EBA欧洲银行-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)

Core Content Overview

This report presents the results of the CRD IV - CRR / Basel III monitoring exercise as of 30 June 2016, based on data from 164 banks across 17 EU Member States and Norway. The findings are divided into three main areas: capital requirements and shortfalls, liquidity requirements and shortfalls, and general remarks. The report aims to assess the impact of the full implementation of the regulatory framework on banks' capital and liquidity ratios, and to highlight differences between banks based on their size and systemic importance.

Key Findings

Capital Requirements and Shortfalls

• Capital Ratios:

  • Under full implementation, Group 1 banks have a CET1 ratio of 12.7%, Tier 1 ratio of 13.4%, and total capital ratio of 16.3%.
  • Group 2 banks have a CET1 ratio of 13.2%, Tier 1 ratio of 13.5%, and total capital ratio of 15.2%.
  • Large banks have a CET1 ratio of 12.5%, Tier 1 ratio of 12.8%, and total capital ratio of 14.6%.
  • Medium-sized banks have a CET1 ratio of 14.9%, Tier 1 ratio of 15.1%, and total capital ratio of 16.6%.
  • Small banks have a CET1 ratio of 14.6%, Tier 1 ratio of 14.8%, and total capital ratio of 16.4%.
  • Overall, the CET1 ratio is 12.8%, Tier 1 ratio is 13.5%, and total capital ratio is 16.1%.

• Leverage Ratio (LR):

  • Group 1 banks have an average LR of 4.6%, while Group 2 banks have an average LR of 5.2%.
  • The LR is used as a backstop to prevent excessive leverage and is a non-risk-based capital requirement.

• Capital Shortfall:

  • The capital shortfall under full implementation is relatively small, with only a minor fraction of the amounts observed in mid-2011.
  • The overall capital shortfall is estimated at EUR 2.5 billion.
  • The difference between current and full implementation capital ratios is shrinking, but the trend has slowed recently.

Liquidity Requirements and Shortfalls

• Liquidity Coverage Ratio (LCR):

  • Group 1 banks have an average LCR of 127.7%, and Group 2 banks have an average LCR of 165.5%.
  • 95.4% of banks meet the 100% LCR threshold, and 98.5% meet the 70% minimum requirement from January 2016.
  • The overall LCR shortfall is EUR 2.5 billion.

• Net Stable Funding Ratio (NSFR):

  • Group 1 banks have an average NSFR of 106.3%, and Group 2 banks have an average NSFR of 113.9%.
  • 80.6% of participating banks already meet the 100% NSFR requirement.
  • The NSFR has been increasing since June 2011, reaching above 100% in June 2012, but the rate of increase has slowed in recent periods.
  • The overall NSFR shortfall is EUR 158.7 billion.

General Remarks

• Sample Composition:

  • The sample includes 44 Group 1 banks and 120 Group 2 banks.
  • Group 1 banks are those with Tier 1 capital exceeding EUR 3 billion and are internationally active.
  • Group 2 banks are all other banks, and they are further classified into large, medium, and small based on Tier 1 capital.
  • Coverage of Group 1 banks is high in many EU countries, with 94.1% aggregate coverage of RWA.
  • Coverage of Group 2 banks is lower, at 29.3% aggregate coverage of RWA.

• Methodology:

  • A composite bank weighting scheme is used to calculate average ratios, which makes the results more representative of the European banking sector.
  • Box plots are used to illustrate the distribution of results, with key features including:
    • Thick red line: Minimum requirement
    • Dashed lines: Minimum requirement plus capital conservation buffer
    • Thin red line: Median value
    • Blue box: 25th and 75th percentiles
    • Black whiskers: 5th and 95th percentiles
  • The analysis is based on a static balance sheet, excluding planned but unimplemented capital measures.

• Data Quality:

  • Banks submitted comprehensive and detailed confidential data.
  • Supervisors worked closely with banks to ensure data quality, completeness, and consistency.
  • Data quality has improved significantly since the start of the monitoring exercise.

Main Implications

• The current implementation of the CRD IV-CRR framework is less constraining than full implementation for most banks, particularly for Group 2 banks.
• The LR is a significant backstop against low risk-adjusted capital levels and excessive leverage.
• The LCR and NSFR are generally met by most banks, with only minor shortfalls.
• The capital ratios have been increasing over time, and the trend of convergence to Basel III standards is ongoing, albeit slowing.

Summary of Key Metrics

Key Trends

• CET1 Ratio: Increased from ~10% in mid-2011 to ~13% in June 2016 for Group 1 banks, and from ~13.7% to ~13.4% for Group 2 banks.
• LR: Under full implementation, the LR decreases slightly for all groups, with the most significant drop in Group 2 banks.
• LCR: Continuously increasing since mid-2011, with a 95.4% of banks meeting the 100% threshold.
• NSFR: Has been increasing since June 2011, but the rate of increase has slowed recently.

Conclusion

The report highlights that European banks are generally compliant with the current regulatory capital and liquidity requirements. While there are minor capital shortfalls, the overall trend shows that banks are adapting to the Basel III framework. The analysis indicates that the full implementation of CRD IV-CRR will have a moderate impact on capital ratios, and that the LR serves as an important backstop to prevent excessive leverage. The use of a composite weighting scheme and box plots ensures a more accurate and representative analysis of the banking sector.