EBA欧洲银行-Basel-III-monitoring-exercise_46页_1mb

Basel III Monitoring Exercise — Results Based on Data as of 31 December 2018

Core Content

This report evaluates the impact of the full implementation of the final Basel III reforms on EU banks, based on data as of December 2018. It compares the current implementation of the Basel standards (CRR/CRD IV) with the full Basel III framework (2027), focusing on changes in Tier 1 Minimum Required Capital (T1 MRC), capital ratios, and capital shortfalls. The analysis also includes the impact of the FRTB (Fundamental Review of the Trading Book), CVA (Credit Valuation Adjustment), and the revised leverage ratio (LR) framework.

Main Points

Capital Impact

• Total T1 MRC change: The weighted average change in total T1 MRC across all 113 banks is 19.3%, with 20.7% for Group 1 banks (large, internationally active banks) and 10.5% for Group 2 banks (other banks).
• Key drivers:
  • Output floor contributes 5.4% to the total impact.
  • Credit risk contributes 4.7%.
  • For Group 1 banks, the output floor and operational risk are the main contributors (5.5% and 5.2% respectively).
  • For G-SILs (Global Systemically Important Institutions), the output floor and credit risk contribute 6.0% and 5.7% respectively.
• Leverage ratio impact: The leverage ratio requirement reduces the overall impact by -1.1%, as some banks are less constrained under the revised framework. However, this offset is overestimated due to the exclusion of Pillar 2 and countercyclical buffers.

Capital Shortfalls

• The total capital shortfall due to Basel III implementation is EUR 9.0 billion, with EUR 6.3 billion for G-SILs.
• The risk-based capital shortfall is EUR 24.1 billion, while the additional Tier 1 shortfall due to the revised LR framework is EUR 0.7 billion.
• For Group 1 banks, the capital shortfall is EUR 7.0 billion, and for G-SILs, it is EUR 6.3 billion.

Capital Ratios

• Under the full Basel III implementation, the CET1, Tier 1, and total capital ratios decline by 260, 280, and 320 basis points, respectively.
• The leverage ratio declines slightly from 5.2% to 5.0% for the overall sample.
• The decline in capital ratios is more pronounced for Group 2 banks than for Group 1 banks.

Net Stable Funding Ratio (NSFR)

• In December 2018, EU banks required EUR 14.2 billion in additional stable funding to meet the 100% NSFR requirement.
• The NSFR shortfall has decreased significantly over time, from EUR 1190 billion in June 2011 to EUR 2.4 billion in December 2018 for Group 1 banks, and from EUR 158 billion to EUR 0 billion for Group 2 banks.

Key Risk Categories

• Credit risk: The impact is split between the Standardised Approach (SA) and the Internal Ratings-Based (IRB) approach. Group 1 banks show a 1.7% and 1.5% change for SA and IRB, respectively, while Group 2 banks show 3.6% and 4.0%.
• Market risk: The impact is attributed to the FRTB and the Internal Model Approach (IMA). Group 1 banks show a 2.1% change, while Group 2 banks show 0.3%.
• CVA: The removal of CVA exemptions under Article 382 of the CRR leads to an impact of 4.0% for Group 1 and 2.1% for Group 2.
• Operational risk: The new standardised measurement approach leads to a 4.7% impact overall, with 5.2% for Group 1 and 1.6% for Group 2.
• Output floor: This introduces an additional 5.4% impact on the overall T1 MRC.
• Revised LR: The impact is -1.1% overall, and -5.6% for Group 2 banks, reflecting the reduced constraint on the leverage ratio under the new framework.

Methodology

• The analysis focuses on Pillar 1 T1 MRC, which includes both risk-based and leverage ratio requirements.
• The impact is calculated as the ratio of the difference between Basel III and CRR/CRD IV T1 MRC to the CRR/CRD IV T1 MRC.
• The methodology assumes a static balance sheet and does not consider future adjustments.
• The report uses a constant sample of 85 banks for time series analysis, while the point-in-time analysis includes 113 banks.
• The results are weighted averages, unless otherwise specified.

Summary of Key Tables

Conclusion

The Basel III reforms significantly increase the T1 MRC requirements for EU banks, with the largest impacts observed for G-SILs and Group 1 banks. The implementation of the output floor and credit risk reforms are the primary contributors to the increase, while the revised leverage ratio framework reduces the overall impact. The NSFR has also seen marked improvements in compliance over time, with a significant reduction in the shortfall of stable funding.