The Basel Committee on Banking Supervision (BCBS) released its latest Basel III monitoring report, which sets out the impact of the Basel III framework that was initially agreed in 2010 as well as the effects of the Committee's December 2017 finalisation of the Basel III reforms and the finalisation of the market-risk framework (Fundamental Review of the Trading Book - FRTB), published in January 2019. The report provides data as of 31 December 2018 on minimum required capital (MRC), total loss-absorbing capacity (TLAC) and Basel III's liquidity requirements. Data are provided for a total of 181 banks, including 105 large, internationally-active, "Group 1" banks (including 29 institutions that have been designated as global systemically important banks - G-SIBs) and 76 "Group 2" banks. The final Basel III minimum requirements are expected to be implemented by 1 January 2022 and fully phased in by 1 January 2027.
On a fully phased-in basis, the capital shortfalls at the end-December 2018 reporting date are €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 MRC 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 MRC 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 recalibrated 2019 standard.
The weighted-average liquidity coverage ratio (LCR) for the Group-1 bank sample was 136% on 31 December 2018, compared with 135% six months earlier. For Group-2 banks, the weighted-average LCR declined slightly from 180% to 177%. The 100% minimum requirement was met or exceeded by all but two banks in the sample.
The net stable funding ratio (NSFR) for the Group-1 banks 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 reported an NSFR that met or exceeded 100%, while all banks reported an NSFR at or above 90%.