04 October 2018

EBA publishes the preliminary impact of the Basel reforms on EU banks capital and updates on liquidity measures in the EU

Basel III monitoring report

The Basel III monitoring report assesses the impact on EU banks of the final revisions of credit risk, operational risk, and leverage ratio frameworks, as well as of the introduction of the aggregate output floor. It also quantifies the impact of the new standards for market risk (FRTB), as set out in January 2016, and credit valuation adjustments (CVA).

Overall, the results of the Basel III capital monitoring, based on data as of 31 December 2017, show that European banks' minimum Tier 1 capital requirement would increase by 16.7% at the full implementation date. The impact of the risk-based reforms is 21.8%, of which the leading factors are the output floor (6.3%) and operational risk (5.7%).  The leverage ratio is the constraining (i.e. the highest) Tier 1 requirement for some banks in the sample, explaining why part of the increase in the risk-based capital metric (-5.1%) is not to be accounted as an actual increase of the overall Tier 1 requirement.

EBA report on liquidity measures

The EBA report on liquidity measures under article 509(1) of the CRR shows that EU banks have continued to improve their LCR. At the reporting date of 31 December 2017, EU banks' average LCR was 145% and the aggregate gross shortfall amounted to EUR 20.8 billion corresponding to four banks that monetised their liquidity buffers during times of stress. A more in-depth analysis of potential currency mismatches in LCR levels, suggests that banks tend to hold lower liquidity buffers in some foreign currencies, in particular US dollar.

Press release

2018 Basel_III monitoring exercise report

2018 report on liquidity measures under article 509(1) of the_CRR

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