Bancherul - BANCI / ENGLISH / EBA publishes results of the Basel III monitoring exercise as of 30 June 2012

The European Banking Authority (EBA) publishes today its third report of the Basel III monitoring exercise on the European banking system. This exercise was run in parallel with the study conducted by the Basel Committee on Banking Supervision (BCBS) at a global level.

The report presents the aggregate results, as of 30 June 2012, on capital, risk weighted assets (RWAs) and leverage ratio assuming full implementation of the Basel III framework and a static balance sheet. The results of this study are not comparable to industry estimates as they do not include assumptions regarding banks’ future profitability, changes in capital or balance sheet composition nor further management actions that could be taken in response to the new Basel framework.

Against the backdrop of the aforementioned assumptions, this study shows that that the common equity Tier 1 capital ratio (CET1) of the largest European banks (Group 1 banks) would be on average 7.8% compared to a ratio of 11.1% under the current rules. Therefore, Group 1 banks would face a CET1 capital shortfall of €3.7 bn to achieve a minimum requirement of 4.5% and of €112.4 bn at a target level of 7.0%.

Compared to the previous exercise based on data as of 31 December 2011, these results show a decrease in the capital shortfall of €86.2 bn (43.4%). This decrease is predominantly driven by an increase in CET1 capital rather than by a reduction in RWAs. This change partly reflects European banks’ significant progress in boosting their capital positions and in strengthening the overall resilience of the EU banking system as a result of the EBA recapitalisation exercise.

Following the recent revision of the Liquidity Coverage Ratio (LCR) by the BCBS, this report does not present the LCR results as the latter could not be calculated as of June 2012. However, the LCR results will be presented in the report based on data as of 31 December 2012.

A total of 157 banks participated in the exercise on a voluntary and confidential basis, of which 44 Group 1 banks (with a Tier 1 capital exceeding €3bn and internationally active) and 113 Group 2 banks (all other banks).

See Basel III monitoring exercise in FISIERE