The European Banking Authority (EBA) published today its eleventh 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 30 June 2016 but does not reflect any BCBS standards agreed since the beginning of 2016, such as the revisions to the market risk framework, or any other BCBS proposals, which have not yet been finalised, including the revisions to credit and operational risk frameworks.
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 12.8% at end June 2016 assuming full implementation of the CRD IV-CRR. All banks in the sample comply with the future regulatory capital requirements, exhibiting zero shortfall to meet the full-implementation minimum CET1 requirement, including the capital conservation buffer (7%) at end June 2016.
The analysis of the leverage ratio shows that there has been a continuous increase in the last periods. A small percentage of institutions in the sample (4.7%) would be constrained by the minimum leverage ratio requirement (3%) additionally to risk-based minimum requirements.
The LCR analysis is based on data in accordance with the Commission’s Delegated Regulation. The average LCR is 133.7% at end June 2016, while 95.4% of the banks in the sample show an LCR above the full implementation minimum requirement applicable from January 2018 (100%). The shortfall to meet the full-implementation minimum LCR requirement is EUR 2.5 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 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 107.8% with an overall shortfall in stable funding of EUR 158.7 billion.
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. Currently, around 80.6% of participating banks already meet the minimum NSFR requirement of 100%.
The Report is available here.