EBA欧洲银行-Public-hearing-presentation-retail-deposits-subject-to-different-outflows_15页_374kb

EBA Draft Guidelines on Retail Deposits Subject to Different Outflows for Liquidity Reporting under CRR Summary

Core Content

The European Banking Authority (EBA) has published draft Guidelines (GL) on retail deposits subject to different outflows for liquidity reporting under the Capital Requirements Regulation (CRR). These guidelines aim to enhance regulatory harmonisation in Europe by providing criteria for identifying retail deposits with higher liquidity outflow risks. The EBA is tasked with developing these GL in accordance with the mandate set by the final CRR text, which was published on 27 June 2013.

Main Objectives

• Provide criteria to identify less stable retail deposits for liquidity reporting.
• Enhance regulatory consistency across the European Union.
• Inform the Commission's calibration of the liquidity coverage requirement (LCR) by collecting data on these deposits.

Key Information

Timeline and Adoption Process

• Consultation period: 1 August – 1 October 2013
• Review and feedback period: October – November 2013
• Deadline for adoption: 1 January 2014
• Adoption process: The draft GL will be adopted by the Board of Supervisors and published on the EBA website.

Underlying Principles

• Higher outflow rates: Article 421(3) of the CRR requires the EBA to identify retail deposits subject to different outflows based on the likelihood of liquidity outflows in a combined stress scenario.
• Tiered buckets: A three-tiered system is used to classify deposits based on the number and riskiness of the criteria they meet. This approach avoids potential cliff effects.
• Data collection: Institutions are required to report the amounts of retail deposits and estimate corresponding outflows for each bucket using liquidity reporting templates.

Risk Factors and Criteria

Two categories of risk factors are used to classify retail deposits:

Category 1 (High Risk Factors)

• Currency of deposits
• Product-linked deposits
• Rate-driven or preferential condition deposits
• High-risk distribution channels (e.g., Internet only, brokered deposits)
• High value deposits
• Other characteristics considered high risk by the institution

Category 2 (Very High Risk Factors)

• Deposits with a maturity date or notice period
• Non-resident deposits
• Very high value of the deposit

Tiered Buckets

• Bucket 1: Deposits with two factors from Category 1
• Bucket 2: Deposits with three factors from Category 1, or one from Category 1 and one from Category 2
• Bucket 3: Deposits with two factors from Category 2, or a mix of factors (e.g., two from Category 1 and one from Category 2)

Established Relationship

A retail deposit is considered part of an established relationship if the depositor meets at least one of the following criteria:

• Has an active contractual relationship with the institution for a minimum duration
• Has a borrowing relationship with the institution for mortgage loans or other long-term loans
• Has a minimum number of active products (other than loans) with the institution

Institutions must use historical data to substantiate the classification of deposits.

Transactional Account

A retail deposit is considered a transactional account if salaries and transactions are regularly credited and debited against it. Historical data on depositor behavior is also required for this classification.

Conclusion

The EBA's draft GL aim to provide a consistent and data-driven framework for identifying retail deposits with different outflow characteristics. By using a tiered bucket approach and considering both high and very high risk factors, the guidelines help institutions better assess and report liquidity risks. The process includes public consultation, feedback, and final adoption by the EBA Board of Supervisors, ensuring transparency and regulatory alignment.