2017年-EBA欧洲银行管理局_Cumulative_impact_assessment_of_the_Basel_reform_package_8页_431kb

CUMULATIVE IMPACT ASSESSMENT OF THE BASEL REFORM PACKAGE

Introduction

In December 2017, the Basel Committee on Banking Supervision (BCBS) finalized a set of revisions to the Basel III framework aimed at reducing undue variability in risk-weighted assets (RWA) calculations. These changes were introduced to restore the credibility of the RWA metric and ensure the comparability of regulatory capital ratios across institutions. Key revisions include:

• Enhanced Risk Sensitivity: The standardised approaches for credit risk and CVA risk became more risk-sensitive.
• New Operational Risk Framework: The Standardised Measurement Approach (SMA) replaced all existing methodologies for operational risk capital calculations.
• Constrained Internal Models: The scope and parameters of the Internal Ratings Based (IRB) approach were restricted, and internal models were no longer permitted for operational and CVA risk.
• Leverage Ratio Surcharge: A leverage ratio surcharge was introduced for global systemically important banks (G-SIBs).
• Aggregate Output Floor: A backstop mechanism at 72.5% of the RWA calculated under the revised standardised approaches was introduced.

Overview of the Results

The European Banking Authority (EBA) conducted an impact assessment using data as of December 2015, covering 88 European institutions from 17 EU Member States, divided into 36 Group 1 and 52 Group 2 institutions. The key findings include:

Total Tier 1 Minimum Required Capital (MRC) Increase

• Overall EU sample: 12.9% increase in weighted average Tier 1 MRC.
• EU G-SIIs: 15.2% increase in Tier 1 MRC.
• EU Group 1 banks: 14.1% increase.
• EU Group 2 banks: ~4% increase.

Impact on Capital Ratios and Shortfalls

• CET1 ratio: Decreased by 0.6 percentage points on average across all banks.
• Total capital shortfall: EUR 39.7 billion.
• Group 1 banks: CET1 ratio expected to decrease by 0.7 percentage points.
• Group 2 banks: CET1 ratio estimated to increase by 0.2 percentage points.
• Leverage ratio: Remains almost stable across all categories.

Constraining Metrics

• Risk-weighted assets-based requirement: 58% of institutions are constrained.
• Output floor: 20.5% of institutions are constrained.
• Leverage ratio: 21.6% of institutions are constrained.

Sub-sample Analysis:

• Group 1 banks and IRB banks: 47.2% constrained by risk-weighted assets.
• Group 2 banks: 65.4% constrained by risk-weighted assets.

Key Methodological Considerations

The EBA's impact assessment was based on the following assumptions and constraints:

• Static Portfolios: The analysis assumes no changes in portfolio composition or business models since December 2015.
• Baseline MRC Calculation: Based on the 6% Tier 1 requirement, augmented by the 2.5% capital conservation buffer and, where applicable, the G-SII loss absorbency buffer.
• National Implementation: Reflects the national implementation of the Basel III framework, which may differ from other jurisdictions.
• Full FRTB Implementation: Assumes full implementation of the Fundamental Review of the Trading Book (FRTB), thus excluding its impact.
• Operational Risk ILM Setting: Assumes the internal loss multiplier (ILM) for operational risk is set to 1.
• No Transitional Arrangements: The assessment represents a fully phased-in implementation of the Basel reforms.

The EBA acknowledges that the impact assessment may overestimate the actual effects due to the limitations in capturing all revisions and data constraints.

Conclusion

The Basel reform package, particularly the aggregate output floor, significantly increases the Tier 1 MRC for EU banks, with the most pronounced effects on G-SIIs and Group 1 institutions. While the reform has a limited impact on overall regulatory capital ratios, it introduces new constraints and capital requirements that affect different bank categories to varying degrees. The EBA will publish a more detailed report in the future.