The European Banking Authority (EBA) published today its tenth report of the CRDIV-CRR/Basel III monitoring exercise on the European banking system. This exercise, run in parallel with the one conducted by the Basel Committee on Banking Supervision (BCBS) at a global level, presents aggregate data on capital ratios – risk-based and non-risk-based (leverage) – and liquidity ratios – the liquidity coverage ratio (LCR) and net stable funding ratio (NSFR) – for banks across the European Union (EU). It summarises the results using data as of 31 December 2015.
Overall, the results of this exercise show a further improvement of European banks' capital positions, with a total average Common Equity Tier 1 (CET1) ratio of 12.7% at end December 2015 assuming full implementation of the CRD IV/CRR. The banks in the sample largely respect the future regulatory capital requirements, with only a very small number of institutions showing potential capital shortfalls. The shortfall amount to meet the full-implementation minimum CET1 requirement (7%) has been continuously shrinking since mid-2011, and was at its lowest level (EUR 0.4 billion) at end December 2015.
The analysis of the leverage ratio shows that there has been a continuous increase in the last periods. A significant number of institutions in the sample would be constrained by the minimum leverage ratio requirement (3%) rather than by risk based standards.
The LCR analysis is based on data in accordance with the Commission's Delegated Regulation. The average LCR is at 133.7% at end December 2015, and 91% of the banks in the sample show an LCR above the full implementation minimum requirement applicable since January 2018 (100%). 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 absence of a finalised EU definition, the report monitors the NSFR compliance with the current Basel III standards. The analysis shows an overall average ratio of 107.0% with an overall shortfall in stable funding of EUR 240.1 billion.
Around 79% of participating banks already meet the minimum NSFR requirement of 100%. Compared with previous periods, there has been a continuous increase in banks' NSFR, which is mainly driven by the increasing amount of available stable funding (ASF) for both groups.
Note to the editors
1. 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.
2. 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.
3. For the first time, 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.