The financial supervisory system in the European Union is largely national based. Against the background of increasing integration of European financial markets, this supervisory fragmentation brings about costs. There are incremental institutional costs of running supervisory agencies; and additional costs of compliance for financial services providers, due to phenomena such as multiple reporting. A more efficient supervisory system in Europe would overcome such excessive costs. On the basis of a large country panel it was possible to derive some quantifications for the extent of cost savings being associated with a more efficient European supervisory structure.