Understanding Risk Management and Compliance, What Is Different After Monday, September 21, 2015
Book Details
Author(s)George Lekatis
ISBN / ASINB015HKC70S
ISBN-13978B015HKC707
MarketplaceFrance 🇫🇷
Description
We have some good news from the Basel Committee!
Assuming full phasing-in of the Basel III requirements as of 31 December 2014, including changes to the definition of capital and risk-weighted assets, all Group 1 banks would meet the CET1 minimum capital requirement of 4.5% and the CET1 target level of 7.0% (ie including the capital conservation buffer); this target also includes the G-SIB surcharge according to the list of banks published by the Financial Stability Board in November 2014 where applicable.
The aggregate CET1 target level shortfall for Group 1 banks has decreased by €3.9 billion to zero since the prior period.
As a point of reference, the sum of profits after tax prior to distributions across the same sample of Group 1 banks for the six-month period ending 31 December 2014 was €228.1 billion.
Under the same assumptions, all Group 2 banks would meet the CET1 minimum capital requirement of 4.5%; however, the capital is estimated at €1.5 billion for a CET1 target level of 7.0%.
The leverage ratio is a problem.
The average transitional Basel III Tier 1 leverage ratios (ie reflecting all applicable transitional arrangements to the definition of capital) would be 5.5% for Group 1 banks and for G-SIBs 5.3%, while it would amount to 5.6% for Group 2 banks.
The average fully phased-in Basel III Tier 1 leverage ratios are 5.0% for Group 1 banks and 4.9% for G-SIBs, while for Group 2 banks the average is 5.3%.
Ten banks, including three out of 98 Group 1 banks with an aggregate shortfall of €3.1 billion and seven out of 100 Group 2 banks with an aggregate shortfall of €4.3 billion, would not meet a fully phased-in minimum Basel III leverage ratio of 3%.
The Net Stable Funding Ratio is also a problem.
The Net Stable Funding Ratio (NSFR) was revised by the Committee in October 2014.
The end-December 2014 reporting period was the first data collection exercise for which a comprehensive calculation of the revised NSFR standard could be conducted.
As such, comparisons to previous reporting periods are not available for this collection exercise.
Key observations from the current period results include:
• A total of 97 Group 1 and 104 Group 2 banks participated in the NSFR monitoring exercise for the end-December 2014 reference period.
• The weighted average NSFR for the Group 1 bank sample was 111.2% while for Group 2 banks the average NSFR was 113.8%.
• 75% of Group 1 banks and 85% of Group 2 banks meet or exceed the 100% minimum NSFR requirement, with 92% of Group 1 banks and 93% of Group 2 banks at an NSFR of 90% or higher as of end-December 2014.
• The aggregate NSFR shortfall – which reflects the aggregate shortfall for banks that are below the 100% NSFR requirement and does not reflect any surplus stable funding at banks above the 100% requirement – was €576 billion at the end of December 2014 (€526 billion for Group 1 banks and €51 billion for Group 2 banks).
The NSFR, including any potential revisions, will become a minimum standard by 1 January 2018.
Read more at Number 3 below.
Welcome to the Top 10 list.
Assuming full phasing-in of the Basel III requirements as of 31 December 2014, including changes to the definition of capital and risk-weighted assets, all Group 1 banks would meet the CET1 minimum capital requirement of 4.5% and the CET1 target level of 7.0% (ie including the capital conservation buffer); this target also includes the G-SIB surcharge according to the list of banks published by the Financial Stability Board in November 2014 where applicable.
The aggregate CET1 target level shortfall for Group 1 banks has decreased by €3.9 billion to zero since the prior period.
As a point of reference, the sum of profits after tax prior to distributions across the same sample of Group 1 banks for the six-month period ending 31 December 2014 was €228.1 billion.
Under the same assumptions, all Group 2 banks would meet the CET1 minimum capital requirement of 4.5%; however, the capital is estimated at €1.5 billion for a CET1 target level of 7.0%.
The leverage ratio is a problem.
The average transitional Basel III Tier 1 leverage ratios (ie reflecting all applicable transitional arrangements to the definition of capital) would be 5.5% for Group 1 banks and for G-SIBs 5.3%, while it would amount to 5.6% for Group 2 banks.
The average fully phased-in Basel III Tier 1 leverage ratios are 5.0% for Group 1 banks and 4.9% for G-SIBs, while for Group 2 banks the average is 5.3%.
Ten banks, including three out of 98 Group 1 banks with an aggregate shortfall of €3.1 billion and seven out of 100 Group 2 banks with an aggregate shortfall of €4.3 billion, would not meet a fully phased-in minimum Basel III leverage ratio of 3%.
The Net Stable Funding Ratio is also a problem.
The Net Stable Funding Ratio (NSFR) was revised by the Committee in October 2014.
The end-December 2014 reporting period was the first data collection exercise for which a comprehensive calculation of the revised NSFR standard could be conducted.
As such, comparisons to previous reporting periods are not available for this collection exercise.
Key observations from the current period results include:
• A total of 97 Group 1 and 104 Group 2 banks participated in the NSFR monitoring exercise for the end-December 2014 reference period.
• The weighted average NSFR for the Group 1 bank sample was 111.2% while for Group 2 banks the average NSFR was 113.8%.
• 75% of Group 1 banks and 85% of Group 2 banks meet or exceed the 100% minimum NSFR requirement, with 92% of Group 1 banks and 93% of Group 2 banks at an NSFR of 90% or higher as of end-December 2014.
• The aggregate NSFR shortfall – which reflects the aggregate shortfall for banks that are below the 100% NSFR requirement and does not reflect any surplus stable funding at banks above the 100% requirement – was €576 billion at the end of December 2014 (€526 billion for Group 1 banks and €51 billion for Group 2 banks).
The NSFR, including any potential revisions, will become a minimum standard by 1 January 2018.
Read more at Number 3 below.
Welcome to the Top 10 list.
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