Historical Capital Regulation of Banks. Standards and Influence of Basel Accords

Contents

List of Abbreviations

List of Charts

List of Tables

1. Introduction
1.1 Motivation
1.2 Focused topics and structure of the work

2. Forming of BCBS and its early works
2.1 Disintermediation and the forming of BCBS
2.2 Basel Concordat
2.3 UK/US agreement and Basel framework

3. Basel I Accord
3.1 Capital base
3.1.1 Capital tiering
3.1.2 Deductions from the capital base
3.2 The risk weights
3.2.1 Risk-weighted assets calculation
3.2.2 Risk weights by category of on-balance-sheet asset
3.2.3 Credit conversion factors for off-balance-sheet items
3.3 Capital adequacy formula and target ratio
3.3.1 Capital adequacy formula
3.3.2 Target ratio
3.4 Transitional arrangements
3.5 The evolvement of the Accord

4. Basel II Accord
4.1 Three Pillars
4.1.1 Minimum Capital Requirements
4.1.2 Supervisory Review Process
4.1.3 Market Discipline
4.2 Credit risk weighting approaches in the Basel II Accord
4.2.1 The standard approach
4.2.2 The Internal Rating Based Approach
4.3 Fails of Basel II Accord

5. Basel III Accord
5.1 Responding to the Great Financial Crisis
5.2 Higher global minimum capital standards
5.3 The issue of Basel III Accord
5.3.1 Capital Tiering
5.3.2 Capital conservation buffer
5.3.3 Capital countercyclical buffer
5.3.4 Changes in the minimum requirements
5.3.5 Leverage ratio
5.3.6 Liquidity coverage ratio

6. Conclusions

References

List of Abbreviations

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List of Charts

Chart 1: Annual percentage change in banks ’ cross-border claims by all sectors

Chart 2: Credit growth and CCyB announcements

Chart 3: Capital Adequacy Information of Germany Banks

Chart 4: Leverage Ratio of Germany Banks

Chart 5: Liquidity Coverage Ratio of Germany Banks

List of Tables

Table 1: Capital tiering in Basel I Accord

Table 2: Deductions from Tiers in Basel I Accord

Table 3: On-balance-sheet asset risk weight

Table 4: Off-balance-sheet item conversion factor 9

Table 5: Current exposure method credit conversion factor

Table 6: Original exposure method credit conversion factor

Table 7: Transitional arrangements in Basel I Accord

Table 8: Calibration of the Capital Framework

Table 9: Comparison of Basel Accords

1. Introduction

1.1 Motivation

The international banking system keeps growing in the year 2019. According to the BCBS’s report, in the second quarter of 2019, global cross-border bank claims rose by $365 billion, to $31 trillion by the end of June. Their annual growth rate, which since the Great Financial Crisis averaged around 0 percent, reached a post-crisis high of 6 percent as shown in the following chart.^{1 2}

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Chart 1: Annual percentage change in banks ’ cross-border claims by all sectors

While international banking plays an even more important role as the infrastructure of the world financial market, there are some voices indicate that the supervision on it should keep evolving. At present, the most important international banking system regulation standard is the Basel III Accord, which was issued by the Basel Committee on Banking Supervision (BCBS). When Basel III Accord was issued in 2010 in response to the Great Financial Crisis, it was called “regulation reform”. But in 2016 and 2017 a few changes have been agreed to the Basel III Accord to “finishing reforms”, according to BCBS³. Those changes have been called with contested terms “Basel IV Accord”^{4 5} or “Basel 3.1”5

1.2 Focused topics and structure of the work

This article focused on introducing the history of the evolvement of bank capital adequacy requirements, which as a part of international banking system regulation. The following topics will be discussed:

- What institution is charging international banking supervision;
- What are Basel Accords;
- What are the standards in Basel Accords;
- What influences have made by Basel Accords?

With those topics, the article is divided into 4 sections. The background about the forming of BCBS and the early works for issuing Basel 1988 Accord will be introduced second chapter. The Basel I Accord, the Basel II Accord and the Basel III Accord will be presented in the third, fourth and fifth chapters.

