EBA欧洲银行-CEBS-2009-127-final-28Liquidity-ID29_31页_347kb

CEBS Liquidity Identity Card Summary

Core Content

The CEBS Liquidity Identity Card (Liquidity ID) is a tool designed to facilitate supervisory information exchange for European cross-border banking groups. It provides a common prudential language for supervisors to assess liquidity risk and resilience at both the group and entity levels. The document outlines two versions of the card: one for consolidating supervisors (home supervisors) and one for host supervisors (supervisors of foreign entities), with the aim of ensuring a consistent and comprehensive understanding of liquidity risk across jurisdictions.

Main Objectives

• Enhance group-level liquidity risk understanding through a structured format.
• Support meaningful information exchange between home and host supervisors.
• Enable coordinated liquidity supervision within colleges of supervisors.
• Identify and monitor liquidity vulnerabilities based on the group's business model and risk profile.
• Provide a basis for planning and supervision in line with Article 129(1)(b) of Directive 2006/48/EC.

Key Components

A. Liquidity Risk Identity Card for Consolidating Supervisors

• Date of completion: To be filled in by the consolidating supervisor.
• Group and supervisor names: Required to identify the banking group and the responsible supervisor.
• Overall supervisory opinion: A qualitative assessment of the group’s liquidity risk profile.
• Qualitative and quantitative information:
  • General and qualitative information:
    • Liquidity strategy and centralised management.
    • Cash pooling.
    • Liquidity support in normal times.
    • Stress test scenarios.
    • Liquidity buffer and its characteristics.
    • Funding concentration.
    • Liquidity policy and internal limits.
    • Obstacles to liquidity transfers.
    • Contingency Funding Plan (CFP).
  • Quantitative information:
    • Liquidity buffer size, composition, and assumptions.
    • Long-Term Funding Ratio.
    • Diversification of funding structure.
    • Domestic quantitative ratio (if applicable).

B. Liquidity Risk Identity Card for Host Supervisors

• Date of completion: To be filled in by the host supervisor.
• Entity details: Name of the entity and its supervisor.
• Entity-specific assessment: Qualitative evaluation of the entity’s liquidity risk.
• Common set of information:
  • Entity's role in the domestic market.
  • Whether the entity has its own liquidity buffer.
  • Stress scenarios and CFP.
  • Cross-border impediments to liquidity transfers.
  • Funding independence.

Additional "à la carte" Information

Supervisors can choose from a range of additional metrics and indicators to complement the core information, depending on the specific vulnerabilities of the group or entity.

1. Market Indicators

• Bank-specific price indicators:
  • Share prices and trends.
  • CDS spreads and bond yield spreads.
• General market stress indicators:
  • Libor/OIS spread (for USD and EUR).
  • Used to detect early signs of funding weaknesses.

2. Synthetic Maturity Ladder

• Provides a summary view of the group's reliance on maturity transformation.
• Includes expected cash inflows and outflows over different time bands (1 week, 1 month, 3 months, 6 months).
• Counterbalancing capacity is calculated as the difference between inflows and outflows.
• Adjustments for behavioural assumptions are required to reflect realistic liquidity positions under stress.

3. Core Funding Ratio

• Measures the proportion of stable funding (retail deposits, long-term wholesale funding, and equity) to total liabilities and equity.
• Reflects structural shifts in funding and serves as a macro-prudential indicator.

4. Examples of Additional Metrics for Specific Vulnerabilities

• Foreign Currencies:
  • Net cumulative funding gap in main foreign currencies.
  • Average swap market hedges.
• Central Bank Relations:
  • Average percentage of funding from central banks.
  • Peak funding and frequency of outliers.

Key Definitions and Notes

• Liquidity Buffer: Available liquidity to cover short-term stress, including composition, duration, and currency.
• Long-Term Funding Ratio: Compares long-term stable funding with long-term assets and contingent liabilities.
• Wholesale Funding Ratio: Ratio of wholesale funding to total liabilities, including unsecured portions.
• Funding Counterparty Concentration: Measures the largest depositors to identify concentration risks.
• Core Funding Ratio: Stable funding over total liabilities and equity.
• Comply or Explain: If a supervisor cannot provide required information, they must state the reason and alternative definition used.

Implementation Notes

• The Liquidity ID is not a substitute for a single liquidity regime or a modification of home-host responsibilities.
• It may require adjustments to domestic reporting frameworks to align with the proposed definitions.
• The core ID is mandatory for all supervisors, while additional metrics are optional and subject to supervisory judgment.
• Definitions are provided in the Annex to ensure consistency and clarity.
• The card will be reviewed one year after implementation based on user feedback and alignment with other EU and global indicators.

Conclusion

The CEBS Liquidity Identity Card is a key instrument for enhancing transparency and coordination in liquidity risk supervision across European banking groups. It provides a structured, common framework that supports both qualitative and quantitative assessments, enabling supervisors to better understand and respond to liquidity risks, particularly in cross-border contexts. The tool is designed to be flexible and adaptable, allowing for the inclusion of specific indicators based on the group's unique characteristics and vulnerabilities.