EBA欧洲银行-EBA-BS-2012-037-FINALResults-Basel-III-Monitoring-_24页_638kb

Summary of the Basel III Monitoring Exercise as of 30 June 2011

Core Content

This document provides the results of a Basel III monitoring exercise conducted as of 30 June 2011, based on data from 158 European banks, including 48 Group 1 and 110 Group 2 banks. The study evaluates the impact of Basel III on regulatory capital ratios, capital shortfalls, and liquidity standards, assuming full implementation of the framework without transitional arrangements. It highlights the differences between Group 1 and Group 2 banks in terms of capital composition, risk-weighted asset (RWA) changes, and liquidity requirements.

Main Points

1. Overview of the Monitoring Exercise

• The Basel Committee and the European Banking Authority (EBA) monitor the impact of Basel III requirements semi-annually.
• The exercise compares current Basel II capital ratios with those that would be achieved under Basel III.
• Group 1 banks (larger, internationally active) are more comprehensively covered than Group 2 banks (smaller, non-internationally active), with 98.5% and 35.8% aggregate coverage, respectively.

2. Impact on Regulatory Capital Ratios

• Group 1 banks:
  • Average CET1 capital ratio declines from 10.2% to 6.5% (a decrease of 3.7 percentage points).
  • Average Tier 1 capital ratio drops from 11.9% to 6.7%.
  • Average total capital ratio decreases from 14.4% to 7.8%.
  • Capital shortfalls are significant, with €18 billion at the 4.5% minimum and €242 billion at the 7.0% target level (including G-SIB surcharges).
• Group 2 banks:
  • Average CET1 ratio declines from 9.8% to 6.8%.
  • Average Tier 1 and total capital ratios drop to 7.4% and 9.4%, respectively.
  • Capital shortfalls are €11 billion at the 4.5% minimum and €35 billion at the 7.0% target level.

3. Main Drivers of Capital Ratio Changes

• Group 1 banks:
  • The decline in CET1 is due to a combination of capital deductions and increases in RWA.
  • Goodwill accounts for -17.3% of CET1 reduction, followed by capital holdings of other financial companies at -4.4%.
  • CVA capital charges and trading book rules are the main contributors to RWA increase, averaging 8.0% for Group 1 banks.
• Group 2 banks:
  • The CET1 decline is -25.9%, driven primarily by capital deductions.
  • RWA increase is much smaller (+6.9%), as these banks are less exposed to counterparty and market risks.
  • The largest contributors to other deductions are provisioning shortfalls and pension obligations.

4. Leverage Ratio

• Group 1 banks have an average leverage ratio of 2.7% under Basel III.
• Group 2 banks have an average leverage ratio of 3.4%.
• If the leverage ratio were already in place, the figures would be 4.0% and 4.7%, respectively.
• 41% of Group 1 and 72% of Group 2 banks meet the 3% target level.

5. Liquidity Standards

• Liquidity Coverage Ratio (LCR):
  • Group 1 banks report an average of 71%.
  • Group 2 banks report an average of 70%.
• Net Stable Funding Ratio (NSFR):
  • Group 1 banks report an average of 89%.
  • Group 2 banks report an average of 90%.
• Aggregate liquidity shortfall is estimated at €1.2 trillion, representing 3.7% of total assets (€31 trillion).
• Banks need to secure €1.9 trillion in stable funding to meet the 100% minimum NSFR standard.

6. Methodology and Assumptions

• The monitoring exercise assumes full implementation of Basel III, without considering transitional arrangements.
• It is based on static balance sheet assumptions, meaning only capital elements that met eligibility criteria at the reporting date are included.
• The results are not comparable to industry estimates or prior C-QIS studies, as the latter often include future projections and modeling assumptions.

Key Information

• Group 1 banks are more representative of the European banking sector.
• The capital conservation buffer (2.5%) and G-SIB surcharges are phased in by 2019.
• The actual capital and liquidity shortfalls will vary as the banking sector adapts to the new regulatory environment.
• Data quality is high, with banks submitting detailed and comprehensive data, and national supervisors ensuring consistency with reporting instructions.

Tables and Charts

• Table 1: Shows the distribution of banks by jurisdiction.
• Table 2: Provides average capital ratios for Group 1 and Group 2 banks under Basel II and Basel III.
• Table 3: Estimates the capital shortfalls for Group 1 and Group 2 banks to meet Basel III requirements by 2022.
• Table 4: Details the percentage impact of various capital deductions on CET1 ratios for both groups.
• Chart 1 and Chart 2: Illustrate the distribution of capital ratios and capital shortfalls, respectively, using box plots.

Conclusion

The Basel III framework significantly reduces capital ratios for European banks, with larger impacts on Group 1 banks due to their exposure to market and counterparty risks. While the results indicate a substantial capital shortfall, they are based on static assumptions and do not account for future actions or changes in the regulatory environment. The monitoring exercise serves as a baseline for understanding the impact of Basel III and highlights the need for banks to enhance their capital base and manage risk-weighted assets effectively.