EBA欧洲银行-EBA-Dashboard-Q1-2016_34页_1mb

EU Banking Sector Risk Dashboard Summary - Q1 2016

Core Content

This document presents a risk dashboard for the EU banking sector as of Q1 2016, highlighting key risk indicators (RIs) and their trends across different categories. It includes data from 198 European banks, with a focus on capital adequacy, credit risk, asset quality, profitability, and balance sheet structure. The dashboard provides insights into the current risk outlook, comparing it with previous quarters and across different bank sizes and countries.

Main Risks and Vulnerabilities

Capital

• Pillar 1:

  • Credit risk: Asset quality and vulnerabilities due to global economic developments, initiatives to reduce NPLs.
    • Risk level: High
    • Expected trend: Increasing
    • Forward trend: Stable
    • Key point: NPL ratios remain high in parts of the EU. Initiatives to reduce NPLs are ongoing but have yet to prove their success. Vulnerabilities are influenced by global economic developments, emerging market risks, and commodity, energy, and shipping exposures.
  • Market risk: Heightened market volatility and risk from declining market liquidity.
    • Risk level: High
    • Expected trend: Increasing
    • Forward trend: Stable
    • Key point: Market volatility increased significantly after the UK's referendum. There is a persistent risk of a sudden decrease in market liquidity.
  • Operational risk: Information and communication technologies, cyber attacks.
    • Risk level: High
    • Expected trend: Increasing
    • Forward trend: Stable
    • Key point: Recent cyber attacks have demonstrated vulnerabilities in IT infrastructure. Legal risks from new technologies are also a concern.

• Pillar 2:

  • Concentration risk, IRRBB and other: Low interest rate environment.
    • Risk level: High
    • Expected trend: Increasing
    • Forward trend: Stable
    • Key point: Low interest rates increase risk exposures and foster price bubbles in real estate and other markets.
  • Reputational and legal: Misconduct, litigation costs.
    • Risk level: High
    • Expected trend: Increasing
    • Forward trend: Stable
    • Key point: Misconduct practices and litigation costs remain wide. These include customer-related misconduct, breaches of sanctions, and involvement in tax evasion schemes.
  • Profitability: Interest income, fee income, investment banking revenue.
    • Risk level: High
    • Expected trend: Increasing
    • Forward trend: Stable
    • Key point: Banks have not yet shown the ability to increase fee income despite pressure on interest income. Lending margins are also under pressure.

Liquidity & Funding

• Access to funding and maturity distribution:
  • Risk level: High
  • Expected trend: Increasing
  • Forward trend: Up
  • Key point: Spreads widened and primary market activity decreased in February and March. Markets have since stabilised, but subordinated debt spreads remain high.
• Funding structure:
  • Risk level: High
  • Expected trend: Increasing
  • Forward trend: Stable
  • Key point: Covered bonds and deposits remain important in the funding mix. Banks have continued access to AT1, T2, and MREL/TLAC eligible funding.

Environment

• Regulatory and legal environment:
  • Risk level: High
  • Expected trend: Increasing
  • Forward trend: Stable
  • Key point: Regulatory uncertainty remains in several areas, including risk-weighted asset requirements, MREL, and MDA.
• Fragmentation:
  • Risk level: High
  • Expected trend: Increasing
  • Forward trend: Stable
  • Key point: Fragmentation of asset quality, profitability, and funding remains high. Central bank funding usage differs significantly between countries.
• Sovereign risk:
  • Risk level: High
  • Expected trend: Increasing
  • Forward trend: Stable
  • Key point: High debt overhang in some countries poses significant risks to banks.

Key Risk Indicators (RIs)

1. Solvency Tier 1 Capital Ratio

• Core data: Declined from 13.6% to 13.4% in Q1 2016, driven by a decline in capital not offset by a decrease in risk-weighted assets.
• Country dispersion: Wide, ranging from 1% to nearly 50%.
• Size class: Small banks had a higher ratio (22.4%) than medium (12.7%) and large banks (4.2%).
• Fully loaded CET1 ratio: 12.9% in Q1 2016 (13.0% per year end 2016).

2. Total Capital Ratio

• Core data: Remained at 17.4% in Q1 2016, with a slight decline in the previous quarter.
• Country dispersion: Wide, ranging from 14.8% to 23.0%.
• Size class: Small banks had a lower ratio compared to larger banks.

3. CET1 Ratio

• Core data: Remained at 13.4% in Q1 2016, with a slight decline from the previous quarter.
• Country dispersion: Wide, ranging from 11.7% to 17.3%.
• Size class: Small banks had a lower CET1 ratio compared to larger banks.

4. CET1 Ratio (Fully Loaded)

• Core data: Remained at 12.9% in Q1 2016.
• Country dispersion: Wide, ranging from 11.8% to 17.1%.
• Size class: Small banks had a lower CET1 ratio compared to larger banks.

