Featured Product

    BCBS Publishes Results of the Basel III Monitoring Exercise

    March 20, 2019

    BCBS published results of the Basel III monitoring exercise based on data as of June 30, 2018. The report sets out the impact of the Basel III framework that was initially agreed in 2010 as well as the effects of the December 2017 finalization of the Basel III reforms by BCBS. However, it does not yet take into account the finalized the market risk framework, which was published in January 2019.

    The report covers data for 189 banks, including 106 large internationally active banks, or Group 1, banks and 83 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 all 29 institutions 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. On a fully phased-in basis, the capital shortfalls at the end of June 2018 reporting date are EUR 30.1 billion for Group 1 banks at the target level. These shortfalls are more than 70% smaller than in the end of 2015 cumulative quantitative impact study (QIS) exercise, driven mainly by higher levels of eligible capital. For Group 1 banks, the tier 1 minimum required capital would increase by 5.3%, following full phasing-in of the final Basel III standards relative to the initial Basel III standards. This compares with an increase of 3.2% at the end of 2017.

    The final Basel III minimum requirements are expected to be implemented by January 01, 2022 and fully phased in by January 01, 2027. The report provides data on the initial Basel III minimum capital requirements, total loss-absorbing capacity (TLAC), and Basel III liquidity requirements:

    • The initial Basel III minimum capital requirements were fully phased in by January 01, 2019 (while certain capital instruments can still be recognized for regulatory capital purposes until the end of 2021).
    • All banks in the sample continue to 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% (plus any surcharges for G-SIBs, as applicable).
    • Applying the 2022 minimum requirements for total loss-absorbing capacity (TLAC), six out of 24 G-SIBs reporting TLAC data have a combined incremental TLAC shortfall of EUR 68 billion, at the end of June 2018, compared with EUR 82 billion at the end of December 2017.
    • The Basel III Liquidity Coverage Ratio (LCR) was set at 60% in 2015, increased to 90% in 2018, and continued to rise in equal annual steps to reach 100% in 2019. The weighted average LCR for the Group 1 bank sample was 135% on June 30, 2018, compared with 133% six months earlier. For Group 2 banks, the weighted average LCR remained almost stable at 180%. All banks in the sample reported an LCR that met or exceeded the final 100% minimum requirement.
    • The weighted average Net Stable Funding Ratio (NSFR) for the Group 1 bank sample remained stable at 116%, while for Group 2 banks the average NSFR increased slightly to 119%. As of June 2018, 96% of the Group 1 banks and 95% of the Group 2 banks in the NSFR sample reported a ratio that met or exceeded 100%, while all banks reported an NSFR at or above 90%.

     

    Related Links

    Keywords: International, Banking, Basel III Monitoring, QIS, Regulatory Capital, TLAC, NSFR, Liquidity Risk, LCR, BCBS

    Featured Experts
    Related Articles
    News

    LEI ROC Confirmed as Governance Body for OTC Derivatives Identifiers

    FSB confirmed the Regulatory Oversight Committee (ROC) of the Global Legal Entity Identifier System (GLEIS) as the International Governance Body for the globally harmonized identifiers used to track over-the-counter (OTC) derivatives transactions, with effect from October 01, 2020.

    September 25, 2020 WebPage Regulatory News
    News

    FCA Consults on Regulation of International Firms in UK

    FCA is consulting on its approach to the authorization and supervision of international firms operating in UK.

    September 25, 2020 WebPage Regulatory News
    News

    EBA Launches Transparency Exercise for Banks in EU

    EBA launched the seventh annual transparency exercise for banks in EU.

    September 25, 2020 WebPage Regulatory News
    News

    EBA Publishes Single Rulebook Q&A Updates in September 2020

    The EBA Single Rulebook question and answer (Q&A) tool updates for this month include answers to 32 questions.

    September 25, 2020 WebPage Regulatory News
    News

    MAS Amends Notices on NSFR and Single Counterparty Credit Exposures

    MAS published amendments to the Notice 652 on net stable funding ratio (NSFR), along with the related reporting template.

    September 24, 2020 WebPage Regulatory News
    News

    EC Publishes Action Plan for Capital Markets Union in EU

    EC published the action plan to enhance the Capital Markets Union in EU over the coming years.

    September 24, 2020 WebPage Regulatory News
    News

    EC Proposes Frameworks for Crypto-Assets and Operational Resilience

    EC adopted a package that includes the digital finance and retail payments strategies and the legislative proposals for regulatory frameworks on crypto-assets and digital operational resilience.

    September 24, 2020 WebPage Regulatory News
    News

    ECB Publishes Opinion on Proposals to Amend Securitization Framework

    ECB published an opinion (CON/2020/22) on proposals for regulations amending the securitization framework of EU, in response to the COVID-19 pandemic.

    September 24, 2020 WebPage Regulatory News
    News

    APRA Updates Validation and Derivation Rules in September 2020

    APRA updated the lists of the Direct to APRA (D2A) validation and derivation rules for authorized deposit-taking institutions, insurers, and superannuation entities.

    September 24, 2020 WebPage Regulatory News
    News

    MAS Amends Notice on Capital Adequacy Requirements of Banks

    MAS published amendments to Notice 637 on the risk-based capital adequacy requirements for reporting banks incorporated in Singapore.

    September 23, 2020 WebPage Regulatory News
    RESULTS 1 - 10 OF 5845