2. Forming of BCBS and its early works

2.1 Disintermediation and the forming of BCBS

Before the establishing of unified international banking supervision standards, the banking system from each country all will be exposed to a mechanism known as disintermediation, whereby the more tightly controlled institutions lose business to their more loosely regulated counterparts, while their supervisor attempting to enhance the domestic financial stability. This has indicated that the (international) banks in that country will generally resist authoritarian domestic regulation. Since regulation usually requires the consent of the governed, at least to some degree, to be effective, this has meant that banking regulation has to be organized on an international basis.⁶

With this problem, following significant disruptions in the international currency and banking markets (notably the collapse of the Bankhaus Herstatt in West Germany), the Basel Committee, initially named the Committee on Banking Regulations and Supervisory Practices, was formed at the end of 1974 by the Central Bank Governors of the Group of Ten Countries. The Committee, headquartered at Basel's Bank for International Settlements, was established to enhance financial stability by improving the standard of banking supervision worldwide and to serve as a forum for regular cooperation on banking supervisory matters between its member countries.^{7 8}

2.2 Basel Concordat

One significant aim of the Committee's work at the outset was to narrow the holes in international supervisory reporting so that:

- No banking institution will avoid oversight;
- Supervision for all Member jurisdictions should be sufficient and clear.

The paper published in 1975 which became known as the "Concordat" was the first step in this direction. The Concordat sets out guidelines for sharing oversight responsibilities among host and parent (or home) supervisory authorities for international branches, subsidiaries and joint ventures of banks. The Concordat was revised and reissued as Principles for the supervision of banks' foreign establishments. in May 1983.8

2.3 UK/US agreement and Basel framework

While the BCBS struggled years to make a standard framework, that could satisfy and be agreed by all Governors from G10 countries, the dinner in the governor of the Bank of England’s flat at New Change, on 2 September 1986, when Robin Leigh-Pemberton hosted Paul Volcker is, perhaps, the most celebrated occasion in the history of international financial regulation. At that time both of the Fed and BOE were trying to upgrade their domestic capital adequacy rules that can integrate off-balance-sheet items, for example, swaps, options, financial futures, and credit guarantees, into their separate risk-weighted bank capital models, Volcker recommended that their collaboration start there. In only 3 months the framework of UK/US agreement has already been formed, thanks to the early investigating of BCBS. The framework has a common definition of capital, a five-category risk weight, exactly like the Basel 1988 Accord. They also assume, if they refuse to admit foreign banking institutions into London/New York except they agreed to take the UK/US requirements, then all the international banks would have to do so.⁹

This agreement was announced at the BCBS’s meeting on 10-11 December 1986 and as assumed, the other governors agreed to modify the UK/US agreement to a global capital adequacy supervision standard. In the year 1987, the capital tiering and the minimum capital ratio were settled with a series of meetings.

3. Basel I Accord

The G10 Governors approved a capital measurement system widely known as the Basel Capital Accord and issued it to banks in July 1988. This document is more like a manual than an agreement for the international cooperated banking regulation, it contains four parts: (a) the constitutions of capital, (b) the risk weights, (c) a target standard ratio, and (d) transitional and implementing arrangements.

3.1 Capital base

To set a certain capital adequacy ratio, the definition of capital must be cleared first. According to the document, the capital of a bank has been divided as Tier 1 and Tier 2, and the sum of Tier 1 and Tier 2 elements will be eligible for inclusion in the capital base.

3.1.1 Capital tiering

In Basel I Accord the capital Tier I, also as the core capital or basic equity, was selected with following characters: This key element of capital is the only element common to all countries' banking systems; it is wholly visible in the published accounts and is the basis on which most market judgments of capital adequacy are made, and it has a crucial bearing on profit margins and a bank's ability to compete. The other important but not fitted with conditions capital belongs to Tier 2:

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Table 1: Capital tiering in Basel I Accord

3.1.2 Deductions from the capital base

By calculating the risk-weighted capital ratio, the deduction should be made from the capital base. Usually, these deductions resolve the high degree of ambiguity that these products have a positive realizable value during stress times and are often applied to Tier 1 capital. Important deductions are goodwill and other intangible assets, deferred tax assets and investments in other financial entities.10

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Table 2: Deductions from Tiers in Basel I Accord

3.2 The risk weights

To building a wildly acceptable and executable method for assessing the capital adequacy of banks, the following features have been considered:

- It should provide a fairer basis for international comparisons between banking systems which may have different structures;
- It should allow for the easier incorporation of off-balance sheet exposures into the measure;
- It shall not deter banks from holding liquid or other low-risk assets.

