2014年-EBA欧洲银行管理局_EBA-BS-2012-xxx--Public-ISG-Report-Basel-III-Monitoring-_26页_723kb

Summary of Basel III Monitoring Exercise Results (as of 31 December 2011)

Core Content

This report outlines the results of the second Basel III monitoring exercise, based on data from 31 December 2011. It provides an overview of the impact of Basel III on regulatory capital ratios, capital composition, and liquidity standards across European banks, distinguishing between two groups: Group 1 and Group 2 banks.

The monitoring exercise assumes full implementation of Basel III, without considering transitional arrangements or grandfathering, and compares results with the current Basel II.5 framework. It highlights the changes in capital and liquidity metrics and identifies the main drivers of these changes, while noting limitations in data quality and comparability with other studies.

Main Points

1. Participating Banks

• Group 1 banks: 44 banks from 14 countries, with Tier 1 capital exceeding €3 billion and being internationally active.
• Group 2 banks: 112 banks from 17 countries, generally smaller and less internationally active.
• Coverage:
  • 100% coverage for Group 1 banks in some countries.
  • Aggregate coverage for Group 1 banks is 92% (Basel II risk-weighted assets).
  • Group 2 banks have lower and more variable coverage (aggregate coverage: 27%).

2. Methodology

• The analysis uses a composite bank weighting scheme to calculate average capital ratios.
• Box plots are used to illustrate the distribution of results among banks.
• The exercise is based on static balance sheet assumptions, meaning only capital elements that meet eligibility criteria at the reporting date are included.
• It does not account for future capital increases or risk-weighted asset reductions planned by banks.

3. Impact on Capital Ratios

• Group 1 banks:
  • CET1 capital ratio drops from 10.3% to 6.9% (a decline of 3.4 percentage points).
  • Tier 1 capital ratio declines from 12.0% to 7.1%.
  • Total capital ratio drops from 14.2% to 8.0%.
• Group 2 banks:
  • CET1 capital ratio drops from 10.6% to 7.2%.
  • Tier 1 capital ratio declines from 11.4% to 7.7%.
  • Total capital ratio drops from 14.1% to 9.6%.
• Capital shortfalls:
  • Group 1 banks: €8 billion at 4.5% minimum and €199 billion at 7.0% target (including G-SIB surcharge).
  • Group 2 banks: €10 billion at 4.5% minimum and €26 billion at 7.0% target.
• Liquidity standards:
  • LCR: Group 1 banks average 72%, Group 2 banks average 91%.
  • NSFR: Group 1 banks average 93%, Group 2 banks average 94%.
  • Total liquidity shortfall: €1.17 trillion, or 3.7% of total assets.
  • To meet the minimum standard of 100%, banks need an additional €1.4 trillion in stable funding.

4. Key Drivers of Capital Ratio Changes

• Group 1 banks:
  • CET1 decline of 20.5% is driven equally by changes in capital definitions and increases in RWA (18.4%).
• Group 2 banks:
  • CET1 decline of 26.1% is primarily due to capital definitions, while RWA increases are less significant (+8.8%).
• Main factors:
  • CVA capital charges significantly increase RWA for Group 1 banks (9.3% increase).
  • Goodwill deductions are a major contributor to CET1 reduction for both groups.
  • Capital deductions for other financial institutions also impact CET1.

5. Leverage Ratio

• Group 1 banks have an average leverage ratio of 2.9%.
• Group 2 banks have an average leverage ratio of 3.3%.
• Target leverage ratio: 3%.
  • 51% of Group 1 and 70% of Group 2 banks meet or exceed this target.
• If current leverage ratios were already in place (based on Basel II capital definitions), the ratios would be 4.1% for Group 1 and 4.6% for Group 2.

6. Capital Conservation Buffer

• The buffer is included in the calculation of target capital ratios.
• This increases the capital shortfall for both groups, particularly for Group 1 banks (from €8 billion to €312 billion at 7.0% target level).

7. Data Quality and Limitations

• Banks provided data on a voluntary and best-efforts basis.
• Liquidity data has improved, but differences in interpretation of rules still exist.
• Results are not comparable to industry estimates or the C-QIS, due to different assumptions and methodologies.

Key Information

• Baseline: Results are based on a static balance sheet assumption and do not include future actions or changes in modeling.
• Comparison: The report compares Basel III results with the current Basel II.5 framework, not with the C-QIS, which used earlier proposals.
• Impact on G-SIBs: Capital surcharges for G-SIBs are included in the target shortfall calculations.
• Future Outlook: The actual capital and liquidity shortfalls at full Basel III implementation will differ due to banks' responses to the regulatory changes.

Conclusion

The Basel III monitoring exercise shows a substantial decline in capital ratios for both Group 1 and Group 2 banks, with Group 1 banks experiencing a more significant impact. The decline in CET1 is driven by both the new capital definition and the increase in risk-weighted assets, particularly due to CVA capital charges. Group 2 banks, while also affected, show less variation in RWA changes due to their less exposure to counterparty credit risk. The leverage ratio and liquidity standards are also impacted, with liquidity shortfalls remaining a major concern. These results provide a snapshot of the banking sector's capital position under Basel III, highlighting the need for additional capital and stable funding.