5. NPL Ratio

• Core data: Decreased from 6.5% to 5.7% in Q1 2016, with a similar trend as previous quarters.
• Country dispersion: Wide, ranging from 2.2% to 14.9%.
• Size class: Small banks had a higher NPL ratio (22.4%) than medium (12.7%) and large banks (4.2%).

6. Coverage Ratio for NPLs

• Core data: Improved slightly from 43.7% to 43.8% in Q1 2016.
• Country dispersion: Wide, ranging from 31.0% to 47.6%.
• Size class: Small banks had a lower coverage ratio compared to larger banks.

7. Forbearance Ratio for Loans

• Core data: Decreased from 3.9% to 3.5% in Q1 2016.
• Country dispersion: Wide, ranging from 1.3% to 9.5%.
• Size class: Small banks had a higher forbearance ratio compared to larger banks.

8. NPE Ratio

• Core data: Decreased from 5.5% to 4.9% in Q1 2016.
• Country dispersion: Wide, ranging from 1.8% to 12.1%.
• Size class: Small banks had a higher NPE ratio compared to larger banks.

9. Return on Equity (RoE)

• Core data: Annualised RoE decreased to 5.8% in Q1 2016, 1.1 p.p. below the previous year, but improved from Q4 2015 (4.7%).
• Country dispersion: Wide, ranging from -3% to 17%.
• Size class: Small banks had a lower RoE compared to larger banks.

10. Return on Assets (RoA)

• Core data: RoA was 0.36% in Q1 2016, slightly higher than the previous quarter (0.29%) and the same as Q1 2015 (0.40%).
• Country dispersion: Wide, ranging from 2.0% to 12.4%.
• Size class: Small banks had a lower RoA compared to larger banks.

11. Cost to Income Ratio

• Core data: Increased to 66.0% in Q1 2016, up from 62.8% in the previous quarter.
• Country dispersion: Wide, ranging from 10.9% to 18.3%.
• Size class: Small banks had a higher cost to income ratio compared to larger banks.

12. Net Interest Income to Total Operating Income

• Core data: Increased from 57.4% to 58.6% in Q1 2016.
• Country dispersion: Wide, ranging from 31.4% to 58.3%.
• Size class: Small banks had a lower ratio compared to larger banks.

13. Net Fee and Commission Income to Total Operating Income

• Core data: Increased by 30bps to 27.1% in Q1 2016.
• Country dispersion: Wide, ranging from 11.3% to 55.7%.
• Size class: Small banks had a lower ratio compared to larger banks.

14. Net Trading Income to Total Operating Income

• Core data: Decreased from 5.6% to 4.9% in Q1 2016.
• Country dispersion: Wide, ranging from 11.2% to 55.0%.
• Size class: Small banks had a lower ratio compared to larger banks.

15. Net Interest Income to Interest Bearing Assets

• Core data: Decreased slightly from 1.59% to 1.50% in Q1 2016.
• Country dispersion: Wide, ranging from 11.4% to 55.4%.
• Size class: Small banks had a lower ratio compared to larger banks.

16. Loan-to-Deposit Ratio

• Core data: Increased to 121.6% in Q1 2016, up from 121.2% in the previous quarter.
• Country dispersion: Wide, ranging from 96.1% to 137.8%.
• Size class: Small banks had a lower ratio, while mid-sized institutions had a higher ratio.

17. Liquid Assets to Short-Term Liabilities

• Core data: Increased from 21.4% to 21.7% in Q1 2016.
• Country dispersion: Wide, ranging from 2.9% to 59.0%.
• Size class: Small banks had a lower ratio compared to larger banks.

18. Liquid Assets to Total Items Requiring Stable Funding

• Core data: Increased from 15.3% to 15.6% in Q1 2016.
• Country dispersion: Wide, ranging from 2.9% to 59.0%.
• Size class: Small banks had a lower ratio compared to larger banks.

19. Debt to Equity Ratio

• Core data: Increased to 63.7% in Q1 2016.
• Country dispersion: Wide, ranging from 8.4% to 54.9%.
• Size class: Small banks had a lower ratio compared to larger banks.

20. Asset Encumbrance Ratio

• Core data: Decreased to 25.4% in Q1 2016.
• Country dispersion: Wide, ranging from 12.2% to 54.9%.
• Size class: Small banks had a lower ratio compared to larger banks.

Key Information

• The risk dashboard is based on a sample of 198 European banks, with data weighted averages.
• The data is based on the EBA's implementing technical standards on supervisory reporting.
• The risk level is summarised in a traffic light system (green for low, yellow for medium, red for high).
• The data is subject to changes due to annual reviews and adjustments by competent authorities.
• The dashboard serves as a basis for the EBA's Risk Assessment Report.