According to those features, a weighted risk ratio in which capital is related to a specific asset or off-balance sheet exposure categories, weighted according to broad categories of risk profile, has been chosen as the preferred method for evaluating banks' capital adequacy.¹⁰

3.2.1 Risk-weighted assets calculation

Under the framework of Basel I Accord in the year 1988, the RWA only covered the credit risk of on-balance-sheet assets and off-balance-sheet items.

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3.2.2 Risk weights by category of on-balance-sheet asset

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Table 3: On-balance-sheet asset risk weight

3.2.3 Credit conversion factors for off-balance-sheet items

The framework takes account of the credit risk on off-balance-sheet exposures by applying credit conversion factors to the different types of off-balance-sheet instruments or transactions. The off-balance-sheet items are treated differently if they are regular or related to foreign exchange and interest rate. The regular off-balance-sheet items could be converted to RWA with the following table.

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Table 4: Off-balance-sheet item conversion factor

Treatment of foreign exchange and interest-rate related instruments requires special attention as banks are not exposed to credit risk for their contracts' full face value, but only to the possible expense of replacing the cash flow. Despite the broad variety of different instruments on the market, the theoretical basis for determining credit risk on all of these instruments remained the same. It consisted of an analysis of the behavior of matched swap pairs under various presumptions of volatility.¹¹ To convert those instruments to RWA, G10 supervisors introduced the current exposure method and original exposure method.

Current exposure method The current exposure method has two characteristics: It focused on the contract’s residual maturity; No estimation needed. It simply asks banks to calculate the current replacement cost by marketing contracts to market, then adding a factor to reflect the potential future exposure over the residual maturity of the contract. With this method, the credit equivalent amount of off-balance-sheet interest rate and foreign exchange rate instruments are calculated as the sum of the total replacement cost of all its contracts with positive value and an amount for potential future credit exposure calculated based on the total notional principal amount of its book, which calculated according to its residual maturity with the following table.¹²

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Table 5: Current exposure method credit conversion factor

Original exposure method The original exposure method’s characteristics are exactly opposite to the current exposure method: It focused on the contract’s full maturity; Estimation is considered. With this method, the credit equivalent amount of off-balance-sheet interest rate and foreign exchange rate instruments are calculated as the notional value converted with the credit conversion factor in the following table.

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Table 6: Original exposure method credit conversion factor

3.3 Capital adequacy formula and target ratio

3.3.1 Capital adequacy formula

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3.3.2 Target ratio

In the light of consultations and preliminary testing of the framework, the Committee is agreed that a minimum standard should be set now which international banks generally will be expected to achieve by the end of the transitional period. It is also agreed that this standard should be set at a level that is consistent to secure over time soundly-based and consistent capital ratios for all international banks. Accordingly, the Committee confirms that the target standard ratio of capital to weighted risk assets should be set at 8% (of which the core capital

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3.4 Transitional arrangements

This is expressed as a common minimum standard which international banks in member countries will be expected to observe by the end of 1992, thus allowing a transitional period of some four-and-a-half years for any necessary adjustment by banks who need time to build up to those levels. The Committee fully recognizes that the transition from existing, sometimes long-established, definitions of capital and methods of measurement towards a new internationally agreed standard will not necessarily be achieved easily or quickly. The full period to end-1992 is available to ensure progressive steps towards adjustment and banks whose ratios are presently below the 8% standard will not be required to take immediate or precipitate action.

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Table 7: Transitional arrangements in Basel I Accord

3.5 The evolvement of the Accord

The Framework was only intended to develop over time. This is the list of the documents published after Basel Accord 1988 but before Basel II Accord.

- Amendment of the Basel capital accord in respect of the inclusion of general provisions/general loan-loss reserves in the capital (November 1991)
- Basel Capital Accord: treatment of potential exposure for off-balance-sheet items (April 1995)
- Interpretation of the capital accord for the multilateral netting of forward value foreign exchange transactions (April 1996)
- Amendment to the capital accord to incorporate market risks (January 1996)

Market risk The Committee also refined the framework for addressing risks other than credit risk, which was the major focus of the Basel 1988 Accord. Following two consultative processes, the Committee released an amendment to the Capital Accord in January 1996 to integrate market risks, to take effect at the end of 1997.

