EBA欧洲银行-Basel-III-Monitoring-Exercise-Report-data-as-of-30-June-2018_43页_1mb

Basel III Monitoring Exercise Summary - June 2018 Data

Core Content

This report provides an analysis of the impact of the final Basel III reforms on European banks, based on data as of 30 June 2018. It includes a detailed assessment of the changes in Tier 1 minimum required capital (T1 MRC), capital ratios, and capital shortfalls, as well as the effect of the output floor and revised leverage ratio (LR) framework. The findings are based on a sample of 123 banks, divided into Group 1 (large and internationally active banks) and Group 2 (other banks), with further breakdown by global systemically important institutions (G-SILs).

Main Findings

1. Overall Impact on Tier 1 MRC

• The weighted average increase in T1 MRC across all 123 banks is 19.1%.
• Group 1 banks (large and internationally active) experience a 20.3% increase.
• Group 2 banks (other banks) experience a 11.8% increase.
• The output floor and operational risk are the two major contributors to the increase in T1 MRC, accounting for 8.0% and 5.5% respectively across all banks.

2. Capital Shortfalls

• The total capital shortfall under the full implementation of Basel III is EUR 9 billion, with G-SILs accounting for EUR 6.9 billion.
• The risk-based capital shortfall is EUR 23.5 billion, while the additional LR-based Tier 1 shortfall is EUR 0.7 billion.
• The capital shortfall estimates understate the actual shortfalls, as they do not consider Pillar 2 capital or macroprudential buffers.

3. Capital Ratios

• CET1, Tier 1, and total capital ratios fall by 310, 330, and 400 basis points respectively for the entire sample.
• The leverage ratio remains stable at 5.0% for all banks.
• Group 2 banks experience a larger drop in risk-based capital ratios than Group 1 banks.

4. Key Drivers of Change

• The output floor and operational risk are the main drivers of MRC increases.
• Credit risk is the main driver for Group 2 banks, with a 8.1% increase.
• Market risk and CVA also contribute significantly, especially for Group 1 banks.
• G-SILs are more affected by the output floor (7.3%) and operational risk (7.4%).

5. Impact of Basel III Reforms

• The revisions to the credit risk frameworks (standardised approach and internal ratings-based approach) have a 2.2% and 2.0% impact on T1 MRC respectively.
• The FRTB and CVA reforms have a 4.7% and 4.9% impact on market risk and CVA capital requirements respectively.
• The new operational risk framework (standardised measurement approach) contributes 5.5% to the increase in T1 MRC.

6. Interaction with Leverage Ratio

• The leverage ratio becomes less constraining in the revised Basel III framework, reducing the impact on T1 MRC by 6.2% for all banks.
• For G-SILs, the offset is mild at -0.3%, due to the surcharge on G-SILs, which increases the MRC for the leverage ratio.

7. Net Stable Funding Ratio (NSFR)

• Banks in the sample require EUR 49.1 billion in additional stable funding to meet the 100% NSFR requirement.
• The shortfall in stable funding has decreased significantly from June 2011 to June 2018:
  • Group 1 banks: decreased by 99.8% (from EUR 1279 billion to EUR 2.7 billion).
  • Group 2 banks: decreased by 98% (from EUR 158 billion to EUR 2 billion).

Key Information

• The impact is separately attributed to the standardised approach (SA) and internal ratings-based (IRB) approach for credit risk.
• The output floor is applied at 72.5% of the standardised approach RWA.
• The revised leverage ratio includes a 50% surcharge on G-SILs.
• The capital shortfall is calculated based on the difference between the fully implemented MRC and the current capital held by banks.
• The results are based on a weighted average and do not include all possible scenarios or future measures.

Summary Table

Methodology

• The impact is measured in terms of changes in T1 MRC.
• The baseline for the impact estimation is the higher of the current risk-based and LR-based T1 MRC.
• The analysis includes the impact of credit risk, market risk, CVA, operational risk, output floor, and revised LR.
• The capital ratios are calculated using weighted averages, with the leverage ratio remaining at 5.0% for all banks.
• The sample includes 123 banks from 18 EEA countries, with 44 Group 1 and 79 Group 2 banks.