2015年11月9日TLAC影响评估总结.pdf

Summary of Findings from the TLAC Impact Assessment Studies Overview Report 9 November 2015 ii Table of Contents Executive Summary 5 Terminology 9 1. Introduction 10 2. QIS Shortfall Analysis 11 2.1 External TLAC – current levels and shortfalls 12 2.2 Internal TLAC – current levels and shortfalls 13 2.3 Maturity analysis 14 2.4 Holdings of TLAC within the system 14 3. Market Capacity Findings 15 3.1 Market size 15 3.2 TLAC Market Survey findings 16 3.3 Credit rating agency findings 18 4. Estimates of Costs of Meeting Shortfalls 19 4.1 Estimates of the cost of eliminating the shortfall 20 4.2 Robustness calculation: a supply surge may increase TLAC spreads 21 4.3 Impact on G-SIBs’ lending rates 22 5. Macroeconomic Impact 23 5.1 Macro costs analysis 23 5.2 Robustness calculation: GDP impact from widening of TLAC spreads 25 5.2 Spillovers 26 5.3 Benefits analysis 27 6. Historical Losses and Recapitalisation Needs 29 iii iv Executive Summary On 10 November 2014, the Financial Stability Board (FSB) published, in consultation with the Basel Committee on Banking Supervision (BCBS), a consultative document on the total loss-absorbing capacity (TLAC) of global systemically important banks (G-SIBs) in resolution, including high-level principles and a more detailed Term Sheet. 1 The Term Sheet proposed that G-SIBs should be required to meet a minimum TLAC requirement set within the range of 16-20% of risk-weighted assets (RWA), and at a minimum twice any Basel III leve