Once obligated by the Market Risk requirement, banks must evaluate and apply capital charges in addition to credit risks in perspective to their market risks. Market risk is characterized as the risk of losses in on and off-balance sheet positions that result from stock price volatility. The risk belongs to this requirement are:

- Risks in the Trading Book relevant to the interest rate instruments and equities;
- Foreign exchange risk and commodities risk throughout the bank.

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Tier 3 capital

Along with taking the market risk into accounting, the Tier 3 capital has also been introduced. Tier 3 capital is defined as a short-term subordinated debt and its sole purpose is to meet a proportion of the capital requirements for market risks. Besides, a bank must be granted from its national authority to use Tier 3 capital.

4. Basel II Accord

In June 1999 the Committee released a proposal to update the 1988 Accord with a new capital adequacy framework. That resulted in a revised capital framework being issued in June 2004.¹³

4.1 Three Pillars

The most significant update in Basel II Accord compared with Basel I Accord is that the framework focused not only on the risk measurement and capital calculation (the first pillar), but also introduced supervisory review process (the second pillar) and market discipline (the third pillar) as the other parts of the whole framework.

4.1.1 Minimum Capital Requirements

Minimum capital standards aimed at establishing and expanding the basic principles set down in the Basel I Accord, but this time the assets are weighted consistent with three risks: (a) credit risk, (b) market risk and (c) operational risk.

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Operational risk Operational risk is characterized as the risk of failure resulting from insufficient or ineffective internal procedures, people and systems, or from external events. This description encompasses legal risk but excludes both reputational and strategic risks.16

Besides the introduction of operational risk into the risk-weighted asset calculation. There are some adjustments to specific risk shares. For example, the item “Central governments, central banks, and international financial institutions similar (for exposures other than the ones denominated and funded in local currency)” used to weighted as 0% exposure in Basel I Accord but as 50% in Basel II Accord.

4.1.2 Supervisory Review Process

As the second pillar, the supervisory process for the bank activity that involves: (a) The own equity independent performance evaluation processes; (b) The supervisory authority is responsible for the method of evaluation of the banks; (c) Improving communication between bank and supervisor and (d) Rapid action to save capital loss17

4.1.3 Market Discipline

Market discipline requires more comprehensive reporting criteria on market structure, risk exposures, capital adequacy to the risk profile, from both the central bank and the public. —

These requirements include the frequent release of details (by the national banks every six months and by globally involved banks every quarter).¹⁴

4.2 Credit risk weighting approaches in the Basel II Accord

The Committee allows the banks to choose between two broad methodologies for calculating their credit risk capital requirements. One alternative, the Standardized Approach, will be to standardize the measurement of credit risk, supported by external credit assessments. The other option, the Internal Ratings-based approach, which is subject to the bank's supervisor's express approval, would allow banks to use their own credit risk rating systems.¹⁵

4.2.1 The standard approach

The standard approach is similar to the one suggested by Basel I Accord, but while defining the risk weights in the standardized approach, banks may use valuations by external credit assessment institutions, for example the credit assessment for Standard & Poor, or risk scores from other export credit agencies. It also approves banks to buy a credit derivative to offset various forms of credit risk.

4.2.2 The Internal Rating Based Approach

Under certain minimum conditions and requirements for disclosure, banks that have obtained supervisory approval to use the IRB approach can depend on their own internal assessments of risk components to assess the capital requirement for a specific exposure.¹⁶

4.3 Fails of Basel II Accord

After the Great Financial Crisis, the fail of the Basel II Accord has discussed among a huge amount of articles. The following two points are selected because they are related to this article.

Basel II enabled systemically critical institutions to gain a competitive advantage in the apparent diversification that resulted in capital buffers being reduced. While Basel I was unable to cope with securitized instruments, the solution introduced in the new agreement offered only a partial remedy, produced feedback loops, and thus strengthened the system's pro-cyclical effects. Basel II overlooked a variety of significant risks and underestimated banks' ability to handle those threats. The unnecessary linking with external ratings should also criticize, as well as the entire methodology's orientation towards historical data and depending on good terms about bank liquidity.¹⁷

While Basel II Accord was adopted substantially at the same time as the crisis, the first version which was already recognized since 2004 and has since established an investment strategy, including the detrimental practices of lending. Large international banks were able to exploit outcomes to their benefit in the regulatory process. As an example of the BCBS surrender before banks, an advanced variant of the IRB approach helps large banks to reduce the necessary capital requirements.¹⁸

