27 September 2012

EBA publishes results of the Basel III monitoring exercise as of 31 December 2011

The European Banking Authority (EBA) published its second report of the Basel III monitoring exercise which presents the aggregate results on capital, risk-weighted assets (RWAs), leverage and liquidity ratios in EU Member States.

The results of this exercise show an estimated CET1 capital shortfall for Group 1 banks of €8 billion at a minimum requirement of 4.5 per cent and of €199 billion at a target level of 7.0 per cent.

Compared to the previous exercise based on data as of June 2011, the results of the current monitoring show an average increase in Group 1 banks’ CET1 ratio of 0.4 percentage points and a decrease in the corresponding capital shortfall, with respect to the 7 per cent target level, by €32.3 billion (i.e. 14 per cent).

These results do not reflect all the additional efforts made by banks to fulfil the requirements of the EBA’s recapitalisation exercise whose impact on the forthcoming Basel III monitoring results based on data as of 30 June 2012 is expected to be published in early 2013.

The monitoring exercise provides an impact assessment of the following aspects:

• Changes to banks' capital ratios under Basel III, and estimates of any capital shortfalls. In addition, estimates of capital surcharges for global systemically important banks (G-SIBs) are included, where applicable;
• Changes to the definition of capital that result from the new capital standard, referred to as common equity Tier 1 (CET1), including modified rules on capital deductions, and changes to the eligibility criteria for Tier 1 and total capital;
• Changes in the calculation of risk-weighted assets (RWA) resulting from changes to the definition of capital and counterparty credit risk requirements;
• The capital conservation buffer;
• The leverage ratio;
• Two liquidity standards – the liquidity coverage ratio (LCR) and the net stable funding ratio (NSFR).

Full information

Report on the results of the Basel III monitoring exercise

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