On 4 October 2018, the European Banking Authority (EBA) published a report that presents the estimated impact of the Basel reform package on European banks as agreed in December 2017 by the Group of Central Bank Governors and Heads of Supervision.
The assessment of the final package includes the revisions to the internal ratings-based (IRB) approach, the standardised approach to credit risk and the standardised approach to operational risk, as well as the revisions to the Basel III leverage ratio framework. In addition, it includes the impact of the fundamental review of the trading book and credit valuation adjustment standards. However, it does not include the impact of the current Basel Committee review of the calibrations of the standardised and internal model approaches to ensure consistency with the original expectations of the Basel Committee, as well as changes resulting from the revised securitisation framework.
The report estimates that the Basel III reforms would determine an average increase by 16.7% of EU banks’ Tier 1 minimum required capital. The liquidity coverage ratio of EU banks stood at around 145% in December 2017, materially above the minimum threshold of 100%.
The Basel Committee has also published its latest Basel III monitoring results which also includes the reforms that were agreed in December 2017. The monitoring exercise shows that fully-phased in final Basel III capital shortfalls were more than 70% lower for large internationally active banks compared with end-2015. In addition, all banks continue to meet initial Basel III minimum and target common equity tier 1 capital requirements.