Palgrave Macmillan Studies in Banking and Financial Institutions

Transcription

1 Palgrave Macmillan Studies in Banking and Financial Institutions Series Editor Philip Molyneux Bangor Business School Bangor University Bangor, United Kingdom

2 The Palgrave Macmillan Studies in Banking and Financial Institutions are international in orientation and include studies of banking within particular countries or regions, and studies of particular themes such as Corporate Banking, Risk Management, Mergers and Acquisition. The books focus is on research and practice, and they include up-to-date and innovative studies on contemporary topics in banking that will have global impact and influence. More information about this series at

3 Angelo Baglioni The European Banking Union A Critical Assessment

4 Angelo Baglioni Milano, Dipart Economia e Finanza Università Cattolica Sacro Cuore Milano, Italy Palgrave Macmillan Studies in Banking and Financial Institutions ISBN ISBN (ebook) DOI / Library of Congress Control Number: The Editor(s) (if applicable) and The Author(s) 2016 The author(s) has/have asserted their right(s) to be identified as the author(s) of this work in accordance with the Copyright, Design and Patents Act This work is subject to copyright. All rights are solely and exclusively licensed by the Publisher, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilms or in any other physical way, and transmission or information storage and retrieval, electronic adaptation, computer software, or by similar or dissimilar methodology now known or hereafter developed. The use of general descriptive names, registered names, trademarks, service marks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. The publisher, the authors and the editors are safe to assume that the advice and information in this book are believed to be true and accurate at the date of publication. Neither the publisher nor the authors or the editors give a warranty, express or implied, with respect to the material contained herein or for any errors or omissions that may have been made. Printed on acid-free paper This Palgrave Macmillan imprint is published by Springer Nature The registered company is Macmillan Publishers Ltd. London

5 To Anna and Laura

6

7 CONTENTS 1 Introduction 1 2 Three Reasons for the European Banking Union 7 3 The Single Supervisory Mechanism 31 4 The Comprehensive Assessment 61 5 The Single Resolution Mechanism 81 6 The Missing Pillar: A European Deposit Insurance Summary and Conclusions 125 Index 131 vii

8

9 LIST OF ABBREVIATIONS ABS Asset-backed securities AQR Asset quality review BIS Bank of International Settlements BRRD Bank Recovery and Resolution Directive CDS Credit default swap CET1 Common equity tier 1 CRD Capital requirement directive CRR Capital requirement regulation DGS Deposit guarantee scheme DRI Direct refinancing instrument EBA European Banking Authority ECB European Central Bank EDGS European deposit guarantee scheme EFSF European Financial Stability Facility EIOPA European Insurance and Occupational Pensions Authority ESM European Stability Mechanism ESMA European Securities and Markets Authority ESRB European Systemic Risk Board EU European Union FDIC Federal Deposit Insurance Corporation GDP Gross domestic product G-SIIs Global systemically important institutions JST Joint Supervisory Team LCR Liquidity coverage ratio LSI Less significant institution LTRO (T-) Long-term refinancing operations (targeted-) MREL Minimum requirement for own funds and eligible liabilities ix

10 x LIST OF ABBREVIATIONS NCA NRA NSFR O-SIIs QE RWAs SIIs SRB SREP SRF SRM SSM National Competent Authority National Resolution Authority Net stable funding ratio Other systemically important institutions Quantitative easing Risk-weighted assets Systemically important institutions Single Resolution Board Supervisory review and examination process Single resolution fund Single resolution mechanism Single supervisory mechanism

11 LIST OF FIGURES Fig. 2.1 EU CDS spreads: Banks and Sovereigns ( ) 15 Fig. 2.2 EU CDS spreads: focus on Fig. 2.3 Bank and Sovereign CDS spreads: Italy 17 Fig. 2.4 Bank and Sovereign CDS spreads: Greece 18 Fig. 2.5 Bank and Sovereign CDS spreads: Ireland 18 Fig. 2.6 Bank and Sovereign CDS spreads: Germany 19 Fig. 4.1 AQR adjustments by country (% of RWA) 64 Fig. 5.1 SRF: gradual mutualization 99 xi

12

13 LIST OF TABLES Table 2.1 EU governments support to the banking sector 11 Table 2.2 Total aid amounts paid and received by EU governments ( ) 12 Table 2.3 Government securities held by national bank sectors (as of February 2015 billion euro) 15 Table 3.1 Distribution of tasks within the SSM: significant banks 47 Table 4.1 AQR adjustments by component 65 Table 4.2 Stress test: macroeconomic patterns (euro area) 67 Table 4.3 Aggregate impact on capital under adverse scenario (AQR + stress test) (CET 1 billion euros) 68 Table 4.4 CET1 versus leverage ratios (ECB stress test sample % points) 72 Table 4.5 Shortfalls: CET1 versus leverage (ECB stress test sample billion) 73 Table 4.6 Determinants of risk intensity. Dependent variable: RWA/total assets 75 Table 5.1 BRRD: available instruments 85 Table 6.1 Risk categories and core risk indicators 118 xiii