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报告摘要

IBF Comments Summary on CEBS's Technical Advice on Liquidity Risk Management

Core Content

The Irish Banking Federation (IBF) has provided detailed comments on the second part of CEBS's technical advice to the European Commission on liquidity risk management. The IBF generally supports the CEBS approach, particularly the emphasis on proportionality and materiality, as well as the flexibility in allowing institutions to use internal methodologies instead of quantitative supervisory requirements. However, they have raised several clarification requests and wording suggestions to improve the clarity and applicability of the recommendations.

Main Comments and Suggestions

Lesson 2

Core Content: Liquid assets are defined as those that can be quickly and easily converted into cash at a reasonable cost.
Comment: The IBF suggests that the term "market" should be interpreted to include any relevant commercial counterparty, including Central Banks.

Lesson 5

Core Content: Securitisation, when used as a regular funding source, can lead to liquidity problems during stress periods.
Comment: The IBF believes that the statement should be revised to clarify that the risk applies specifically to concentrated market funding sources, not all market funding sources.

Recommendation 1

Core Content: The Board of Directors should set liquidity risk management policies.
Comment: The IBF recommends inserting the term "liquidity risk" in the first sentence to enhance clarity.

Recommendation 2

Core Content: Banks should consider the cost of liquidity.
Comment: The IBF suggests that CEBS should avoid prescribing specific tools for addressing liquidity costs and instead keep the recommendation high-level. They also emphasize that banks should not be forced to pass liquidity costs to business units.

Recommendation 4

Core Content: Institutions should be aware of strategic liquidity risk and have knowledge of liquidity positions within the group.
Comment: The IBF clarifies that the recommendation should apply at the group level, not at the subsidiary level, due to the complexity and diversity of regulatory environments across different jurisdictions.

Recommendation 11

Core Content: Intraday liquidity should be managed on a gross basis.
Comment: The IBF notes that this should not be interpreted as requiring banks to hold collateral based on gross positions, but rather to be aware of and monitor intraday liquidity risks.

Recommendation 15

Core Content: Institutions should have adequate contingency plans and test them regularly.
Comment: The IBF highlights that live testing is not always feasible and may have reputational risks. They also suggest rewording the recommendation to focus on dealing with liquidity crises rather than preparing for them.

Recommendation 18

Core Content: Increased transparency is encouraged through disclosure.
Comment: The IBF emphasizes the need for standardized disclosure formats to avoid misinterpretation by the market.

Recommendation 23

Core Content: Supervisors should consider the role of central banks in assessing asset marketability.
Comment: The IBF points out an inconsistency between Recommendation 8 and 23. They suggest that Recommendation 8 should be amended to align with the recognition of central banks in Recommendation 23.

Recommendation 24

Core Content: Stress test results may not always trigger action.
Comment: The IBF notes that this is a known limitation and does not object to the recommendation.

Recommendation 25

Core Content: Supervisors should consider replacing quantitative requirements with internal methodologies.
Comment: The IBF supports this and suggests replacing the term "insurance" with "assurance" in the last sentence for clarity.

Recommendation 28

Core Content: CEBS recommends developing a minimum set of common reporting requirements.
Comment: The IBF suggests that supervisors should consider accepting data in the format used by the institution, given the frequent requests for liquidity information.

Key Information

The IBF supports the general principles of proportionality, materiality, and internal methodologies in liquidity risk management.
They emphasize the importance of clarity in recommendations and suggest revisions to ensure that the language accurately reflects the intended scope.
There is a call for standardization in disclosure practices to prevent market misinterpretation.
The IBF also highlights the feasibility of certain recommendations, particularly in relation to subsidiary-level awareness and live testing of contingency plans.
A specific recommendation is made to amend Recommendation 8 to align with the recognition of central banks in Recommendation 23.

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