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The European Banking Authority (EBA) published 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).
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%.