On 10 December 2020, the Basel Committee on Banking Supervision issued the results of its latest Basel III monitoring exercise, based on data as of 31 December 2019.
The report sets out the impact of the Basel III framework that was agreed in 2010 as well as the effects of the Basel Committee’s finalisation of the Basel III reforms and the finalisation of the market risk framework published in January 2019. However, the results do not reflect the economic impact of the COVID-19 pandemic on participating banks.
The results show that:
- Compared with the previous reporting period (end-June 2019) the average Common Equity Tier 1 (CET1) capital ratio under the initial Basel III framework has increased from 12.8% to 13.0% for Group 1 banks and from 14.8% to 15.2% for Group 2 banks.
- The average impact of the final Basel III framework on the Tier 1 Minimum Required Capital (MRC) of Group 1 banks is lower (+1.8%) when compared to the 2.5% increase at end-June 2019.
- The total capital shortfalls under the fully phased-in final Basel III framework as of the end December 2019 reporting date for Group 1 banks decreased to €10.7 billion in comparison to the end-June 2019 at €16.6 billion. The decrease was not influenced by the smaller size of the Group 1 sample in the current period.
- Applying the 2022 minimum total loss absorbing capacity (TLAC) requirements and the initial Basel III framework, none of the 23 global systemically important banks reporting total TLAC data have reported a shortfall.
- Considering the fully phased-in final Basel III framework, one bank reports a shortfall of €1.9 billion.
- Group 1 banks’ average liquidity coverage ratio (LCR) increased from 136.2% to 138.2%, while the average net stable funding ratio (NSFR) increased only slightly from 116.4% to 117.2%. For Group 2 banks, there was also an increase for both the LCR and the NSFR.