2015年-EBA欧洲银行管理局_CRD_IV__CRR_Basel_III_monitoring_exercise_report_37页_681kb

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 new regulatory framework on EU banks as of 31 December 2014. The analysis covers 364 banks, including 53 Group 1 and 311 Group 2 banks, representing 14 and 22 EU countries respectively. The report assesses the effect of full implementation of the CRD IV-CRR and Basel III on regulatory capital ratios and liquidity standards, based on data submitted voluntarily and confidentially by banks.

Main Points

Capital Ratios

• CRD IV-CRR Full Implementation: The report assumes full implementation of the CRD IV-CRR framework without transitional arrangements.
• Group 1 Banks:
  • Average CET1 capital ratio decreases from 12.2% (current rules) to 11.4% (full implementation), a drop of 0.8 percentage points.
  • Tier 1 capital ratio drops from 13.5% to 11.9% (1.6 percentage points).
  • Total capital ratio drops from 16.3% to 14.2% (2.1 percentage points).
  • Group 1 banks have no CET1 capital shortfall with respect to the 4.5% minimum requirement but a shortfall of EUR 1.5 billion against the 7.0% target level (plus surcharge for G-SIBs).
• Group 2 Banks:
  • Average CET1 capital ratio decreases from 13.2% (current rules) to 12.4% (full implementation), a drop of 5.2 percentage points.
  • Tier 1 and total capital ratios also decrease, from 13.7% to 12.7% and from 15.7% to 14.5%, respectively.
  • Capital shortfalls for Group 2 banks are EUR 2.4 billion against the 7.0% target level.
• Overall Shortfall:
  • Capital shortfalls for minimum ratios (including capital conservation buffer and G-SIB surcharge) amount to EUR 4.5 billion for Tier 1 capital and EUR 18.9 billion for total capital.

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%, while Group 2 banks have an average LR of 5.0%.
• As of 31 December 2014, approximately 90% of both groups meet the preliminary target LR requirement of 3.0%.
• Capital shortfalls for LR are EUR 1.1 billion for Group 1 and EUR 6.1 billion for Group 2.

Liquidity Standards

• Liquidity Coverage Ratio (LCR):
  • Group 1 banks have an average LCR of 123.7%, and Group 2 banks have an average LCR of 149.6%.
  • 72% of banks have an LCR above 100%, and 87% have an LCR above the 60% minimum requirement for 2015.
  • Overall LCR shortfall is EUR 65.6 billion.
  • LCR for Group 2 banks decreased slightly compared to the previous reference date, mainly due to a reduction in Level 1 assets.
• Net Stable Funding Ratio (NSFR):
  • Group 1 and Group 2 banks have an average NSFR of 102% and 109%, respectively.
  • Overall shortfall in stable funding is EUR 523 billion.
  • 60% of Group 1 banks and 74% of Group 2 banks meet the minimum NSFR requirement of 100%.
  • NSFR has been increasing continuously, mainly due to an increase in available stable funding (ASF).

Key Information

• Transitional Arrangements: These have a significant impact on capital ratios, with Group 1 and Group 2 banks showing different levels of adjustment.
• Data Quality: Banks provided detailed and confidential data, with some improvements in data quality for derivative exposures.
• Methodology:
  • The report uses a composite bank approach to calculate averages.
  • Box plots are used to illustrate the distribution of capital ratios and LR.
  • The analysis is based on a static balance sheet and does not consider planned future actions.
• Sample Breakdown:
  • Group 1 banks are defined as those with Tier 1 capital exceeding EUR 3 billion and being internationally active.
  • Group 2 banks include all other banks, further divided into large, medium, and small based on Tier 1 capital size.
• Implementation Timeline:
  • LCR is expected to be fully implemented by 2018, with a minimum requirement of 100%.
  • NSFR is scheduled for implementation in 2018, with a minimum requirement of 100%.

Conclusion

The report highlights that the impact of the CRD IV-CRR and Basel III frameworks on EU banks is significant, with capital ratios and liquidity positions showing measurable changes. While most banks are compliant with the minimum requirements, there are still shortfalls against the target levels. The data suggests that banks are proactively adjusting their capital structures in anticipation of full implementation. The analysis also indicates that the LCR and NSFR are improving over time, driven by structural adjustments and increased ASF. The EBA plans to publish a more detailed NSFR impact assessment in 2015.