For the sample of Group 1 banks, risk-based capital ratios remained roughly stable, but leverage ratios decreased from the prior period.
This report presents the results of the Basel Committee's latest
Basel III monitoring exercise, based on 30 June 2021 data. It sets out
the impact of the Basel III framework including the December 2017 finalisation of the Basel III reforms and the January 2019 finalisation of the market risk framework.
The
largest decrease of 1.1 percentage points was seen in the Americas.
This results from a significant increase in the leverage ratio exposure
measure. Changes in exposure measures are in part driven by the end of
temporary exclusions from the leverage ratio exposure measure in the
United States. Several jurisdictions had put in place such exclusions
during the Covid-19 pandemic.
The Leverage Ratio dashboard
shows the development of the leverage ratio, the components of the
exposure measure and the impact of the final Basel III framework.
The Credit Risk dashboard
shows the impact of the final Basel III framework on credit risk MRC,
the composition of credit risk RWA, average risk weights and risk
parameters for exposures under the IRB approach.
The final Basel III minimum requirements will be implemented
by 1 January 2023 and fully phased in by 1 January 2028. The average
impact of the fully phased-in final Basel III framework on the Tier 1
minimum required capital (MRC) of Group 1 banks is +3.3%, compared with a
2.9% increase at end-December 2020. Measures taken by some
jurisdictions during the Covid-19 pandemic that reduce current capital
requirements but leave capital requirements under the fully phased-in
final Basel III standard unaffected could explain some of the observed
increase in the impact. For this reporting date, Group 1 banks
registered total regulatory capital shortfalls amounting to €2.3
billion, less than half that at end-2020.
The monitoring exercises also collect bank data on Basel III's
liquidity requirements. The weighted average Liquidity Coverage Ratio
(LCR) increased to 144% for the Group 1 bank sample and to 225% for
Group 2 banks. In the current reporting period, there are again seven
Group 1 banks with an LCR below 100%. This is driven by banks using LCR
reserves during the Covid-19 pandemic as intended by the framework. All
Group 2 banks report an LCR well above the minimum requirement of 100%...
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