The European Banking Authority (EBA) has been conducting regular and ad-hoc quantitative impact studies to assess or monitor the impact of various rules on the EU banking sector.

Regular monitoring exercises include EBA Basel III monitoring and liquidity monitoring exercises. Ad-hoc exercises include the impact assessment of the small and medium enterprises (SME) supporting factor and the impact assessment of Basel III reforms.

EBA Basel monitoring

The EBA conducts, in coordination and in parallel with the Basel Committee on Banking Supervisions (BCBS), a monitoring exercise to assess the impact of the final Basel III framework on a sample of EU banks. This exercise assesses the latest regulatory developments at BCBS level and is carried out on a semi-annual basis (as of end-June and end-December) on a voluntary basis.

The EBA has made its Basel III monitoring exercise mandatory from 31 December 2021 according to the EBA Decision concerning information required for the monitoring of Basel supervisory standards (press release of 16 March 2021). The consolidated version of the EBA Decision includes an amended ‘Annex I’ following the EBA BoS decision of 26 January 2022. The amending decision is referred to in the consolidated version.

 

For the exercise based on end-2022 data, the sample of banks covered by EBA’s mandatory Basel III monitoring exercise is available here. The list of banks and their classifications have been submitted and confirmed by the Competent Authorities. 

Τhe list of institutions, which are expected to mandatorily participate in each round of the Basel III monitoring exercise, may slightly deviate from the list of banks that actually participate in the exercise. This deviation is mainly attributed to:

(a) additional institutions may also participate in the exercise on a voluntary basis, following a prior agreement between the NCAs and the EBA;

(b) some institutions may have been removed from the mandatory sample after the publication date (1 December) of the above mentioned list and before the publication of the Basel III monitoring exercise report (end-September). The removal of institutions is mainly due to corporate actions, such as mergers and acquisitions, supervisory decisions that do not allow them to conduct core banking operations, or situations where institutions are not subject to the relevant EU banking regulation (CRR/CRD).

The EU specific templates and instructions for the December 2021 reference date coincide with the launch of EBA Basel III mandatory exercise. The uploaded EU specific templates include the core BCBS templates as of December 2021 and additional EU specific panels and templates that intend to address the impact of the proposed EC adjustments in the EU implementation of the Basel III package. The additional EU specific instructions refer to the EU specific panels, embedded in the core BCBS templates, and to the independent EU specific panels. The instructions for the core BCBS templates are accessible via the following link: https://www.bis.org/bcbs/qis/biiiimplmoninstr_jan22.pdf  

The EU specific templates for the December 2022 exercise will become available and be circulated to the participating banks, together with the amended instructions, at the end of January 2023.

 

EU specific Basel III monitoring template (v4.4) as of December 2021[i]
EU specific Basel III monitoring instructions (v4.4) as of December 2021


[i] This is the generic version of the EU specific templates. The participating banks should only use the version provided by the competent authorities in their jurisdictions to ensure that the national specificities are reflected.

How the monitoring exercise is conducted

The impact of Basel III is assessed using mostly the following three measures:

  • Percentage impact on minimum required Tier 1 capital (MRC);
  • Impact, in basis points, on the current actual Tier 1 capital ratio;
  • Tier 1 capital shortfall resulting from the full implementation of Basel III, i.e. the capital amount that banks need to fulfil the Basel III MRC.

Regarding the percentage impact on MRC, the analysis breaks down the impact per risk category, namely, credit risk (standardised approach, internal ratings-based approach, securitisation and other components), market risk, credit valuation adjustments, operational risk, output floor, and leverage ratio requirements

Standards of the Basel III framework currently being monitored

Documents

Reports

13 January 2023

Report on Liquidity Measures under Article 509(1) of the CRR

EBA Liquidity monitoring

Besides the Basel III monitoring analysis, the EBA publishes a regular monitoring of the Liquidity Coverage Ratio (LCR) measure under the mandate in article 509 (1) of the CRR.

 

The EBA Reports on the LCR published prior to 2018 can be found here.

Ad-hoc quantitative impact studies

In addition to the monitoring exercises, the EBA occasionally publishes ad-hoc impact assessment reports in relation to specific EU or BCBS policy initiatives or revisions of EU or Basel standards. The studies are designed based on specific features and the desired outcomes of the legislation.

List of ad-hoc quantitative impact studies