EBA欧洲银行-Ad-Hoc-Cumulative-Impact-Assessment-of-the-Basel-reform-package_28页_1mb

AD HOC CUMULATIVE IMPACT ASSESSMENT OF THE BASEL REFORM PACKAGE

Core Content

This document presents an ad hoc cumulative impact assessment of the Basel reform package on European banks, focusing on the changes in minimum Tier 1 capital requirements (T1 MRC) and leverage ratio (LR) capital requirements, based on data from December 2015. The assessment includes the revised internal ratings-based approach (IRB), standardised approach (SA), operational risk framework, and the Basel III leverage ratio framework. It excludes certain reforms, such as the revised securitisation framework and credit valuation adjustment (CVA) risk framework, due to data limitations.

Main Findings

Changes in Minimum Required Capital (T1 MRC)

• Overall increase: The total increase in T1 MRC for all 88 banks is 12.9%.
• Group 1 banks (large, internationally active): The increase is 14.1%, with the risk-based components contributing 15.6% and the leverage ratio component contributing a -1.6% reduction.
• Group 2 banks (other banks): The increase is 3.9%, with the risk-based components contributing 5.3%, partially offset by a -2.4% reduction from the SA T1 MRC and a -1.3% reduction from the leverage ratio impact.
• G-SII banks: The increase is 15.2%, with the risk-based components contributing 14.1%.

Impact by Component

• Credit risk: The revised IRB and SA approaches contribute to an increase in T1 MRC. For Group 1 banks, the credit risk impact is 4.5%, with 1.5% from IRB and 1.0% from SA.
• Operational risk: The impact is 2.7% for Group 1 banks and 0.8% for Group 2 banks, based on the assumption that the EU applies the "Internal Loss Multiplier" (ILM) equal to 1.
• Output floor: The output floor at 72.5% of the SA-equivalent RWA increases T1 MRC by 6.9% for Group 1 and 4.2% for Group 2.
• Leverage ratio: The leverage ratio component results in a -1.6% reduction in T1 MRC for Group 1 and -1.3% for Group 2, due to the revised framework being less binding.

Capital Shortfalls

• Overall capital shortfalls (as of 2027): EUR 34.4 billion, including the capital conservation buffer (CCB).
• Group 1 banks: EUR 32.0 billion.
• G-SII banks: EUR 30.0 billion.
• Group 2 banks: EUR 2.4 billion.
• The CET1 capital ratio for all banks is expected to drop to 10.9% at the full implementation date (2027), compared to 12.3% in 2015.

Key Information

Methodology

• The assessment assumes full implementation of the Basel reforms as of December 2015.
• The "Basel I floor" is included as an RWA add-on in the baseline for comparison with the BCBS methodology.
• The analysis uses a composite EU bank model, weighting all EU averages according to the relevant impact factors.
• The impact of the leverage ratio is calculated as the change in additional Tier 1 capital required.

Data and Sampling

• Data is collected from 149 banks in 17 EU countries, with 88 banks included in the cumulative analysis.
• The sample includes 36 Group 1 banks and 52 Group 2 banks.
• Banks not submitting data for all components are assumed not to be affected by the reforms in that area.

Exclusions

• Certain reforms, such as the revised securitisation framework and CVA risk framework, are not included in the impact assessment due to data unavailability.
• The assessment does not consider Pillar II requirements, countercyclical capital buffers, or the jurisdictional discretion on ILM for operational risk.

Summary of Key Tables

• Table 1: Shows the total change in T1 MRC as a percentage of the overall base MRC, with breakdowns by risk-based and LR components.
• Table 2: Provides the number of banks that submitted data, with shaded columns indicating the number included in the overall cumulative analysis.
• Table 3: Shows the incremental changes in T1 MRC by component, including the impact of the "Basel I floor".
• Table 4: Details the capital ratios (CET1, Tier 1) and capital shortfalls for all banks, Group 1, G-SII, and Group 2, as of 2015, 2022, and 2027.

Key Figures

• Figure 1: Distribution of changes in total T1 MRC across all banks, Group 1, Group 2, and G-SII.
• Figure 2: Incremental changes by T1 MRC component, with FRTB included in the baseline.
• Figure 3: Distribution of revised CET1, Tier 1, and total capital ratios.
• Figure 4: Percentage of banks constrained by different capital requirements components.
• Figure 5: Percentage of banks constrained by different parts during the transitional period.

Conclusion

The report highlights that the Basel reforms will lead to a significant increase in T1 MRC for EU banks, with the risk-based components being the primary driver. However, the leverage ratio component reduces this impact. The results are expected to overestimate the actual impact due to the exclusion of capital increases between 2015 and 2017 and the omission of certain reforms. The EBA plans to conduct further assessments to refine the estimates.