EBA欧洲银行-EBA-Report-on-Liquidity-Measures-under-Article-5092812920of-the-CRR_46页_2mb

报告摘要

EBA Report Summary on Liquidity Measures under Article 509(1) of the CRR

Core Content

This report, issued by the European Banking Authority (EBA) on 18 December 2017, evaluates the liquidity risk profiles of banks in the European Union (EU) under the Liquidity Coverage Ratio (LCR) framework. The analysis is based on data from the December 2016 Quantitative Impact Study (QIS), which provides insights into how banks have adapted to the LCR requirements, their liquidity buffer composition, and the impact of these measures on lending and profitability.

Main Objectives

To assess banks' short-term liquidity resilience.
To evaluate the impact of liquidity coverage requirements on the supply of lending to the real economy.
To compare the EU Delegated Regulation (DR) with the Basel III framework.

Key Findings

LCR Overview

The average LCR across banks in December 2016 was 139%, well above the minimum requirement of 100% under full implementation.
The LCR has increased significantly since June 2011, with an average doubling of the ratio.
Group 2 banks (small and specialised) have a higher average LCR (169%) compared to Group 1 banks (cross-border universal banks, 134%).
Only one Group 2 bank failed to meet the 100% LCR requirement, with a shortfall of EUR 115 million (6% of total assets).

Composition of Liquidity Buffers

Level 1 assets (excluding covered bonds) form a large portion of liquidity buffers.
The industry average liquid assets under LCR are 14% of total assets.
Central government assets constitute over 36% of the liquidity buffer.
Cash and central bank reserves account for 38% of Level 1 assets, while securities make up 53%.
Level 2 assets (including high-quality covered bonds, certain non-RMBS securitisations, and CIU units/shares) contribute less than 5% to the liquidity buffer.
The cap on liquid assets has not had a significant impact on the LCR for most banks, except for eight Group 2 banks, where EUR 3.3 billion was deducted from their liquidity buffers, representing 7.9% of their buffers before the cap.

Outflows and Inflows

Net liquidity outflows are 16% of total assets, with non-operational deposits (e.g., short-term unsecured funding) being the main component.
Cash outflows are 40% of total net liquidity outflows.
Cash inflows are more than 5% of total assets, but smaller in size compared to outflows.
The composition of outflows and inflows is similar, but the size of inflows is smaller.

Impact on Lending

The LCR, capital ratio, and stable funding are main drivers of the share of retail and non-financial corporate (NFC) loans in banks' balance sheets.
Highly liquid banks tend to increase lending to the real economy.
Highly capitalised banks with strong stable funding also show a positive trend in lending to the real economy.
Liquidity regulation may negatively impact lending before compliance with minimum requirements, but positive impacts are observed in the long term.

Profitability and Net Interest Income

Investment in liquid assets improves net interest income and profits, up to an optimum point.
Beyond that point, additional liquid assets diminish returns.
The opportunity cost of holding liquid assets is significant, as it may reduce returns from other investments.

Interaction with Other Regulatory Ratios

There is a positive correlation between the LCR and NSFR.
Compliance with LCR may positively influence compliance with NSFR.
The leverage ratio is not directly correlated with LCR. Compliance with LCR does not necessarily lead to compliance with the leverage ratio.

Key Trends and Analysis

The LCR has increased due to higher HQLA holdings and stable net liquidity outflows.
HQLA investment has been the primary strategy for improving LCR.
Non-operational deposits remain the largest outflow component.
Central bank policies, such as LTROs and QE, have increased liquidity buffers and affected asset prices.
Future changes in central bank policies may impact the sustainability of current liquidity trends.

Business Model Differences

Group 1 banks (cross-border universal banks) have a higher share of cash and central bank reserves in their liquidity buffers (41%) compared to Group 2 banks (24%).
Business model diversity leads to differences in LCR composition and parameters.
EU-specific derogations allow small and specialised banks to comply with LCR requirements more easily.

Conclusion

The report highlights that banks have generally met or exceeded the LCR requirements, with a positive impact on lending and liquidity resilience. The composition of liquidity buffers varies by bank size and business model, with small banks benefiting from EU-specific provisions. The interaction between LCR and other regulatory ratios is complex, with NSFR showing a positive correlation and leverage ratio being independent. The impact of central bank policies on liquidity buffers is significant, and future changes may require adaptation by banks to maintain resilience.