EBA publishes results of the Basel III monitoring exercise as of 30 June 2013

06 March 2014

The European Banking Authority (EBA) publishes today its fifth report of the Basel III monitoring exercise on the European banking system. This exercise, run in parallel with the one conducted by the Basel Committee on Banking Supervision (BCBS) at a global level, allowed to gather aggregate results on capital, Risk Weighted Assets (RWAs), liquidity and leverage ratios for banks in the European Union (EU).

The exercise monitors the impact of the implementation of the Basel III requirements in the EU, based on the assumption of full implementation of the Basel III framework as of 30 June 2013 and ‘static balance sheet' data. Results show that the Common Equity Tier 1 capital ratio (CET1) of the largest internationally-active European banks (Group 1 banks) would be on average 9.1% compared to a ratio of 12% under the current regulation. Therefore, Group 1 banks would face a CET1 capital shortfall of EUR 2.4 billion to achieve the minimum requirement of 4.5%, and of EUR 36.3 billion to reach the target level of 7.0% or the higher threshold set for global systemically important banks (G-SIBs). The latter capital shortfall would, therefore, be decreased by 48.4% (from EUR 70.4 billion to EUR 36.3 billion).

For Group 1 banks, the overall impact of Basel III on the CET1 ratio is attributed to changes both in the definition of capital as well as in the calculation of RWAs.

As for the Liquidity Coverage Ratio (LCR), results show that as of June 2013, the average LCR of Group 1 banks would have been 104%. This means that two-thirds of the total sample of banks would have already met the final 100% requirement to be reached by 2019. In addition, the exercise reveals a shortfall of liquid assets of EUR 262 billion for all banks in the sample.

Note to the editors

  • A total of 174 banks participated in the exercise on a voluntary and confidential basis, of which 43 Group 1 banks (with a Tier 1 capital exceeding €3bn and internationally active) and 131 Group 2 banks (all other banks).
  • The results of this study are not comparable to industry estimates, as they do not include assumptions regarding banks' future profitability, changes in capital or balance sheet composition, nor further management actions that could be taken in response to the new Basel framework.
  • The results are compared with the national implementation of CRD III, as the new EU directive and regulation (CRR/CRDIV) was not yet in force at the time of this report's reference date (30 June 2013).

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Franca Rosa Congiu

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