Research Article

[Retracted] Basel III Liquidity Risk Measures and Bank Failure

Table 3

Liquidity studies [18ā€“22] for Group 1 and 2 banks.

Organization BCBS EBA
Contribution [18] [19] [20] [21] [22]
Report date Sep-12 Apr-12 Dec-10 Sep-12 Apr-12
Bank data date 12/31/2011 06/30/2011 12/31/2009 12/31/2011 06/30/2011

Bank count (102, 107) (103, 102) (NA, NA) (44, 112) (NA, NA)
Total assets (Euro Trillions) 61.40 58.50 NA 31.00 31.00
Weighted average LCR (0.91, 0.98) (0.90, 0.83) (0.83, 0.98) (0.72, 0.91) (0.71, 0.70)
LCR shortfall ($ Trillions) 2.33 2.28 2.24 1.52 1.55
Weighted average NSFR (0.98, 0.95) (0.94, 0.93) (0.93, 1.03) (0.93, 0.94) (0.89, 0.90)
NSFR shortfall ($ Trillions) 3.24 3.60 3.74 1.81 2.46