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 30 June 2017
- The impact study focuses on the risk-based capital ratio, the leverage ratio and the liquidity metrics. The Basel Committee's post-crisis regulatory reform agenda, which was published in December 2017, are not included in the published results. The reforms affect, among others, the standardised approach and internal ratings based approach for credit risk (encompassing an output floor), the fundamental review of the trading book and a new securitisation framework.
- Data were provided for a total of 36 German banks, including seven large internationally active ("Group 1") banks with Tier 1 capital of at least € 3 billion and 29 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 CET1 ratio of 12.8% (Group 2: 17.1%). In addition, all banks already hold the capital conservation buffer, which will be phased-in between 2016 and 2019. The average leverage ratio is 3.7% for Group 1 banks and 4.7% for Group 2 banks. For six out of seven Group 1 banks and 62% of Group 2 banks the non-risk-based leverage ratio requires more capital than a risk-based Tier 1 ratio of 8.5% (including the capital conservation buffer of 2.5%).
- 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 30 June 2017, Group 1 banks exhibit a weighted average LCR of 146.2%, while Group 2 banks' LCR is 174.5%. All banks already fulfil a ratio of 100 % that applies since January 2018 and consequently the 80% threshold binding since 2017.
- The longer-term structural Net Stable Funding Ratio (NSFR) stands at an average of 105.3% for Group 1 banks. In order to comply with a minimum requirement of 100%, Group 1 banks need to increase their stable funding by € 19.3 billion. The Group 2 banks' average NSFR is 118.6%. On bank level, almost all Group 2 banks already fulfil a ratio of 100%.