EBA欧洲银行-EBA-report-on-liquidity-measures-and-the-review-of-the-phase-in-of-the-liquidity-coverage-requirement-28EBA-Op-2016-2229_115页_2mb

Summary of the EBA Report on Liquidity Measures Under Article 509(1) and the Review of the Phase-In of the Liquidity Coverage Requirement Under Article 461(1) of the CRR

Core Content

This report, published by the European Banking Authority (EBA) on 21 December 2016, evaluates the impact of the Liquidity Coverage Ratio (LCR) regulation on the EU banking sector and reviews the phase-in of the LCR under the Delegated Act (DA). The analysis is based on data collected through the Quantitative Impact Study (QIS) monitoring exercise as of 31 December 2015.

Main Objectives and Scope

• Assess the impact of the LCR regulation on the EU banking sector and the European economy.
• Evaluate the liquidity risk profile and performance of EU banks under the LCR.
• Review the phase-in period of the LCR and assess the feasibility of deferring the 100% minimum binding standard until 1 January 2019.
• Compare the LCR under the DA with the Basel III framework and analyse currency mismatch and central bank-related activities.

Key Findings

1. LCR of the EU Banking Sector

• Average LCR: 134% as of 31 December 2015, up from 2011.
• Compliance: 90% of banks meet the 100% minimum requirement, with 3 banks below the 70% threshold.
• LCR Shortfall: EUR 10.9 billion at the 100% minimum requirement.
• Composition of LCR:
  • Level 1 assets dominate liquidity buffers, mainly cash and central bank reserves.
  • Smaller banks show a higher share of liquid assets relative to total assets.
• Outflows and Inflows:
  • Net cash outflows remain relatively stable, while inflows and outflows have shown volatility.
  • Outflows are the main driver of LCR shortfalls, with Group 2 banks being more affected.

2. Business Model Analysis

• Compliance Across Models:
  • Most banks meet the 100% minimum requirement.
  • Non-compliant banks: Automotive and consumer credit banks, local universal banks.
• Outliers:
  • 30 banks with the lowest LCR have a weighted average of 100.3%, above the 100% minimum requirement.
  • Outflows are three times more than inflows and 27% higher than the overall average.
• Sensitivity Analysis:
  • Level 1 assets have the most positive impact on the LCR.
  • A 1% increase in Level 1 assets raises the average LCR by 1.18 percentage points.
  • Non-operational deposits have the most negative impact on the LCR.

3. Comparison Between DA and Basel III LCR

• LCR under DA: 133.1% (aggregate level), slightly lower than the Basel III LCR of 134.3%.
• Group Analysis:
  • Group 1 banks: DA LCR = 127.3% vs Basel III LCR = 129.4%.
  • Group 2 banks: DA LCR = 164.8% vs Basel III LCR = 151.6%.
• Shortfall Differences:
  • Basel III shortfall: EUR 29.3 billion.
  • DA shortfall: EUR 9.9 billion.
• Key Changes in DA:
  • Inclusion of Extremely High Quality Covered Bonds (EHQCB) in Level 1 assets.
  • Expansion of the scope of liquid assets to include bonds, securitisations, shares, and CIUs.
  • Special treatment for certain business models (e.g., leasing, factoring, consumer credit).
  • Exemption or cap on inflows for specific banks.

4. Currency Mismatch Analysis

• Liquidity Buffers vs. Net Outflows:
  • Higher liquidity buffers in the reporting currency than in significant foreign currencies.
  • Surplus in reporting currency offsets shortfalls in other significant currencies.
• Significant Currencies:
  • USD: 75% of cases show higher liquidity buffer to net outflow ratio in aggregate.
  • EUR and GBP: Similar trends but less pronounced.
• Funding Composition:
  • USD: Short-term wholesale funding dominates.
  • EUR and GBP: More balanced maturity composition in aggregate.

5. Central Bank Activities

• Central Bank Interventions:
  • LTROs, eligible collateral, and full allotment were key during the financial crisis.
  • Institutions still benefit from central bank operations under the LCR regulation.
• Impact of Central Bank Exposures:
  • Central bank exposures are treated preferentially under the DA.
  • Replacing central bank exposures with illiquid assets reduces the LCR.
  • Secured funding transactions with central banks have a positive impact on LCR compliance.

6. Phase-In Review

• Phase-In Period:
  • The EBA conducted a qualitative survey to assess the impact of the phase-in requirement on non-compliant banks.
  • The review includes an analysis of volatility and its effect on the phase-in.
• Volatility Impact:
  • 95% of banks monitor and manage LCR against volatility.
  • Volatility has a greater impact on Group 2 banks.
• Recommendations:
  • The report concludes that the phase-in is feasible and recommends continued monitoring.

Conclusion

The DA has a nuanced impact on the LCR, improving compliance for certain business models while reducing the overall shortfall. The LCR is positively correlated with the Net Stable Funding Ratio (NSFR), but not with the Leverage Ratio (LR). The report highlights the importance of central bank interventions in maintaining liquidity and the need for careful interpretation of results due to the partial representation of EU Member States in the data.