2014年-EBA欧洲银行管理局_ISG-Basel-III-monitoring-exercise---Public-Report--Final-_28页_352kb

Basel III Monitoring Exercise Summary (30 June 2012)

Core Content

This report presents the results of the Basel III monitoring exercise based on data as of 30 June 2012, focusing on the impact of the new regulatory framework on capital ratios, capital composition, and liquidity standards. The exercise was conducted by the Basel Committee and the European Banking Authority (EBA) using voluntary and confidential data from European banks.

Key Findings

Capital Ratios and Shortfalls

• Group 1 banks (those with Tier 1 capital over €3 billion and internationally active) show a significant decline in CET1 ratios under Basel III:

  • CET1 ratio drops from 11.1% to 7.8% (a decline of 3.3 percentage points).
  • Tier 1 capital ratio declines from 12.6% to 7.9%.
  • Total capital ratio declines from 14.7% to 8.8%.
  • Capital shortfalls at the 4.5% minimum level are €3.7 billion, and at the 7.0% target level (including capital conservation buffer) are €112.4 billion.
  • The average CET1 ratio increased by 0.9 percentage points compared to the previous period (Dec 2011).

• Group 2 banks (less internationally active) also show a decline in CET1 ratios:

  • CET1 ratio drops from 11.5% to 8.0% (a decline of 3.5 percentage points).
  • Tier 1 and total capital ratios decline from 12.2% to 8.7% and from 15.0% to 10.3%, respectively.
  • Capital shortfalls at the 4.5% minimum level are €5.3 billion, and at the 7.0% target level are €17.9 billion.
  • The average CET1 ratio increased by 0.7 percentage points compared to the previous period.

Main Drivers of Capital Ratio Changes

• For Group 1 banks, the decline in CET1 is driven equally by:
  • A new definition of capital (CET1 decline: 18.6%).
  • An increase in RWA (risk-weighted assets) by 16.1%.
• For Group 2 banks, the decline in CET1 is more pronounced due to capital definition changes (22.9%) but the RWA increase is smaller (+10.5%), reflecting less exposure to counterparty credit risk.

Capital Conservation Buffer and Surcharges

• The capital conservation buffer is included in the target capital levels.
• Capital shortfalls for Group 1 banks at the 7.0% target level (including buffer) amount to €224 billion for Tier 1 and €348 billion for total capital.
• The capital shortfall estimates include surcharges for G-SIBs (global systemically important banks).

Leverage Ratio

• Group 1 banks have an average Basel III leverage ratio of 3.0%.
• Group 2 banks have an average leverage ratio of 3.6%.
• 56% of Group 1 and 76% of Group 2 banks would meet the 3% target level.
• If the current leverage ratio were already in place, Group 1 and Group 2 banks would have had 4.2% and 4.5% respectively.
• The increase in leverage ratios compared to the previous period is +0.1% for Group 1 and +0.3% for Group 2, attributed to the rise in total exposures despite a decline in RWA.

Liquidity Standards

• The Liquidity Coverage Ratio (LCR) is expected to be introduced in 2015 and will rise from 60% to 100% by 2019.
• Due to the static balance sheet assumption and lack of forward-looking data, precise LCR results could not be calculated for June 2012.
• Net Stable Funding Ratio (NSFR) is currently under observation and will be implemented in 2018.
• Group 1 banks report an average NSFR of 94%, and Group 2 banks 99%.
• To meet the 100% minimum NSFR, banks would need €1.2 trillion in additional stable funding.

Methodology and Data Quality

• The monitoring exercise assumes full implementation of Basel III, excluding transitional arrangements.
• Group 1 banks are fully covered in many jurisdictions (94% aggregate coverage in terms of Basel II RWA), while Group 2 banks have lower coverage (27% aggregate).
• Data quality has improved over time, but differences in interpretation of rules still exist, particularly in the identification of operational wholesale deposits and liquid assets.
• Box plots are used to illustrate the distribution of results, showing minimum requirements, median, mean, and percentiles.

Conclusion

• The Basel III framework significantly impacts regulatory capital ratios, with both Group 1 and Group 2 banks experiencing declines in CET1, Tier 1, and total capital ratios.
• The impact is more pronounced for Group 1 banks due to their higher exposure to counterparty credit risk.
• The monitoring results reflect static balance sheet positions, not future profitability or management actions.
• The actual capital and liquidity shortfalls upon full implementation will differ due to the sector's adaptation to the new requirements.