CEBS published a report on the effects of the Capital Requirements Directive on the amount of the regulatory minimum capital in Europe, summarizing the results of the fifth Quantitative Impact Study. These show that minimum required capital under the Pillar 1 provisions of the CRD would, on average and on the basis of the present rather favourable macroeconomic juncture, decrease relative to the current regime. Additionally the results show that the CRD provides on average an incentive for European banks to move to more sophisticated risk measurement and management techniques.
Compared with the current regulation, the largest decrease in the minimum required capital is due to residential mortgage exposures, followed by other retail exposures. The reported reductions are larger under the IRB Approaches than under the Standardised Approach. Corporate exposures, including SMEs, account for the third largest reduction, again in particular under the IRB approaches. These results might be influenced by the favourable macroeconomic situation in most countries. Unsurprisingly, operational risk capital charges represent the largest increase in MRC compared with the current regulation.
Press release
QIS5 results
© CEBS - Committee of European Banking Supervisors
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