Faglegt efni
Breytingar á Basel 3
Áhrif á norræna banka
Boðaðar breytingar á Basel 3 koma til framkvæmda á árunum 2021 til 2028. Þessar breytingar, samhliða áhrifum af COVID-19, munu hafa umtalsverð áhrif og ljóst að stjórnendur þurfa að huga að þeim við stefnumótandi ákvarðanir í framtíðinni.
Meðfylgjandi skýrsla útskýrir áhrif þessara breytinga á Basel 3 á norræna banka. Í skýrslunni eru áhrif á bankana útskýrð, bæði eftir löndum og eins
eftir því hvort stöðluð aðferð (e. standard) eða IRB-aðferð er notuð við
útreikning á eiginfjárhlutfalli.
Þrír íslenskir bankar tóku þátt í æfingu evrópsku bankaeftirlitsstofnunarinnar um áhrifin sem breytingarnar gætu haft og sýna niðurstöður að eiginfjárkröfur íslensku bankanna gætu lækkað um 11% að meðaltali. Áhrifin á aðra norræna banka eru þveröfug, en breytingarnar munu hækka eiginfjárkröfur bankanna, og það umtalsvert í sumum tilfellum.
Athuga skal að skýrslan er á ensku.
To remain competitive, Nordic banks need to manage the strategic impacts of these capital requirement changes. Stakeholders need to understand how Basel 3 reforms combined with COVID 19 could impact credit quality, pricing and the cost of capital. The new requirements are complex and with the COVID 19 impacts still playing out, detailed analysis is needed per bank to assess and manage, the systemic and idiosyncratic impacts.
Our results reinforce the expected overall increase in capital requirements in the Nordic context, with three main conclusions for management to action:
- Banks need to complete in-depth analysis of the composition of real estate portfolios, based on the regulatory Loan-to-Value (LTV) metric, to enable future capital allocation in Standardised and A-IRB banks to be understood, based on high quality data and documentation.
- A-IRB banks need to develop and maintain a deep understanding of capital requirements under the Standardised Approach, given the new capital floor pre-transition.
- Banks need to monitor local and European regulatory discussions closely. Whilst credit portfolios across Nordic banks are broadly comparable, local Nordic regulators are taking different approaches (e.g. country specific RWA floors), reflecting prudential priorities and expectations per country.
Lastly, banks will need to adapt agile capital management strategies as the impacts of COVID-19 play out over the medium term as its difficult to predict the economic recovery, evolution of bank’s balance sheets and the uncertainty of the effects of mitigating government support.