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This report summarises the results of the latest monitoring exercise using consolidated data of European banks as of 30 June 2011. A total of 158 banks submitted data for this exercise.
The monitoring exercise provides an impact assessment of the following aspects:
Since the new EU directive and regulation are not finalised yet, no EU specific rules are analysed in this report. Accordingly, the CRD IV monitoring exercise is carried out assuming full implementation of the Basel III framework. It is important to note that the monitoring exercise is based on static balance sheet assumptions. Planned management actions to increase capital or decrease risk-weighted assets are not taken into account. As a consequence, monitoring results are not comparable to industry estimates as the latter usually include assumptions on banks’ future profitability, planned capital and/or further management actions that mitigate the impact of Basel III. In addition, monitoring results are not comparable to EU-QIS results, which assessed the impact of policy proposals published in 2009 that differed significantly from the final Basel III framework.
For the purpose of the exercise banks were classified in Group 1 (48 banks) and Group 2 (110 banks), Group 1 banks being those with Tier 1 capital in excess of €3bn and internationally active.
Impact on regulatory capital ratios and estimated capital shortfall
Assuming full implementation of the Basel III framework as of 30 June 2011 (i.e. without taking into account transitional arrangements), the CET1 capital ratios of Group 1 banks decline from an average CET1 ratio of 10.2% (with all country averages above the 7.0% target level) to an average CET1 ratio of 6.5%. 80% of Group 1 banks would be at or above the 4.5% minimum while 44% would be at or above 7.0% target level. The CET1 capital shortfall for Group 1 banks is €18 bn at a minimum requirement of 4.5% and €242 bn at a target level of 7.0% (including the G-SIB surcharge). As a point of reference, the sum of profits after tax prior to distributions across the Group 1 sample in the second half of 2010 and the first half of 2011 was €102 bn.
With respect to the average Tier 1 and total capital ratio, monitoring results show a decline from 11.9% to 6.7% and from 14.4% to 7.8%, respectively. Capital shortfalls comparing to the minimum ratios (excl. the capital conservation buffer) amount for €51 bn (Tier 1 capital) and €128 bn (total capital). Taking into account the capital conservation buffer and the surcharge for systemically important banks, the Group 1 banks’ capital shortfall rises to €361 bn (Tier 1 capital) and €485 bn (total capital).
For Group 2 banks, the average CET1 ratio declines from 9.8% to 6.8% under Basel III, where 87% of the banks would be at or above the 4.5% minimum and 72% would be at or above the 7.0% target level. The respective CET1 shortfall is approx. €11 bn at a minimum requirement of 4.5% and €35 bn at a target level of 7.0%. The sum of profits after tax prior to distributions across the Group 2 sample in the second half of 2010 and the first half of 2011 was €17 bn.
Main drivers of changes in banks’ capital ratios
For Group 1 banks, the overall impact on the CET1 ratio can be attributed in almost equal parts to changes in the definition of capital and to changes related to the calculation of risk-weighted assets: while CET1 declines by 22.7%, RWA increase by 21.2%, on average. For Group 2 banks, while the change in the definition of capital results in a decline in CET1 of 25.9%, the new rules on RWA affect Group 2 banks far less (+6.9%), which may be explained by the fact that these banks´ business models are less reliant on exposures to counterparty and market risks (which are the main drivers of the RWA increase under the new framework). Reductions in Group 1 and Group 2 banks’ CET1 are mainly driven by goodwill (-17.3% and -14.8%, respectively), followed by deductions for holdings of capital of other financial companies (-4.4% and -7.0%, respectively).
As to the denominator of regulatory capital ratios, the main driver is the introduction of CVA capital charges which result in an average RWA increase of 8.0% and of 2.9% for Group 1 and Group 2 banks, respectively. In addition to CVA capital charges, trading book exposures and the transition from Basel II 50/50 deductions to a 1250% risk weight treatment are the main contributors to the increase in Group 1 banks’ RWA. As Group 2 banks are in general less affected by the revised counterparty credit risk rules, these banks show a much lower increase in overall RWA (+6.9%). However, even within this group, the RWA increase is driven by CVA capital charges, followed by changes related to the transition from Basel II 50/50 capital deductions to a 1250% risk weight treatment, and to the items that fall below the 10/15% thresholds.
Monitoring results indicate a positive correlation between bank size and the level of leverage, since the average LR is significantly lower for Group 1 banks. Assuming full implementation of Basel III, Group 1 banks show an average Basel III Tier 1 leverage ratio (LR) of 2.7%, while Group 2 banks’ leverage ratio is 3.4%. 41% of participating Group 1 and 72% Group 2 banks would meet the 3% target level as of June 2011. If a hypothetical current leverage ratio was already in place, Group 1 and Group 2 banks’ LR would be 4.0% and 4.7%, respectively.
A total of 157 Group 1 and Group 2 banks participated in the liquidity monitoring exercise for the end-June 2011 reporting period. Group 1 banks have reported an average LCR of 71% while the average LCR for Group 2 banks is 70%. The aggregate Group 1 and Group 2 shortfall of liquid assets is at approx. €1.2 trillion which represents 3.7% of the approx. €31 trillion total assets of the aggregate sample.
Group 1 banks reported an average NSFR of 89% (Group 2 banks: 90%). To fulfil the minimum standard of 100% on a total basis, banks need stable funding of approx. €1.9 trillion.
Both liquidity standards are currently subject to an observation period which includes a review clause to address any unintended consequences prior to their respective implementation dates.
To assess the impact of the new capital and liquidity requirements set out in the consultative documents of June and December 2009, both the Basel Committee on Banking Supervision and the Committee of European Banking Supervisors (CEBS) conducted a so-called comprehensive quantitative impact study (C-QIS) for their member jurisdictions based on data as of 31 December 2009. The main results of both impact studies have been published in December 2010.
After finalisation of the regulatory framework (referred to as “Basel III”) in December 2010, the impact of this new framework is monitored semi-annually by both the Basel Committee at a global level and the European Banking Authority (EBA, formerly CEBS) at the European level, using data provided by participating banks on a voluntary and confidential basis.