2015年-FSB全球金融稳定委员会_TLAC_Quantitative_Impact_Study_Report_53页_1mb

TLAC Quantitative Impact Study Report Summary (November 2015)

Core Content

The Basel Committee on Banking Supervision conducted a TLAC Quantitative Impact Study (QIS) in 2015 to assess the impact of Total Loss-Absorbing Capacity (TLAC) requirements on Global Systemically Important Banks (G-SIBs) and other banks. The study was part of the Basel III monitoring exercise and aimed to inform the final calibration of the TLAC standard, which was published in 2014 by the Financial Stability Board (FSB) in consultation with the Basel Committee.

The report presents findings based on data from 30 G-SIBs and 134 non-G-SIBs (including 54 Group 1 and 80 Group 2 banks), using end-2014 reporting data. Regulatory capital instruments are reported on a Basel III fully loaded basis. The results consider four different cases to evaluate the impact of various TLAC eligibility criteria and exemptions.

Main Points

1. TLAC Requirements and Calibration

• The consultative document from November 2014 proposed a minimum external TLAC requirement of 16–20% of RWAs.
• It also required that TLAC be at least twice the capital needed to meet the Basel III leverage ratio (3%), i.e., 6%.
• The final TLAC standard (effective from 1 January 2022) applies a 16% RWA or 6.75% leverage requirement.
• The QIS tested four scenarios to evaluate the impact of different TLAC eligibility rules and exemptions.

2. External TLAC Analysis

• External TLAC ratios for G-SIBs (excluding emerging market G-SIBs) are:

  • Case 1: 14.1% of RWAs
  • Case 2: 13.9% of RWAs
  • Case 3: 18.6% of RWAs
  • Case 4: 24.3% of RWAs

• Shortfalls under different calibrations:

  • 16% RWA or 2×3% leverage: €498 billion (Case 1), €520 billion (Case 2), €260 billion (Case 3), €42 billion (Case 4)
  • 18% RWA or 6.75% leverage: €755 billion (Case 1), €776 billion (Case 2), €422 billion (Case 3), €107 billion (Case 4)
  • 20% RWA or 2×3% leverage: €949 billion (Case 1), €966 billion (Case 2), €588 billion (Case 3), €227 billion (Case 4)

• Impact of 2.5% exemptions:

  • These exemptions increase TLAC ratios and reduce shortfalls for some G-SIBs.
  • They may reduce shortfalls by up to €137 billion in Cases 1 and 2.
  • Cases 3 and 4 do not apply the subordination requirements, so the impact of the exemption is not relevant.

• Maturity analysis:

  • G-SIBs with shortfalls in Case 1 may meet their TLAC requirements by replacing near-TLAC liabilities with eligible TLAC instruments, especially if they mature within the next five years.
  • The 33% debt expectation in the term sheet implies that at least 5.28% of RWAs should be in the form of debt instruments.
  • Only 5 out of 30 G-SIBs currently meet this expectation under Case 1.

3. Internal TLAC Analysis

• Internal TLAC requirements for material subsidiaries are 75% to 90% of the external TLAC minimums.

• Internal TLAC ratios (weighted average):

  • Case 1: 17.5%
  • Case 3: 27.2%
  • Case 4: 47.9%

• Internal TLAC shortfalls:

  • 75% of 16% RWA requirement: €7 billion (Case 1), €6 billion (Case 3), €0 billion (Case 4)
  • 90% of 20% RWA requirement: €54 billion (Case 1), €31 billion (Case 3), €2 billion (Case 4)
  • 75% of 2×3% leverage requirement: €6 billion (Case 1), €3 billion (Case 3), €0 billion (Case 4)
  • 90% of 2×3% leverage requirement: €19 billion (Case 1), €9 billion (Case 3), €2 billion (Case 4)

• Material subsidiaries:

  • 30 G-SIBs reported a range of material subsidiaries from 0 to 8.
  • 8 G-SIBs reported no material subsidiaries.
  • Some subsidiaries were excluded due to not meeting the quantitative thresholds or not being identified as material by the CMG.

4. Holdings of TLAC Instruments

• Holdings of TLAC by G-SIBs and non-G-SIBs are generally not significant.
• Cross-holdings among G-SIBs range from €0.2 billion to €31 billion under Case 4.
• Non-G-SIB holdings range from €0 to €40 billion.
• The threshold deduction from Tier 2 capital is applied to TLAC holdings, but the impact is small on average for most banks.

5. Methodology and Data Quality

• The QIS involved four cases:
  • Case 1: Term sheet criteria (including subordination)
  • Case 2: Term sheet criteria plus additional Tier 2 requirements
  • Case 3: Term sheet criteria without subordination
  • Case 4: Broadest definition (all unsecured liabilities except certain classes)
• Data quality was ensured through collaboration between banks and national supervisors.
• Only banks with sufficient data were included in the analyses.

6. Conclusion

• The TLAC requirements are not currently met by most G-SIBs, especially under the 16% RWA threshold.
• Exemptions and market absorption capacities may help reduce shortfalls.
• Internal TLAC is generally higher than external TLAC, with most material subsidiaries meeting the lower thresholds.
• The study highlights the need for further action to meet the final TLAC standard and improve capital structures.