Of Special Interest


[x] [x]

26th July 2011

Estimates of SIFI capital surcharges applied by bank

Morgan Stanley has estimated the level of capital surcharges that would be applied to the largest banks under the additional capital the Systemically Important Financial Institutions (SIFI) banks will be required to hold. With the important caveat that this has been calculated using the banks current financials and importance to its country infrastructure. The Basel Committee published the factors that would be used to measure what additional capital the Systemically Important Financial Institutions (SIFI) banks would be required to hold. The five categories under which banks will be measured are Cross-jurisdictional activity, Size, Interconnectedness, Substitutability and Complexity. Each of the five items would carry a weight of 20%. All banks will be required to provide Core Tier 1 of 7%. In addition to this base level SIFI banks will be required to hold between 1% and 2.5% additional capital. There is a final tier of 3.5% reserved for banks that had been in the 2.5% and continue to grow and become even more systemically important. Initially there will be no banks within the 3.5% band.

Expected capital surcharge above minimum Core Tier 1 requirement of 7%. The Basel III capital levels come into force from 2016 and will be based on 2014 accounting data for the larger banks.

Surcharge 3.5% = total of 10.5%
- None

Surcharge of 2.5% = total of 9.5%
- Bank of America
- Barclays
- BNP Paribas
- Citigroup
- Deutsche Bank
- JPMorgan Chase
- Royal Bank of Scotland

Surcharge of 2.0% - total of 9%
- Credit Suisse
- Goldman Sachs
- Morgan Stanley*

Surcharge of 1.5% total of 8.5%
- Crédit Agricole
- Dexia
- Mitsubishi UFJ*
- Santander
- Société Générale
- UniCredit

Surcharge of 1% total of 8%
- BNY Mellon
- Commerzbank
- Mizuho Financial
- Nordea Bank
- Rabobank
- State Street
- Wells Fargo

Sources: Based on Morgan Stanley analysis. This data appeared in an alternative format in the Financial Times. Items marked with * based upon Financial Times analysis.