EBA欧洲银行-EBA-Report-on-Liquidity-Measures-under-Article-5092812920of-the-CRR_57页_2mb

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

Core Content

This EBA report provides an analysis of the liquidity coverage ratio (LCR) of EU banks, focusing on their short-term liquidity risk profiles and the impact of liquidity measures under Article 509(1) of the Capital Requirements Regulation (CRR). The report is based on Common Reporting (COREP) data and covers a sample of 136 banks (173 including subsidiaries) from 28 EU Member States and two EEA/EFTA states as of end-December 2018.

Main Points

• LCR Overview: The LCR is defined as the ratio of high-quality liquid assets (HQLAs) to net liquidity outflows over a 30-day stress period. It is required to be at least 100%.
• Average LCR: The weighted average LCR across the sample of EU banks was 149% at end-December 2018, well above the minimum requirement. Since September 2016, the LCR has shown an increasing trend.
• Compliance Improvement: Compliance with the LCR has steadily improved, with only four banks in the sample having LCR below 100%.
• LCR by Institution Type:
  • GSILs (Global Systemically Important Institutions) had an average LCR of 145%.
  • O-SILs (Other Systemically Important Institutions) had an average LCR of 144%.
  • Other banks had a higher average LCR of 183%.
• LCR by Country:
  • Most countries had LCR levels between 100% and 200%.
  • Some countries, such as Slovenia, Malta, and Romania, had LCR levels above 300%.
  • Only Greece had an average LCR below 100%.
• LCR Trends:
  • The LCR for GSILs and O-SILs showed an increasing trend during 2018.
  • For other banks, there was quarterly volatility in the LCR.
• Liquidity Shortfall:
  • The liquidity shortfall decreased from over EUR 26.7 billion in September 2016 to EUR 15.7 billion in December 2018.
  • The number of banks with a liquidity shortfall dropped from seven to four during this period.
• HQLA and Net Liquidity Outflows:
  • The LCR is driven by the increase in HQLA holdings.
  • Net liquidity outflows remained relatively stable.
• Currency Mismatch:
  • Banks finance assets in different currencies than the ones they are denominated in, leading to currency mismatches.
  • The LCR levels for USD and GBP are generally lower than for other currencies.
  • Currency mismatches should be closely monitored by competent authorities, as they may be impaired during stress periods.

Key Information

• LCR Components:
  • Level 1 assets (e.g., cash, central bank reserves, government securities) make up the majority of HQLAs.
  • Level 2A and 2B assets are also included, with Level 2A being more liquid.
• Composition of Liquid Assets:
  • Level 1 assets accounted for over 95% of the liquidity buffer before the cap.
  • Securities (excluding covered bonds) made up 45%, while cash and reserves made up 44.7%.
  • EHQCBs (Extremely High-Quality Covered Bonds) contributed 9% for other banks and 4% for GSILs and O-SILs.
• Impact on Lending:
  • The report found no clear evidence of a direct impact of the LCR regulation on bank lending.
  • A negative relationship between LCR and the probability of reducing lending was observed, but it became non-statistically significant after controlling for other variables such as capital and non-performing loans.
• Monetary Policy Interactions:
  • Central bank policies, such as TLTROs and QE, have significantly influenced the liquidity buffer.
  • The ECB's QE programme increased banks' liabilities to non-bank sellers, which may impact net cash outflows.
  • The unwinding of such programmes could affect both the numerator and denominator of the LCR, but the net effect is not assessable from COREP data alone.
• Liquidity Management:
  • Banks may maintain higher LCRs as a precaution against potential supervisory intervention.
  • The LCR can also be used as an internal risk management indicator, with target levels set above the minimum requirement.
• Regulatory Context:
  • Pillar 2 add-ons may require higher LCR levels in certain jurisdictions.
  • The LCR applies at both consolidated and individual levels, and the aggregation at the consolidated level can lead to higher LCR levels.

Conclusion

The report highlights that EU banks are generally compliant with the LCR requirement, with most maintaining levels well above the 100% minimum. The LCR is influenced by factors such as monetary policy, internal risk management strategies, and the composition of HQLAs. While there is no clear evidence of a direct impact on lending, the report underscores the importance of monitoring currency mismatches and liquidity buffers to ensure continued financial stability.