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October 04, 2018

BCBS published results of the Basel III monitoring exercise based on data as of December 31, 2017. For the first time, 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.

The report covers data for 206 banks, including 111 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. On a fully phased-in basis, the capital shortfalls at the end of 2017 reporting date were EUR 25.8 billion for Group 1 banks at the target level. This is more than 70% lower than those in the "end-2015" cumulative QIS exercise and driven mainly by higher levels of eligible capital. 

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:

  • 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), eight of the G-SIBs in the sample have a combined incremental TLAC shortfall of EUR 82 billion as at the end of December 2017, compared with EUR 109 billion at the end of June 2017.
  • Of the banks in the liquidity coverage ratio (LCR) sample, 99% of the Group 1 banks (including all G-SIBs) and all Group 2 banks in the sample reported an LCR that met or exceeded 100%. All banks reported an LCR at or above the 90% minimum requirement that will be in place for 2018.
  • As of December 2017, 97% of the Group 1 banks (including all G-SIBs) and 95% of the Group 2 banks in the net stable funding ratio (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, Liquidity Risk, BCBS

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