2015年-BIS国际清算银行_Assessing_the_economic_costs_and_benefits_of_TLAC_implementation_42页_1mb

报告摘要

Summary of the Report: Assessing the Economic Costs and Benefits of TLAC Implementation

Core Content

This report, submitted by an Experts Group chaired by Kostas Tsatsaronis to the Financial Stability Board (FSB), evaluates the economic costs and benefits of implementing the Total Loss Absorbing Capacity (TLAC) standard. The study focuses on the impact of TLAC on Global Systemically Important Banks (G-SIBs) and provides an analysis of both microeconomic and macroeconomic effects.

Main Objectives

To assess the microeconomic costs for individual G-SIBs in meeting TLAC requirements.
To evaluate the macroeconomic costs and benefits to the economy as a whole.
To consider the spillover effects of TLAC on host economies and those through trade and financial channels.
To estimate the benefits from TLAC, particularly in terms of market discipline, bank resiliency, and reduction in fiscal costs of crises.

Key Assumptions

The analysis is based on the TLAC Consultative Document and the Term Sheet.
It uses calibration ranges for TLAC requirements (16–20% of RWA and 6–10% of EM).
The least-cost approach is assumed, where banks substitute their most expensive non-TLAC liabilities with TLAC-eligible ones.
The analysis takes a long-term perspective and assumes that non-TLAC liabilities will be replaced by TLAC-eligible ones.
The cost-benefit analysis is fair but conservative, underestimating net benefits to account for uncertainty.

Main Findings

Microeconomic Costs

The microeconomic costs for G-SIBs to meet TLAC requirements are contained.
The average annual microeconomic costs range from €400 to €950 million depending on the calibration.
For Calibration 1 (16% RWA and 6% EM), the median shortfall is €14.3 billion, and the total shortfall across all G-SIBs is €750 billion.
For Calibration 4 (20% RWA and 10% EM), the median shortfall is €53.0 billion, and the total shortfall is €1,755 billion.
The increase in funding costs is estimated in basis points (bps) and is reported in Table 3. For Calibration 1, the median increase is 42.7 bps, and for Calibration 4, it is 99.5 bps.
The total annual funding cost increases range from €11.7 billion (Calibration 1) to €31 billion (Calibration 4).

Macroeconomic Costs

The macroeconomic costs are limited and mainly come from potential increases in lending rates due to higher funding costs.
The estimated drag on GDP is between 1.9 and 5.3 bps, depending on the calibration.
The costs of compliance are significantly lower than the benefits from TLAC, which include enhanced market discipline, reduced risk-taking, and lower fiscal costs during crises.
The annual macroeconomic benefits in terms of GDP are estimated to be between 45 and 60 basis points.

Spillovers

TLAC implementation can have spillover effects on host economies and through trade and financial channels.
These effects are analyzed in Section 5, which highlights the potential macroeconomic impacts of G-SIBs' actions on the broader economy.

Benefits from TLAC

The main benefit of TLAC is enhanced market discipline, which helps contain risk-taking by G-SIBs.
TLAC improves bank resiliency by at least one-third, based on existing academic research.
It reduces the likelihood of systemic crises and lowers the fiscal burden when crises occur.
The impact on the cost of a crisis is also discussed, with the report concluding that the benefits outweigh the costs.

Key Information

TLAC shortfalls vary significantly among G-SIBs, with some having near-zero shortfalls and others having large shortfalls.
OSMLs (Other Selected Marketable Liabilities) are a key source of funding for G-SIBs, and their availability is crucial for meeting TLAC requirements.
The ratio of shortfalls to OSMLs is used to assess the feasibility of meeting TLAC requirements, with some banks showing serious shortages.
Funding cost increases are shown in Table 3, with the median increase ranging from 42.7 bps to 114.9 bps.
The impact on lending rates is estimated to be between 5 and 15 bps, depending on the calibration.
The total annual funding cost increases for all G-SIBs range from €11.7 billion to €31 billion.

Conclusion

The report concludes that the economic benefits of TLAC significantly outweigh its costs. The annual benefits in terms of GDP are estimated to be between 45 and 60 basis points, while the costs are much lower, ranging from 1.9 to 5.3 bps. The analysis is conservative, and the actual net benefits may be higher than estimated. The implementation of TLAC is expected to improve bank resiliency, reduce the likelihood of systemic crises, and lower the fiscal costs associated with resolving banks in crisis.