GLTDF (Gross Loans to Deposits Flows ratio) is a macroprudential measure (introduced in June 2014, since Jan 2018 as a recommendation) meant to slow the decline in the banking system loan-to-deposit (hereinafter: LTD) ratio, stabilizing the banking system funding structure and mitigating systemic liquidity risk. Originally, the measure required banks gathering deposits and simultaneously contracting the lending to non-banking sector to increase the liquidity buffers. It therefore limits the impaired intermediation of financing to the non-banking sector (NBS).
In October 2017, the Governing Board of the Bank of Slovenia adopted the decision to introduce the GLTDF minimum requirement and the liquidity ratio requirement considering financial assets and liabilities with residual maturities up to 30 days, as the non-binding macroprudential recommendation that will become effective on 1 January 2018. Based on the evaluation of the GLTDF instrument and the beneficial developments of key indicators, like the stabilization of the loan-to-deposit ratio, it was assessed that the requirement can be transformed to non-binding recommendation. While preserving the instrument as the recommendation, emphasizing the predominance of demand deposits among customer deposits, it signals to the credit institutions the need for monitoring funding stability, prudent management of liquidity risk and gradual assets transformation.
Construction of the instrument
At the end of each quarter, banks with positive (annual) growth in non-banking sector (NBS) deposits are recommended to fulfil a non-negative (annual) GLTDF ratio:
In other words, banks with increasing NBS deposits are recommended not to reduce lending to the NBS. For the purpose of GLTDF, the gross loans are considered, that is the amount of loans before impairments (see the list of publications).
Main relevant historical changes
The measure was introduced in June 2014 as a macroprudential measure aiming to mitigate and prevent excessive maturity mismatch and illiquidity, which is also one of the intermediate macroprudential policy objectives set out by the Guidelines for the macroprudential policy of the Bank of Slovenia. Banks were initially required to meet over the period June 2014-March 2015. Contemporaneously, in June 2014, it was foreseen a deferred tightening of the measure, that would have required banks to meet and would have been effective on April 2015.
Initially, corrective measures were prescribed in event of failure to meet GLTDF-requirements. The corrective measures consisted in requiring banks to meet higher values of GLTDF ratio (i.e. 40% or 60%, depending on the initially required ratio) on quarterly basis when the quarterly increase in deposits by the NBS was positive.
In 2015 there was no tightening of the measure, though previously forseen. In 2016 the aforementioned corrective measure was relaxed to GLTDFq >= 0%. In October 2017 the measure has been converted into a recommendation.
- Relevant regulation (the regulation available in English is listed in EN column)
- Monitoring the impact of the macroprudential instrument GLTDF, June 2015
- Tatjana Šuler Štavt: Setting the floor on the gross loans to deposits flows ratio as a macro-prudential measure in the downturn, july 2014
- Minimum requirements on changes in loans relative to changes in deposits (GLTDF) as the Bank of Slovenia macroprudential instrument, 23 July 2014