2014年-EBA欧洲银行管理局_EU-QIS-report-2_23页_354kb

报告摘要

Summary of the Comprehensive Quantitative Impact Study (EU-QIS)

Core Content

The Comprehensive Quantitative Impact Study (EU-QIS) conducted by the Committee of European Banking Supervisors (CEBS) evaluates the impact of Basel III reforms on the European banking sector. These reforms aim to improve the quality and level of capital, enhance risk capture, reduce excessive leverage, and introduce new liquidity standards. The study provides aggregated analyses of bank data collected by national supervisors, serving as a key input for the European Commission's impact assessment accompanying the CRD IV legislative proposals.

Main Findings

1. Scope of the Impact Study

21 CEBS member jurisdictions participated in the EU-QIS.
246 banks were involved, split into Group 1 (50 banks) and Group 2 (196 banks).
Group 1 banks are large, well-diversified, and internationally active (Tier 1 capital > €3 billion).
Group 2 banks are smaller and less affected by the reforms.
Follow-up data collection was conducted in September 2010 to refine the initial data.

2. Methodology

The study compares banks' capital positions under Basel III to their current regulatory capital ratios.
Box plots are used to visualize the data, showing the mean, median, quartiles, and percentiles for each group.
Composite banks were created for averaging, with weights based on the total sample.
Transitional arrangements were generally not considered, except for those related to non-correlation trading securitisation positions.

3. Data Quality

Banks submitted comprehensive and detailed non-public data.
National supervisors ensured data quality and consistency with QIS instructions.
Incomplete data led to the exclusion of some banks, potentially introducing an upward bias in the results.

4. Impact on Regulatory Capital Ratios

Group 1 banks would see an average CET1 capital ratio drop from 10.7% (gross) to 4.9% (net), a decline of 5.8 percentage points.
Group 2 banks would see a smaller decline, from 11.1% to 7.1%.
Tier 1 capital ratios for Group 1 banks would fall from 10.3% to 5.6%, and total capital ratios from 14.0% to 8.1%.
For Group 2 banks, Tier 1 capital ratios would decline from 10.3% to 7.6%, and total capital ratios from 13.1% to 10.3%.

5. Capital Shortfall

Group 1 banks would need an additional €53 billion to meet the 4.5% CET1 minimum requirement by 2019.
For a 7% CET1 target, the shortfall would be €263 billion.
Group 2 banks would require €9 billion for the 4.5% requirement and €28 billion for the 7% target.
2009 profits after tax for Group 1 and Group 2 banks were €84 billion and €12 billion, respectively.

6. Definition of Capital

The new CET1 capital standard involves deductions from the previous Tier 1 capital.
Group 1 banks would see a 42.1% reduction in CET1 capital.
Group 2 banks would experience a 33.4% reduction in CET1 capital.
Tier 1 and total capital would also decline, but to a lesser extent.

7. Changes in Risk-Weighted Assets (RWA)

Group 1 banks would see an overall increase of 24.5% in RWA.
The main drivers of this increase are counterparty credit risk (CCR) and securitisation in the banking book.
Group 2 banks would experience a smaller increase of 4.1% in RWA due to less exposure to these areas.
The impact of RWA changes on capital positions is less significant than the changes in capital definition.

8. Leverage Ratio

The weighted average leverage ratio for Group 1 banks would be 2.5%.
For Group 2 banks, it would be 3.5%.
The leverage ratio is a new international standard aimed at containing excessive leverage.

9. Liquidity Standards

Liquidity Coverage Ratio (LCR) would average 67% for Group 1 banks and 87% for Group 2 banks.
Net Stable Funding Ratio (NSFR) would average 91% and 94% for Group 1 and Group 2 banks, respectively.
These standards are designed to ensure banks maintain sufficient liquid assets and stable funding sources.

Key Points

The study assumes full implementation of Basel III rules as of 31 December 2009.
It does not consider future profitability or management responses, making it not directly comparable to industry forecasts.
Data completeness varied across jurisdictions, with Group 1 banks having higher coverage.
The impact of the reforms is more pronounced on larger, more complex banks (Group 1) than on smaller banks (Group 2).
Transitional arrangements were generally excluded, except for non-correlation trading securitisation.