Quantitative impact study/Basel III monitoring

The 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 mandatory basis for a prespecified set of data fields.

For the exercise based on end-2023 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 uploaded EU specific templates include the core BCBS templates as of December 2023 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_5.1.pdf

The EU specific templates for the December 2023 exercise will become available and be circulated to the participating banks, together with the amended instructions, at the end of January 2024.

Basel III monitoring reporting template v5.1 (EBA v3.0) [i]
Specific Basel III monitoring instructions v.5.1 (EBA v3.0)

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

• Basel III: A global regulatory framework for more resilient banks and banking systems
• Basel III: The Liquidity Coverage Ratio and liquidity risk monitoring tools
• Basel III leverage ratio framework and disclosure requirements
• Basel III: the Net Stable Funding Ratio
• Basel III: Finalising post-crisis reforms

Reports on Basel III monitoring

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

• EBA report on leverage ratio requirements under Article 511 of the CRR (2016)
• EBA report on SMEs and SME supporting factor (2016)
• Call for Advice of the European Commission on the impact of the final Basel 3 reforms, including the update with the revised FRTB (2019)
• Non-modellable risk factor (NMRF) data collection (2019)
• Call for advice on loan enforcement (ongoing - 2019)
• Investment firms data collection (ongoing - 2020)