2015年11月9日TLAC定量影响分析报告-TLAC Quantitative Impact Study (QIS) ReportBCBS-QIS-Report-for-publication-final.pdf
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Basel Committee
on Banking Supervision
TLAC Quantitative
Impact Study Report
November 2015
Queries regarding this document should be addressed to the Secretariat of the Basel Committee on
Banking Supervision (e-mail: qis@).
This publication is available on the BIS website (/bcbs/qis/).
Grey underlined text in this publication shows where hyperlinks are available in the electronic version.
© Bank for International Settlements 2015. All rights reserved. Brief excerpts may be reproduced or
translated provided the source is stated.
ISBN 978-92-9197-295-1 (print)
ISBN 978-92-9197-296-8 (online)
TLAC Quantitative Impact Study Report
November 2015
Executive summary 1
1. Introduction 5
1.1 Scope of the TLAC QIS 5
1.2 Sample of participating banks 5
1.3 Methodology – four different cases tested 6
1.4 Presentation of charts 8
1.5 Data quality 8
2. External TLAC 9
2.1 External TLAC ratios 9
2.2 External TLAC shortfalls 13
2.3 Composition of external TLAC 17
3. Internal TLAC 20
3.1 Material subsidiaries20
3.2 Internal TLAC ratios21
3.3 Internal TLAC shortfalls 24
3.4 Composition of Internal TLAC 25
4. G-SIBs’ holdings of TLAC and deduction 26
4.1 Investment in TLAC 26
4.2 Threshold deduction of TLAC holdings from Tier 227
5. Non-G-SIBs’ holdings of TLAC and deduction30
5.1 Investment in TLAC 30
5.2 Threshold deduction of TLAC holdings from Tier 231
5.3 Exposures limit to aggregate exposures to TLAC instruments33
6. TLAC liabilities by location of issuance 34
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