2014年-EBA欧洲银行管理局_Basel_III_Monitoring_Exercise_Report_28as_of_30_June_201329_38页_937kb

Basel III Monitoring Exercise Summary (30 June 2013)

Core Content

This report presents the fifth Basel III monitoring exercise, based on data as of 30 June 2013, and evaluates the impact of the Basel III framework on regulatory capital ratios and liquidity standards of European banks. The analysis is conducted under the assumption of full implementation of Basel III, without considering transitional arrangements. The report includes results for two groups of banks: Group 1 (internationally active banks with Tier 1 capital exceeding EUR 3 billion) and Group 2 (non-internationally active banks with Tier 1 capital below EUR 3 billion).

Key Findings

Impact on Regulatory Capital Ratios and Capital Shortfall

• Group 1 banks:

  • CET1 capital ratio would decline from 12.0% (current rules) to 9.1% (Basel III), a decrease of 2.9 percentage points.
  • Tier 1 capital ratio would fall from 13.4% to 9.2%.
  • Total capital ratio would decrease from 16.0% to 10.8%.
  • Capital shortfalls:
    • EUR 2.4 billion with respect to the 4.5% minimum requirement.
    • EUR 36.3 billion with respect to the 7.0% target level (including the capital conservation buffer).
  • G-SIB surcharge is included in the target level shortfall.

• Group 2 banks:

  • CET1 capital ratio would fall from 12.4% to 8.8%.
  • Tier 1 capital ratio would decline from 13.0% to 9.3%.
  • Total capital ratio would decrease from 15.8% to 11.1%.
  • Capital shortfall for the 7.0% target level is approximately EUR 29.1 billion.

Main Drivers of Changes in Capital Ratios

• Group 1 banks:

  • CET1 decline: 16.4% due to changes in capital definition.
  • RWA increase: 9.9% on average, primarily driven by CVA capital charges and adjustments for items below 10%/15% thresholds.

• Group 2 banks:

  • CET1 decline: 21.8% due to capital definition changes.
  • RWA increase: 10.4% overall, but this is largely due to a small number of large Group 2 banks; excluding them reduces the average increase to 3.6%.
  • Deductions:
    • Goodwill: 13.3% for Group 1, 7.8% for Group 2.
    • Other financial companies: 3.5% for Group 1, 6.7% for Group 2.

Capital Buffer Impact

• The capital buffer above the minimum ratio would be reduced by:
  • 6.4 percentage points for Group 1.
  • 6.1 percentage points for Group 2.
• The increased minimum requirements account for 40% of the total impact.
• RWA changes and capital deductions account for:
  • 17% and 21% for Group 1.
  • 19% and 31% for Group 2.
• The new capital definition has a smaller impact, accounting for:
  • 6% for Group 1.
  • 9% for Group 2.
• The G-SIB surcharge contributes 16% to the capital buffer reduction for Group 1.

Leverage Ratio

• The leverage ratio is calculated based on the June 2013 consultation paper, as the January 2014 changes have not been reflected yet.
• Group 1 banks:
  • Average Tier 1 leverage ratio: slightly below 3.0%.
  • Two-thirds of banks meet the 3% target.
• Group 2 banks:
  • Average Tier 1 leverage ratio: 3.6%.
  • 76% of banks meet the 3% target.
• Capital shortfall:
  • EUR 50.3 billion for Group 1.
  • EUR 13.9 billion for Group 2.
• The leverage ratio will be implemented on 1 January 2018, and the results are subject to an observation period.

Liquidity Standards

• The Liquidity Coverage Ratio (LCR) is introduced on 1 January 2015, with a minimum requirement of 60%, increasing annually to 100% by 2019.
• As of 30 June 2013:
  • Group 1 banks have an average LCR of 104%.
  • Group 2 banks have an average LCR of 132%.
• Two-thirds of all banks already meet the 100% requirement, while 14% are still below 60%.
• Total liquidity shortfall to be closed by 2019: EUR 262 billion.
• High-quality liquid assets (HQLA):
  • Level 1 assets make up more than 80% of the liquidity buffer.
  • Caps on level 2 assets have no significant impact at an aggregate level, though important for individual banks.

Methodology and Data Quality

• Composite bank weighting scheme is used to calculate average capital ratios, with results based on weighted averages.
• Box plots are used to illustrate the distribution of results among banks, with:
  • Thick red line: minimum requirement.
  • Thin red line: median value.
  • 'x': mean (weighted average).
  • Blue box: 25th and 75th percentiles.
  • Black whiskers: 5th and 95th percentiles.
• Data quality:
  • Participating banks submitted comprehensive and detailed non-public data.
  • National supervisors ensured data quality and consistency.
  • Some discrepancies in liquidity risk positions may arise from differing interpretations of the rules.
  • Operational wholesale deposits and exclusions of liquid assets are reported using different methodologies by individual banks.

Notes on Representativeness

• Group 1 banks are more representative due to higher coverage (94% in aggregate terms).
• Group 2 banks show lower coverage (31% in aggregate terms) and greater variation across jurisdictions.
• The analysis of Group 2 banks includes a significant number of large non-internationally active banks, which may affect the representativeness of the results.

Conclusion

This report provides an assessment of the aggregate impact of Basel III on capital and liquidity ratios, assuming full implementation. It highlights the significant capital shortfalls and the effects of capital definitions and risk-weighted asset calculations on the capital buffer. While the leverage ratio and LCR are still under development, the data quality and methodology are robust, and the results reflect a static balance sheet approach. The findings are not directly comparable to industry estimates due to the assumption of no future adjustments.