5. Basel III Accord

5.1 Responding to the Great Financial Crisis

Even before the collapse of Lehman Brothers in September 2008, it had become clear that the Basel II framework needed a fundamental enhancement. With too much debt and insufficient reserves of liquidity, the banking sector triggered the financial crisis. The dangerous combination of these factors has been demonstrated by the mispricing of credit and liquidity risks, and the growth of excess credit. In response to those risk factors, in the same month that Lehman Brothers failed, the Basel Committee released a paper. In July 2009, the Committee released a further package of documents to reinforce the Basel II Accord capital system, particularly regarding the treatment of some dynamic securitization roles, off-balance-sheet items, and exposures to trading books. These changes were part of a wider initiative to improve globally active bank regulation and supervision, despite the shortcomings exposed by the financial market crisis.¹⁹

5.2 Higher global minimum capital standards

The Group of Governors and Heads of Supervision, the oversight body of the Basel Committee on Banking Supervision, announced a significant strengthening of existing capital requirements and the transition arrangements at its meeting on 12 September 2010, which fully supported the agreements it reached on 26 July 2010. Such capital reforms, along with the implementation of a global liquidity standard, are at the core of the global financial reform agenda and will be discussed at the G20 Leaders Summit in November in Seoul.²⁰ This document has been organized and reissued as Basel III Accord.

5.3 The issue of Basel III Accord

The new capital and liquidity requirements were endorsed at the G20 Leaders' Summit in Seoul in November 2010 and were then accepted at the meeting of the Basel Committee in December 2010. The proposed requirements were (and subsequently revised) published by the Committee in mid-December 2010. The December 2010 versions were set out in Basel III: International framework for liquidity risk measurement, standards and monitoring, and Basel III: A global regulatory framework for more resilient banks and banking systems. ²¹

5.3.1 Capital Tiering

According to Basel III Accord, the most significant change in Tiering is the Tier 1 capital has two types now: (a) Common equity Tier 1 (CET1) and (b) Additional Tier 1. Additional Tier 1 capital is classified as non-common equity instruments, which is eligible for inclusion in this tier. An example of the Additional Tier 1 capital is a contingent convertible or hybrid security that has a permanent term and when a trigger event occurs can be transformed into equity. This measure is better captured by the Tier 1 capital ratio, which measures a bank’s capital against its assets. Because not all assets carry the same risk, a bank's acquired assets are weighted based on the credit risk and market risk presented by each asset.²² Also, Tier 3 capital has been removed from the capital base.

5.3.2 Capital conservation buffer

Consistent with this document, the standards of minimum common equity ratio requirement, the Tier 1 Capital ratio requirement has been increased. Besides those, the item “capital conservation buffer (CCoB)” are now under monitoring.

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The capital conservation buffer is a capital buffer of 2.5 percent of the total exposures of a bank that needs to be met with an exceeding amount of Common Equity Tier 1 capital. The buffer sits on top of the Common Equity Tier 1. Its target is to conserve the capital of a bank. When a bank breaches the buffer, automatic safeguards are applied to limit the amount of dividend and bonus payments that it may make.²³

5.3.3 Capital countercyclical buffer

Along with the CCoB, a very similar standard Countercyclical Buffer (CCyB) was introduced in this document at the same time.

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The countercyclical buffer is structured to ensure that the capital requirements of the banking sector take into account the macro-financial world in which the banks work. It will be implemented by national jurisdictions when excess aggregate credit growth is considered to be correlated with market-wide risk build-up to ensure a capital buffer for the banking system to protect against possible potential losses.28 Instead of having a fixed ratio standard, the requirements of CCyB are dependent on each country’s Governance and modified with the financial market situation. The credit-to-GDP gap plays a key role in setting the CCoB rate. It shows to what extent loans rise faster than economic production historically. A large positive difference may be an indication of excessive credit expansion.29 With the rising volume of credit, countries announced their positive CCyB standards.

5.3.4 Changes in the minimum requirements

According to the Basel III Accord documents, the minimum requirements of each standard has been rosed. The Minumum CET1 ratio requirement has been rosed from 2% to 4.5%, due to the new-added conservation buffer requirement at 2.5%. The other requirements have been collected in the following table.

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Table 8: Calibration of the Capital Framework

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The following chart shows how the Germany banks’ CET1 and Tier 1 capital moved.

