EBA欧洲银行-Basel-III-monitoring-report-28results-as-of-December-201329_42页_759kb

Basel III Monitoring Exercise Summary (31 December 2013)

Core Content

This report presents the sixth Basel III monitoring exercise conducted by the European Banking Authority (EBA) using data as of 31 December 2013. It evaluates the impact of the Basel III framework on regulatory capital ratios and liquidity standards across European banks, with a focus on the changes resulting from the full implementation of the Capital Requirements Regulation (CRR) and Capital Requirements Directive (CRD IV). The report is based on a sample of 151 banks, comprising 42 Group 1 banks and 109 Group 2 banks, and does not account for future management actions or subjective assumptions about profitability.

Main Viewpoints

• Regulatory Framework: The Basel III framework aims to increase banking sector resilience by raising capital requirements and improving capital quality. The EBA and Basel Committee monitor its impact semi-annually.
• Group Classification:
  • Group 1 banks are large, internationally active banks with Tier 1 capital exceeding EUR 3 billion.
  • Group 2 banks are smaller and less internationally active, with a larger variation in capital adequacy across countries.
• Implementation Assumptions: The report assumes full implementation of the CRR/CRD IV package as of 31 December 2013, without transitional arrangements. For the leverage ratio and liquidity ratios, it assumes the full Basel III framework as it will be implemented in 2022.
• Data Quality: Banks submitted comprehensive, non-public data on a voluntary basis, and national supervisors ensured data quality and consistency. However, differences in interpretation of Basel III rules may still affect reported results.
• Static Balance Sheet Assumption: The report uses a static balance sheet approach, considering only capital elements eligible at the reference date of December 2013. It does not account for future changes or management actions.

Key Information

Impact on Regulatory Capital Ratios and Estimated Capital Shortfall

• Group 1 Banks:

  • CET1 Ratio: Falls from 12.4% to 10.1% (a decrease of 2.3 percentage points).
  • Tier 1 Ratio: Falls from 13.8% to 10.2% (a decrease of 3.6 percentage points).
  • Total Capital Ratio: Falls from 16.6% to 12.1% (a decrease of 4.5 percentage points).
  • Capital Shortfall:
    • EUR 0.1 billion with respect to the 4.5% minimum CET1 requirement.
    • EUR 11.6 billion with respect to the 7.0% target CET1 level (including the capital conservation buffer and G-SIB surcharge).
  • Profit Reference: Total profits after tax before dividends for Group 1 banks in the year preceding 31 December 2013 were EUR 62.3 billion.

• Group 2 Banks:

  • CET1 Ratio: Falls from 13.2% to 10.3% (a decrease of 2.9 percentage points).
  • Tier 1 Ratio: Falls from 13.8% to 10.9% (a decrease of 2.9 percentage points).
  • Total Capital Ratio: Falls from 16.6% to 12.8% (a decrease of 3.8 percentage points).
  • Capital Shortfall: Approximately EUR 9.2 billion for the 7.0% target CET1 level.
  • Trend: The average CET1 ratio increased by 1.5 percentage points compared to the previous exercise (end-June 2013).

Changes in Capital Ratios

• Main Drivers:
  • Group 1: Changes in capital definition (CET1) and RWA (risk-weighted assets) are the primary factors.
  • Group 2: Transition from Basel II.50/50 deductions to a 1250% risk weight and changes in capital definition.
• Capital Deductions:
  • For Group 1: Mainly driven by goodwill (12.0%), followed by intangibles (3.2%).
  • For Group 2: Mainly driven by deductions for other financial companies (5.3%).
• Capital Buffer Reduction:
  • Under Basel III, the capital buffer above the regulatory minimum would be 5.9 percentage points lower for Group 1 and 5.4 percentage points lower for Group 2.
  • The share of the increased minimum requirements in this reduction is 43% for Group 1 and 46% for Group 2.
  • The impact of RWA changes is 20% for Group 1 and 24% for Group 2.

Leverage Ratio

• Average Leverage Ratio:
  • Group 1: 3.7%.
  • Group 2: 4.5%.
• Tier 1 Capital Shortfall:
  • Group 1: EUR 21.6 billion.
  • Group 2: EUR 7.6 billion.
• Comparative Shortfall:
  • Group 1: EUR 22.1 billion (without G-SIB surcharge) or EUR 52.9 billion (with G-SIB surcharge).
  • Group 2: EUR 9.8 billion (without G-SIB surcharge) or EUR 20.5 billion (with G-SIB surcharge).
• Observation Period: The leverage ratio is currently under an observation period, with implementation expected in 2018.

Liquidity Standards

• Liquidity Coverage Ratio (LCR):

  • Minimum requirement: 60% (introduced in 2015, rising to 100% by 2019).
  • Average LCR:
    • Group 1: 107%.
    • Group 2: 144%.
  • Shortfall to be Closed by 2019: EUR 154 billion.
  • Coverage: Three-quarters of all banks already meet the final 100% requirement, while 9% are below the 60% threshold.
  • Improvement: The increase in LCR is attributed to structural adjustments and recalibration of the framework.

• Net Stable Funding Ratio (NSFR):

  • Minimum requirement: 100% (introduced in 2018).
  • Average NSFR:
    • Group 1: 102%.
    • Group 2: 109%.
  • Shortfall in Stable Funding: EUR 473 billion.
  • Coverage: 78% of all banks meet or exceed the minimum NSFR requirement.
  • Improvement: The increase in NSFR is due to higher available stable funding and recalibration of the framework.

Conclusion

The Basel III monitoring exercise highlights the significant impact of the new regulatory framework on capital and liquidity ratios across European banks. Group 1 banks show a more consistent and representative result due to their international activity and higher coverage, while Group 2 results are influenced by a larger number of non-internationally-active banks. The implementation of Basel III has led to a substantial reduction in capital ratios and an increase in capital shortfalls, primarily driven by changes in capital definitions and RWA calculations. The leverage and liquidity ratios are also expected to have a major effect on banks' capital buffers, with the report noting that the impact will become more accurate as the implementation date approaches.