaries had a LDR under 120%, while 14% had a LDR above 200%.
The global financial crisis in late 2008 led to a significant reduction in cross-border liquidity flows and a sharp deterioration in loan asset quality across CESEE.

C. Is the Loan-to-Deposit Ratio a Good Indicator of Credit Risk Vulnerability?

Data from CESEE banks shows that a higher LDR in 2008 is associated with greater asset quality deterioration in the following two years.
The LDR was used as a proxy for the LLSFR, as historical LLSFR data was not available.
Even when controlling for credit growth and country-level factors, the relationship between LDR and asset quality deterioration remained significant.
There is no clear jump in credit risk at the LDR threshold of 120%, suggesting that slightly exceeding this threshold may still be acceptable.
The dispersion in asset quality performance at a given LDR is large, indicating that a low LDR does not guarantee solidity.
Country-level factors, such as aggregate LDR and credit growth, also played a significant role in determining the change in loan loss provisioning rates.

D. Conclusion

The LLSFR is a useful tool for monitoring both liquidity and credit risk in Austrian banks' subsidiaries.
A higher LLSFR may indicate lax credit standards and inadequate internal risk pricing, which could contribute to credit risk buildup.
CESEE countries with a low aggregate LDR experienced less deterioration in asset quality, suggesting that controlling individual LDRs can help reduce aggregate credit risk.
However, the choice of a specific threshold for identifying excessive credit risk must consider the broader context of macroeconomic and sector-wide factors.
Capping LLSFRs helps limit Austrian taxpayers' contingent liabilities, especially in the absence of burden-sharing agreements with host countries.
The guidance on flow-LLSFR appears consistent with the goal of avoiding disruptive deleveraging in host countries.

Key Information

LLSFR: A measure of a subsidiary's reliance on non-local stable funding.
LDR: Used as a proxy for LLSFR due to lack of historical data.
Threshold: A LLSFR above 110% and a flow-LLSFR exceeding 110% signals high vulnerability.
Data Period: Analysis covers 2005–2010, with focus on 2008–2010 for credit risk performance.
Sample: Includes 59 Austrian subsidiaries and 350 non-Austrian CESEE banks.
Findings:
- LDR is a significant predictor of credit risk materialization.
- Credit risk is influenced by both individual bank and macroeconomic factors.
- The relationship between LDR and credit risk is not sharply defined at the threshold, suggesting a more nuanced approach is needed.
- The use of LLSFR as a credit risk indicator is supported by the analysis.

Tables and Figures

Table 1: Average real credit growth in CESEE sub-regions (2005–2008).
Table 2: Median flow LDR in CESEE sub-regions (2005–2008).
Table 3: Determinants of change in banks' loan loss provisioning rate (2008–2010).
Table 4: Determinants of change in aggregate loan loss provisioning rate (2008–2010).
Figure 1: Austrian banks' subsidiaries' loan market share in CESEE countries (2011).
Figure 2: Austrian subsidiaries' shares in total consolidated assets and profits (2005Q4–2011Q4).
Figure 3: Distribution of LDRs among CESEE banks (2008).
Figure 4: Relationship between LDR and change in loan-loss provisioning rate (2008–2010).