EBA Publishes Reports Monitoring the Implementation of Basel III in EU
EBA published two reports measuring the impact of implementing the final Basel III reforms and monitoring the implementation of liquidity measures in EU. The EBA Basel III capital monitoring report includes a preliminary assessment of the impact of the Basel reform package on EU banks, assuming its full implementation. The report on liquidity measures monitors and evaluates the liquidity coverage requirements in place in EU.
The Basel III monitoring report assesses the impact on EU banks of the final revisions of credit risk (split into four sub-categories), 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 and credit valuation adjustments (CVA). Overall, the results of the Basel III capital monitoring exercise, which is based on data as of June 30, 2018, show that European banks' minimum tier 1 capital requirement would increase by 19.1% at the full implementation date (2027). The impact of the risk-based reforms is 25.4%, of which the leading factors are the output floor (8.0%) and operational risk (5.5%). Leverage ratio is the constraining (that is, the highest) tier 1 requirement for some banks in the sample but will not be as constraining under the final Basel III, explains why part of the increase in the risk-based capital metric (-6.2%) is not to be accounted for as an actual increase in the overall tier 1 requirement. This offsetting effect (-6.2%) is attributed to the leverage ratio contribution to the total impact. To comply with the new framework, EU banks would need EUR 39.0 billion of additional total capital, of which EUR 24.2 billion is tier 1 capital.
Additionally, the liquidity coverage ratio (LCR) of EU banks, which was fully implemented in January 2018, stood at nearly 146% on average in June 2018, which is materially above the minimum threshold of 100%. However, some individual institutions reported shortfalls in the overall LCR. In parallel to this exercise, EBA is working on a more detailed report on the impact of the reforms. This report will be based on data of the same reference date (June 2018) but on an expanded sample of banks. The latter report will also cover the Pillar II requirements instead of only Pillar I requirements, as in the current report.
Related Links
Keywords: Europe, EU, Banking, Basel III, Basel III Monitoring, Liquidity Risk, LCR, Regulatory Capital, EBA
Previous Article
EBA Updates List of Other Systemically Important Institutions in EURelated Articles
|
News
HKMA Decides to Maintain Countercyclical Capital Buffer at 2.5%HKMA announced that, in accordance with the Banking (Capital) Rules, the countercyclical capital buffer (CCyB) ratio for Hong Kong remains at 2.5%.
April 16, 2019
WebPage
Regulatory News
|
|
News
EP Approves Agreement on Package of CRD 5, CRR 2, BRRD 2, and SRMR 2The European Parliament (EP) approved the final agreement on a package of reforms proposed by EC to strengthen the resilience and resolvability of European banks.
April 16, 2019
WebPage
Regulatory News
|
|
News
FDIC Consults on Approach to Resolution Planning for IDIsFDIC approved an Advance Notice of Proposed Rulemaking (ANPR) and is seeking comment on ways to tailor and improve its rule requiring certain insured depository institutions (IDIs) to submit resolution plans.
April 16, 2019
WebPage
Regulatory News
|
|
News
EP Resolution on Proposal for Sovereign Bond Backed SecuritiesThe European Parliament (EP) published adopted text on the proposal for a regulation of the European Parliament and of the Council on sovereign bond-backed securities (SBBS).
April 16, 2019
WebPage
Regulatory News
|
|
News
PRA Seeks Input and Issues Specifications for Insurance Stress TestsPRA announced that it will conduct an insurance stress test for the largest regulated life and general insurers from July to September 2019.
April 15, 2019
WebPage
Regulatory News
|
|
News
PRA Finalizes Policy on Approach to Managing Climate Change RisksPRA published the policy statement PS11/19, which contains final supervisory statement (SS3/19) on enhancing banks’ and insurers’ approaches to managing the financial risks from climate change (Appendix).
April 15, 2019
WebPage
Regulatory News
|
|
News
EBA Single Rulebook Q&A: First Update for April 2019EBA published answers to nine questions under the Single Rulebook question and answer (Q&A) updates for this week.
April 12, 2019
WebPage
Regulatory News
|
|
News
EIOPA Statement on Application of Proportionality in SCR SupervisionEIOPA published a supervisory statement on the application of proportionality principle in the supervision of the Solvency Capital Requirement (SCR) calculated in accordance with the standard formula.
April 11, 2019
WebPage
Regulatory News
|
|
News
FED Updates Form and Supplemental Instructions for FR Y-9C ReportingFED updated the form and supplemental instructions for FR Y-9C reporting. FR Y-9C is used to collect data from domestic bank holding companies, savings and loan holding companies, U.S intermediate holding companies, and securities holding companies with total consolidated assets of USD 3 billion or more.
April 11, 2019
WebPage
Regulatory News
|
|
News
OSFI Finalizes Guidelines on Liquidity Adequacy and NSFR DisclosuresOSFI published the final Liquidity Adequacy Requirements (LAR) guideline and the net stable funding ratio (NSFR) disclosure requirements guideline.
April 11, 2019
WebPage
Regulatory News
|
