Basel Committee on Banking Supervision Mr Santosh Pandey Reserve Bank of India Indonesia Mr Boyke W

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Transcript of Basel Committee on Banking Supervision Mr Santosh Pandey Reserve Bank of India Indonesia Mr Boyke W

  • Basel Committee on Banking Supervision

    Basel III Monitoring Report March 2018

  • Queries regarding this document should be addressed to the Secretariat of the Basel Committee on Banking Supervision (e-mail: qis@bis.org).

    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 2018. All rights reserved. Brief excerpts may be reproduced or translated provided the source is stated.

    ISBN 978-92-9197-634-8 (online)

    mailto:qis@bis.orghttp://www.bis.org/bcbs/qis/

  • Basel III Monitoring Report March 2018 iii

    Basel III Monitoring Report

    March 2018

    Highlights of the Basel III monitoring exercise as of 30 June 2017............................................................................... 1

    Detailed results of the Basel III monitoring exercise as of 30 June 2017 .................................................................. 11

    1. General remarks ............................................................................................................................................................ 11

    1.1 Scope of the monitoring exercise ................................................................................................................. 11

    1.2 Sample of participating banks ........................................................................................................................ 13

    1.3 Methodology ......................................................................................................................................................... 13

    1.4 Data quality ............................................................................................................................................................ 14

    1.5 Interpretation of results .................................................................................................................................... 14

    2. Regulatory capital, capital requirements, capital shortfalls and TLAC ..................................................... 15

    2.1 Capital ratios .......................................................................................................................................................... 16

    2.2 Capital shortfalls ................................................................................................................................................... 21

    2.3 Level of capital ...................................................................................................................................................... 23

    2.4 Composition of capital ...................................................................................................................................... 27

    2.5 Regulatory adjustments .................................................................................................................................... 29

    2.6 Components and determinants of capital requirements ..................................................................... 29

    2.7 Leverage ratio........................................................................................................................................................ 38

    2.8 Interaction of risk-based and leverage ratio requirements ................................................................ 42

    2.9 Total loss-absorbing capacity requirements for G-SIBs ....................................................................... 44

    3. Liquidity ............................................................................................................................................................................ 44

    3.1 Liquidity Coverage Ratio ................................................................................................................................... 44

    3.2 Net Stable Funding Ratio ................................................................................................................................. 48

    3.3 Liquidity Coverage Ratio and Net Stable Funding Ratio shortfalls over time ............................. 51

    Special feature

    Impact of the revised securitisation framework .................................................................................................................. 57

  • iv Basel III Monitoring Report March 2018

    Annexes

    Annex A: Basel III phase-in arrangements ............................................................................................................................. 63

    Annex B: Sample statistics and additional results .............................................................................................................. 65

    Annex C: Statistical Annex ............................................................................................................................................................ 69

    Previous monitoring reports published by the Basel Committee ............................................................................. 105

    Conventions used in this report

    billion thousand million trillion thousand billion lhs, rhs left-hand scale, right-hand scale

    Group 1 banks are those that have Tier 1 capital of more than 3 billion and are internationally active. All other banks are considered Group 2 banks.

    Components may not sum to totals because of rounding.

    The term country as used in this publication also covers territorial entities that are not states as understood by international law and practice but for which data are separately and independently maintained.

    All data, including for previous reporting dates, reflect revisions received up to 21 February 2018.

  • Basel III Monitoring Report March 2018 v

    Quantitative Impact Study Working Group of the Basel Committee on Banking Supervision

    Chairman Mr Martin Birn, Secretariat of the Basel Committee on Banking Supervision, Bank for International Settlements, Basel

    The representatives in italics are members of the analysis team and provided analytical support at the Secretariat.

