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Illegal in all EU countries and forbidden by the Charter of Fundamental Rights, Article 2. The Charter is legally binding according to the Lisbon Treaty Article 6 TEU.
There is an exception to the general ban on the death penalty. The envisaged ratification of the European Convention on Human Rights by the EU allows member states to use the death penalty 'in time of war or imminent threat of war'.
The 'Explanations' attached to the EU Charter of Fundamental Rights as a guide to their interpretation refer to the post-Lisbon EU acceding to Protocol 6 of the Convention on Human Rights, which permits the use of the death penalty on such occasions, rather than to Protocol 13, which outlaws it in all circumstances.
The EU Charter of Fundamental Rights is thus not an absolute guarantee against the imposition of the death penalty in all circumstances.
The Council of Europe has been "death penalty free" since 1997, in that those of its member states acceding to the Convention on Human Rights have acceded to Protocol 13, unlike the Lisbon Treaty EU.
The death penalty is legal in the USA, although it is illegal in some individual states of the USA.