September 12, 2017

BCBS published a report that presents results of the latest Basel III monitoring exercise based on data as of December 31, 2016. The report provides not only global averages but also a regional breakdown for many key metrics. In addition, EBA published its twelfth report of the Capital Requirements Directive IV-Capital Requirements Regulation (CRD IV-CRR)/Basel III monitoring exercise on the European banking system. This exercise presents aggregate data on EU banks' capital, leverage, and liquidity ratios while assuming full implementation of the CRD IV-CRR/Basel III framework.

The BCBS report provides data for 200 banks, including 105 large internationally active, or Group 1, banks and 95 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 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 December 31, 2016 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), 12 of the G-SIBs in the sample have a combined incremental TLAC shortfall of EUR 116.4 billion as at the end of December 2016, compared with EUR 318.2 billion at the end of June 2016. 

 

The weighted average liquidity coverage ratio (LCR) for the Group 1 bank sample was 131% on December 31, 2016, up from 126% six months earlier. For Group 2 banks, the weighted average LCR was 159%, slightly up from 158% six months earlier. The weighted average net stable funding ratio (NSFR) for the Group 1 bank sample was 116%, while for Group 2 banks the average NSFR was 114%. 

 

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Keywords: International, Europe, Banking, BCBS, Bundesbank, Basel III Monitoring, QIS

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