2015年-FSB全球金融稳定委员会_Assessing_the_economic_costs_and_benefits_of_TLAC_implementation_43页_1mb

Summary of the Economic Impact Assessment of TLAC Implementation

Core Content

This report, submitted to the Financial Stability Board (FSB) by an Experts Group chaired by Kostas Tsatsaronis, evaluates the economic costs and benefits of implementing the Total Loss Absorbable (TLAC) requirements. It focuses on the impact on Global Systemically Important Banks (G-SIBs), both at the microeconomic and macroeconomic levels. The report is based on data from the QIS exercise (as of end-2014) and examines different calibration scenarios for TLAC requirements.

Main Objectives

• To assess the microeconomic costs for individual G-SIBs in meeting TLAC requirements.
• To evaluate the macroeconomic costs and benefits to the economy as a whole.
• To examine the spillover effects of TLAC on host economies and those through trade and financial channels.
• To estimate the benefits of TLAC, particularly in terms of reducing systemic risk and fiscal costs during financial crises.

Key Assumptions

• The analysis is based on the published consultation of the TLAC standard.
• It uses the Term Sheet from the Consultative Document, excluding subsequent amendments.
• The data is derived from the 30 G-SIBs that submitted information to the QIS exercise.
• The least-cost approach is assumed, where banks substitute non-eligible liabilities with TLAC-eligible ones in order of cost.
• Institutions are assumed to maintain their debt maturity profiles and issuance across jurisdictions.
• The analysis takes a long-term perspective, assuming that all non-TLAC liabilities will be replaced.
• Conservative estimates are used to avoid overestimating net benefits.

Calibration Scenarios

The report considers four calibration scenarios based on the TLAC-to-RWA and TLAC-to-EM ratios:

These calibrations are used to estimate the shortfalls and costs for G-SIBs.

Bank-Specific Shortfalls

• The shortfalls for G-SIBs vary widely across the calibration scenarios.

• For Calibration 1, the median shortfall is €14.3 billion, ranging from €0 to €98.1 billion.

• For Calibration 2, the median shortfall increases to €34.5 billion, and the total shortfall across all institutions is €1,388 billion.

• For Calibration 3, the median shortfall is €48.1 billion, and the total shortfall is €1,365 billion.

• For Calibration 4, the median shortfall is €53.0 billion, and the total shortfall is €1,755 billion.

• The EM-based requirements are less binding for institutions with the highest shortfalls.

• The ratio of shortfalls to other selected marketable liabilities (OSMLs) is used to evaluate the availability of resources to meet TLAC requirements.

• The median ratios for shortfalls to OSMLs range from 45% to 146% across the four calibrations.

Microeconomic Costs

• The weighted average cost of funds increases due to the substitution of non-TLAC liabilities with more expensive TLAC-eligible ones.
• The increase in funding costs is reported in basis points (bps) for different quartiles of G-SIBs.

• The total annual funding cost increases are:

  • Calibration 1: €11.7 billion
  • Calibration 2: €21 billion
  • Calibration 3: €26.5 billion
  • Calibration 4: €31 billion

• The costs per institution vary, with some institutions facing costs exceeding €1 billion annually, while others face costs below €100 million.

Macroeconomic Costs

• The increase in funding costs is expected to be passed on to borrowers in the form of higher lending spreads.
• The estimated impact on lending rates ranges from 5 to 15 bps increases, leading to a drag on GDP of 1.9 to 5.3 bps.
• The overall annual benefits in terms of GDP are estimated to range between 45 and 60 bps, which are significantly higher than the costs.
• The macroeconomic cost estimates are conservative, and the analysis acknowledges the potential for underestimating the costs due to the long-term perspective and the exclusion of certain liabilities.

Benefits of TLAC

• TLAC enhances market discipline, reducing risk-taking by G-SIBs and systemic risk.
• It improves bank resiliency by at least one-third.
• It reduces fiscal costs during crises and lowers the impact of a crisis on GDP.
• The benefits are expected to outweigh the costs in the long run.

Spillovers

• The report also analyses the spillover effects of TLAC on host economies and those through trade and financial channels.
• The impact on GDP is expected to be limited, as the cost of compliance is relatively small compared to the overall size of the banking sector.

Robustness Analysis

• The analysis considers the impact of increased supply of TLAC-eligible securities on spreads.
• A 30 bps increase in spreads is expected for TLAC-eligible securities due to the market absorption capacity.
• Two approaches are used: a flat increase and a segmented market approach that considers the size of the market.
• The segmented market approach suggests that smaller markets will experience larger spread increases.

Conclusion

• The microeconomic costs for G-SIBs are contained, with the average annual cost ranging from €400 to €950 million.
• The macroeconomic costs are limited, with GDP drag ranging from 1.9 to 5.3 bps.
• The benefits of TLAC are substantial, with annual GDP benefits estimated to be between 45 and 60 bps.
• The report is conservative and aims to provide a fair but cautious assessment of the economic impact of TLAC implementation.