EBA欧洲银行-CRDIV-CRR-Basel-III-Monitoring-Exercise-Report-1309_42页_1mb

CRD IV – CRR / Basel III Monitoring Exercise – Results Based on Data as of 31 December 2015

Core Content Overview

This document provides the results of the 10th monitoring exercise conducted by the European Banking Authority (EBA) under the CRD IV – CRR framework, based on data as of 31 December 2015. It evaluates the impact of Basel III on European banks in terms of regulatory capital ratios and liquidity requirements, with a focus on the difference between current implementation and full implementation of the regulations.

Main Objectives

• To assess the impact of Basel III on the capital and liquidity positions of European banks.
• To monitor the convergence of banks with regulatory requirements.
• To evaluate the capital shortfall and liquidity adequacy under the full implementation of Basel III.

Key Findings

Capital Ratios

• Group 1 banks (with Tier 1 capital in excess of EUR 3 billion and internationally active):

  • CET1 ratio: 12.4%
  • Tier 1 ratio: 13.1%
  • Total capital ratio: 15.9%
  • Leverage ratio: 4.7%

• Group 2 banks (all other banks):

  • CET1 ratio: 13.6%
  • Tier 1 ratio: 13.9%
  • Total capital ratio: 15.5%
  • Leverage ratio: 5.6%

• Overall (including all 227 banks):

  • CET1 ratio: 12.7%
  • Tier 1 ratio: 13.3%
  • Total capital ratio: 15.8%
  • Leverage ratio: 4.9%

• Capital ratios have improved significantly since the start of the monitoring period in mid-2011.

• The difference between current and full implementation capital ratios is narrowing.

• Group 2 banks show higher capitalisation than Group 1 banks, with a smaller gap between current and full implementation requirements.

Capital Shortfall

• Under full implementation, the estimated capital shortfall is:
  • EUR 10.8 billion for LCR (Liquidity Coverage Ratio)
  • EUR 240 billion for NSFR (Net Stable Funding Ratio)
• These shortfalls are minor compared to the initial levels observed at the start of the monitoring period.

Impact of Phase-In Arrangements

• The current implementation of Basel III is less stringent than full implementation due to transitional arrangements.
• These arrangements have a significant impact on capital ratios and the estimated capital shortfall.
• The capital shortfall under current rules is much lower than under full implementation, indicating that banks have already taken steps to meet future requirements.

Composition of Capital and RWA

• The composition of capital and risk-weighted assets (RWA) has evolved over time, with an increase in CET1 capital and a decrease in RWA.
• The leverage ratio is a key constraint, particularly for Group 1 banks, which are more affected than Group 2 banks.
• The capital structure and RWA composition vary by bank size and group.

Liquidity Ratios

• LCR (Liquidity Coverage Ratio):
  • Group 1: 126.8%
  • Group 2: 169.3%
  • Overall: 133.7%
  • LCR shortfall: EUR 10.8 billion
  • 91% of banks meet the LCR threshold of 100%, and 98% meet the 70% minimum requirement (as of January 2016).
• NSFR (Net Stable Funding Ratio):
  • Group 1: 105.5%
  • Group 2: 112.7%
  • Overall: 107.0%
  • NSFR shortfall: EUR 240 billion
  • 79% of banks meet the minimum NSFR requirement of 100%.
  • The NSFR has been increasing over time, mainly due to the increase in available stable funding (ASF).

Data and Methodology

• The analysis is based on 227 banks from 18 EU Member States and one EEA country.
• The sample includes 45 Group 1 banks and 182 Group 2 banks.
• G-SILs and O-SILs (Global and Other Systemically Important Institutions) are monitored separately.
• The composite bank weighting scheme is used to calculate average capital and liquidity ratios, ensuring that the results are representative of the European banking sector.
• Box plots are used to illustrate the distribution of results, highlighting the minimum requirement, median, mean, and percentiles.
• The data quality is high, with banks submitting detailed, confidential data. Supervisors have ensured consistency and completeness in reporting.

Interpretation of Results

• The results assume full implementation of Basel III, which is more stringent than the current implementation.
• The current implementation includes transitional arrangements, which result in higher capital ratios than those under full implementation.
• The leverage ratio is a critical constraint, particularly for Group 1 banks, which are more affected by the phase-in of deductions and the phasing out of non-qualifying capital instruments.
• The capital conservation buffer and systemic risk buffers are not included in the analysis, as they are not part of the current regulatory framework.
• The monitoring exercise assumes a static balance sheet, focusing on actual capital holdings rather than future projections or planned actions.

Conclusion

European banks have shown significant improvement in their capital and liquidity positions since the implementation of Basel III. The impact of full implementation on capital ratios is less pronounced than previously expected, and the capital shortfall remains relatively small. The leverage ratio serves as an important backstop to ensure financial stability, particularly for larger institutions. The monitoring results reflect the current state of implementation and do not include future assumptions, providing a clear picture of banks' actual capital and liquidity standing.