2017年-EBA欧洲银行管理局_CRDIV_CRR-Basel_III_Monitoring_Exercise_Report_June_2016_37页_1mb

CRD IV - CRR / Basel III Monitoring Exercise Results (as of 30 June 2016)

Overview

This report presents the results of the CRD IV-CRR/Basel III monitoring exercise, based on data from 30 June 2016, focusing on the impact of the regulatory framework on capital ratios and liquidity requirements. It includes data from 164 banks across 17 EU Member States and Norway, divided into Group 1 and Group 2 banks. Group 1 banks are defined as those with Tier 1 capital exceeding EUR 3 billion, while Group 2 includes all other banks. The report also includes a joint sample of global and other systemically important institutions (G-SILs/O-SILs).

Key Findings

Capital Ratios

• Full Implementation Requirements:

  • CET1 ratio: 7% (minimum + 2.5% conservation buffer)
  • Tier 1 ratio: 8.5% (including CET1 conservation buffer)
  • Total capital ratio: 10.5% (including CET1 conservation buffer)

• Current Capital Ratios (as of 30 June 2016):

  • Group 1: CET1 = 12.7%, Tier 1 = 13.4%, Total capital = 16.3%
  • Group 2: CET1 = 13.2%, Tier 1 = 13.5%, Total capital = 15.2%
  • Large banks: CET1 = 12.5%, Tier 1 = 12.8%, Total capital = 14.6%
  • Medium banks: CET1 = 14.9%, Tier 1 = 15.1%, Total capital = 16.6%
  • Small banks: CET1 = 14.6%, Tier 1 = 14.8%, Total capital = 16.4%
  • Total: CET1 = 12.8%, Tier 1 = 13.5%, Total capital = 16.1%
  • G-SILs/O-SILs: CET1 = 12.6%, Tier 1 = 13.4%, Total capital = 16.1%

• Capital Shortfall:

  • Under full implementation, the capital shortfall is relatively small, with only a minor fraction of the initial shortfall observed in mid-2011.
  • The overall capital shortfall is EUR 2.5 billion.

Liquidity Ratios

• LCR (Liquidity Coverage Ratio):

  • Minimum requirement: 60% from 1 October 2015, increasing to 100% by January 2018.
  • Group 1: 127.7%
  • Group 2: 165.5%
  • Total: 133.7%
  • Over 95% of banks meet or exceed the 100% LCR threshold, and 98.5% exceed the 70% minimum requirement from January 2016.
  • Overall LCR shortfall: EUR 2.5 billion.

• NSFR (Net Stable Funding Ratio):

  • Minimum requirement: 100% (to be introduced in January 2018).
  • Group 1: 106.3%
  • Group 2: 113.9%
  • Total: 107.8%
  • Over 80% of banks already meet the 100% NSFR requirement.
  • NSFR shortfall: EUR 158.7 billion.

Trend Analysis

• CET1 Ratio Evolution:

  • Group 1 banks increased from ~10% to 13.0% between mid-2011 and June 2016.
  • The growth rate has slowed in recent periods.
  • Group 2 banks showed a similar upward trend, increasing from ~10% to 13.4% since June 2011.

• LCR Evolution:

  • LCR has been increasing over time, driven by structural adjustments (increase in HQLA and decrease in net outflows) and the recalibration of the LCR framework.
  • The LCR shortfall has decreased significantly.

• Data Quality:

  • Banks provided comprehensive, confidential data.
  • Supervisors ensured data quality and consistency with reporting instructions.
  • Data quality has improved since the start of the monitoring exercise.

Methodology

• The analysis assumes full implementation of the CRD IV-CRR/Basel III framework, excluding transitional arrangements.
• A composite bank weighting scheme was used, where averages are weighted by RWA.
• Box plots were used to illustrate the distribution of results, highlighting median, mean, and percentiles while preserving data confidentiality.
• The report does not consider future capital increases or RWA reductions that have not yet been implemented.

Conclusion

European banks, on average, are largely compliant with the regulatory capital requirements under the full implementation of CRD IV-CRR/Basel III. The capital ratios are well above the minimum thresholds, and the capital shortfall is minimal. The LCR and NSFR requirements are also largely met, with most banks exceeding the minimum thresholds. The impact of full implementation is smaller for Group 2 banks compared to Group 1, and the trend of increasing capital ratios has been consistent but has slowed in recent periods. The data used in the analysis are of high quality and represent a comprehensive sample of the European banking system.