BCBS Publishes Results of Basel III Monitoring for December 2018 Data

This exercise covers data from 181 banks. This includes 105 "Group 1" banks that are defined as internationally active banks with have tier 1 capital of more than EUR 3 billion; this group includes all 29 institutions that have been designated as global systemically important banks (G-SIBs). The sample also includes 76 "Group 2" banks, which are banks that have tier 1 capital of less than EUR 3 billion or are not internationally active. The monitoring exercise covered Basel III capital as well as liquidity requirements.

The final Basel III minimum requirements are expected to be implemented by January 01, 2022 and fully phased in by January 01, 2027. On a fully phased-in basis, the capital shortfalls at the end-December 2018 reporting date are EUR 23.5 billion for Group 1 banks at the target level. These shortfalls are almost 75% smaller than in the end-2015 cumulative QIS exercise, thanks mainly to higher levels of eligible capital. For Group 1 banks, the tier 1 minimum required capital would increase by 3.0%, 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 end-2017. On average, at end-June 2018, the total change in tier 1 minimum required capital at the target level was higher at 5.3% for Group 1 banks. This higher increase was largely driven by the higher market risk impact prior to the application of the re-calibrated 2019 standard.

In terms of Basel III liquidity requirements, the weighted average liquidity coverage ratio (LCR) for the Group 1 bank sample was 136% on December 31, 2018, compared with 135% six months earlier. For Group 2 banks, the weighted average LCR remained declined slightly from 180% to 177%. All but two 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 120%. As of December 2018, 94% 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

• Press Release
• Report (PDF)

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