The EBA published its report measuring the impact of implementing Basel III reforms and a report on the current implementation of liquidity measures in the EU.
Overall, the results of the Basel III capital monitoring, based on data as of 31 December 2017, show that EU banks' tier-1 MCR would increase by 16.7% at the full implementation date. The impact of the risk-based reforms is 21.8%, of which the leading factors are the output floor (6.3%) and operational risk (5.7%). The leverage ratio is the constraining (i.e. the highest) tier-1 requirement for some banks in the sample, explaining why part of the increase in the risk-based capital metric (-5.1%) is not to be accounted as an actual increase of the overall tier-1 requirement. To comply with the new framework, EU banks would need EUR 24.5 billion of total capital, EUR 6.0 billion of which as additional CET1 capital.
The EBA report on liquidity measures under article 509(1) of the CRR shows that EU banks have continued to improve their LCR. At the reporting date of 31 December 2017, EU banks' average LCR was 145% and the aggregate gross shortfall amounted to EUR 20.8 billion, corresponding to four banks that monetised their liquidity buffers during times of stress. A more in-depth analysis of potential currency mismatches in LCR levels suggests that banks tend to hold lower liquidity buffers in some foreign currencies such as US dollars.