2008年-ECB欧洲央行_Deleveraging_and_Resilience_among_Large_and_Complex_Banking_Groups_in_the_Euro_Area_5页_245kb

C Deleveraging and Resilience Among Large and Complex Banking Groups in the Euro Area Summary

Core Content

This document analyzes the resilience of lending by large and complex banking groups (LCBGs) in the euro area during the financial turmoil, using quarterly balance sheet data. It evaluates how changes in bank capital and funding structures affect the ability of banks to extend loans, particularly to the non-financial private sector.

Main Viewpoints

• Resilience Indicators: Two key indicators are used to assess bank resilience: the deposit-to-loan ratio (also known as the "deposit gap") and the Tier 1 capital ratio.

  • The deposit-to-loan ratio reflects the extent to which banks rely on non-core deposits to fund their lending, indicating sensitivity to refinancing risks.
  • The Tier 1 capital ratio is a regulatory measure of a bank's capital adequacy and reflects its ability to absorb losses.

• Pre-Turmoil Conditions: In Q2 2007, all 11 LCBGs had Tier 1 capital ratios above the regulatory minimum of 4% and the 8% threshold for "well-capitalised" status. However, there was significant variation in capital positions, with seven banks below 8%.

  • Most banks relied on wholesale funding, with an average of 15% of their credit supply coming from such sources, and some banks had a deposit-to-loan ratio below 1, indicating heavy reliance on non-deposit financing.

• Impact of Turmoil: The financial crisis caused a tightening of capital positions for most LCBGs, especially those with lower Tier 1 ratios before the crisis.

  • The turmoil affected banks differently, increasing heterogeneity in the system. Some banks were more resilient than others.
  • The main factors contributing to the deterioration of balance sheets included write-downs of trading portfolios, warehousing costs, liquidity back-up lines for SPVs, and the loss of income from underwriting activities.

• Loan Growth Model: A regression model was used to estimate the relationship between loan growth and the two resilience indicators, along with control variables such as GDP growth and interest rates.

  • The model showed that both the Tier 1 ratio and the deposit-to-loan ratio had statistically significant effects on loan growth, with higher Tier 1 ratios associated with faster loan growth and higher deposit-to-loan ratios linked to slower growth.

• Forecast of Loan Growth: Based on the model, it was forecasted that customer loan growth would slow down until Q1 2009, with further deterioration in Q2 and Q3 2009, followed by a slow recovery in Q4 2009.

  • The negative credit growth in 2009 was attributed to the second-round effects of real sector deceleration on the financial sector, as well as the deterioration of bank balance sheets and Tier 1 ratios.

• Sensitivity Analysis: Two scenarios were tested to assess how changes in Tier 1 capital ratios would affect loan growth.

  • In the pessimistic scenario, an additional 5% decline in Tier 1 ratios in Q3 and Q4 2008 led to a more pronounced and prolonged slowdown in loan growth.
  • In the optimistic scenario, an additional 5% increase in Tier 1 ratios resulted in a less severe slowdown, with loan growth remaining negative in the second half of 2009.

• Conclusion: The analysis suggests that euro area banks are likely to increase their deleveraging efforts due to ongoing solvency pressures and limited refinancing capacity, which would result in more moderate credit growth. However, efforts to replenish capital buffers could help mitigate this decline.

Key Information

• Sample: 11 large and complex banking groups in the euro area.
• Time Period: Q4 2005 to Q2 2008 (baseline data), with forecasts up to Q2 2009.
• Data Sources: Quarterly financial reports of banks and ECB calculations.
• Capital Ratios:
  • Tier 1 ratios were calculated under Basel I and Basel II rules.
  • Basel II introduced lower risk-weighted assets, thus relaxing capital requirements.
• Loan Growth Forecast:
  • Customer loan growth is expected to slow and decline in 2009.
  • Some banks may experience a loan growth decline of over 10% in Q2 2009.
• GDP and Interest Rate Assumptions:
  • GDP growth is forecasted to decelerate to 0.2% in Q1 2009.
  • EURIBOR is assumed to decline steadily from Q3 2008 to Q3 2009.
• Capital Replenishment: Efforts to raise bank capital are expected to help reduce the expected decline in loan growth.

Implications

• The financial turmoil has significantly impacted the resilience of euro area LCBGs.
• Banks that rely more on wholesale funding and have lower Tier 1 ratios are more vulnerable to liquidity and solvency risks.
• The ongoing deleveraging process is likely to reduce credit supply to the private sector.
• Capital replenishment measures may provide some relief to the loan growth decline.