Bank : Update on the Pillar 1 and Pillar 2 capital requirements for major European banks

Publication date 02/02/2018 09:42 - Writing date 02/02/2018 09:39 - - - /nual results of banks and update on distances - - Spring 2018: EC publication of package of measures to reduce NPL - - CRD2/CRR2 publication in the Official Journal of the European Union - - 2 November 2018: publication of stress tests results - - SREP 2018 and Pillar 2 review - - - - - - - - - - - - - - - - - - Given that the Pillar 2 levels under the SREP 2017 have almost all been published, we are updating the 2018 capital requirements for 30 European banks. - > - The Pillar 2 surcharge for 2018 has barely budged vs. 2017, averaging 2%. Changes in methodology, to facilitate comparisons, are planned for 2019. - Capital conservation and systemic buffers increase as they are phased in. More and more countries are considering a countercyclical risk-based capital surcharge for banks, whilst other capital surcharges are rising in a number of countries (2% for Nordics). - - All told, all the banks in our sample show a comfortable distance between the latest phased-in CET1 ratios and this year's requirements. The headroom is somewhat tighter for 2019, given the ramp-up in buffers. Hence, several banks in our sample have a management buffer lower than 200bp. - And they all need to offset the introduction of IFRS 9, the impact of the ongoing review of internal models (TRIM), the long-term review of RWA calculation methodologies and the additional provisions that will be required by the regulator.