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%.
Keywords: International, Banking, Basel III, Monitoring, CET1, LCR, NSFR, BCBS
Previous ArticleEBA on CRDIV-CRR/Basel III Monitoring Exercise on EU Banking System
EBA issued a revised list of validation rules with respect to the implementing technical standards on supervisory reporting.
EBA published its response to the call for advice of EC on ways to strengthen the EU legal framework on anti-money laundering and countering the financing of terrorism (AML/CFT).
NGFS published a paper on the overview of environmental risk analysis by financial institutions and an occasional paper on the case studies on environmental risk analysis methodologies.
MAS published the guidelines on individual accountability and conduct at financial institutions.
APRA published final versions of the prudential standard APS 220 on credit quality and the reporting standard ARS 923.2 on repayment deferrals.
SRB published two articles, with one article discussing the framework in place to safeguard financial stability amid crisis and the other article outlining the path to a harmonized and predictable liquidation regime.
FSB hosted a virtual workshop as part of the consultation process for its evaluation of the too-big-to-fail reforms.
ECB updated the list of supervised entities in EU, with the number of significant supervised entities being 115.
OSFI published the key findings of a study on third-party risk management.
FSB is extending the implementation timeline, by one year, for the minimum haircut standards for non-centrally cleared securities financing transactions or SFTs.