Securitisation and Regulation News

BCBS - Releases Quantitative Impact Study Results

The Basel Committee on Banking Supervisions (BCBS) published the results of its Basel III monitoring exercise based on "rigorous reporting processes" set up by the Committee to periodically review the implications of the Basel III standards for financial markets. A total of 212 banks participated in the study, including 103 Group 1 banks (those that have Tier 1 capital in excess of €3 billion and are internationally active) and 109 Group 2 banks (all other banks). The study finds the average common equity Tier 1 capital ratio (CET1) of Group 1 banks was 7.1 percent, as compared with the Basel III minimum requirement of 4.5 percent. In order for all Group 1 banks to reach the 4.5 percent minimum, an increase of €38.8 billion CET1 would be required. For Group 2 banks, the average CET1 ratio stood at 8.3 percent.

The Committee also assessed the estimated impact of the liquidity standards. Assuming banks were to make no changes to their liquidity risk profile or funding structure, the weighted average Liquidity Coverage Ratio (LCR) for Group 1 banks would have been 90 percent while the weighted average LCR for Group 2 banks was 83 percent. The aggregate LCR shortfall is €1.76 trillion which represents approximately 3 percent of the €58.5 trillion total assets of the aggregate sample. The weighted average Net Stable Funding Ratio (NSFR) is 94 percent for both Group 1 and Group 2 banks. The aggregate shortfall of required stable funding is €2.78 trillion.

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