2014年-EBA欧洲银行管理局_Basel_III_monitoring_report_28results_as_of_December_201329_42页_756kb

Basel III Monitoring Exercise Summary (31 December 2013)

Core Content

This document presents the results of the sixth Basel III monitoring exercise conducted by the European Banking Authority (EBA), based on data as of 31 December 2013. The exercise evaluates the impact of the new Basel III regulatory framework on EU banks, focusing on capital ratios, capital shortfalls, risk-weighted assets (RWA), leverage ratios, and liquidity requirements. It also outlines the methodology, data quality, and interpretation of results.

Key Information

Sample of Participating Banks

• Total banks: 151
  • Group 1 banks: 42 (Tier 1 capital > EUR 3 billion, internationally active)
  • Group 2 banks: 109 (all other banks)
• Coverage by country:
  • Group 1: 100% coverage in some countries (aggregate coverage: 94% in terms of Basel II RWA)
  • Group 2: Lower coverage (aggregate coverage: 29%)
• Group 2 composition: Includes a significant number of large but non-internationally active banks, which may skew the results and reduce their representativeness compared to Group 1 banks.

Methodology

• The exercise uses a composite bank weighting scheme to calculate average ratios.
• Box plots are used to illustrate the distribution of results among banks, ensuring data confidentiality.
• The monitoring assumes full implementation of CRR/CRD IV and Basel III rules, excluding transitional arrangements.
• The static balance sheet approach is applied, meaning only capital elements eligible at the reference date (31 December 2013) are considered.

Main Findings

Impact on Regulatory Capital Ratios and Capital Shortfall

• Group 1 banks:
  • Average CET1 ratio: Falls from 12.4% (current) to 10.1% (Basel III), a decrease of 2.3 percentage points.
  • 98% of Group 1 banks meet or exceed the 4.5% minimum CET1 requirement.
  • 84% of Group 1 banks meet or exceed the 7.0% target level (including capital conservation buffer).
  • Capital shortfall:
    • EUR 0.1 billion for the 4.5% minimum CET1 requirement.
    • EUR 11.6 billion for the 7.0% target level.
• Group 2 banks:
  • Average CET1 ratio: Falls from 13.2% (current) to 10.3% (Basel III), a decrease of 2.9 percentage points.
  • Capital shortfall for the 7.0% target level: Approximately EUR 9.2 billion.
  • Average Tier 1 and total capital ratios fall from 13.8% to 10.9% and from 16.6% to 12.8%, respectively.

Changes in Capital Ratios

• The main drivers of changes in capital ratios:
  • Group 1 banks:
    • Capital definition changes (e.g., CET1).
    • RWA increases (10.3%).
    • G-SIB surcharges and capital conservation buffer.
  • Group 2 banks:
    • RWA increases (11.0%).
    • Capital definition changes (e.g., CET1).
    • Deductions for other financial companies (5.3%).
• Deductions:
  • Group 1: 12.0% of gross CET1 (mainly goodwill).
  • Group 2: 7.7% of gross CET1 (mainly other financial companies).

Impact of CRD IV on Capital Buffers

• Capital buffer above the minimum ratio:
  • Group 1 banks: 5.9 percentage points lower than under current rules.
  • Group 2 banks: 5.4 percentage points lower.
• Contribution of drivers:
  • For Group 1: 43% from minimum requirements, 20% from RWA changes, and 18% from G-SIB surcharges.
  • For Group 2: 46% from minimum requirements, 24% from RWA changes, and 20% from deductions.

Leverage Ratio

• Basel III leverage ratio:
  • Group 1: Average 3.7%.
  • Group 2: Average 4.5%.
• Preliminary target level: 3.0%.
  • 80% of banks in both groups meet or exceed this target.
• Tier 1 capital shortfall:
  • Group 1: EUR 21.6 billion.
  • Group 2: EUR 7.6 billion.
• Aggregate Tier 1 capital shortfall:
  • Group 1: EUR 22.1 billion (for 3.0% leverage ratio) and EUR 52.9 billion (for 6.0% risk-based minimum).
  • Group 2: EUR 9.8 billion (for 3.0% leverage ratio) and EUR 20.5 billion (for 6.0% risk-based minimum).
• The leverage ratio is subject to an observation period until 1 January 2018.

Liquidity Standards

• Liquidity Coverage Ratio (LCR):
  • Minimum requirement: 60% (introduced 1 January 2015), rising to 100% by 2019.
  • Group 1: Average 107%.
  • Group 2: Average 144%.
  • Shortfall by 2019: EUR 154 billion.
• Net Stable Funding Ratio (NSFR):
  • Minimum requirement: 100% (introduced 1 January 2018).
  • Group 1: Average 102%.
  • Group 2: Average 109%.
  • Overall shortfall in stable funding: EUR 473 billion.
  • 78% of banks already meet or exceed the minimum NSFR requirement.

Key Notes

• Data quality:
  • Banks provided comprehensive and detailed non-public data.
  • National supervisors ensured data quality and consistency.
  • Some differences in liquidity risk positions may be due to varying interpretations of Basel III rules.
• Limitations:
  • Results are based on a static balance sheet and do not include future management actions or profitability assumptions.
  • The results are not comparable to industry estimates due to the lack of future assumptions.
• Comparisons:
  • The CET1 ratio for Group 1 banks increased by 1.0 percentage point compared to the previous exercise (end-June 2013).
  • The CET1 ratio for Group 2 banks increased by 1.5 percentage points.
  • The capital shortfall for the 7.0% target level for Group 1 decreased by 68.0%.

Conclusion

The Basel III framework significantly impacts the capital and liquidity positions of EU banks. Group 1 banks, which are larger and more internationally active, show more pronounced effects, including larger capital shortfalls and greater RWA increases. Group 2 banks, especially those with large but non-internationally active operations, show similar trends but with less representativeness. The monitoring exercise provides a baseline assessment of the regulatory impact but does not account for future adjustments or management responses. The implementation of Basel III is expected to continue influencing capital structures and liquidity management in the coming years.