On December 15th 2020 the European Banking Authority (EBA) released an update of its Basel III impact study. After publication of the report, a significant error has been identified in the reported data, which has resulted in a large underestimation of the expected impact of the implementation of the Basel III-revision on Danish banks. In particular, the impact of the output floor was underestimated. The error has also affected the EBA’s regular Basel III monitoring report released on December 10th 2020.
Based on corrected data, the impact on the risk exposure of Danish banks has increased from 19.7% to 36.4% in the Basel scenario, and from 13.9% to 29.3% in the EU-specific scenario. The total capital ratio, after implementation of the revised Basel-Standards, decreases from 18.4% to 16.4% in the Basel scenario and from 19.4% to 17.3% in the EU-specific scenario.
The Danish Financial Supervisory has transmitted the corrected data to the EBA and the Danish Ministry of Industry, Business and Financial Affairs has notified the European Commission.