EBA欧洲银行-CRD-IVCRR-Basel-III-monitoring-exercise-report_37页_684kb

Summary of CRD IV-CRR/Basel III Monitoring Exercise Report (31 December 2014)

Core Content

This report is the eighth publication of the CRD IV-CRR/Basel III monitoring exercise, summarising the impact of the regulatory framework on EU banks as of 31 December 2014. It provides insights into capital ratios, capital shortfalls, and liquidity metrics, based on data submitted by 364 banks (53 Group 1 and 311 Group 2), with high coverage for Group 1 banks (up to 100% in some countries) and lower coverage for Group 2 banks (35% overall).

Main Views and Key Information

Capital Ratios and Shortfall

• Assumptions: The report assumes full implementation of the CRD IV-CRR framework, excluding transitional arrangements.
• Group 1 Banks:
  • Average CET1 capital ratio decreases from 12.2% (current rules) to 11.4% (full implementation), a decline of 0.8 percentage points.
  • Tier 1 capital ratio drops from 13.5% to 11.9%, and total capital ratio decreases from 16.3% to 14.2%.
  • Capital shortfall for the 7.0% target level is EUR 1.5 billion (excluding G-SIB surcharge), while there is no shortfall for the 4.5% minimum requirement.
  • G-SIBs show an average CET1 ratio of 11.5% (current) and 11.0% (full), with a shortfall of EUR 2.6 billion at the 7.0% target level.
• Group 2 Banks:
  • Average CET1 ratio drops from 13.2% to 12.4%, a decrease of 5.2%.
  • Tier 1 and total capital ratios decrease from 13.7% to 12.7% and from 15.7% to 14.5%, respectively.
  • Capital shortfall at the 7.0% target level is EUR 2.4 billion.
  • Large Group 2 banks have a more significant impact on capital ratios, with CET1 decreasing by 7.7% and RWA increasing by 1.3%.

Drivers of Changes in Capital Ratios

• The main driver of changes in capital ratios is the transitional arrangements for the definition of capital and RWA.
• RWA increases slightly (0.1% for Group 1, 0.9% for Group 2), which can lead to a concurrent decrease in CET1 capital levels.
• The inclusion of new rules for counterparty credit risk in 2014 temporarily reduced capital ratios, but they rebounded in December 2014.

Leverage Ratio (LR)

• The Basel III LR framework was introduced in January 2014.
• Under full implementation, Group 1 banks have an average LR of 4.2%, and Group 2 banks have an average LR of 5.0%.
• 72% of banks meet the 3.0% LR requirement, and 87% meet the 60% minimum LCR requirement.
• Capital shortfall for the LR requirement is EUR 1.1 billion for Group 1 and EUR 6.1 billion for Group 2.

Liquidity Standards

• The Liquidity Coverage Ratio (LCR) is based on the Basel III framework, as the EU Delegated Act on LCR is not yet in place.

• The average LCR for Group 1 and Group 2 banks is 123.7% and 149.6%, respectively.

• The overall LCR shortfall is EUR 65.6 billion.

• LCR has increased over time due to higher HQLA and lower net outflows.

• Group 2 banks show a decrease in LCR compared to the previous reference date, mainly due to reduced Level 1 assets.

• Net Stable Funding Ratio (NSFR) is expected to be introduced in 2018.

• Group 1 and Group 2 banks have average NSFR of 102% and 109%, respectively.

• The overall stable funding shortfall is EUR 523 billion.

• 60% of Group 1 and 74% of Group 2 banks meet the 100% NSFR requirement.

• NSFR has increased continuously, driven by higher available stable funding (ASF).

Methodology and Data Quality

• Composite Bank Approach: Average capital ratios and LRs are calculated using a composite bank model, where totals are weighted by the sum of RWA and exposures.
• Box Plots: Used to illustrate the distribution of results, showing regulatory minimums, medians, and percentiles.
• Data Quality: Banks submitted detailed and comprehensive data on a voluntary basis. While some data quality issues exist (especially in derivative exposures), it has improved significantly since the start of the monitoring exercise.

Conclusions

• The report highlights the gradual convergence of EU banks towards Basel III and CRD IV-CRR requirements.
• Capital ratios have been decreasing due to the implementation of new rules, but banks are already adjusting to meet market expectations.
• Liquidity ratios have shown an upward trend, indicating improved preparedness for the Basel III framework.
• The EBA will publish an NSFR impact assessment report in 2015, providing more detailed insights.