2018年-EBA欧洲银行管理局_2018_EBA_Report_on_Liquidity_Measures_under_Article_5092812920of_the_CRR_46页_2mb

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

Core Content

This report, issued by the European Banking Authority (EBA) on 4 October 2018, analyzes the liquidity coverage ratio (LCR) and its components for European banks based on the Common Reporting (COREP) data from December 2017. The objective is to monitor and evaluate banks' short-term liquidity risk profiles under Article 509(1) of the Capital Requirements Regulation (CRR).

Key Findings

LCR Overview

• The weighted average LCR across banks is 145%, which is well above the minimum requirement of 100% (fully phased-in) and has been increasing since September 2016.
• The LCR minimum requirement was 60% from 1 October 2015 and increased to 100% in January 2018.
• Only four banks had LCR levels below 100% in December 2017, down from seven in September 2016.
• GSILs (Global Systemically Important Institutions) and O-SILs (Other Systemically Important Institutions) had lower LCR levels than other banks (140% and 147% vs. 165%).

LCR by Country

• The average LCR for most countries is within the 100–200% range.
• Some countries, such as Latvia, Romania, Bulgaria, and Slovenia, had LCR levels above 300%, while Greece had levels below 100%.
• There is significant dispersion in LCR levels within countries, with Ireland showing the highest variability, followed by France, Portugal, and Spain.

LCR by Business Model

• Banks with different business models show different LCR levels, with Others having the highest average LCR (165%).
• The LCR dispersion is higher among "Other" banks due to their diverse size and business models.
• The liquidity buffer (before applying the cap on liquid assets) is on average 16.0% of total assets, with GSILs and O-SILs at 16.2%.

Composition of Liquid Assets

• Level 1 assets (high liquidity and credit quality) form the majority of liquidity buffers, comprising 91% of total liquid assets (excluding EHQCB).
• Level 1 assets include cash and central bank reserves (48%) and securities (43%).
• EHQCB (extremely high-quality covered bonds) contribute 7% to Level 1 assets for "Other" banks, compared to 4% for GSILs and O-SILs.
• Level 2 assets (high liquidity but lower credit quality) account for 5% of the total liquidity buffer.

Composition of Outflows and Inflows

• Net liquidity outflows represent 16% of total assets.
• Non-operational deposits (short-term unsecured funding from financial customers) are the main component of outflows, accounting for 6% of total assets.
• Retail deposits account for around 2% of total assets in all bank groups.
• Liquidity inflows are capped at 75% of total outflows, with only 0.01% of inflows exceeding this cap (four banks at 90%).

Currency Mismatch and LCR

• Currency mismatch is a concern, as banks may face challenges in swapping currencies or raising funds in foreign markets during stress.
• LCR levels for banks with significant exposure in USD are generally lower than for those with euros or pounds sterling.
• The EBA recommends that competent authorities may use their discretion to restrict currency mismatches by imposing limits on net outflows in significant reporting currencies.

Main Points

• The LCR has increased across the EU banking sector, driven by growth in HQLA.
• The regulatory framework ensures that banks hold sufficient liquidity to cover 30-day stress outflows.
• Central bank assets and exposures have increased, especially for GSILs and O-SILs, due to monetary policy measures such as TLTROs and QE.
• The interaction between LCR and leverage ratio does not show a clear correlation, as banks with high leverage ratios may still meet LCR requirements and vice versa.
• Exemptions exist for certain types of inflows, such as those from intra-group or intra-institutional protection schemes, and for specific business models (e.g., mortgage lending, leasing, factoring).
• The composition of liquidity buffers varies by country, with some relying more on cash and central bank reserves and others on securities.

Key Information

• The sample size includes 126 banks (excluding subsidiaries) and covers approximately EUR 29 trillion in total assets.
• COREP data is used for the analysis, with weighted averages applied unless otherwise stated.
• Liquidity buffers are affected by central bank policies, and a shift in these policies could impact the LCR if banks do not adapt their funding strategies.
• The report highlights the importance of aligning the currency denomination of liquid assets with the distribution of net liquidity outflows to mitigate currency mismatch risks.

Conclusion

The report demonstrates that banks across the EU are generally well above the LCR minimum requirements, with a positive trend in liquidity coverage. However, currency mismatch and disparities in LCR levels by business model and country remain significant concerns. The EBA emphasizes the need for continued monitoring and regulatory alignment to ensure the resilience of banks against short-term liquidity shocks.