EBA欧洲银行-PPT-report-on-the-calibration-of-a-stable-funding-requirement_21页_1mb

EBA Draft Report on the Calibration of a Stable Funding Requirement under Article 510 CRR

Disclaimer

This report is a preliminary draft and aims to inform the Commission on the state of play of the NSFR calibration. Findings and conclusions may change upon finalisation of the full report.

Background and Rationale for Funding and Liquidity Regulation

• Banking Crisis Impact: The banking crisis revealed serious liquidity and funding issues, including inappropriate funding structures and insufficient liquidity buffers, leading to public interventions and systemic risks.
• Need for Regulation: There is clear evidence of the need to regulate liquidity management to prevent bank failures and ensure financial stability.
• EU Regulatory Reforms: Regulation (EU) No 575/2013 and Directive 2013/36/EU (CRR/CRD IV) introduced liquidity coverage requirements and empowered the Commission to develop a stable funding requirement.
• EBA Mandate: Article 510 (1) and (2) of the CRR mandates the EBA to report on the calibration of a stable funding requirement by 31 December 2015, focusing on impact on institutions, financial markets, and the economy, especially SME lending and trade financing.

International Policy Developments

• Basel Committee Initiatives:
  • December 2010: Introduced Liquidity Coverage Ratio (LCR) and Net Stable Funding Ratio (NSFR), to be implemented in 2015 and 2018 respectively.
  • January 2013: Finalised the LCR standard.
  • October 2014: Finalised the NSFR standard.

European Regulatory Reforms and EBA’s Role

• CRR/CRD IV: Requires liquidity coverage and enables the Commission to adopt a delegated act on NSFR.
• EBA Responsibilities: Develop draft technical standards and reports to enhance regulatory harmonisation across the EU.

Report Methodology

• Basel NSFR as a Starting Point: The report uses the Basel NSFR as a baseline for analysis.
• Data Sources: Utilises QIS and EBA monitoring data from a consistent sample of 123 credit institutions.
• Simulation and Regression Analysis: Conducted to assess the impact of NSFR compliance on banks' structures, lending activities, and financial markets.
• Sensitivity Analysis: To detect potential distortions in financial assets markets caused by the NSFR.

NSFR Compliance Overview

• Compliance Status: The NSFR compliance of the European banking sector is already strong.
• Sample Data (Dec 2012–Dec 2014):
  • Number of Banks per Business Model: Shows a trend of increasing compliance across various models.
  • NSFR Levels: Most banks have NSFR above 100%, with only a small fraction below 90%.
  • NSFR Shortfalls/Excesses: Aggregated data indicates that the total shortfall is relatively low compared to the total stable funding and assets.

Compliance by Business Model and Size

• Business Model Analysis:
  • Auto & Cons.: NSFR above 100%, with some shortfalls.
  • Co-operatives: Strong compliance, with high NSFR and low shortfalls.
  • Local Universal: Strong compliance, with low shortfalls.
  • Mortgage & Building Societies: NSFR above 100%, but with some shortfalls.
  • Other Specialised (with retail deposits): Full compliance.
  • Other Specialised (no retail deposits): Moderate compliance.
  • Pass-through: Low compliance, with significant shortfalls.
  • Savings: Moderate compliance.
  • Securities Trading Houses: Low compliance due to reliance on short-term wholesale funding.
  • Universal Cross-border: Moderate compliance.
• Size Analysis:
  • Compliance is not strongly correlated with bank size.
  • Average NSFR levels across size buckets range from 98% to 116%, with no clear trend based on size.

Impact Assessment

• Lending Impact: The NSFR is not expected to have a detrimental effect on bank lending, especially to SMEs.
• Regression Analysis:
  • Coefficients show minimal impact on real sector and SME lending.
  • Statistically significant results are limited, indicating the NSFR shortfall has a small effect on lending changes.
• Financial Markets Impact:
  • NSFR is not expected to cause significant distortions.
  • Special attention is given to transactions such as securities short sales, repo, and derivatives.
  • The report will discuss the correlation between NSFR and trading book, as well as the impact of long-term central bank operations on NSFR.

Preliminary Conclusions

• Necessity of Stable Funding Requirement: A stable funding requirement is necessary to ensure banks maintain an appropriate balance between illiquid assets and stable funding, mitigating systemic risks.
• NSFR Impact: No significant negative impact on lending or financial markets is expected.
• EU Specificities: Some business models and activities (e.g., securities trading, pass-through, CCPs) may require further analysis to address specific risks.
• Derivatives and Prime Brokerage: The report will examine the impact of NSFR on derivatives and related services, but preliminary analysis suggests alignment with Basel treatment.

Next Steps

1. Final Draft Report: To be presented to EBA Governance Structures in November and December 2015.
2. Submission to Commission: The final report will be submitted to the European Commission by the end of 2015.
3. Publication: The final report will be published on the EBA website.