2016年-EBA欧洲银行管理局_CRDIV-CRR_Basel_III_Monitoring_Exercise_Report_37页_909kb

CRD IV - CRR/Basel III Monitoring Exercise Summary (June 2015 to March 2016)

Core Content

This report presents the results of the ninth monitoring exercise on the implementation of the CRD IV - CRR/Basel III regulatory framework in the European Union, using data as of 30 June 2015. It evaluates compliance with capital and liquidity requirements and highlights the impact of transitional arrangements on regulatory capital and liquidity positions.

Main Points

1. Sample of Participating Banks

• A total of 297 banks from 21 EU Member States participated in the exercise.
• 49 Group 1 banks (with Tier 1 capital > EUR 3 billion and internationally active) and 248 Group 2 banks (all other banks) were included.
• Group 1 coverage was high, with 100% in many countries (aggregate RWA coverage: 94.5%).
• Group 2 coverage was lower and more varied (aggregate RWA coverage: 36.6%).
• Group 2 banks were further divided into large (22), medium-sized (20), and small (68) banks based on Tier 1 capital.

2. Methodology

• Composite bank weighting was used to calculate average capital ratios and leverage ratios.
• Box plots were used to illustrate the distribution of results while maintaining data confidentiality.
• Consistent samples were used for comparisons across time periods to ensure accurate analysis.
• The monitoring assumes a static balance sheet, excluding future plans or assumptions.

3. Capital Requirements and Shortfalls

• Risk-based capital ratios (CET1, Tier 1, Total Capital) and leverage ratio were analyzed.
• Under full implementation (without transitional arrangements), Group 1 and Group 2 banks had the following average ratios:
  • CET1: 11.6% and 12.5%
  • Tier 1: 12.2% and 12.9%
  • Total Capital: 14.8% and 14.5%
  • Leverage Ratio: 4.2% and 5%
• The leverage ratio is a key backstop to prevent excessive leverage and is binding for many institutions.
• Capital shortfalls under full implementation are minimal, with only a small fraction of the amounts observed in 2011.
• Group 1 banks are more constrained by the leverage ratio than Group 2 banks.
• G-SIBs (Global Systemically Important Banks) show smaller differences between current and full implementation, and lower capital ratios on average.

4. Liquidity Requirements and Shortfalls

• LCR (Liquidity Coverage Ratio) and NSFR (Net Stable Funding Ratio) were evaluated.
• The LCR minimum requirement was set at 60% from 1 October 2015, increasing to 100% by January 2018.
• The NSFR is expected to be introduced in January 2018 with a 100% minimum requirement.
• As of June 2015:
  • Average LCR for Group 1 and Group 2 banks was 121.2% and 156.7%, respectively.
  • 79% of banks had an LCR above 100%, and 91% had an LCR above 70%.
  • Total LCR shortfall: EUR 32.6 billion.
• NSFR average ratios were 104% and 111% for Group 1 and Group 2 banks, respectively.
• Total NSFR shortfall: EUR 341 billion.
• 77% of banks already met the 100% NSFR requirement.
• NSFR has been increasing due to higher ASF (Available Stable Funding).

Key Information

• Data Quality: Banks submitted comprehensive, voluntary, and confidential data. Supervisors ensured high-quality data, with improvements noted since the start of the exercise.
• Transitional Arrangements: These affect the current capital and liquidity ratios, leading to an underestimation of capital under full implementation.
• Impact of Full Implementation:
  • For Group 1 banks, the difference between current and full implementation CET1 ratios is 110–150 bps, with G-SIBs showing smaller differences.
  • For Group 2 banks, the difference is 100 bps for risk-based ratios and 30 bps for leverage ratios.
  • Small Group 2 banks have higher risk-based capital ratios but lower leverage ratios under full implementation.
• Trends:
  • CET1 ratios have increased steadily since 2011, with Group 1 banks seeing an increase of over 500 bps.
  • Group 2 banks have seen a 600 bps increase in CET1 ratios since 2011.
  • Leverage ratios increased up to mid-2013 and then exceeded the minimum requirement.

Figures and Tables

• Figure 1: Distribution of risk-based capital ratios and leverage ratio (Group 1 and Group 2).
• Figure 2: Evolution of CET1 ratios over time (Group 1 and Group 2).
• Figure 3: CET1 capital vs RWA for Group 1 banks under full implementation.
• Figure 4: Evolution of leverage ratio by bank group.
• Table 1: Number of banks by jurisdiction and group.
• Table 2: Comparison of capital ratios and leverage ratios under current and full implementation.
• Table 3: Capital shortfalls by group, including G-SIB and capital conservation buffers.

Conclusion

The monitoring exercise indicates that European banks are generally compliant with the regulatory capital and liquidity requirements under Basel III and CRD IV - CRR. Capital positions have improved over time, and liquidity ratios are above minimum thresholds for most institutions. The leverage ratio is a significant constraint, especially for Group 1 banks. While full implementation of the framework is still pending, banks are already adjusting their capital structures to meet future requirements.