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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%.


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

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