EBA欧洲银行-CRDIV-CRR-Basel-III-Monitoring-Exercise-Report_37页_913kb

CRD IV - CRR/Basel III Monitoring Exercise Summary (June 2015 to March 2016)

Core Content

This document presents the results of the ninth monitoring exercise on the implementation of the CRD IV – CRR/Basel III framework in the European Union, based on data as of 30 June 2015. It evaluates the capital and liquidity requirements and shortfalls across 297 participating banks in 21 EU Member States, divided into 49 Group 1 banks and 248 Group 2 banks.

Main Points

Capital Requirements and Shortfalls

• Overall Capital Improvement: European banks have shown further improvement in their capital positions, with capital ratios generally above regulatory minimums.
• Risk-Based Capital Ratios:
  • Group 1 banks: CET1 ratio = 11.6%, Tier 1 ratio = 12.2%, Total capital ratio = 14.8%
  • Group 2 banks: CET1 ratio = 12.5%, Tier 1 ratio = 12.9%, Total capital ratio = 14.5%
• Leverage Ratio:
  • Group 1 banks: 4.2%
  • Group 2 banks: 5.0%
• Capital Shortfalls:
  • The overall capital shortfall in relation to the 100% threshold is minimal, with only a small fraction of the total capital observed at the beginning of the monitoring period.
  • Group 1 banks are more constrained by the leverage ratio than Group 2 banks.
• Transitional Arrangements: The current implementation of the CRD IV – CRR framework includes transitional arrangements, which affect the capital ratios and result in lower values than what would be expected under full implementation.
• Data Quality: Banks submitted comprehensive, nonpublic data on a voluntary basis, and data quality has improved significantly since the start of the monitoring exercise.

Liquidity Requirements and Shortfalls

• LCR and NSFR Frameworks:
  • LCR: Minimum requirement of 60% (from 1 October 2015) increasing to 100% by January 2018.
  • NSFR: Expected to be introduced in January 2018 with a minimum requirement of 100%.
• LCR Results:
  • Group 1 banks: Average LCR = 121.2%
  • Group 2 banks: Average LCR = 156.7%
  • 79% of banks in the total sample have an LCR above 100%, and 91% have an LCR above the 70% minimum requirement of January 2016.
  • Overall LCR shortfall = EUR 32.6 billion.
• NSFR Results:
  • Group 1 banks: Average NSFR = 104%
  • Group 2 banks: Average NSFR = 111%
  • Overall shortfall in stable funding = EUR 341 billion.
  • 77% of participating banks already meet the 100% NSFR requirement.
• Liquidity Trends:
  • Both LCR and NSFR have shown an upward trend, driven by structural adjustments and the recalibration of the LCR framework.
  • The NSFR calculations are based on the revised Basel III framework due to the absence of a finalised EU standard.

Key Information

Sample Composition

• Total Banks: 297
  • Group 1: 49 (from 14 countries)
  • Group 2: 248 (from 20 countries)
  • Sub-samples:
    • Large Group 2 banks: 22
    • Medium-sized Group 2 banks: 20
    • Small Group 2 banks: 68

Regulatory Context

• CRD IV – CRR: Applies as of 1 January 2014.
• Basel III: The EU regulation requires a minimum of 100% LCR one year before the Basel standard.
• G-SIBs: Global systemically important banks are treated separately and have lower capital ratios under both current and full implementation.

Methodology

• Composite Bank Approach: Capital ratios and leverage ratios are calculated using a weighted average based on the relevant sample.
• Data Confidentiality: Box plots are used to illustrate the distribution of results while maintaining confidentiality.
• Static Balance Sheet Assumption: The analysis assumes a static balance sheet, with capital elements included only if they met eligibility criteria at the reference date.

Interpretation of Results

• Convergence to Basel III: The report monitors the convergence of EU banks to Basel III standards under full implementation.
• Impact of Implementation: The difference between current and full implementation results is due to transitional arrangements.
• Capital Shortfalls: Shortfalls are minimal and largely attributable to the gradual phase-in of capital deductions and phase-out of non-qualifying instruments.

Figures and Tables

• Figure 1: Distribution of risk-based capital ratios and leverage ratio.
• Figure 2: Evolution of CET1 ratios over time for Group 1 banks.
• Figure 3: Evolution of CET1 capital vs RWA over time for Group 1 banks.
• Figure 4: Evolution of leverage ratio by bank group over time.
• Table 1: Number of banks submitting data.
• Table 2: Comparison of risk-based capital ratios and leverage ratio under different implementation states.
• Table 3: Capital shortfall by bank group, including the capital conservation buffer and G-SIB buffer.
• Table 4: Degree of binding power of risk-based vs leverage Tier 1 capital requirements.
• Table 5: Relative percentage change in capital by type and RWA.
• Table 6: LCR and shortfall for different minimum requirements.
• Table 7: NSFR and shortfall in stable funding.

Conclusion

The monitoring exercise highlights the progress made by European banks in meeting Basel III capital and liquidity requirements. Despite transitional arrangements, the majority of banks are in compliance with the regulatory standards, and capital shortfalls are minimal. The analysis provides insights into the capital structure and liquidity positions of banks, with a focus on the impact of regulatory changes and the effectiveness of capital management strategies.