Comitato di Basilea: nuovo studio di impatto d Basilea III

Il Comitato di Basilea per la Vigilanza bancaria ha pubblicato il Quantitative Impact Study (basato su dati al giugno 2011) sugli effetti dell'applicazione dei nuovi requisiti più stringenti previsti da Basilea III. Qui il comunicato stampa. Cito alcune evidenze (con mie sottolineature):

A total of 212 banks participated in the study, including 103 Group 1 banks (ie those that have Tier 1 capital in excess of €3 billion and are internationally active) and 109 Group 2 banks (ie all other banks). [...]
Based on data as of 30 June 2011 and applying the changes to the definition of capital and risk-weighted assets, the average common equity Tier 1 capital ratio (CET1) of Group 1 banks was 7.1%, as compared with the Basel III minimum requirement of 4.5%. In order for all Group 1 banks to reach the 4.5% minimum, an increase of €38.8 billion CET1 would be required. The overall shortfall increases to €485.6 billion to achieve a CET1 target level of 7.0% (ie including the capital conservation buffer); this amount includes the surcharge for global systemically important banks where applicable. As a point of reference, the sum of profits after tax and prior to distributions across the same sample of Group 1 banks in the second half of 2010 and the first half of 2011 was €356.6 billion.
For Group 2 banks, the average CET1 ratio stood at 8.3%. In order for all Group 2 banks in the sample to meet the new 4.5% CET1 ratio, the additional capital needed is estimated to be €8.6 billion. They would have required an additional €32.4 billion to reach a CET1 target 7.0%; the sum of these banks' profits after tax and prior to distributions in the second half of 2010 and the first half of 2011 was €35.6 billion.
The Committee also assessed the estimated impact of the liquidity standards. Assuming banks were to make no changes to their liquidity risk profile or funding structure, as of June 2011, the weighted average Liquidity Coverage Ratio (LCR) for Group 1 banks would have been 90% while the weighted average LCR for Group 2 banks was 83%. The aggregate LCR shortfall is €1.76 trillion which represents approximately 3% of the €58.5 trillion total assets of the aggregate sample. The weighted average Net Stable Funding Ratio (NSFR) is 94% for both Group 1 and Group 2 banks. The aggregate shortfall of required stable funding is €2.78 trillion.

In effetti nel sistema in media siamo giù sugli standard di Basilea III, ma non sono poche le banche (specie di grandi dimensioni) che dovranno incrementare il loro capitale per adeguarsi. Le banche sottocapitalizzate dovrebbero accantonare a riserve più di un anno di reddito netto.
Anche i ratio sul rischio di liquidità potrebbero costringere ad aumentare sensibilmente la durata media della raccolta. E' probabile che continui l'alleggerimento dei bilanci bancari verso forme di shadow banking.