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March 06, 2018

BCBS published a report that presents results of the latest Basel III monitoring exercise based on data as of June 30, 2017. BCBS established a rigorous reporting process to regularly review the implications of the Basel III standards for banks and has published the results of previous exercises since 2012. The finalization of the Basel III reforms is not yet reflected in the results; the collection of relevant data for those reforms started for the end of 2017 reporting date.

The report provides data for 193 banks, comprising 106 Group 1 banks and 87 Group 2 banks. The Group 1 banks are defined as internationally active banks that have tier 1 capital of more than EUR 3 billion and include the 30 banks that have been designated as global systemically important banks (G-SIBs). Group 2 banks are banks that have tier 1 capital of less than EUR 3 billion or are not internationally active. The Basel III minimum capital requirements are expected to be fully phased-in by January 01, 2019. On a fully phased-in basis, data (as of June 30, 2017) show that all banks in the sample meet both the Basel III risk-based capital minimum common equity tier 1 (CET1) requirement of 4.5% and the target level CET1 requirement of 7.0%. Applying the 2022 minimum requirements for total loss-absorbing capacity (TLAC), 10 of the G-SIBs in the sample have a combined incremental TLAC shortfall of EUR 109 billion as at the end of June 2017, compared with EUR 116 billion at the end of December 2016.

The monitoring report also collects bank data on liquidity requirements under Basel III. The weighted average liquidity coverage ratio (LCR) for the Group 1 bank sample was 134% on June 30, 2017, up from 131% six months earlier. For Group 2 banks, the weighted average LCR was 175%, up from 159% six months earlier. The weighted average net stable funding ratio (NSFR) for the Group 1 bank sample was 117%, while, for Group 2, banks the average NSFR was 118%. 

 

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Keywords: International, Banking, Basel III, Monitoring, CET1, LCR, NSFR, BCBS

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