The European Banking Authority (EBA) published today its twelfth Report of the CRDIV-CRR/Basel III monitoring exercise on the European banking system. This exercise presents aggregate data on EU banks' capital, leverage, and liquidity ratios assuming full implementation of the CRD IV-CRR/Basel III framework. Overall, the results, based on data as of 31 December 2016, show a further improvement of European banks' capital positions, with a total average Common Equity Tier 1 (CET1) ratio of 13.4% (12.8% as of 30 June 2016). This exercise does not reflect any BCBS standards agreed since the beginning of 2016 or any other measures currently being considered by the BCBS.
Overall results assuming full implementation of CRD IV-CRR/Basel III (%)
On the capital side, the exercise estimated relatively low shortfalls of CET1 capital, at EUR 1.7 billion, and of Tier 1 and total capital, at EUR 3.6 billion and EUR 5.1 billion respectively.
The analysis of leverage ratio (LR) shows that there has been a continuous increase in the last periods. The analysis estimates the LR at 5.0% as of December 2016 (4.7% as of June 2016). A small percentage of institutions in the sample (2.3%) would be constrained by the minimum leverage ratio requirement (3%) on top of risk-based minimum requirements.
On the liquidity side, the liquidity coverage ratio (LCR) analysis is based on data in accordance with the Commission's Delegated Regulation
. The average LCR was 139.5% at end December 2016 (133.7% as of June 2016), while 99.2% of the banks in the sample show a LCR above the full implementation minimum requirement applicable from January 2018 (100%). The shortfall to meet the full-implementation minimum LCR requirement would be EUR 0.1 billion. In addition, time-series analyses show that the weighted average LCR has increased since June 2011, mainly due an increase in banks' liquidity buffers.
In the absence of a finalised EU definition, the EBA monitors the NSFR compliance with the current Basel III standards. The analysis shows an overall average NSFR ratio of 112.0% (107.8% as of June 2016) with an overall shortfall in stable funding of EUR 116.1 billion. Compared with previous periods, there has been a continuous increase in banks' NSFR, mainly driven by the increasing amount of available stable funding (ASF) for both groups. Around 87.5% of participating banks already would meet the minimum NSFR requirement of 100%.
Notes to the editors
The exercise monitors the impact of the transposition of the CRD IV-CRR/Basel III requirements on EU banks. In particular, it monitors the impact of fully implementing the European Capital Requirements Directive and Regulation (CRD IV - CRR) on banks' capital ratios (risk-based and non-risk-based) and on their LCR, as well as the impact of fully implementing the Basel III framework on banks' NSFR.
The results of the report are separately shown for small, medium-sized and large Group 2 banks, as well as Group 1 banks. Group 1 banks are banks with Tier 1 capital in excess of EUR 3 billion and internationally active. All other banks are categorised as Group 2 banks. Group 2 banks are classified into sub-samples: large Group 2 banks which have Tier 1 capital in excess of EUR 3 billion, medium-sized banks with Tier 1 capital below or equal to EUR 3 billion and above EUR 1.5 billion, and small banks having Tier 1 capital below or equal to EUR 1.5 billion.
The analysis focuses on the joint sample of global systemically important institutions (G-SIIs) and other systemically important institutions (O-SIIs), with reference to the first list of O-SIIs as of April 2016. Where applicable, the analysis takes account of G-SIIs and O-SIIs capital buffer.
The composition and number of banks participating in the EBA monitoring exercise may change over time.