EBA欧洲银行-Basel-III_Monitoring_Report-Dec12_32页_945kb

Basel III Monitoring Exercise Summary (as of 31 December 2012)

Core Content

The Basel III monitoring exercise is a semi-annual assessment of the impact of the new global regulatory framework on European banks. It evaluates changes in capital ratios, risk-weighted assets (RWA), leverage ratios, and liquidity standards, using data submitted by 170 banks, divided into 42 Group 1 banks and 128 Group 2 banks.

The exercise assumes full implementation of Basel III without considering transitional arrangements, and it compares results to the current national implementation of CRD III (Capital Requirements Directive III), which was in force since year-end 2011.

Main Findings

Capital Ratios and Shortfalls

• Group 1 banks:

  • Average CET1 capital ratio under current rules: 11.5%
  • Under Basel III: 8.4% (a decrease of 3.1 percentage points)
  • 98% of Group 1 banks would be at or above the 4.5% minimum CET1 requirement, while 73% would meet the 7.0% target level (including capital conservation buffer).
  • Estimated CET1 capital shortfall: €2.2 billion (minimum) and €70.4 billion (target level).
  • Average Tier 1 capital ratio under current rules: 13.0% → 8.5% under Basel III.
  • Average total capital ratio under current rules: 15.2% → 9.6% under Basel III.
  • Capital shortfalls: €162.5 billion (Tier 1) and €257.5 billion (total capital).

• Group 2 banks:

  • Average CET1 capital ratio under current rules: 11.3% → 7.9% under Basel III.
  • Estimated CET1 capital shortfall: €25.9 billion (target level of 7.0%).
  • Average Tier 1 capital ratio under current rules: 12.0% → 8.5% under Basel III.
  • Average total capital ratio under current rules: 14.6% → 10.1% under Basel III.

Capital Buffer Reduction

• The Basel III capital buffer would be 5.6 percentage points lower for Group 1 banks and 5.9 percentage points lower for Group 2 banks compared to the current regime.
• The capital conservation buffer (2.5%) accounts for more than 40% of the total impact on the capital buffer for both groups.
• For Group 1 banks, the average impact of RWA and capital deductions is 23% and 28%, respectively.
• For Group 2 banks, the average impact of RWA and capital deductions is 18% and 30%, respectively.

Key Drivers of Capital Ratio Changes

• Capital definition changes:
  • Reduction in CET1 capital due to stricter capital eligibility criteria.
• Capital deductions:
  • Goodwill is the largest deduction for both groups (13.5% for Group 1, 9.0% for Group 2).
  • Other financial companies also contribute to deductions (4.6% for Group 1, 6.8% for Group 2).
• RWA increases:
  • For Group 1 banks, RWA increases by 12.8%, driven by CVA capital charges (6.0%) and items below the 10%/15% thresholds (3.4%).
  • For Group 2 banks, RWA increases by 10.2%, primarily due to the transition from 50/50 deductions to a 1250% risk weight, with CVA charges and items below thresholds contributing to a lesser extent.

Leverage Ratio

• Group 1 banks: Average Tier 1 leverage ratio under Basel III: 2.9%
• Group 2 banks: Average leverage ratio under Basel III: 3.4%
• Target level: 3%
  • 58% of Group 1 and 76% of Group 2 banks would meet the target level.
• Estimated leverage capital shortfall:
  • Group 1: €106.6 billion
  • Group 2: €26.0 billion
• The leverage ratio is subject to an observation period until 1 January 2018, during which unintended consequences will be addressed.

Liquidity Standards

• Liquidity Coverage Ratio (LCR):

  • Minimum requirement: 60% (introduced on 1 January 2015, increasing to 100% by 2019).
  • Average LCR for Group 1 banks as of 31 December 2012: 109%
  • Average LCR for Group 2 banks: 127.1%
  • Estimated shortfall of liquid assets: €225 billion for all banks in the sample.

• Net Stable Funding Ratio (NSFR):

  • Minimum requirement: 100% (introduced on 1 January 2018).
  • Average NSFR for Group 1 banks: 96%
  • Average NSFR for Group 2 banks: 98%
  • Overall NSFR remained stable, but the shortfall for banks below the target level improved.
  • NSFR showed significant dispersion across banks and countries, especially for Group 2 banks.

Methodology and Data Quality

• The report uses a composite bank weighting scheme to calculate average figures, ensuring that total sample averages are weighted.

• Box plots are used to illustrate the distribution of results, with:

  • Thick red line: Minimum capital requirement
  • Dashed lines: Minimum + capital conservation buffer
  • Thin red line: Median
  • "x": Mean (weighted average)
  • Blue box: 25th and 75th percentiles
  • Black whiskers: 5th and 95th percentiles

• Data quality:

  • Participating banks submitted data on a voluntary and best-efforts basis.
  • Data quality for liquidity elements improved over time, but some differences in reported liquidity risk positions are due to varying interpretations of the rules.
  • Some banks used different methodologies to identify operational wholesale deposits and exclude liquid assets.

Interpretation of Results

• The monitoring results are based on static balance sheet assumptions, i.e., capital elements are only included if they meet the eligibility criteria at the reporting date.
• The report does not account for planned management actions to increase capital or reduce RWA, which means it reflects only the actual changes in capital base.
• As a result, the findings may understate the actual capital shortfalls, as future profitability and management actions are not considered.
• The capital figures may also underestimate Tier 1 and total capital, as non-qualifying instruments are phased out over a 10-year horizon and are not recognized in the current reporting.

Conclusion

The Basel III framework has a significant impact on the capital structure and liquidity of European banks, with Group 1 banks generally experiencing more pronounced changes due to their international activity and exposure to counterparty credit risk. Group 2 banks, which are less internationally active, show lower but still substantial changes. The report highlights the need for further adjustments and monitoring as Basel III is implemented, especially in light of the potential for banks to adapt their strategies and capital management practices over time.