EBA欧洲银行-ISG-Basel-III-monitoring-exercise-Public-ReportFinal-_28页_355kb

Basel III Monitoring Exercise Summary (as of 30 June 2012)

Core Content

The Basel III monitoring exercise, conducted by the Basel Committee and the European Banking Authority (EBA), assesses the impact of the new regulatory framework on European banks. It uses data from 157 participating banks, divided into two groups based on their size and international activity. The results are based on the assumption of full implementation of Basel III, without considering transitional arrangements.

Key Results

Capital Ratios and Shortfalls

• Group 1 banks:

  • Average CET1 capital ratio under Basel III: 7.8% (from 11.1% under current rules).
  • 93% of Group 1 banks meet or exceed the 4.5% minimum CET1 requirement.
  • 63% of Group 1 banks meet or exceed the 7.0% target CET1 level (including the capital conservation buffer).
  • Estimated CET1 capital shortfall at 4.5%: €3.7 billion.
  • Estimated CET1 capital shortfall at 7.0%: €112.4 billion (including G-SIB surcharge).
  • The sum of profits after tax for Group 1 banks in 2011–2012: €65.7 billion.

• Group 2 banks:

  • Average CET1 capital ratio under Basel III: 8.0% (from 11.5% under current rules).
  • 95% of Group 2 banks meet or exceed the 4.5% minimum CET1 requirement.
  • 83% of Group 2 banks meet or exceed the 7.0% target CET1 level.
  • Estimated CET1 capital shortfall at 4.5%: €5.3 billion.
  • Estimated CET1 capital shortfall at 7.0%: €17.9 billion.

• Tier 1 and Total Capital Ratios:

  • Group 1 Tier 1 ratio: 7.9% (from 12.6%).
  • Group 1 Total capital ratio: 8.8% (from 14.7%).
  • Group 2 Tier 1 ratio: 8.7% (from 12.2%).
  • Group 2 Total capital ratio: 10.3% (from 15.0%).

• Capital Shortfalls (Minimum Level):

  • Tier 1: €13.4 billion for Group 1, €11.4 billion for Group 2.
  • Total capital: €50 billion for Group 1, €17.5 billion for Group 2.

• Capital Shortfalls (Target Level):

  • Tier 1: €224 billion for Group 1, €17.9 billion for Group 2.
  • Total capital: €348 billion for Group 1, €34.8 billion for Group 2.

Main Drivers of Changes

• Group 1 banks:

  • The decline in CET1 is driven equally by changes in the definition of capital and increases in risk-weighted assets (RWA).
  • CET1 decline: 18.6%.
  • RWA increase: 16.1%.
  • Key factors: deductions for goodwill (-14.4%) and intangible assets (-3.5%).

• Group 2 banks:

  • CET1 decline: 22.9%, but RWA increase is smaller (+10.5%).
  • Key factors: deductions for other financial companies (-6.8%).

• RWA Increase:

  • Main driver: CVA capital charges (7.8% for Group 1, 3.8% for Group 2).
  • Additional contributions: transition from Basel II 50/50 to 1250% risk weight treatment (4.3% for Group 1).

Leverage Ratio

• Group 1 banks: Average Basel III leverage ratio (LR) of 3.0%.
• Group 2 banks: Average Basel III LR of 3.6%.
• Target Level: 3% for both groups.
  • 56% of Group 1 and 76% of Group 2 banks meet the target level.
• If the current Tier 1 capital definition were in place, Group 1 LR would be 4.2%, and Group 2 LR would be 4.5%.
• Average LR increased slightly from the previous period: +0.1% for Group 1, +0.3% for Group 2.

Liquidity Standards

• Liquidity Coverage Ratio (LCR):

  • Will be introduced on 1 January 2015 and increase annually to 100% by 2019.
  • Precise LCR results could not be calculated for June 2012 due to data limitations, but will be included in the December 2012 report.

• Net Stable Funding Ratio (NSFR):

  • Group 1 banks: 94% average NSFR.
  • Group 2 banks: 99% average NSFR.
  • Additional stable funding required to meet 100% NSFR: €1.2 trillion.
  • Liquidity ratios improved compared to the previous period, with substantial dispersion across banks and countries.

Methodology and Data Quality

• Composite Bank Weighting:

  • Averages are calculated based on a composite bank approach, where total sample averages are weighted.
  • For example, the CET1 ratio is calculated as the sum of CET1 capital divided by the sum of RWA.

• Box Plots:

  • Used to illustrate the distribution of results among banks.
  • Thick red line: Minimum capital requirement.
  • Dashed lines: Minimum plus capital conservation buffer (capital) or regulatory target level (leverage, liquidity).
  • Thin red line: Median.
  • "x": Mean (weighted average).
  • Blue box: 25th and 75th percentile values.
  • Black whiskers: 5th and 95th percentile values.

• Data Quality:

  • Banks submitted comprehensive and detailed non-public data on a voluntary and best-efforts basis.
  • National supervisors ensured data quality, completeness, and consistency with reporting instructions.
  • Some differences in liquidity risk positions were due to differing interpretations of the rules.
  • Banks used different methodologies for identifying operational wholesale deposits and liquid assets.

Conclusion

• The Basel III framework leads to lower capital ratios and higher capital shortfalls for both banking groups.
• Group 1 banks show a more significant impact due to their international activity and exposure to counterparty credit risk.
• The capital conservation buffer and G-SIB surcharge increase the overall capital shortfall.
• The static balance sheet assumption ensures that changes are based on actual capital positions, not future projections.
• Liquidity ratios improved, but LCR results could not be fully calculated due to the observation period for NSFR and the future implementation of LCR.
• The monitoring exercise provides a baseline assessment of Basel III's impact, which may differ from actual implementation due to banking sector responses to the new requirements.