2014年-EBA欧洲银行管理局_EBA_BS_2013_413_Report_on_definition_of_HQLA_159页_2mb

Summary of the Report on Uniform Definitions of Extremely HQLA and HQLA and Operational Requirements for Liquid Assets under Article 509(3) and (5) CRR

Core Content

This report, prepared by the European Banking Authority (EBA), addresses the need for uniform definitions of High-Quality Liquid Assets (HQLA) and Extremely High-Quality Liquid Assets (Extremely HQLA) under Article 509(3) of the Capital Requirements Regulation (CRR). It also outlines the operational requirements for the holdings of liquid assets as specified in Article 509(5) CRR. The EBA was mandated to provide these definitions and operational requirements in line with the Basel III framework, which was introduced by the Basel Committee on Banking Supervision (BCBS) in 2010 with the Liquidity Coverage Ratio (LCR) and Net Stable Funding Ratio (NSFR).

The report aims to support the implementation of the LCR in the European Union by offering a consistent and objective framework for identifying which assets qualify as HQLA or Extremely HQLA. It also includes an analysis of the operational requirements for holding such assets, ensuring that banks are able to meet liquidity needs during stress scenarios.

Main Viewpoints

• Liquidity Risk During the Financial Crisis: The global financial crisis (2007–2009) exposed significant liquidity risks in the banking sector, highlighting the need for stronger liquidity regulation.
• Regulatory Mandate: The EBA is tasked with defining HQLA and Extremely HQLA based on objective criteria, and with reporting on the operational requirements for the holdings of liquid assets.
• Methodology: The EBA used a criteria-based approach to assess liquidity, incorporating a wide range of metrics and data sources, including MiFID transaction reports, Bloomberg, and Datastream for equities, and the World Gold Council for gold data.
• Data Coverage: The analysis covers a range of asset classes, including government bonds, corporate bonds, covered bonds, RMBS, ABS, equities, and gold, with data from 2008 to 2012.
• Liquidity Metrics: The report evaluates various liquidity metrics such as trade volume, outstanding volume, price stability, bid/ask spread, turnover ratio, and price impact (using the Amihud illiquidity ratio and an unscaled measure).
• Consultation Process: The EBA consulted the European Central Bank (ECB) and European Securities and Markets Authority (ESMA), as well as other stakeholders, to ensure the recommendations are aligned with both supervisory and market transparency perspectives.
• Haircut Recommendations: Based on historical price movements and Basel Committee guidelines, the EBA proposes haircut levels for assets deemed to be of high liquidity and credit quality.

Key Information

Asset Classes Considered

The following asset classes were included in the analysis:

• Government bonds (including central bank issued bonds and bonds issued by promotional banks)
• Government guaranteed bonds
• Local government bonds
• Multinational bonds
• Corporate bonds (excluding financials)
• Covered bonds
• Bank guaranteed bonds
• RMBS
• ABS (including MBS)
• Equities listed on a recognised exchange
• Gold

Data Sources

• MiFID transaction reports from 27 European countries
• Bloomberg and Datastream for equity data
• World Gold Council for gold volume data

Liquidity Metrics

The report uses the following metrics to assess liquidity:

• Amihud illiquidity ratio
• Unscaled price impact measure
• Trade volume
• Outstanding volume
• Transparent pricing and post-trade information
• Credit quality steps
• Price stability
• Average trade size and volume
• Bid/ask spread
• Time to maturity
• Turnover ratio

Methodological Approach

The EBA followed a structured approach:

1. Asset Class Assessment: Evaluated asset classes against the liquidity definitions in the CRR.
2. Quantitative Analysis: Used empirical data to assess liquidity metrics and construct an ordinal ranking of asset classes.
3. Characteristics Evaluation: Identified key characteristics (e.g., credit ratings, coupon types) that influence liquidity and credit quality within each class.
4. Definition Construction: Developed definitions for HQLA and Extremely HQLA based on the identified characteristics.
5. Haircut Proposal: Suggested haircut levels for HQLA based on historical data and Basel guidelines.

Operational Requirements

The report outlines the operational requirements for the holdings of liquid assets, including:

• Minimum trade volume
• Minimum outstanding volume
• Transparent pricing
• Proven price stability
• Maximum bid/ask spread
• Minimum turnover ratio

These requirements are intended to ensure that banks hold sufficient liquid assets to withstand a one-month stress scenario, as defined in the LCR.

Consultation and Feedback

• The EBA conducted public hearings, stakeholder group consultations, and bilateral meetings to gather input.
• ESMA provided feedback on the potential impact of the definitions on market transparency and financial reporting, particularly in relation to the MiFIR Level 2 framework.
• ECB feedback was not available at the time of the report but would be submitted separately.

Conclusion

This report provides uniform definitions of HQLA and Extremely HQLA, along with operational requirements for their holdings, as mandated by the CRR. It is based on a comprehensive analysis of liquidity metrics across a wide range of asset classes, using empirical data from multiple sources. The findings aim to support the implementation of the LCR in the EU and contribute to regulatory harmonisation and market stability. The EBA also highlights the importance of transparent pricing, market conditions, and credit quality in determining asset liquidity.