EBA欧洲银行-Liquidity-public-hearing-30-October-presentation_50页_904kb

EBA Summary: Draft Reports on LCR and Uniform Definitions of Liquidity

Core Content

The European Banking Authority (EBA) has prepared draft reports on the impact of the Liquidity Coverage Ratio (LCR) and on uniform definitions of liquidity under Article 509 of the Capital Requirements Regulation (CRR). These reports are intended to inform the European Commission and are subject to change upon finalisation.

Main Views and Key Information

1. Background and Rationale for Liquidity Regulation

• Banking Crisis Impact: The recent banking crisis highlighted the need for liquidity regulation due to banks' weak liquidity positions, inappropriate funding structures, and insufficient liquidity buffers.
• International Regulatory Steps:
  • LCR and NSFR: Introduced by the Basel Committee in 2010, with implementation in 2015 and 2018 respectively.
  • LCR Update: Revised in January 2013, with updated definitions of High-Quality Liquid Assets (HQLA) and extended implementation timeline.
• European Regulatory Steps:
  • Regulation (EU) No 575/2013 and Directive 2013/36/EU: Apply Basel III in the EU and mandate the EBA to develop technical standards and guidelines for liquidity.
  • EBA Mandate: Define uniform HQLA categories and determine haircuts for high liquidity and credit quality assets, with the final reports due by 31 December 2013.

2. Methodology for Defining HQLA

• Data Sources: MIFID data (bonds), survey-based data (repo), Bloomberg, Datastream, and World Gold Council data.
• Data Period: 1 January 2008 to 30 June 2012.
• Metrics Used:
  • Price Impact: Amihud illiquidity ratio, unscaled price impact measure.
  • Bid-Ask Spread: Roll measure.
  • Trading Volume and Turnover.
  • Price Volatility.
  • Repo Market Metrics.
• Explanatory Variables:
  • Repoability, credit quality, time to maturity, and issue size.
• Approach:
  • Quantitative Analysis: For most asset classes, based on empirical data.
  • Qualitative Judgment: Used where data is insufficient.
  • Asset Class Level Definitions: Not ranking individual assets or ISINs, but grouping within asset classes.

3. Preliminary Outcome

• Asset Class Rankings:
  • Government bonds and covered bonds show strong liquidity.
  • ABS and equities have lower liquidity.
• Key Findings:
  • Credit quality significantly affects liquidity across asset classes.
  • RMBS are the most liquid sub-class within ABS.
  • No reliable metrics to distinguish equity liquidity.
  • Non-EU credit claims are excluded from the quantitative analysis due to lack of data.

4. Asset Classes Without Empirical Data

• Credit Claims: Not included in the analysis due to lack of data.
• Financial Equities and Corporate Bonds: Excluded from LCR liquidity buffer, except if explicitly guaranteed by central or regional governments.

5. Impact Assessment Report

• Analysis Basis:
  • Voluntary exercise involving around 350 EU banks.
  • Data cut-off at Q4 2012, allowing inclusion of the GHOS agreement.
• Key Findings:
  • No Material Detrimental Impact: Found on financial markets, economy, and bank lending (SME and trade finance).
  • High Heterogeneity: Across countries, banks, and business models.
  • No Correlation: Between SME/TF exposure and LCR level.
  • Interaction with CET1 and LR: No indication that CET1 or LR constrain LCR adjustment.
  • Positive Complementarities: Between LCR and other prudential requirements.

6. Economic Consequences of the LCR

• Credit Growth at Low Interest Rates: Not an economic policy objective.
• Anecdotal Evidence: Credit spreads may underestimate risk costs, leading to inefficient capital allocation.
• LCR Impact: Makes liquidity risk costs explicit, helping to allocate them more efficiently.

7. Policy Recommendations

• Cap on Level 2A/B Assets: Justified based on Basel rules.
• Intra-Group Exposures: Preferential treatment recommended.
• Draw-Down Rates for NFCs: GHOS recalibration seems justified.
• High-Value Retail Deposits: Possible threshold at EUR 1 million or separate category under Article 421(3) CRR.
• Deposits Insured by DGS: Harmonised criteria for DGS are supported.
• Shari'ah Compliant Banks: Considered for exemption from certain operational requirements.
• Operational Relationships: Assets with high trading volume and stability are expected to be less sensitive to interest rate changes.
• Monetary Policy Implementation:
  • CB Repo Exposure: Needs further assessment.
  • CLFs: Should be appropriately limited to ensure effectiveness.
  • EU Money Markets: Likely to be affected by non-bank participants in the future.
  • Price Stability: No negative impact identified.

Next Steps

• Final Reports: To be presented to the EBA Governance Structures in November and to the Board of Supervisors in December.
• Submission: To the European Commission by the end of 2013.
• Publication: On the EBA website.

Conclusion

The EBA has conducted extensive analysis on liquidity definitions and the impact of the LCR. While preliminary findings suggest that the LCR does not have a material detrimental impact on financial stability or the economy, the analysis highlights the need for a structured and harmonised approach to liquidity management. The final reports will guide the Commission in developing detailed delegated acts for the LCR, ensuring regulatory consistency across the EU.