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.