2017年-EBA欧洲银行管理局_Ad_Hoc_Cumulative_Impact_Assessment_of_the_Basel_reform_package_28页_1mb

AD HOC CUMULATIVE IMPACT ASSESSMENT OF THE BASEL REFORM PACKAGE

Core Content

This report provides an ad hoc cumulative impact assessment of the Basel reform package on EU banks, based on data from December 2015. It evaluates the changes in minimum Tier 1 capital requirements (T1 MRC) and leverage ratio (LR) capital requirements, and how these interact with each other.

Main Findings

• Scope: The assessment includes revisions to credit risk (IRB and SA approaches), operational risk, and the leverage ratio framework, but excludes the securitisation framework and CVA risk framework due to lack of data.
• Data and Sampling:
  • 149 banks from 17 EEA countries were initially considered, but only 88 provided sufficient data for the cumulative analysis (36 Group 1 and 52 Group 2 banks).
  • Group 1 banks are large and internationally active, while Group 2 banks are smaller or less internationally active.
• Impact on T1 MRC:
  • Overall, the total change in T1 MRC is 12.9% for all banks, 14.1% for Group 1, and 3.9% for Group 2.
  • The risk-based components (credit risk, operational risk, output floor) contribute to an increase of 14.5%, while the leverage ratio has a negative impact of -1.6%, reducing the overall increase.
  • The inclusion of the "Basel I floor" as an RWA add-on reduces the total impact to 11.4%.
• Breakdown of Impact:
  • Credit risk: A 6.0% increase for Group 1 banks, 2.7% for Group 2 banks.
  • Operational risk: A 2.7% increase for Group 1 banks, 0.8% for Group 2 banks.
  • Output floor: A 6.9% increase for Group 1 banks, 4.2% for Group 2 banks.
  • Leverage ratio: A -1.6% impact for all banks, with some variation across groups.
• Capital Shortfalls:
  • At the full implementation date (2027), the average CET1 capital ratio drops to 10.9% for all banks.
  • Capital shortfalls are calculated as the difference between the current capital levels (as of December 2015) and the fully implemented MRC, including the CCB and G-SII surcharge.
  • The overall capital shortfall is EUR 34.4 billion, with Group 1 banks facing a shortfall of EUR 32.0 billion and Group 2 banks EUR 2.4 billion.
• Methodology:
  • The analysis assumes full implementation of the Basel reforms based on a static balance sheet from December 2015.
  • It does not account for Pillar II requirements, O-SII capital requirements, or countercyclical capital buffers.
  • The "EU-composite" bank methodology is used to calculate average impacts by weighting EU averages according to the relevant impact factors.
• Assumptions and Adjustments:
  • The EBA made assumptions and methodological adjustments to align with the BCBS quantitative impact study.
  • For operational risk, the ILM was assumed to be 1.
  • The Basel I floor is treated as an RWA add-on in the revised framework, reducing the impact of the output floor.
  • Some reforms, such as the migration of A-IRB to F-IRB and changes to LGD, were not quantified due to data limitations.
• Visual Representation:
  • Box plots illustrate the distribution of changes across different bank categories, with median values and percentiles highlighted.
  • Figures and tables provide detailed breakdowns of the impact per component and per bank group.

Key Information

• Total T1 MRC Increase: 12.9% (all banks), 14.1% (Group 1), 3.9% (Group 2), 15.2% (G-SII).
• Risk-Based Components: Drive most of the increase, with 14.5% overall.
• Leverage Ratio Impact: Reduces the total impact by 1.6%.
• Capital Shortfalls (2027):
  • All banks: EUR 34.4 billion
  • Group 1: EUR 32.0 billion
  • G-SII: EUR 30.0 billion
  • Group 2: EUR 2.4 billion
• CET1 Capital Ratio:
  • Drops by 0.7 percentage points for Group 1 at the start of the phase-in period (2022), and by 1.4 percentage points at full implementation (2027).
  • Group 2 CET1 ratio increases by 0.2 percentage points in 2022, then decreases by 0.5 percentage points in 2027.
• Interaction of Components:
  • The revised risk-based requirements (without output floor) constrain 58.0% of all EU banks.
  • The new Basel III leverage ratio requirements constrain 21.6% of banks.
  • The output floor constraints 20.5% of banks.

Limitations

• The results may overestimate the actual impact due to the exclusion of capital increases between December 2015 and December 2017.
• Some reforms were not included due to lack of data or data granularity.
• The analysis does not consider Pillar II requirements, O-SII capital requirements, or countercyclical capital buffers.

Conclusion

The Basel reform package significantly increases the minimum Tier 1 capital requirements for EU banks, with the largest impact on Group 1 banks. The inclusion of the "Basel I floor" reduces the overall impact, while the leverage ratio has a mitigating effect. The capital shortfalls, however, remain substantial, indicating the need for further capital build-up. The EBA plans to update the assessment with more recent data and include remaining reforms.