2014年-EBA欧洲银行管理局_Basel_III_Monitoring_Report-Dec12_32页_942kb

Basel III Monitoring Exercise Summary (as of 31 December 2012)

Core Content

The Basel III monitoring exercise, conducted semi-annually, evaluates the impact of the new global regulatory framework on European banks. This report, the fourth in the series, uses data from 170 participating banks, including 42 Group 1 banks and 128 Group 2 banks, to assess changes in capital ratios, capital shortfalls, risk-weighted assets (RWA), leverage ratios, and liquidity standards.

The exercise assumes full implementation of Basel III without considering transitional arrangements, which may lead to underestimation of capital due to the phased-out nature of certain non-qualifying instruments. It compares the current regulatory framework (CRD III) with the Basel III framework, highlighting the differences in capital definitions and risk calculations.

Main Points

Capital Ratios and Shortfalls

• Group 1 Banks:

  • Average CET1 capital ratio drops from 11.5% (current) to 8.4% (Basel III), a decline of 3.1 percentage points.
  • 98% of Group 1 banks meet the 4.5% minimum CET1 requirement, while 73% meet the 7.0% target level (including capital conservation buffer).
  • Estimated CET1 capital shortfall for the 4.5% minimum is €2.2 billion, and for the 7.0% target level is €70.4 billion.
  • Total capital shortfall for the 7.0% target level is €257.5 billion, while Tier 1 capital shortfall is €162.5 billion.

• Group 2 Banks:

  • Average CET1 capital ratio drops from 11.3% (current) to 7.9% (Basel III).
  • Estimated CET1 capital shortfall for the 7.0% target level is €25.9 billion.
  • Tier 1 and total capital ratios also decline, from 12.0% to 8.5% and from 14.6% to 10.1%, respectively.

Key Drivers of Capital Ratio Changes

• Definition of Capital: Changes in the definition of CET1 lead to a 17.6% decrease for Group 1 and a 22.5% decrease for Group 2.
• Risk-Weighted Assets (RWA): RWA increases by 12.8% for Group 1 and 10.2% for Group 2.
• Capital Deductions: Main deductions include goodwill (13.5% for Group 1, 9.0% for Group 2) and deductions for other financial companies (4.6% and 6.8%, respectively).
• Capital Conservation Buffer: The buffer accounts for over 40% of the total impact on capital buffer for both groups.
• RWA Changes: For Group 1, RWA increases are driven by CVA capital charges (6.0%) and items below 10%/15% thresholds (3.4%). For Group 2, the transition from Basel II 50/50 to 1250% risk weight is a major driver, though CVA charges and items below thresholds also play a role.

Leverage Ratio

• Group 1: Average leverage ratio is 2.9%, with 58% meeting the 3% target.
• Group 2: Average leverage ratio is 3.4%, with 76% meeting the 3% target.
• Estimated Leverage Ratio Shortfall: €106.6 billion for Group 1 and €26.0 billion for Group 2.
• The leverage ratio is subject to an observation period until 2018, allowing for review of unintended consequences.

Liquidity Standards

• Liquidity Coverage Ratio (LCR): Set to 60% by 2015, increasing annually to 100% by 2019.

• Group 1: Average LCR is 109% at year-end 2012.

• Group 2: Average LCR is 127.1%, showing a continuous increase over the four ISG monitoring exercises.

• Total Liquid Asset Shortfall: Estimated at €225 billion as of year-end 2012.

• Net Stable Funding Ratio (NSFR):

  • Group 1: Average 96%
  • Group 2: Average 98%
  • Both groups show a stable NSFR compared to previous periods, though there is significant dispersion in results, especially among Group 2 banks.

Key Information

• Data Quality: Banks provided comprehensive and detailed data on a voluntary and best-efforts basis. However, differences in interpretations of the rules and methodologies may affect the accuracy of liquidity risk positions.
• Sample Composition: Group 1 banks are those with Tier 1 capital exceeding €3 billion and being internationally active. Group 2 banks are all others.
• Coverage: Group 1 banks have 100% coverage in some countries, while Group 2 banks have 31% aggregate coverage, with significant variation.
• Methodology: The report uses a composite bank approach to calculate averages, and box plots to illustrate the distribution of results. It assumes a static balance sheet and does not account for planned management actions, which may affect comparability with industry estimates.

Conclusion

The Basel III framework significantly impacts the capital ratios and liquidity positions of European banks. While Group 1 banks show more consistent results, Group 2 results are less representative due to their smaller size and different business models. The exercise highlights the need for banks to adjust their capital and liquidity strategies in preparation for full Basel III implementation, which is expected to take effect in 2018. The capital shortfalls and changes in RWA underscore the challenges banks may face in meeting the new requirements.