In its Basel III implementation monitoring, the Basel Committee on Banking Supervision analyses the impact of the capital reforms and the new liquidity standards ("Basel III framework") on selected banks. At the European level, the exercise is conducted based on the European implementation of Basel III (CRR / CRD IV), which was implemented on 1 January 2014. The exercise is conducted semi-annually at the end of December and the end of June, respectively.
Results of the Basel III impact study for German banks as of 31 December 2016
- The impact study focuses on the risk-based capital ratio, the leverage ratio and the liquidity metrics. A major element of the Committee’s post-crisis regulatory reform agenda is its work to address the problem of excessive variability in risk-weighted assets. A key input to assisting the Committee in finalising this work are the results of a cumulative data collection exercise conducted by the Committee. The respective analyses of topics such as credit risk reforms, output floor, the fundamental review of the trading book or a new securitisation framework are not included in the published results as the specific design of the new regulation package is still being negotiated on international level.
- Data were provided for a total of 37 German banks, including seven large internationally active ("Group 1") banks with Tier 1 capital of at least € 3 billion and 30 other ("Group 2") banks.
- Assuming full implementation of CRR / CRD IV after the phase-in and phase-out arrangements have expired in 2024, the seven large international banks (Group 1) as well as all smaller Group 2 banks meet the minimum capital requirements, with an average CET 1 ratio of 12.7% (Group 2: 15.7%). In addition, all banks already hold the capital conservation buffer, which will be phased-in between 2016 and 2019. The average leverage ratio is 3.8% for Group 1 banks and 5.3% for Group 2 banks. The non-risk-based leverage ratio requires more capital than the risk-based Tier 1 ratio for all Group 1 banks and 80.0% of Group 2 banks.
- The short-term Liquidity Coverage Ratio (LCR) requires banks to have a sufficient level of high-quality liquid assets to withstand a stressful funding scenario for 30 days. As of December 2016, Group 1 banks exhibit a weighted average LCR of 129.9%, while Group 2 banks' LCR is 172.2%. All banks already fulfil a ratio of 100% that will apply from 2018 and consequently the 80% threshold binding since 2017.
- • The longer-term structural Net Stable Funding Ratio (NSFR) stands at an average of 100.2 % for Group 1 banks. In order to comply with a minimum requirement of 100 % Group 1 banks need to increase their stable funding by € 40.1 billion. The Group 2 banks’ average NSFR is 113.9 %. On bank level, five Group 2 banks require additional stable funding of € 12.0 billion in order to meet the minimum.