了解欧盟银行业资本框架

Understanding the banking sector Skirmantas Dzezulskis,Massimo Libertucci, Samuel McPhilemy Contents Abstract2 Non-technical summary3 1 Introduction5 2.1A Single Rulebook, adapted for a diverse banking sector82.2The multi-level supervisory framework11 3The capital impact of EU specificities3.1Quantifying EU implementation choices 4The evolution of capital adequacy, related requirements and 23 4.1Capital adequacy4.2Capital requirements 5The capital framework in international comparison35 6Conclusion 40 7References42 Abstract This paperdescribes and evaluatesthe European Union (EU) banking sector capitalframework, focusingon howtheinternational standardsset by the Basel Committeeon Banking Supervisionhave been implementedwithin the EU. Using granularsupervisory data forsignificant institutions under the Single Supervisory Mechanism(SSM),wequantifythe capital impact of EU-specificregulatorychoices,supervisorymeasures and macroprudentialpolicies.Weshowthat most EU capital requirementsstemfromBasel standards,whichencompass both prescriptive “Pillar 1”componentsandelementsthat areexpectedto bedesigned and calibrated at thejurisdictional level. The paper describesthe evolution of capital ratiosandrequirements since the inception of the SSM and discusses the relationship between Keywords:Basel III; bank capital regulation; European Union banking sector; JELclassification:G21, G28, F36 Non-technical summary This paperdescribesand evaluatesthe European Union’s bank capitalframework,focusingon howthe internationally agreed Basel standardshavebeen implemented in theEU.Itaddressesthree questions:first, how the EUhas Thepaperdescribesthe key features of the EU’s implementation of Basel standards.This includesthe waysin whichthe EU’s single rulebook is adapted to adiverse banking sector, allowing banks of differentsizes and business models tocomply with rules ofvaryingcomplexity, and providing variousoptions anddiscretionstoaccommodatespecific arrangements.This paperalsooutlines thesupervisory arrangementsin placeunder the Single Supervisory Mechanism, notablythe common Supervisory Review and Evaluation Process, bank-specific Pillar 2requirements and forward-looking Pillar 2guidance, alongside a decentralisedmacroprudential framework where national authoritiesremain primarily responsiblefor setting capital buffers, which theECB may “top up”. Thispaper quantifies the cumulative impact of EU-specific choices onminimum required capital forsignificant institutions, based on granularsupervisory data.In doing so,the paperdevelopsa taxonomy thatgroupsEU rulesintodifferentbuckets: prescriptive Basel elements,non-prescriptiveBasel elementscalibratedat EU level, “super-equivalences” that are stricter than Basel, and“deviations” that are less strict.The estimates suggest thatthe majority of EUrequirements derive directly from prescriptive elements of the Basel standards–i.e., The paperalsotracesthe trajectory ofcapital ratios and requirements sincetheinceptionof the SSM.Banks have builtupstrong capital positions, with CET1and Tier 1 ratioshaving risenmarkedly over the past decade.Aggregaterequirements rose during theinitialBasel III phase-inperiod, fell temporarily during “output floor”–which limits the capital benefits banks can obtain from using internalmodels to risk-weight their assets–is expected to have a limited average impactthrough to2030.Theeffects will vary by bank and could increase oncecertain The paper advocates a nuanced understanding of the impact of capitalrequirements onindicators ofbanking sector performance.For most of theperiod since the inception of the SSM,the volume of new lendingto firms andhouseholds has been rather muted when assessed inreal terms, albeit with some To provide a comparative perspective, the paper applies a model-based counterfactual exercise.It asks howminimum requirementsofsignificantEUinstitutions would change if those banks werehypotheticallysubject to the keyfeatures of thecurrentUS prudential framework. These features include, inter alia,the “tailoring”of requirements across banks of different sizes, theUS framework forsetting buffers based on stress tests,andlegallimitationsonthe benefits banks canobtain from using internal models. On average, the counterfactual US rules wouldresult insomewhathigher capitalrequirementsfor the whole sample. The difference In conclusion, the paper finds thatEUcapitalrequirements are broadlycomparable to those in other jurisdictions andarelargelyin line with international standards.While the paper does notcomprehensivelyreviewevidence onthe relationship between capital requirements andbanking sectorperformance, itcautions against interpretingperformanceindicatorssuch as returnon equity orlending volumestoo narrowly, as this can overlook the intended effects The role of prudential banking regulation in shaping economic growth andcompetitivenessis at the centreof agrowingdebate.1Banks are central to thefinancing of modern ec