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13 September 2016

EBA publishes results of the CRDIV-CRR/Basel III monitoring exercise as of 31 December 2015

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This exercise 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 European Banking Authority’s (EBA) 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.

Press release

CRDIV CRR Basel III Monitoring Exercise Report - December 2015


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