Basel III monitoring results based on data at the end of December 2020
During the Covid-19 crisis, banks made further progress towards meeting the fully phased final Basel III capital requirements.
On average, banks improved their capital and liquidity ratios compared to the end of 2019.
The Basel III monitoring dashboard now also offers an interactive visualization of credit risk results.
The Basel Committee today released the results of its latest Basel III supervisory exercise, based on data from December 31, 2020. The report describes the impact of the Basel III framework, including the December 2017 regulation completion of Basel III reforms and January 2019 finalization of the market risk framework. It includes a special feature on exemptions from the leverage ratio exposure measure due to Covid-19, and covers both Group 1 and Group 2 banks (see note to editors for definitions).
The final The Basel III minimum requirements will be implemented by January 1, 2023 and fully implemented by January 1, 2028. The average impact of the fully phased final Basel III framework on minimum required capital (MRC) Tier 1 of group 1 banks is + 2.9%, compared to an increase of 1.8% at the end of December 2019. This higher impact for group 1 banks and G-SIBs may be partly due to the processing different from some outlier banks.
In addition, actions taken by some jurisdictions during the Covid-19 pandemic that reduce current capital requirements but leave capital requirements under the fully phased-in Basel III final standard unchanged could partly explain the observed increase in impact. Equity deficits at the end of December 2020 were 6.1 billion euros for the banks of group 1 at the target level, against 10.7 billion euros at the end of December 2019.
Supervisory exercises also collect bank data on Basel III liquidity requirements. The weighted average liquidity ratio (LCR) increased to 143% for the sample of group 1 banks and to 208% for the group 2 banks. During the current reference period, seven banks in group 1 have a LCR less than 100%. This is a significant increase from the end of December 2019, when a single Group 1 bank failed to meet the minimum, and it is pulled down by banks using LCR reserves during the Covid-19 pandemic as provided by the framework. All Group 2 banks report an LCR well above the minimum requirement of 100%.
The weighted average stable net funding ratio (NSFR) increased to 123% for the sample of banks in group 1 and to 126% for the sample of banks in group 2. In December 2020, all banks in group 1 and all but two of the group 2 banks in the NSFR sample reported a ratio that reached or exceeded 100%,
The report is accompanied by interactive Tableau dashboards that allow users to explore the results with greater ease and flexibility. In addition to the liquidity dashboards, an additional dashboard now covers the credit risk portion of the report. Similar dashboards linked to other sections of the report can be added later.
Bank of Spain published this content on September 29, 2021 and is solely responsible for the information it contains. Distributed by Public, unedited and unmodified, on September 29, 2021 09:51:06 AM UTC.