EBA欧洲银行-CP19_RKR_2页_646kb

CEBS Technical Advice Summary: Liquidity Risk Management for Danish Mortgage Banks

Core Content

The document provides a summary of the Second Part of CEBS's Technical Advice to the European Commission on Liquidity Risk Management, with specific comments from the Association of Danish Mortgage Banks. The main focus is on the liquidity risk profile of Danish mortgage banks and the applicability of CEBS recommendations to these institutions.

Main Points and Suggestions

1. Recommendation No. 17: Funding Source Monitoring and Diversification

• CEBS Recommendation: Institutions should actively monitor their funding sources to identify potential concentrations and maintain a well-diversified funding base.
• Danish Mortgage Banks' Perspective:
  • They are specialised mortgage banks and do not have the right to receive deposits.
  • Their funding is exclusively through covered bonds.
  • The Association suggests that Recommendation No. 17 should be interpreted with due consideration of the nature and legal framework of each institution.
  • They expect the recommendation not to hinder the operations of specialised mortgage banks.

2. Recommendation No. 15 and No. 16: Contingency Plans and Liquidity Buffers

• The same concerns about the appropriateness of the recommendations apply to Recommendation No. 15 (adequate contingency plans) and Recommendation No. 16 (liquidity buffer).
• The Association believes that specialised mortgage banks require less stringent contingency plans and liquidity buffers compared to commercial banks due to their unique funding structure.

3. Nature of Liquidity Risk for Danish Mortgage Banks

• No Funding Liquidity Risk in the "Lifetime" of a Loan:
  • When a loan is disbursed, the borrower receives the proceeds from the sale of covered bonds.
  • The Danish balance principle ensures minimal mismatch between borrower payments and bondholder payments.
  • A high proportion of loans are funded by covered bonds that mature simultaneously with the loans.
  • If the borrower redeems the loan, the corresponding bonds are also redeemed.
• High Liquidity of Covered Bonds:
  • Danish covered bonds are highly liquid, which reduces the risk of liquidity crunches.
• Limited Liquidity Risk:
  • The liquidity risk for Danish mortgage banks is very limited and arises from possible missing payments from borrowers, not from funding liquidity risk.
  • This risk is related to settlement or credit risk, not to the liabilities of the mortgage banks.

Key Information

• Specialised Mortgage Banks have a different business model and funding structure compared to commercial banks.
• Covered Bonds are the primary funding instrument for Danish mortgage banks.
• Danish Balance Principle ensures alignment of loan and bond maturities, minimising cash flow mismatches.
• Liquidity Risk is not a significant concern for these institutions due to their unique structure and high liquidity of covered bonds.
• The Association of Danish Mortgage Banks advocates for tailored requirements that reflect the specific risk profile of these institutions.

Conclusion

The Danish mortgage banks operate under a distinct regulatory and financial framework that significantly reduces their funding liquidity risk. As such, they require less stringent liquidity management measures than commercial banks. The Association of Danish Mortgage Banks calls for clarity and proportionality in the application of CEBS recommendations, ensuring that they are aligned with the actual risk exposure of these institutions.