The European Banking Authority (EBA) has published a report on the results of its sixth Basel III monitoring exercise.

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 at 31 December 2013 and static balance sheet data. 151 EU banks participated in the exercise on a voluntary and confidential basis. The report summarises the aggregate results on:

  • capital;
  • risk weighted assets;
  • liquidity coverage ratio;
  • net stable funding ratio; and
  • leverage ratio for banks in the EU.

The impact on regulatory capital ratios and estimated capital shortfall of the Capital Requirements Directive IV package as of 31 December 2013 would be that the Common Equity Tier 1 (CET1) capital ratios of Group 1 banks would fall from an average CET1 ratio of 12.4% under current rules, to an average CET1 ratio of 10.1% under the new framework. A total of 98% of Group 1 banks would be at or above the 4.5% minimum CET1 requirement, while 84% of Group 1 would be above the 7.0% CET1 target level (i.e. including the capital conservation buffer). The CET1 capital shortfall for Group 1 banks would be EUR 0.1 billion, with respect to the minimum requirement of 4.5%; and EUR 11.6 billion, with respect to the target level of 7.0%. The latter shortfall includes, where applicable, the additional regulatory surcharge for globally systemically important banks (G-SIBs). Compared to the fifth monitoring exercise these latest results show an increase of 1.0 percentage point in the average CET1 ratio of Group 1 banks. The shortfall with respect to the 7% target level (also taking account of the capital surcharge for G-SIBs) fell from EUR 36.3 billion to EUR 11.6 billion, i.e. by 68.0%.

View Basel III monitoring exercise, 11 September 2014