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Basel III Monitoring Report Basel Committee on Banking Supervision Basel III Monitoring Report April 2020 Queries regarding this document should be addressed to the Secretariat of the Basel Committee on Banking Supervision (e-mail: [email protected]). This publication is available on the BIS website (www.bis.org/bcbs/qis/). Grey underlined text in this publication shows where hyperlinks are available in the electronic version. © Bank for International Settlements 2020. All rights reserved. Brief excerpts may be reproduced or translated provided the source is stated. ISBN 978-92-9197-634-8 (online) Basel III Monitoring Report April 2020 Basel III Monitoring Report ...........................................................................................................................................................iii Highlights of the Basel III monitoring exercise as of 30 June 2019 .............................................................................. 1 Changes in minimum required capital from fully phased-in final Basel III remain stable for large internationally active banks compared with end-2018 ............................................................................................. 1 Liquidity ratios remain stable compared with end-2018................................................................................................... 1 Detailed results of the Basel III monitoring exercise as of 30 June 2019 .................................................................. 15 1. General remarks ...................................................................................................................................................................... 15 1.1 Scope of the monitoring exercise .......................................................................................................................... 16 1.2 Sample of participating banks ................................................................................................................................. 16 1.3 Methodology .................................................................................................................................................................. 17 1.3.1 Aggregation .................................................................................................................................................. 17 1.3.2 Impact metrics ............................................................................................................................................. 17 1.3.3 Presentation .................................................................................................................................................. 18 1.4 Data quality ..................................................................................................................................................................... 18 1.5 Interpretation of results .............................................................................................................................................. 19 2. Regulatory capital, capital requirements, capital shortfalls and TLAC .............................................................. 20 2.1 Risk-based capital ratios ............................................................................................................................................ 23 2.1.1 Initial Basel III standards .......................................................................................................................... 23 2.1.2 Final Basel III standards ............................................................................................................................ 28 2.2 Impact of the final Basel III framework on minimum required capital .................................................... 29 2.3 Leverage ratio ................................................................................................................................................................. 34 2.3.1 Overall results .............................................................................................................................................. 34 2.3.2 Impact on Basel III leverage ratio MRC measure due to the final standards ..................... 39 2.4 Combined shortfall amounts under the final Basel III framework ............................................................. 40 2.5 Total loss-absorbing capacity requirements for G-SIBs ................................................................................ 41 2.5.1 Initial Basel III framework ........................................................................................................................ 41 2.5.2 Final Basel III framework .......................................................................................................................... 42 3. Level and composition of regulatory capital ............................................................................................................... 43 3.1 Level of capital ............................................................................................................................................................... 43 Basel III Monitoring Report April 2020 iii 3.2 Profits, dividends and capital raised ...................................................................................................................... 44 3.3 Composition of capital ................................................................................................................................................ 47 3.4 Regulatory adjustments .............................................................................................................................................. 49 4. Components and determinants of risk-based capital requirements ................................................................. 49 4.1 Share of different risk types in overall MRC under current rules ............................................................... 49 4.2 Credit risk ......................................................................................................................................................................... 51 4.2.1 Share of credit risk exposure by asset classes under the current rules ................................. 51 4.2.2 Impact of revisions to the standardised and IRB approaches for credit risk on MRC ..... 52 4.2.3 Standardised approach for credit risk ................................................................................................ 54 4.2.4 Internal ratings-based approach for credit risk .............................................................................. 57 4.2.5 Distribution of exposure at default and risk-weighted assets across approaches ........... 63 4.2.6 Impact of the revised securitisation framework ............................................................................. 65 4.3 Market risk ....................................................................................................................................................................... 72 4.3.1 Current market risk rules ......................................................................................................................... 72 4.3.2 Overall impact of the revised minimum capital requirements for market risk .................. 75 4.3.3 Revised model validation tests .............................................................................................................. 77 4.4 Operational risk.............................................................................................................................................................. 78 4.4.1 Current operational risk rules ................................................................................................................ 78 4.4.2 Final operational risk standards ............................................................................................................ 80 5. Interactions between risk-based, output floor and leverage ratio capital requirements .......................... 82 5.1 Relationship between the Basel III leverage ratio and risk-based capital requirements under fully phased-in initial Basel III standards ............................................................................................................. 82 5.2 Interactions between risk-based, output floor and leverage ratio capital requirements under the final Basel III standards ....................................................................................................................................... 83 6. Liquidity ...................................................................................................................................................................................... 85 6.1 Liquidity Coverage Ratio ............................................................................................................................................ 85 75% cap on total inflows ............................................................................................................................................ 87 Composition of high-quality liquid assets .......................................................................................................... 87 Caps on Level 2B and Level 2 assets ..................................................................................................................... 88 Comparison of liquid assets and inflows to outflows and caps ................................................................
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