Publication alert: BCBS/EBA - Basel III Monitoring Reports and EBA Report on Impact of the CRR III proposal for the EU
We communicate that the BCBS and the EBA have published the following documents:
BCBS - Basel III Monitoring Report
EBA - Basel III Monitoring Exercise
EBA - Impact of the CRR III proposal for the EU
1. Context
In December 2017, the BCBS published the final set of revisions to the Basel III framework addressing undue variability in risk-weighted assets (RWAs) calculations and amending, credit risk calculation methods (SA and IRB), credit valuation adjustment (CVA), calculation method for operational risk (SMA) which replaces the previous ones, and establishes an output floor. It also modifies the exposure measure of the leverage ratio (LR) and introduces an additional buffer on this ratio for global systemically important banks (G-SIBs). Later in 2019, the BCBS published the finalisation of the market risk framework, which included among others, a simplified standardised approach for use by banks that have small or non-complex trading portfolios and clarifications on the scope of exposures that are subject to market risk capital requirements.
In this context, the BCBS has published the results of its latest Basel III Monitoring Report which sets out the impact of the finalisation of the Basel III reforms, as well as the finalisation of the market risk framework. Additionally, the monitoring report includes special features on banks' exposures to cryptoassets, and on capital buffers and total CET1 requirements. In parallel with this report, the EBA has issued its Basel III Monitoring Report which is based on the EBA Decision to render the QIS exercise mandatory for a representative set of EU/EEA credit institutions. Along with this document, the EBA has also published a separate Annex on the impact of the EC proposal for the EU implementation under the Capital Requirements Regulation (CRR III). The reference date of the results of all the documents is 31 December 2021.
2. Main points
BCBS - Basel III Monitoring Report
Sample of banks: 182 banks, including 117 of the Group 1 and 65 banks of the Group 2.
General aspects:
- The estimates presented generally assume full implementation of the Basel III requirements.
- This report does not reflect the additional capital requirements of Pillar 2 of the Basel III framework, as well as any capital buffers for systemic or countercyclical banks.
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|
30 June 2021 |
31 December 2021 |
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|
Group 1 |
G-SIBs |
Group 2 |
Group 1 |
G-SIBs |
Group 2 |
|
|
Increase of the mínimum requirement of Tier 1 MRC |
3,3% |
3,7% |
8,4% |
2,4% |
2,2% |
5,7% |
|
CET1 ratio (%) |
12,7% |
12,5% |
15,2% |
13% |
12,9% |
14,5% |
|
Target capital shortfalls (MM€) |
2.3 |
2,3 |
1,3 |
0,1 |
0,1 |
1,2 |
|
TLAC shortfalls (MM€) |
11,5 |
11,5 |
N/A |
7,9 |
7,9 |
N/A |
EBA - Basel III Monitoring Exercise
Sample of banks: 163 banks from all European Economic Area (EEA) countries including 58 of the Group 1 and 62 banks of the Group 2.
General aspects:
- The impact is assessed on the assumption of the full implementation of the Basel reforms (i.e. 2028).
- The baseline impact assessment methodology quantifies the difference in the Pillar 1 minimum required capital between the current EU implementation of the Basel standards (CRR/CRD IV) and the full Basel III implementation.
Change in total T1 MRC (weighted average in %)
|
Group |
Credit Risk |
Market risk |
CVA |
Op. risk |
Output floor |
Total risk-based |
Revised LR |
Total |
|||
|
SA |
IRB |
Securit. |
CCPs |
||||||||
|
All banks |
2,6 |
1,8 |
0,0 |
0,0 |
1,8 |
2,6 |
3,7 |
6,3 |
18,2 |
-3,3 |
15,0 |
|
G.1 |
1,8 |
1,7 |
0,0 |
0,0 |
2,0 |
2,9 |
4,2 |
7,1 |
19 |
-3,0 |
16,0 |
|
G-SIIs |
2,0 |
3,4 |
0,0 |
0,0 |
3,5 |
3,4 |
6,3 |
6,5 |
24,9 |
-0,2 |
24,7 |
|
G.2 |
4,3 |
3,7 |
0,1 |
0,0 |
0,9 |
3,6 |
1,7 |
5,1 |
19,4 |
-7,7 |
11,8 |
EBA - Impact of the CRR III proposal for the EU.
This report compares the CDR IV/ CRR II framework with the CRR III proposal. That is, compared to the previous analysis, it incorporates the additional features of Basel III implementation in the EU (e.g. SME factor; infrastructure factor; treatment of equities in CRR III; simplified CVA methods...).
Change in total T1 MRC (weighted average in %)
|
Group |
Credit Risk |
Market risk |
CVA |
Op. risk |
Output floor |
Total risk-based |
Revised LR |
Total |
|||
|
SA |
IRB |
Securit. |
CCPs |
||||||||
|
All banks |
1,5 |
0,2 |
0,0 |
0,0 |
1,8 |
0,4 |
1,7 |
6,8 |
11,8 |
-1,1 |
10,7 |
|
G.1 |
1,2 |
0,1 |
0,0 |
0,0 |
2,0 |
0,4 |
2,0 |
7,8 |
12,8 |
-0,8 |
12,0 |
|
G-SIIs |
1,7 |
1,2 |
0,0 |
0,0 |
3,5 |
0,8 |
2,4 |
7,7 |
17,1 |
2,9 |
20,0 |
|
G.2 |
3,0 |
0,9 |
0,0 |
0,0 |
0,5 |
0,3 |
0,3 |
1,9 |
7,0 |
-2,6 |
4,3 |