2016年-EBA欧洲银行管理局_CRDIV-CRR_Basel_III_Monitoring_Exercise_Report_1309_42页_1mb

CRD IV - CRR / Basel III Monitoring Exercise - Results as of 31 December 2015

Core Content

This document presents 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 the capital and liquidity positions of European banks, focusing on compliance with regulatory requirements and identifying potential capital shortfalls.

Main Objectives

• To monitor the convergence of European banks with the regulatory capital and liquidity requirements under Basel III.
• To assess the impact of the full implementation of Basel III on capital ratios and liquidity ratios.
• To evaluate the effectiveness of transitional arrangements in shaping the current capital and liquidity positions of banks.

Key Findings

Capital Ratios

• Group 1 banks (with Tier 1 capital > EUR 3 billion) had an average CET1 ratio of 12.4%, Tier 1 ratio of 13.1%, and total capital ratio of 15.9%.
• Group 2 banks (all other banks) had an average CET1 ratio of 13.6%, Tier 1 ratio of 13.9%, and total capital ratio of 15.5%.
• Large Group 2 banks showed the greatest difference between current and full implementation for CET1 and Tier 1 ratios, while small Group 2 banks showed the biggest change in total capital ratio.
• The leverage ratio for Group 1 banks was 4.7%, and for Group 2 banks it was 5.6%.
• Under full implementation, the leverage ratio would decrease further to 4.7% for Group 1 and 5.6% for Group 2.

Capital Shortfall

• The capital shortfall under full implementation is relatively small compared to the initial monitoring period (mid-2011).
• The overall capital shortfall is a minor fraction of the initial shortfall, indicating improvement in capital positions.
• The analysis excludes macro-prudential buffers and Pillar II add-ons, focusing only on the Basel III requirements.

Liquidity Ratios

• The LCR (Liquidity Coverage Ratio) for Group 1 banks was 126.8%, and for Group 2 banks 169.3%.
• 91% of banks in the total sample had an LCR above 100%, and 98% had an LCR above 70%, the minimum requirement from January 2016.
• The NSFR (Net Stable Funding Ratio) for Group 1 banks was 105.5%, and for Group 2 banks 112.7%.
• The overall stable funding shortfall is EUR 240 billion, with 79% of participating banks already meeting the 100% NSFR requirement.

Main Points

Sample Composition

• A total of 227 banks from 18 EU Member States and one EEA country participated in the monitoring exercise.
• 45 Group 1 banks and 182 Group 2 banks were included.
• 77 banks were jointly recognized as G-SILs (Global Systemically Important Institutions) and O-SILs (Other Systemically Important Institutions).
• Coverage of Group 1 banks was 100% in many jurisdictions, while Group 2 coverage was 36.6% on average.

Methodology

• The analysis uses a composite bank weighting scheme, which calculates averages based on the sum of capital and risk-weighted assets (RWA).
• Box plots are used to illustrate the distribution of capital and liquidity ratios, with visual indicators such as median, mean, and percentiles.
• The analysis assumes a static balance sheet, meaning it only includes capital elements that met eligibility criteria on the reference date, excluding planned future actions.

Interpretation of Results

• The results reflect the current state of implementation of Basel III, which includes transitional arrangements.
• Full implementation of Basel III would result in lower capital ratios for both Group 1 and Group 2 banks, with Group 1 banks showing a more significant impact.
• The difference between current and full implementation is shrinking over time, indicating that banks are increasingly aligning with Basel III requirements.

Key Information

Capital Ratios by Group

Liquidity Ratios by Group

Capital Shortfall

• The overall capital shortfall under full implementation is EUR 10.8 billion.
• The capital shortfall for the G-SILs/O-SILs group is EUR 10.8 billion, with the CET1 capital being the main component.
• The NSFR shortfall is EUR 240 billion, indicating a significant gap in stable funding.

Trends and Impacts

• The CET1 ratio for Group 1 banks increased from 10% in mid-2011 to 13% in December 2015, showing a steady upward trend.
• The LCR for Group 2 banks increased by 660 bps since June 2011, driven by structural adjustments and the recalibration of the LCR framework.
• The NSFR has shown a continuous increase, mainly due to the growth in ASF (Available Stable Funding).

Summary

This report highlights the progress of European banks in meeting Basel III requirements, with capital and liquidity ratios showing improvement over time. The impact of full implementation is smaller than previously anticipated, indicating that banks have already taken steps to align with the new standards. The analysis provides a detailed breakdown of capital and liquidity ratios by bank group, showing that Group 1 banks are more constrained by the leverage ratio requirement than Group 2 banks. The data quality is high, with comprehensive and confidential submissions from participating banks. The results are based on a static balance sheet, excluding planned future actions, and are different from industry estimates that include assumptions about future profitability and management actions.