Impact of the Basel III Liquidity Rules on EU Banks
|Author:||Mgr. Dana Klímová|
|Year:||2016 - summer|
|Leaders:|| PhDr. Boril Šopov, MSc., LL.M.
|Work type:|| Finance, Financial Markets and Banking
|Awards and prizes:|
|Abstract:||New liquidity rules introduced under the Basel III framework define the Net Stable
Funding Ratio (NSFR) that requires banks to possess an adequate long-term liquidity.
The NSFR will enter into force on January 1, 2018 and banks are concerned that this
regulation will lower their profitability. In this thesis the Basel III liquidity rules are
analysed. The research seeks to define characteristics and triggers of the NSFR, using
a sample of 500 EU banks. We find that smaller banks (by asset size) are more likely
to fulfil the NSFR requirements, so are the banks with higher non-interest share of
income and lower capital ratio, among other characteristics. Further, the NSFR's
impact on the banks' performance is assessed. It is found that a higher NSFR
negatively impacts the return on average equity, although it does not seem to translate
into lower returns on average assets nor net interest margin.