2012年-IMF国际货币组织全球_Bank_Capital_Adequacy_in_Australia_20页_1mb

Summary of "Bank Capital Adequacy in Australia" by Byung Kyoon Jang and Niamh Sheridan

Core Content

This IMF Working Paper analyzes the capital adequacy of Australian banks in the context of Basel II and Basel III regulations, focusing on their resilience to financial shocks, particularly those related to residential mortgage lending.

Main Points

1. Resilience of the Australian Banking System

• The Australian banking system showed resilience during the global financial crisis (GFC) due to intensive supervision and sound regulation.
• The system is dominated by four major Australian-owned banks, which collectively hold about 75% of total banking sector assets and 80% of the residential mortgage market.
• These banks are profitable with capital above regulatory minimums and have strong capital quality, primarily composed of common equity.

2. Capital Ratios and Basel II Implementation

• Australian banks' headline capital ratios are below the global average for large banks, but their conservative approach in implementing Basel II implies that these ratios underestimate their true capital strength.
• APRA has adopted more stringent rules, such as a 20% loss given default (LGD) floor for residential mortgages, higher risk weights for certain mortgage types, and a more conservative capital eligibility framework.
• This conservative approach leads to higher risk-weighted assets (RWA) and lower headline capital ratios compared to other countries, even when holding similar levels of capital.

3. Capital Adequacy and International Comparison

• Capital adequacy ratios for Australian banks are compared with those of Canadian banks, highlighting the impact of APRA's conservative approach.
• If LGD rates were reduced to the Basel II floor (10%), the Tier 1 and total capital ratios of Australian banks would increase by about 100 basis points.
• Even with Canadian-style LGD assumptions (13.9%), the capital ratios would still increase by about 60 basis points.

4. Vulnerability to Residential Mortgage Shocks

• While Australian banks are resilient to shocks in residential mortgage exposure, as shown by stress tests calibrated on the Irish crisis, combining these shocks with corporate losses from the GFC could bring their capital ratios below regulatory minimums.
• The probability of default (PD) on residential mortgages in Australia is about 2.5 times higher than in Canada, and the risk weights are significantly higher.

5. Basel III and Liquidity Standards

• Basel III requires higher quality and more capital, which Australian banks are well-positioned to meet given their current capital structure.
• Australian banks have improved their funding profiles since the GFC, increasing retail deposits and long-term wholesale funding, and reducing reliance on short-term offshore debt.
• The NSFR (Net Stable Funding Ratio) has improved for three of the four major banks, although it is not yet published by banks and needs cautious interpretation.
• A committed secured liquidity facility with the RBA is proposed to meet the LCR (Liquidity Coverage Ratio) requirements, which aim to ensure banks have sufficient high-quality liquid assets.

Key Information

• Regulatory Framework: APRA's implementation of Basel II is more conservative than the framework itself, leading to higher RWA and lower headline capital ratios.
• Capital Quality: Australian banks have high-quality capital, mainly common equity, which helps in meeting Basel III requirements.
• Risk Exposure: Banks have significant exposure to residential mortgages (56% of total loans), but high-risk mortgages are limited.
• Stress Testing: Stress tests based on the Irish crisis show that Australian banks can withstand mortgage shocks, but combined with corporate losses, they may face capital shortfalls.
• Funding Profile: Australian banks have reduced their reliance on short-term offshore funding, improving their liquidity resilience.
• Liquidity Standards: The LCR and NSFR are key components of Basel III, and Australian banks are working to meet these standards through improved funding and new facilities.

Conclusion

• Despite their strong capital positions and conservative risk management practices, Australian banks' headline capital ratios may not fully reflect their capital strength due to regulatory differences.
• Given the high concentration of the banking sector and potential systemic risks, the merits of higher capital requirements for systemically important domestic banks should be considered in light of evolving international standards.