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Chart 3: Capital Adequacy Information of Germany Banks²⁴

5.3.5 Leverage ratio

According to Basel III Accord, one of the underlying characteristics of the crisis was the creation of excessive on- and off-balance sheet leverage within the banking system. Banks have in many cases built up excessive leverage while still exhibiting high risk-based capital ratios. The Committee, therefore, decided to implement a clear, straightforward, non-risk leverage ratio that is designed to serve as a reliable supplementary measure to the requirements of risk-based capital.^{25 26}

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Chart 4: Leverage Ratio of Germany Banks

5.3.6 Liquidity coverage ratio

The LCR aims to encourage resilience to potential liquidity disruptions over a 30-day horizon. It will also ensure that global banks have enough unburdened, high-quality liquid assets to mitigate the net cash outflows that they may face under an acute short-term stress scenario. The defined scenario is based on circumstances faced in the 2007 global financial crisis and includes both institution-specific and systemic shocks.^{27 28 29 30 31 32}

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The information about LCR from Germany banks has been collected in the following chart.

Chart 5: Liquidity Coverage Ratio of Germany Banks ³⁴

6. Conclusions

Through a view of history capital adequacy supervisions in a few sections:

- Investigation of the possibility of collaboration supervision at the international banking system.
- Basel 1988 Accord: Capital tiering; Credit risk calculation; Minimum capital ratio requirement.
- Basel I Accord: Market risk calculation.
- Basel II Accord: Operational risk calculation; Supervisory review process; Market discipline.
- Basel III Accord: Leverage ratio; Liquidity coverage ratio; Capital conservation buffer; Capital countercyclical buffer.

Improvements can be found in two dimensions as in the following table:

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Table 9: Comparison of Basel Accords

By keep introducing new and effective tools and concepts, it is a more stable and more efficient international banking system to be expected.

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[...]

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¹ C.f. Basel Committee on Banking Supervision (2019), P. 1.

² Source: BIS locational banking statistics

³ C.f. Basel Committee on Banking Supervision (2019), P. 3.

⁴ C.f. Davies, Howard (2017).

⁵ C.f. UK Government (2020), P. 2.

⁶ C.f. Goodhart, C. (2011), P. 2.

⁷ C.f. Basel Committee on Banking Supervision. (n.d.), History of the Basel Committee.

⁸ C.f. Basel Committee on Banking Supervision (n.d.), History of the Basel Committee.

⁹ C.f. Goodhart, C. (2011), P. 170.

¹⁰ C.f. Committee on Banking Regulations and Supervisory Practices (1988), P. 8.

¹¹ C.f. Committee on Banking Regulations and Supervisory Practices (1988), P. 24.

¹² C.f. Committee on Banking Regulations and Supervisory Practices (1988), P. 26.

¹³ C.f. Basel Committee on Banking Supervision (n.d.), History of the Basel Committee.

¹⁴ C.f. Sbârcea, I. R. (2014), P. 337.

¹⁵ C.f. Basel Committee on Banking Supervision (2006), P. 19.

¹⁶ C.f. Basel Committee on Banking Supervision (2006), P. 52.

¹⁷ C.f. Masera, R. (2010), P. 302-303.

¹⁸ C.f. Lall, R. (2009), P. 3-13.

¹⁹ C.f. Basel Committee on Banking Supervision (n.d.), History of the Basel Committee.

²⁰ C.f. Basel Committee on Banking Supervision (2010).

²¹ C.f. Basel Committee on Banking Supervision (n.d.), History of the Basel Committee.

²² C.f. Investopedia (2020).

²³ C.f. Capital conservation buffer (2019).

²⁴ Source: European Central Bank Statisitcal Data Warehouse

²⁵ C.f. Basel Committee on Banking Supervision (2010), P. 61.

²⁶ Source: European Central Bank Statisitcal Data Warehouse

²⁷ C.f. Basel Committee on Banking Supervision (2010), P. 9.

²⁸ C.f. Basel Committee on Banking Supervision (2010), P. 57.

²⁹ C.f. Tente, N., Stein, I., Silbermann, L., & Deckers, T. (2015), P. ii.

³⁰ Source: European Central Bank Statisitcal Data Warehouse

³¹ C.f. Basel Committee on Banking Supervision (2010), P. 61.

³² Source: European Central Bank Statisitcal Data Warehouse

³³ C.f. Basel Committee on Banking Supervision (2010), P. 9.

³⁴ Source: European Central Bank Statisitcal Data Warehouse