EBA欧洲银行-20131216_EU-wide-Transparency-Summary-Report_14页_1mb

EU-wide Transparency Exercise 2013 Summary Report

Core Content

The EU-wide Transparency Exercise 2013 provides an overview of the capital and credit risk positions of EU banks, based on data from 64 participating banks across 21 EEA countries. The report highlights the improvement in capital ratios, the distribution of credit risk exposures, and the dynamics of sovereign exposures.

Main Points

1. Capital Ratios

• Core Tier 1 Capital: Increased by approximately EUR 80 billion between December 2011 and June 2013.
• Core Tier 1 Ratio: Improved from 10% to 11.7%, a 170 basis point increase.
• RWA Reduction: Risk-weighted assets (RWAs) decreased by more than EUR 800 billion during the same period.
• Capital Ratio Evolution: The improvement was driven by both capital increases and RWA reductions.
• Country-Level Analysis:
  • In one country (Ireland), the Core Tier 1 capital ratio decreased due to a capital reduction, partially offset by RWA reduction.
  • In eight countries (including Germany, Belgium, and the Netherlands), the improvement was mainly due to RWA reductions.
  • In six countries (including Cyprus, Spain, and France), the increase in capital had a larger impact than RWA reductions.
  • In six countries (including Greece, Finland, and Luxembourg), the increase in capital was partially offset by an increase in RWAs.

2. Credit Risk

• Exposure Breakdown:
  • Corporates account for 32% of total credit risk exposures.
  • Retail accounts for 31%.
  • Sovereigns account for 19%.
  • Institutions account for approximately 12%.
• Exposure at Default (EAD):
  • EAD decreased by 3% between December 2012 and June 2013.
  • The ratio of total defaulted assets to total exposure is 3.8%.
  • Corporate and retail portfolios have higher default rates: 6.9% and 4.2%, respectively.
• RWA Composition:
  • Credit risk contributes 80% to total RWAs.
  • Operational risk contributes 11%.
  • Market risk contributes 6%.
• Portfolio Dynamics:
  • RWAs by portfolio show similar trends to EADs, with corporate exposures accounting for 55% of total RWAs.
  • Sovereign exposures account for only 2% of total RWAs, despite making up 19% of EADs.

3. Sovereign Exposures

• Total Sovereign Exposures:
  • Amount to EUR 1,647 billion as of June 2013.
  • Decreased by 9.3% in 2011 but increased by 9.5% afterward.
• Accounting Classification:
  • 48% of sovereign exposures are in available for sale portfolios.
  • 30% in hold to maturity.
  • 18% in held for trading.
  • 4% under the fair value option.
• Domestic vs. Non-Domestic Holdings:
  • The share of sovereign bonds issued by sovereigns under stress held by domestic banks increased significantly between December 2010 and June 2013.
  • Sovereign exposures are spread across all maturity buckets without a specific concentration.

Key Information

• Data Scope: The report includes data from 64 banks, representing 64% of the total assets of the 21 EEA countries.
• Reference Dates: December 31, 2012, and June 30, 2013.
• Methodology: The report is based on weighted averages for an unbalanced sample and includes data from the 2011 stress test for context.
• Disclosure Purpose: The exercise aims to enhance transparency and market discipline, especially in light of the European Council's decision to establish a Single Supervisory Mechanism.
• Annex: Lists the participating banks with their respective bank codes and names.

Summary of Charts and Tables

• Chart 1: Core Tier 1 capital ratio increased by 170 bp to 11.7%.
• Chart 2: Shows the dispersion of Core Tier 1 ratios, highlighting a gradual improvement for lower quartiles.
• Chart 3: Highlights the country-level differences in Core Tier 1 ratios, influenced by national Basel 1 transitional floors.
• Chart 4: Illustrates the relative contributions of capital and RWAs to the Core Tier 1 ratio.
• Chart 5: Decomposes the 170 bp increase into capital and RWA components.
• Chart 6: Breakdown of total RWAs by component.
• Chart 7: Evolution of total RWAs by component from December 2011 to June 2013.
• Chart 8: Credit risk breakdown by asset class (corporates, retail, sovereigns, institutions).
• Chart 9: Credit risk exposures by portfolio and home country.
• Chart 10: RWAs by portfolio, with corporate exposures at 55%.
• Chart 11: Distribution of exposures by regulatory approach (IRB and Standardised).
• Chart 12: Default rates by asset class (corporate: 6.9%, retail: 4.2%).
• Chart 13: Sovereign exposures by accounting classification.
• Chart 14: Net direct sovereign exposure by maturity.

Tables

• Table 1: Evolution of non-domestic lending by counterparty country.
• Table 2: Evolution of sovereign positions by country, including domestic holdings and total exposures.

Conclusion

The 2013 EU-wide Transparency Exercise underscores the positive capital trend in the EU banking sector, driven by both capital injections and de-risking efforts. Credit risk is primarily concentrated in corporate and retail portfolios, while sovereign exposures show a mixed trend with a significant increase in holdings of stressed sovereign bonds. The report provides a comprehensive view of the banking sector's risk and capital positions, contributing to the understanding of financial stability and market discipline.