重新思考银行的流动性要求

FSI Briefs Rethinkingbanks’liquidityrequirements Rodrigo Coelho and Fernando Restoy FSI Briefs are written by staff members of the Financial Stability Institute (FSI) of the Bank for InternationalSettlements (BIS), sometimes in cooperation with other experts. They are short notes on regulatory andsupervisory subjects of topical interest and are technical in character. The views expressed in them arethose of their authors and not necessarily the views of the BIS or the Basel-based standard-setting bodies. This publication is available on the BIS website (www.bis.org). To contact the BIS Media and PublicRelationsteam,pleaseemailmedia@bis.org.Youcansignupforemailalertsatwww.bis.org/emailalerts.htm. ©Bank for International Settlements 2025. All rights reserved. Brief excerpts may be reproduced ortranslated provided the source is stated. Rethinking banks’ liquidity requirements1 Highlights •The 2023 banking turmoil underscored the complementarity of self-insurance-oriented minimumliquidity requirements and central bank liquidity support in safeguarding financial stability.•Despite their complementary nature, these two core components of the policy framework are oftentreated separately.•This paper proposes a framework bridging both components, with the objective of providing aflexible approach to address extreme liquidity stress. 1.Introduction The banking turmoil of 2023 sparked an important public debate on how to improve the regulatoryframework for banks’ management of liquidity risk. The episode highlighted how the digitalisation offinance and the influence of social media have fundamentally amplified the severity and potentially thefrequency of bank runs. At least two key avenues have been explored in this debate: (i) the potentialrefinement and strengthening of liquidity requirements, particularly the Liquidity Coverage Ratio (LCR);and (ii) ensuring operational readiness for accessing central banks' liquidity support during periods ofstress. To date, these two approaches have largely been pursued independently, with little considerationof their possible interactions. This is presumably because the current design of the LCR is driven by thenotion of self-insurance. In particular, the LCR is built on the premise that banks should be able towithstand an adverse liquidity scenario with reserves or by monetising liquid assets in private markets.Moreover, while the LCR is calibrated to a stress scenario, it is not designed to shield banks from everyconceivable liquidity shock. However, in extreme scenarios banks may need to resort to central bank facilities. While thisapproach could, depending on the central bank’s operational framework, carry a stigma effect, it may stillbe preferable in certain cases to large-scale sales of securities, particularly for assets measured atamortised cost. Selling such assets could result in capital losses, which might send adverse signals aboutthe bank’s financial health. These considerations become especially relevant in the light of the ongoing debate on whetherLCR requirements should be made more stringent to address more severe liquidity stress scenarios. Ifliquidity requirements are to be adjusted to account for such scenarios, it would be logical to consider allviable instruments banks might use to obtain liquidity. In particular, banks’ ability to pledge eligible assetsto central banks for collateralised lending could be factored into supervisory expectations. Ignoring thispossibility could impose significant constraints on banks’ asset composition, as the need to hold moreliquid assets could eventually limit their capacity to lend. Naturally, the severity of the liquidity stress scenario would influence banks’ incentives to seekcentral bank funding. Additionally, the central bank eligibility criteria for assets used as collateral could vary, potentially becoming more flexible during emergency situations. Importantly, incorporating theavailability of central bank lending into supervisory expectations should be conditional on the readinesswith which banks can mobilise eligible assets to secure such funding. In this context, the prepositioning ofeligible assets with central banks emerges as a potential complement to any effort to integrate collateralavailability into supervisory expectations. This paper examines the interaction between banks’ liquidity requirements and central banks’liquidity support frameworks. Specifically, it proposes a possible formula for establishing supervisoryexpectations across different stress scenarios, taking into account the availability of central bank facilities.Within this framework, these two elements are conceptualised as complementary layers of defence againstliquidity crises: liquidity requirements and banks’ internal risk management function are the first line ofdefence, while central bank liquidity support serves as the second line of defence in extreme circumstances. The remainder of the paper is structured as follows.