EBA欧洲银行-Slides-Public-Hearing-15-April-2016-LR-Report-28329_20页_1mb

报告摘要

EBA Draft Report on the Calibration of the Leverage Ratio under Article 511(3) CRR Summary

Core Content

This document outlines the European Banking Authority (EBA)'s preliminary analysis on the calibration of the Leverage Ratio (LR) under Article 511(3) of the Capital Requirements Regulation (CRR). The EBA is mandated to produce this report for the European Commission by July 2016, and the findings presented are preliminary and subject to change.

The LR is defined as the ratio of Tier 1 capital to total exposure, encompassing both on- and off-balance sheet positions. It was introduced by the Basel Committee on Banking Supervision (BCBS) in December 2010 as a backstop measure to complement risk-based capital requirements, aiming to prevent excessive leverage and reduce systemic risk.

Main Objectives and Key Questions

To assess whether the LR should migrate to Pillar 1 and, if so, determine the minimum LR level.
To evaluate the impact of LR requirements on the financial sector, including business models, liquidity, risk-taking, and market activities.
To provide insights into the robustness of institutions, the cyclicality of the capital measure, and the effectiveness of the LR.

Key Findings

1. Current Leverage Ratio Levels

The weighted average LR of the full sample (246 institutions from 20 countries) is 4.4%, with a median of 5.5%.
A 3% LR requirement would result in a Tier 1 capital shortfall of €6.4bn for the full sample.

2. Business Model Analysis

Different business models show varying levels of exposure to the risk of excessive leverage (R.E.L).
Cross-border universal banks and G-SII (Systemically Important Institutions) are more exposed to R.E.L.
Locally active savings and loan associations and cooperative banks are less exposed to R.E.L.
Private banks, custody banks, and merchant banks show neutral to moderate exposure.
Leasing and factoring banks and public development banks are less exposed in some dimensions, but more exposed in others.

3. Size and Systemic Relevance

Small institutions show less exposure to R.E.L.
Medium institutions are more exposed.
Large and very large institutions are more exposed, particularly those with complex business models.
G-SII institutions are more exposed to R.E.L across most dimensions.

4. Simulation Analysis

The baseline scenario (50% capital build-up and 50% exposure reduction) shows that a 3% LR requirement would result in a €54bn reduction in exposures (0.2% of aggregate exposure).
The extreme scenario (0% capital build-up) would lead to a €108bn reduction.
A 3% LR requirement is considered to have a relatively moderate impact on the overall financing capacity of credit institutions.

5. Empirical and Model-Based Analysis

A 3% LR level is consistent with the objective of a backstop measure.
A 3% LR requirement would increase capital requirements for around 33% of institutions compared to a risk-based Tier 1 capital requirement of 8.5%.
The LR is more sensitive to economic cycles than risk-based capital requirements, indicating a potential procyclical effect.
There is a moderate increase in risk-taking for institutions with LR below 3%, but increases in LR lead to higher robustness.

Key Information

The analysis is based on data from the EU Voluntary QIS exercise (June 2015) and CoRep reporting.
The methodology includes empirical, simulation, and benchmarking approaches.
The EBA is also assessing the impact of accounting differences and qualitative factors that may influence the appropriateness of LR requirements.
The BCBS Consultative Document (April 2016) is being closely monitored for potential revisions or refinements to the LR framework.

Next Steps

The final draft report will be presented to the EBA Governance Structures in May and June 2016.
The final report will be submitted to the European Commission by the end of July 2016.
The final report will be published on the EBA website.

Conclusion

The EBA's preliminary analysis suggests that a 3% LR requirement is generally consistent with the objective of a backstop measure. It is moderately impactful on the financing capacity of credit institutions and may be more procyclical than risk-based capital requirements. The analysis highlights the need for differentiated treatment based on business model and systemic relevance, but further qualitative and quantitative assessments are required before final recommendations can be made.