EBA欧洲银行-6_ESBG_5页_191kb

ESBG Summary of Comments on CEBS Consultation Paper CP 28

I. Introduction

The European Savings Banks Group (ESBG) welcomes the principles-based character of the CEBS guidelines on liquidity buffers and survival periods. ESBG emphasizes that a rules-based approach could be problematic due to the institution-specific nature of liquidity risk and the diversity of business models and liquidity management practices across financial institutions.

ESBG highlights that the current Guideline 4 on eligible assets for the liquidity buffer may restrict the types of securities that can be used, potentially increasing demand for these securities and leading to market disruptions. Therefore, ESBG recommends that CEBS conduct an impact assessment before implementing the guidelines to identify and evaluate potential negative effects on securities markets.

ESBG supports the inclusion of proportionality as an overarching principle, especially for smaller banks with conservative policies and low risk appetite. A risk-based approach to liquidity risk management is seen as appropriate.

II. Guideline 2 - Stress Scenarios

ESBG generally supports the proposed approach for stress scenarios but suggests that it should be complemented with a more quantitative method based on lessons from past liquidity crises and empirical data.

ESBG notes that the three types of stress scenarios (idiosyncratic, market-specific, and combined) should account for interactions between them. It argues that idiosyncratic scenarios, based on the current financial crisis, already represent a combined stress scenario.

It is crucial that supervisory authorities develop a common understanding of stress scenario design to avoid competitive distortions, particularly in the context of market-specific scenarios. ESBG also emphasizes that market-specific scenarios are primarily relevant for institutions that refinance on capital markets and should not be expected from all institutions. The same logic applies to combined scenarios.

III. Guideline 3 - Survival Period

ESBG agrees with the proposed two-phase approach for the survival period: a short acute phase followed by a longer, more persistent period of stress. It suggests that the acute short period should be clearly defined and whether it is included in the longer moderate stress period should be specified.

IV. Guideline 4 – Composition of the Buffer

ESBG believes that the definition of eligible assets for the liquidity buffer should not be overly narrow. It advocates for central bank eligibility as the primary criterion, as banks rely on this for their funding needs.

The requirement that eligible assets must be "highly liquid in private markets" is considered inappropriate and may distort the reflection of an institution's liquidity position. ESBG suggests that this requirement be removed.

ESBG also recommends clarifying the meaning of "emergency facilities" within the central bank measures and providing more guidance on how to test central bank eligibility under stressed conditions. Additionally, it suggests that the regular participation in open market operations should not be interpreted as a close dependence on central banks, and that criteria for strong reliance on central bank facilities should be developed.

V. Guideline 5 – Diversification of Assets

ESBG agrees that diversification of the liquidity buffer is important. However, it argues that additional concentration limits beyond those set by central banks for eligible collateral are unnecessary.

From a regulatory perspective, diversification should not force banks to hold assets with longer maturities or in foreign currencies. Instead, the composition of the buffer should reflect the specific liquidity risks of individual banks based on their maturity structure and currency holdings.

The requirement in Guideline 5 for firms to be active in each market where they hold liquidity assets is seen as burdensome for small and retail-oriented banks, leading to high transaction costs. ESBG suggests that this requirement should be explicitly linked to the proportionality principle.

VI. Annex – Cash Flows and Counterbalancing Capacity

ESBG recommends that when determining funding needs, banks should take into account relevant known cash flows such as asset issuances and significant asset sales.

It also notes that the proposed differentiation between contractual and behavioural cash flows does not provide additional insight into liquidity situations and is not reasonable for retail banks with stable deposits.

About ESBG

ESBG is an international banking association representing one of the largest European retail banking networks, comprising approximately one-third of the retail banking market in Europe. With total assets of €5967 billion as of 1 January 2008, ESBG advocates for its members' interests before EU institutions and facilitates cross-border banking projects. Its members are typically savings and retail banks or associations, operating in decentralized networks and serving their local communities. ESBG members have a long-standing tradition of responsible investment and are recognized as benchmarks for corporate social responsibility in Europe and globally.