The European Banking Authority (EBA) published today its thirteenth 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 30 June 2017, show a further improvement of European banks' capital positions, with a total average Common Equity Tier 1 (CET1) ratio of 13.8% (13.4% as of 31 December 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.
| CET1 | Tier 1 | Total | LR | LCR | NSFR | |
| Group 1 | 13.5 | 14.5 | 17.5 | 4.9 | 137.6 | 111.1 |
| Group 2 | 15.0 | 15.3 | 17.4 | 5.6 | 178.5 | 117.5 |
| All banks | 13.8 | 14.7 | 17.4 | 5.0 | 143.1 | 112.3 |
On the capital side, the exercise estimated no shortfalls of CET1 capital, and relatively low shortfalls of Tier 1 and total capital, at EUR 0.1 billion and EUR 0.1 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 June 2017 (5.0% as of December 2016). A small percentage of institutions in the sample (2.5%) 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 143.1% at end June 2017 (139.5% as of December 2016), and all banks in the sample show a LCR above the full implementation minimum requirement applicable from 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 the absence of a finalised EU definition, the EBA monitors the Net Stable Funding Ratio (NSFR) compliance with the current Basel III standards. The analysis shows an overall average NSFR ratio of 112.3% (112.0% as of December 2016) with an overall shortfall in stable funding of EUR 50.9 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 81% 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.
Related documents:
