2017年-EBA欧洲银行管理局_EBA_Report_on_Liquidity_Measures_under_Article_5092812920of_the_CRR_46页_2mb

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

Core Content

This report, issued by the European Banking Authority (EBA) under Article 509(1) of the Capital Requirements Regulation (CRR), evaluates the liquidity risk profiles of EU banks in terms of their short-term resilience. It focuses on the Liquidity Coverage Ratio (LCR), its components, and the broader implications of liquidity regulation on banks' lending activities and profitability.

Main Findings

Average LCR and Trends

• The average LCR across banks in December 2016 was 139%, well above the minimum requirement of 100% under full implementation.
• The LCR has doubled since June 2011, driven primarily by an increase in High-Quality Liquid Assets (HQLA).
• Group 2 banks (smaller and specialised banks) had a higher average LCR of 169%, compared to 134% for Group 1 banks (larger, cross-border universal banks).
• Only one Group 2 bank had an LCR shortfall of EUR 115 million, representing 6% of its total assets and 18% of its liquidity buffer.

Composition of LCR and Liquidity Buffers

• Level 1 assets (excluding covered bonds) form a large part of the liquidity buffer, accounting for 90% of the pre-cap liquid assets.
• Cash and central bank reserves make up 38% of pre-cap liquid assets, and securities account for 53%.
• Central government assets constitute over 36% of the liquidity buffer, with Group 2 banks having a higher share at 49%.
• Covered bonds classified as Level 1 assets account for 4.9% of the liquidity buffer.
• Level 2A and Level 2B assets make up 4.9% of the total liquidity buffer.
• The cap on liquid assets has not significantly impacted the LCR for most banks, but eight Group 2 banks had EUR 3.3 billion of liquid assets deducted, which was 7.9% of their liquidity buffer before the cap.

Outflows and Inflows

• Net liquidity outflows account for 16% of total assets for Group 1 banks and 11% for Group 2 banks.
• Non-operational deposits (e.g., short-term unsecured funding from financial customers) are the main component of cash outflows, making up 40% of total cash outflows and 6% of total assets.
• Cash inflows are similar in composition to outflows but are smaller in size.
• The share of retail deposits relative to total assets is 1.8% for all banks.

Impact of LCR on Lending

• The LCR, along with capital ratios and stable funding, is a key driver of the share of retail and NFC (non-financial corporate) lending in banks' balance sheets.
• Highly liquid banks tend to increase their lending to the real economy.
• Highly capitalised banks with a strong stable funding base are more likely to increase lending.
• Investment in liquid assets improves net interest income and profits, but returns diminish beyond an optimum level.

Interaction with Other Regulatory Ratios

• There is a positive correlation between LCR and Net Stable Funding Ratio (NSFR), as compliance with LCR can improve NSFR compliance.
• 9.8% of LCR-compliant banks had an NSFR below 100%, and the only bank with an LCR below 100% also had an NSFR below the minimum requirement.
• The leverage ratio is not directly correlated with the LCR, as it is not affected by liquidity outflows.

EU-Specific Derogations

• Small and specialised banks benefit from EU-specific derogations in the LCR calculation.
• These derogations help seven out of eight banks that fall below the 100% LCR under Basel III to remain compliant under the EU Delegated Regulation (DR).

Key Information

• LCR is a key liquidity measure under the CRR, requiring banks to hold sufficient HQLA to cover net liquidity outflows over a 30-day stress period.
• HQLA investment is the primary strategy for improving the LCR.
• Central bank policies, such as LTROs and QE, have increased the stock of HQLA and reduced the demand for less liquid assets.
• The low interest rate environment has increased the value of liquid assets.
• Future central bank policy changes, such as winding down asset purchase programmes or tightening eligibility criteria, could impact the LCR and the composition of liquidity buffers.

Structure of the Report

• Executive Summary: Provides a high-level overview of the report's findings.
• Introduction: Explains the purpose and scope of the report under Article 509(1) of the CRR.
• Analysis of the LCR and its components: Includes trends, composition, and interactions with other regulatory ratios.
• LCR regulation and lending: Discusses the impact of LCR on lending supply and profitability.
• Panel data analysis: Shows the relationship between liquidity regulation, capital standards, and lending.
• Annex: Lists the 157 reporting banks from 16 EU Member States, covering EUR 23 trillion in total assets.

Conclusion

The report concludes that the LCR has been successfully implemented across the EU banking sector, with most banks exceeding the minimum requirements. The increase in HQLA and reduction in liquidity outflows have contributed to this trend. However, future changes in central bank policies and regulatory adjustments could influence the sustainability of the LCR and the composition of liquidity buffers. The LCR also plays a role in shaping banks' lending strategies, with more liquid banks being more capable of supporting lending to the real economy.