EBA欧洲银行-EBA-Report-on-Liquidity-Measures-2Q-2018_26页_1008kb

Summary of the EBA Report on Liquidity Measures under Article 509(1) of the CRR - Results as of 30 June 2018

Core Content

This report provides an update on the liquidity coverage ratio (LCR) and its components, based on data from June 2018, as part of the European Banking Authority (EBA) monitoring of liquidity requirements under the Capital Requirements Regulation (CRR). The report aims to assess the short-term liquidity risk profiles of banks and highlights trends in liquidity coverage, composition of liquid assets, and the impact of currency mismatches.

Main Points

• LCR Overview:
  The weighted average LCR for the sample of 140 banks (excluding subsidiaries) is 146%, which is well above the minimum requirement of 100%. Since September 2016, banks have made significant progress in increasing their LCR levels.

  • In June 2018, only 4 banks had LCR levels below 100%, compared to 7 banks in September 2016.
  • GSIIs (Global Systemically Important Institutions) and O-SIIs (Other Systemically Important Institutions) had lower LCRs than other banks (142% and 144%, respectively), while other banks averaged 167%.

• LCR Trends and Shortfall:

  • The average liquidity shortfall decreased from over EUR 26.7 billion in September 2016 to EUR 22.5 billion in June 2018.
  • The LCR has increased by approximately 100 basis points since December 2017.
  • The aggregate liquidity buffer (before the cap on liquid assets) is about 16.1% of total assets, with GSILs and O-SILs showing slightly higher liquidity buffer (16.3%).

• Composition of Liquid Assets:

  • Level 1 assets (high liquidity and credit quality) include cash, central bank reserves, and securities backed by governments or public sector entities.
  • Level 2A and Level 2B assets are also included, with Level 2A being more liquid and subject to lower haircuts.
  • Level 1 assets make up the largest portion of liquidity buffers, accounting for over 94% of total liquidity buffer.
  • Covered bonds (especially EHQCBs) contribute significantly to liquidity buffers, particularly in Denmark (39%).

• Composition of Outflows and Inflows:

  • Cash outflows (post-weight) represent 17.7% of total assets, with GSIIs and O-SIIs showing a higher share (18.1%) than other banks (14.3%).
  • Non-operational deposits (e.g., short-term deposits from financial customers) are the main component of cash outflows, accounting for 6% of total assets.
  • Liquidity inflows are generally capped at 75% of total outflows, but some banks (less than 3%) are exempt or have higher caps.
  • GSILs and O-SILs have 5.7% of cash inflows relative to total assets, while other banks have 3.2%.

• LCR by Business Models:

  • The report analyses 168 banks across different business models.
  • Mortgage banks and public development banks show the highest LCRs (252% and 221%, respectively), while cross-border universal banks and local universal banks show the lowest (142% and 141%, respectively).
  • The LCR for all business models is above the 100% minimum requirement, but there is significant variation.

• Currency Mismatch Analysis:

  • Banks often fund assets in a different currency than the currency of the assets, creating currency mismatch.
  • The LCR for assets denominated in USD is significantly lower than the average for all currencies (90% vs. 143%), with some banks reporting LCRUSD close to 0%.
  • For EUR, the average LCR is 153%, which is slightly higher than the overall average.
  • For GBP, the average LCR is 115%, much lower than the overall average of 182%.
  • Currency mismatch is a concern, especially during stress periods, as banks may face constraints in accessing foreign currency markets.
  • Competent authorities may impose limits on net outflows in significant currencies to address mismatches.

Key Information

• LCR Minimum Requirement:

  • Set at 60% since 1 October 2015.
  • Increased to 100% in January 2018.

• Data Sample:

  • The analysis includes 178 banks (including subsidiaries) across 28 EU Member States and 2 EEA/EFTA countries.
  • The sample represents approximately EUR 31 trillion in total assets, which is 81% of the EU banking sector.

• Currency Mismatch:

  • USD is the most problematic significant currency, with many banks showing LCR levels close to 0%.
  • EUR and GBP also show notable mismatches, but not as severe as USD.
  • The EBA recommends that competent authorities may impose limits on currency mismatches to ensure consistency between liquidity buffers and net outflows.

• Key Figures:

  • Figure 1: LCR evolution (weighted average) from 2016 to 2018.
  • Figure 2: LCR across countries.
  • Figure 3: Changes in liquidity shortfall (EUR billion) – balanced sample.
  • Figure 4: Composition of liquid assets (post-weight and before the cap) relative to total assets.
  • Figure 5: Composition of cash outflows (post-weight) relative to total assets.
  • Figure 6: Composition of cash inflows (post-weight and before the cap) relative to total assets.
  • Figure 7: LCRs across business models.
  • Figure 8, 9, 10: LCRs by significant currencies (EUR, USD, GBP) compared to the reporting currency (all currencies).

Conclusion

• The LCR is generally well above the regulatory minimum, with most banks meeting or exceeding the 100% requirement.
• Currency mismatch remains a key risk, especially for USD, with some banks facing significant liquidity shortfalls in this currency.
• Competent authorities are advised to consider setting limits on currency mismatches to ensure resilience during stress periods.
• The report highlights the importance of diversification in liquidity management and the need for banks to align their liquidity buffers with their net outflows by currency.