Basel III: Impact on Banks in Brazil

ABSTRACT This article evaluates the potential impacts deriving from the change in required capital of banks in Brazil, with the implementation of Basel III. To do this, a sample of 58 banks was used, which accounts for 80% of the assets in the Brazilian National Financial System, according to the balance sheets of December 2012. The methodology adopted has simulated the need for regulatory capital that will be mandatory in the end of the transition period, in 2019, considering the continuity of risk-weighted assets (RWAs) contained in these balance sheets. Assuming that some banks will resort to the capital market to raise their capitalization level, the return on equity (ROE) for the previous three years was analyzed, compared to the cost of equity, estimated by the International Capital Asset Pricing Model (ICAPM). It was found that 23 institutions had some kind of noncompliance with the new regulatory capital, among them the 3 largest federal public banks. It was also observed that 39 banks have a ROE insufficient to attract new investors. The joint analysis of the adequacy of capital structure and the return level may identify occasional vulnerabilities. It is concluded that implementing Basel III in Brazil may increase the search for greater efficiency and profitability. In a future scenario, the Brazilian banking system may observe a wave of mergers and acquisitions and an increased number of initial public offerings (IPOs).

摘要 本文针对巴西实施巴塞尔协议III所引发的银行监管资本要求变动，评估其潜在影响。为此，本文以2012年12月的资产负债表为基准，选取占巴西全国金融体系总资产80%的58家银行为样本。本文采用的研究方法基于上述资产负债表中的风险加权资产（risk-weighted assets, RWAs）规模保持不变的假设，模拟了2019年过渡期结束时强制实施的监管资本需求。假设部分银行将通过资本市场补充资本金以提升资本充足水平，本文分析了样本银行此前三年的净资产收益率（return on equity, ROE），并将其与通过国际资本资产定价模型（International Capital Asset Pricing Model, ICAPM）估算的股权成本进行对比。研究发现，共有23家机构存在不同程度的新监管资本合规性问题，其中包括巴西规模最大的3家联邦公共银行。同时研究显示，有39家银行的净资产收益率不足以吸引新投资者。结合资本结构充足性与收益水平的联合分析，可识别出偶发的脆弱性风险。研究结论表明，在巴西实施巴塞尔协议III或将推动银行业寻求更高的运营效率与盈利能力。未来巴西银行业或将迎来一波并购浪潮，同时首次公开募股（initial public offerings, IPOs）的数量也将有所增加。