The International Monetary Fund earlier this month said that the equity impact of unrealised losses on securities held to maturity was over 250 basis points for U.S. banks while in Europe, the impact would be around 50 basis points. Among the regulatory differences, the ECB requires banks to take the market value of assets when calculating the liquidity coverage ratio, a metric of a lender's stock of high-quality liquid assets that can be easily moved with little to no loss. "The computation of the liquidity coverage ratio already includes a market valuation so the banks need to have a buffer that is on mark-to-market terms," Enria said. In case a security is considered available for sale, the ECB also requires banks to account them at market value, a rule some U.S. regional banks are not subject to. (Reporting by Balazs Koranyi; editing by Barbara Lewis)
Reuters Messaging: balazs.koranyi.thomsonreuters.com@reuters.net)) FRANKFURT, April 25 (Reuters) - The European Central
Bank is collecting data from the euro zone's top lenders to get
more detail on unrealised losses related to rapid interest rate
hikes, supervisory chief Andrea Enria said on Tuesday.
Unrealised losses triggered the collapse of Silicon Valley
Bank last month and the U.S. Federal Reserve is considering
ending an exemption that has allowed some mid-size banks to
conceal losses on securities they hold.
Enria said that any potential issue in the euro zone would
be smaller given more stringent regulation, but the ECB still
needed more granular data.
"We do have the amounts, but we don't have very detailed
information on the hedging practices, for instance, of banks on
the interest rate risk on these particular assets," Enria told
an MNI webcast.
"So, the information that we are gathering right now will
enable us to have a better, more granular picture on interest
rate risk in the banking book... that will enable us also to do
some sensitivity analysis," he said.
The data is being collected as part of a stress test run by
the European Banking Authority with the ECB's cooperation.
Results are due in July.
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