    Argentina Ms Vernica Balzarotti Central Bank of Argentina

    Australia Ms Crystal Pun Australian Prudential Regulation Authority

    Belgium Ms Carmen Boschmans National Bank of Belgium

    Brazil Mr Joao Resende Central Bank of Brazil

    Canada Mr Sungchul Shin Office of the Superintendent of Financial Institutions

    China Ms Jiao Yan China Banking Regulatory Commission

    France Ms Fleur de Saussure French Prudential Supervisory Authority

    Ms Catherine Adenot Mr Pierre Harguindeguy Ms Oana Toader Mr Aurlien Violon

    Germany Ms Dorothee Holl Deutsche Bundesbank

    Mr Thomas Morck

    India Mr Santosh Pandey Reserve Bank of India

    Indonesia Mr Boyke W Suadi Indonesia FSA (OJK)

    Italy Ms Anna Maria Rinaldi Bank of Italy

    Mr Andrea Canton Mr Vincenzo Capone Mr Luca Ciavoliello Mr Bernardo DAlessandro Mr Antonio Ilari

    Japan Ms Kana Yanai Bank of Japan

    Ms Junko Nakano Mr Marcel Hisamitsu Ms Fusako Watanabe

    Ms Yuko Yamamoto Financial Services Agency

    Mr Hiroya Ikuta

    Korea Mr KyungHwan Sohn Financial Supervisory Service

    Luxembourg Ms Natalia Katilova Surveillance Commission for the Financial Sector

    Mexico Mr Juan Cardenas Bank of Mexico

    Netherlands Mr Evert Koning Netherlands Bank

    Russia Mr Alexey Novikov Central Bank of the Russian Federation

    Saudi Arabia Mr Nawaf Alshamali Saudi Arabian Monetary Authority

  • vi Basel III Monitoring Report March 2018

    Singapore Ms Sandy Ho Monetary Authority of Singapore

    South Africa Ms Nomgqibelo Bogatsu South African Reserve Bank

    Spain Ms Elva Garcia Bank of Spain

    Sweden Mr Andreas Borneus Finansinspektionen

    Switzerland Mr Uwe Steinhauser Swiss Financial Market Supervisory Authority FINMA

    Turkey Ms Aydan Aydin Inan Banking Regulation and Supervision Agency

    United Kingdom Ms Rosemary Foster Prudential Regulation Authority

    Mr Mahmoud Fatouh Mr Dhilan Vithaldas

    United States Mr Anlon Panzarella Board of Governors of the Federal Reserve System

    Mr Diego Aragon Federal Reserve Bank of New York

    Ms Vanesa Sanchez

    Ms Andrea Plante Federal Deposit Insurance Corporation

    Mr Andrew Carayiannis Mr Dushan Gorechan Mr Paul Vigil

    Mr Benjamin Pegg Office of the Comptroller of the Currency

    European Central Bank

    Mr Renzo Corrias ECB

    Mr Frdric Lardo ECB Single Supervisory Mechanism

    Ms Despoina Bakopoulo Mr Maximilian Dinse

    Observers Mr Lampros Kalyvas European Banking Authority

    Mr Gintaras Griksas European Commission

    Secretariat Mr Sthembiso Chonco Mr Ethan Goh Mr Scott Nagel Ms Soeun Park Ms Emanuela Piani Mr Carlos Sosa

    Bank for International Settlements

    Mr Otakar Cejnar Ms Luisa Mazzotta Mr Lovrenc Orazem Mr Roberto Ottolini Ms Verena Seidl Ms Vasileia Xezonaki Mr Markus Zoss Mr Christopher Zuin

  • Basel III Monitoring Report March 2018 1

    Highlights of the Basel III monitoring exercise as of 30 June 2017

    All banks in the sample meet Basel III minimum and target CET1 capital requirements as agreed up to end-2015

    All G-SIBs meet both fully phased-in liquidity minimum requirements

    To assess the impact of the Basel III framework on banks, the Basel Committee on Banking Supervision monitors the effects and dynamics of the reforms. For this purpose, a semiannual monitoring framework has been