Basel Committee Releases Results of Quantitative Impact Study

The Basel Committee has published the latest results of its Basel III monitoring exercise based on data as of December 31, 2011. The purpose of the study is to monitor the implications of the Basel III regulatory framework. According to the report, it follows the publication of the initial results of this monitoring exercise in April. A total of 209 banks participated in the study, 102 internationally active banks with Tier 1 capital of more than €3 billion (known as "Group 1 banks") and 102 Group 2 banks. Of the U.S. banks participating in the study, 13 were Group 1 banks; there were no Group 2 U.S. banks (see page 7).

In applying the changes to the definition of capital and risk-weighted assets, the report found that the average common equity Tier 1 capital ratio of Group 1 banks was 7.7%. For all other banks, the average common equity Tier 1 capital ratio was found to stand at 8.8%.

The report focused on the following items:

• changes to bank capital ratios
• changes to the definition of capital
• increases in risk weighted assets
• the Basel III leverage ratio; and
• two Basel III liquidity standards (liquidity coverage ratio and net stable funding ratio).

View summary of results here. From this page, you may also link to the press release and to the full report.