2015年-EBA欧洲银行管理局_CRDIV-CRR_Basel_III_monitoring_Report_Results_as_of_June_2014_44页_729kb

Summary of CRD IV – CRR / Basel III Monitoring Exercise (as of 30 June 2014)

Core Content

This report presents the results of the seventh Basel III monitoring exercise at the EU level, using data as of 30 June 2014. It assesses the impact of the full implementation of the Capital Requirements Directive (CRD IV) and Regulation (CRR) on regulatory capital ratios and capital shortfalls, as well as the leverage and liquidity ratios.

Main Points

Sample of Participating Banks

• Group 1: 40 banks with Tier 1 capital exceeding EUR 3 billion and international activity.
• Group 2: 108 banks, including both large and small institutions, with varying degrees of international activity.
• Data Coverage:
  • Group 1 banks: 100% coverage in some jurisdictions (aggregate RWA coverage: 91.9%).
  • Group 2 banks: Lower coverage (aggregate RWA coverage: 28.5%).

Methodology

• The analysis assumes full implementation of CRD IV / CRR, excluding transitional arrangements.
• A composite bank approach is used to calculate average ratios, with ratios weighted by risk-weighted assets (RWA).
• Box plots are used to illustrate the distribution of results, with key elements:
  • Solid red line: Minimum requirement.
  • Dashed lines: Minimum requirement plus capital conservation buffer.
  • Thin red line: Median.
  • 'x': Mean (weighted average).
  • Blue box: 25th and 75th percentiles.
  • Black whiskers: 5th and 95th percentiles.

Capital Ratios and Shortfall

• Group 1:
  • CET1 ratio decreases from 11.7% (current rules) to 10.8% (full implementation), a 0.9% drop.
  • Tier 1 ratio decreases from 12.9% to 11.2% (1.7% drop).
  • Total capital ratio decreases from 15.8% to 13.3% (2.5% drop).
  • Capital shortfall with respect to the 7.0% target is EUR 2.8 billion.
• Group 2:
  • CET1 ratio decreases from 13.4% to 12.3% (1.1% drop).
  • Tier 1 ratio decreases from 13.7% to 12.6% (1.1% drop).
  • Total capital ratio decreases from 16.3% to 15.0% (1.3% drop).
  • Capital shortfall with respect to the 7.0% target is approximately EUR 0.7 billion.
• Overall:
  • Capital shortfalls are reduced significantly compared to the previous exercise (December 2013).
  • For Group 1, the shortfall decreased by 73% (from EUR 10.2 billion to EUR 2.8 billion).

Main Drivers of Capital Ratio Changes

• Definition of capital: Major contributor to the decrease in CET1 ratios.
• Risk-weighted assets (RWA): Increase in RWA contributes to the decline, but to a lesser extent.
• Group 1 banks:
  • CET1 decreases by 6.5%.
  • RWA increases by less than 1.0%.
• Group 2 banks:
  • CET1 decreases by 6.3%.
  • RWA increases by 1.5%.
• Large Group 2 banks:
  • Have a greater impact on the averages.
  • Excluding them reduces CET1 decrease to 3.1% and RWA increase to 0.4%.

Leverage Ratio (LR)

• The LR is calculated under Basel III rules as the regulatory framework is not yet fully implemented in the EU.
• Group 1 average LR: 3.9%.
• Group 2 average LR: 4.9%.
• Capital shortfall due to LR:
  • Group 1: EUR 2.4 billion.
  • Group 2: EUR 3.7 billion.
• Target LR: 3.0%, with 89% of banks meeting this requirement.
• The LR is subject to an observation period until 1 January 2018.

Liquidity Ratios

• Liquidity Coverage Ratio (LCR):
  • Group 1 average: 113%.
  • Group 2 average: 156%.
  • 82% of banks have an LCR above 100%.
  • 96% of banks meet the 60% minimum requirement (effective from 2015).
  • Overall LCR shortfall: EUR 115 billion.
• Net Stable Funding Ratio (NSFR):
  • Group 1 average: 102%.
  • Group 2 average: 111%.
  • Overall NSFR shortfall: EUR 324 billion.
  • 67% of Group 1 and 85% of Group 2 banks meet the 100% minimum requirement.
• Trend:
  • Both LCR and NSFR have increased over time.
  • This is due to:
    • An increase in High Quality Liquid Assets (HQLA).
    • A decrease in net outflows.
    • Changes in the LCR framework (January 2013).

Key Information

• Data Quality:
  • Banks provided confidential, non-public data voluntarily.
  • Supervisors worked closely with banks to ensure high-quality data.
  • Some discrepancies exist in the interpretation of liquidity rules.
• Assumptions:
  • The exercise is based on a static balance sheet.
  • It does not consider planned future actions or behavioural responses.
  • Therefore, the results are not comparable to industry estimates, which often include future assumptions.
• Impact of Full Implementation:
  • Capital ratios are expected to decrease for both groups.
  • RWA increases slightly.
  • Capital shortfalls are significantly reduced compared to previous years.
  • The LCR and NSFR are improving due to structural adjustments and rule changes.

Conclusion

The monitoring exercise highlights the impact of the full implementation of Basel III and CRD IV / CRR on EU banks. While Group 1 banks are more affected by the changes, both groups are showing convergence with regulatory requirements. The results are based on static data and do not account for future capital management actions, making them a snapshot of current conditions. The LCR and NSFR are improving, reflecting better liquidity management and stable funding practices.