2018年-EBA欧洲银行管理局_2018_Basel_III_Monitoring_Exercise_Report_40页_1mb

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

Core Content

This document presents the results of a Basel III monitoring exercise conducted by the European Banking Authority (EBA) as of 31 December 2017. It evaluates the impact of Basel III reforms on European banks, including credit risk, market risk, CVA, operational risk, the leverage ratio (LR), the output floor, and the net stable funding ratio (NSFR). The analysis is based on data from 101 banks (38 Group 1 and 63 Group 2), with a focus on the minimum required capital (MRC) and capital shortfalls.

Main Points

1. Basel III Reforms Overview

The final Basel III reforms, endorsed by the Group of Central Bank Governors and Heads of Supervision and published in December 2017, complete the Basel III framework and aim to strengthen the global banking sector.

2. Impact Assessment

The impact assessment is based on the assumption of full implementation of the reforms by 2027. The report estimates the changes in Tier 1 MRC and capital shortfalls across different risk categories and bank groups.

3. Capital Shortfalls

• Total capital shortfall under the full implementation of Basel III is EUR 6.0 billion, with EUR 5.0 billion for G-SILs.
• Tier 1 capital shortfall is EUR 14.6 billion.
• Additional Tier 1 shortfall due to the revised LR is EUR 0.3 billion.

4. Capital Ratios

• The CET1, Tier 1, and total capital ratios for all banks decrease by 280, 330, and 400 basis points respectively.
• The leverage ratio increases by 30 basis points, from 5.1% to 5.4%.

5. Key Drivers of MRC Changes

• Output floor and operational risk are the two major drivers of MRC increase across all banks, contributing 6.3% and 5.7% respectively.
• Credit risk is the third major driver for Group 1 and G-SILs, contributing 4.5% and 4.7% respectively.
• For Group 2 banks, credit risk is the main driver of MRC increase, contributing 6.7%, followed by the output floor and operational risk.
• The leverage ratio has an offsetting effect, reducing the overall impact by 5.1% for all banks and 10.6% for Group 2 banks.

6. Impact by Risk Category

7. Capital Shortfalls

• Capital shortfalls for all banks under the fully phased-in CRR/CRD IV and Basel III are shown in Table 2.
• The CET1 capital shortfall under Basel III is EUR 6.0 billion.
• The Tier 1 capital shortfall is EUR 14.6 billion.
• The additional Tier 1 shortfall due to the revised LR is EUR 0.3 billion.

8. NSFR Impact

• The NSFR framework requires EUR 27.8 billion in additional stable funding to meet the 100% minimum requirement.
• This represents 4.2% of the total weighted available stable funding (ASF) and 2.7% of total assets.
• The shortfall in stable funding has decreased significantly from EUR 1,279 billion in June 2011 to EUR 3 billion for Group 1 banks and from EUR 158 billion to EUR 2 billion for Group 2 banks.

Key Information

• The analysis uses data from December 2017 and a sample of 101 banks.
• The sample includes 38 Group 1 banks and 63 Group 2 banks.
• The impact is calculated based on the higher of the risk-based MRC and the LR-based MRC.
• The report does not include the impact of the ongoing BCBS review of the standardised and internal model approaches, as well as changes from the revised securitisation framework.
• The capital shortfalls are estimated based on the current capital levels and do not consider Pillar 2 requirements or any compliance measures banks may take between December 2017 and 2027.

Summary of Findings

• The weighted average change in total T1 MRC is 16.7% across all banks.
• The output floor and operational risk are the largest contributors to MRC increase.
• The leverage ratio becomes less constraining, partially offsetting the impact of the output floor and operational risk.
• The CVA risk capital charge decreases by 3.3%, primarily due to the removal of exemptions.
• The NSFR shortfall has significantly reduced, indicating progress in meeting the stable funding requirements.

Methodology

• The MRC is calculated based on the higher of the risk-based and LR-based requirements.
• The impact per category is estimated using the standardised approach and internal model approach for different risk categories.
• The results are presented as weighted averages unless stated otherwise.
• Box plots are used to illustrate the distribution of changes in T1 MRC among the banks.

This summary provides a comprehensive overview of the impact of the Basel III reforms on EU banks, highlighting the key drivers and outcomes of the reforms.