EBA欧洲银行-2018-Basel-III-Monitoring-Exercise-Report_40页_1mb

Summary of Basel III Monitoring Exercise Results (as of 31 December 2017)

Core Content

This report presents the impact of the final Basel III reforms on European banks, based on data as of 31 December 2017. The reforms include updates to credit risk, market risk, operational risk, the leverage ratio (LR), and the introduction of the output floor. The analysis considers both the risk-based and leverage ratio capital requirements, assuming full implementation of the Basel III framework by 2027.

Main Findings

Overall Impact on Tier 1 Minimum Required Capital (T1 MRC)

• The weighted average change in total T1 MRC is 16.7% across all 101 banks in the sample.
• The FRTB and CVA contribute 5.3% to the overall change.
• Group 1 banks (large and internationally active banks) experience a 18.7% increase in T1 MRC, with FRTB and CVA contributing 6.1%.
• Group 2 banks (other banks) experience a 3.8% increase in T1 MRC, with FRTB and CVA contributing 1.0%.

Capital Shortfalls

• The total capital shortfall under Basel III is EUR 6.0 billion, with EUR 5.0 billion for G-SILs (global systemically important institutions).
• The Tier 1 capital shortfall is approximately EUR 14.6 billion, and the additional Tier 1 shortfall due to the revised LR is EUR 0.3 billion.
• The capital shortfall for Group 1 banks is EUR 5.0 billion, while for Group 2 banks it is EUR 1.0 billion.

Capital Ratios

• CET1, Tier 1, and Total capital ratios fall by 280, 330, and 400 basis points, respectively.
• The leverage ratio increases by 30 basis points (from 5.1% to 5.4%).
• The drop in capital ratios is more pronounced for Group 1 banks than for Group 2 banks.

Key Drivers of Impact

• Output floor is the largest driver of MRC increase for all banks, contributing 6.3%.
• Operational risk contributes 5.7%.
• Credit risk is the third largest driver, contributing 4.5% for Group 1 banks and 6.7% for Group 2 banks.
• Leverage ratio has a reducing effect, offsetting the impact of risk-based reforms. For Group 1 banks, it reduces the MRC by 4.3%, while for Group 2 banks, it reduces the MRC by 10.6%.
• Market risk and CVA have smaller impacts, contributing 2.0% and 3.3%, respectively.

Additional Considerations

• The capital shortfall is likely underestimated, as it does not account for Pillar 2 capital requirements, O-SILs surcharges, or counter-cyclical capital buffers.
• The impact of FRTB and CVA is not included in the previous EBA monitoring report from December 2017, which used data from 2015 and only included 54 banks in common with the current analysis.

Methodology and Sample

• The analysis is based on data from 101 banks, including 38 Group 1 banks and 63 Group 2 banks.
• The baseline for the MRC calculation is the higher of the current risk-based and leverage ratio-based T1 MRC.
• The target is the higher of the revised risk-based and leverage ratio-based T1 MRC.
• The sample is consistent across all analyses, with a focus on data confidentiality.

Impact by Category

Key Figures and Tables

• Figure 1: Distribution of changes in total T1 MRC across all banks.
• Figure 2: Distribution of capital ratios under CRR/CRD IV vs. final Basel III framework, for Group 1 and Group 2 banks.
• Figure 3: Development of MRC composition by risk category over time for Group 1 and Group 2 banks.
• Figure 4: Trend in capital shortfalls by type of capital and bank group over time.
• Figure 5: Mechanics of the calculation of actual leverage ratio MRC impact.
• Figure 6: Changes in Tier 1 MRC for credit risk (SA and IRB) exposures.
• Figure 7: Change in market risk capital requirements after FRTB implementation.
• Figure 8: Contribution to total market risk RWAs by each calculation method before and after FRTB.
• Figure 9: Distribution of changes in T1 MRC assigned to operational risk only.
• Figure 10: Comparison of fully phased-in EU LR and final Basel III LR.
• Figure 11: Drivers of change in leverage ratio exposure under the final Basel III standards.
• Figure 12: NSFR by bank group.
• Figure 13: NSFR and changes in its determinants for a balanced sample.
• Figure 14: NSFR shortfall over time for Group 1 and Group 2 banks.
• Figure 15: Integration of changes in risk-based and leverage ratio MRC.

Conclusion

The final Basel III reforms significantly increase the minimum required capital (MRC) for EU banks, with the output floor and operational risk being the primary drivers. The leverage ratio has a reducing effect, partially offsetting the increase in MRC due to risk-based reforms. The impact is more pronounced for Group 1 banks, which are larger and more internationally active. The report serves as a preliminary assessment and is expected to be updated with more detailed findings in the future.