EBA欧洲银行-EBA-Dashboard-Q4-2015_34页_1mb

报告摘要

EU Banking Sector Risk Dashboard Summary (Q4 2015)

Core Content Overview

This summary provides an analysis of the key risk indicators (RKIs) for the EU banking sector as of Q4 2015. It covers capital adequacy, credit risk, profitability, and balance sheet structure, highlighting trends and country-specific dispersion.

Main Risks and Vulnerabilities

Risk Category	Risk Drivers	Risk Level	Forward Trend	Contributing Factors
Capital	Asset quality, emerging markets, commodity and energy exposures, global economic development	■	→	NPL ratios have continued their trend of slow improvements, but remain high in several parts of the EU. A significant stock of legacy NPLs contributes to high ratios. Credit risk is mainly negatively driven by emerging market, commodity and energy exposures. Global economic prospects are increasingly fragile.
Market Risk	Heightened market volatility, risk from declining market liquidity	■	↑	Volatility is heightened in nearly all asset classes, especially in equity, FX and commodity markets. Persistent risk of a sudden decrease in market liquidity. Low interest environment increases risk appetite.
Operational Risk	Information & communication technologies, cyber attacks	■	→	Information and communication technologies, including exposure to cyber attacks, remain a key operational risk. Pressure for further cost reduction measures entail additional operational risks.
Concentration Risk	Low interest rate environment, direct & indirect EM / commodity / energy exposures	■	→	Banks are increasingly vulnerable to interest rate shifts and have increased willingness to take higher risks. High concentration in sovereign, emerging market, commodity and energy exposures in some jurisdictions.
Reputational and Legal Risk	Misconduct, litigation costs	■	→	Scope of identified misconduct practices and incurring costs remains wide. Current provisioning levels may not be sufficient.
Profitability	Interest margins, investment banking revenue, fee income, NPL levels	■	→	Interest margins remain under pressure. Investment banking business is increasingly under pressure. Fee income suffers from growing competition. Legacy NPLs and new impairments from certain exposures drag on profitability.
Liquidity & Funding	Access to funding and maturity distribution, Funding structure	■	→	Issuance activity for senior unsecured debt instruments was more volatile and subdued. Subordinated debt issuance was significantly below last year's volumes. Covered bond markets remained stable. Regulatory uncertainties negatively affect issuance activity.
Environment	Regulatory and legal environment, Fragmentation, Sovereign risk	■	→	Regulatory uncertainty is a negative burden. Fragmentation of asset quality, profitability and funding structure remains high. Sovereign risk remains high due to debt overhang in some countries.

Key Risk Indicators Summary

1. Solvency – Tier 1 Capital Ratio

Q4 2015: 13.6%
Country Dispersion: No country had an average CET1 ratio below 11%
Share of banks below 11%: Declined from 13.1% to 4.6%
CET1 fully loaded ratio: 13.0%

2. Solvency – Total Capital Ratio

Q4 2015: 17.7%
Country Dispersion: Widened among countries (from about 1.0% to nearly 55%)

3. Credit Risk – NPL Ratio

Q4 2015: 5.8%
Share of banks with NPL ratio above 8%: Declined from 8.9% to 6.9%
Share of banks with NPL ratio below 3%: Declined from 41.1% to 38.3%
Share of banks with NPL ratio between 3% and 8%: Increased from 50.0% to 54.8%

4. Credit Risk – Coverage Ratio for NPLs

Q4 2015: 43.8%
Share of banks with coverage ratio below 40%: Increased from 34.3% to 39.9%
Share of banks with coverage ratio above 55%: Slightly decreased from 11.2% to 11.1%

5. Credit Risk – Forbearance Ratio

Q4 2015: 3.6%
Share of banks with forbearance ratio above 4%: Declined from 28.3% to 19.8%
Share of banks with forbearance ratio between 1.5% and 4%: Increased from 36.3% to 43.9%

6. Credit Risk – NPE Ratio

Q4 2015: 5.0%
Share of banks with NPE ratio below 2%: Increased from 32.5% to 35.7%
Share of banks with NPE ratio above 12%: Declined from 12.1% to 12.0%

7. Profitability – Return on Equity (RoE)

Q4 2015: 4.7%
Share of banks with RoE below 6%: Increased from 42.8% to 47.0%
Share of banks with RoE between 6% and 10%: Increased from 50.2% to 55.5%
Share of banks with RoE above 10%: Declined from 7.0% to 2.7%

8. Profitability – Return on Assets (RoA)

Q4 2015: 0.29%
RoA below 0.15%: Increased from 35.7% to 42.8%
RoA between 0.15% and 0.61%: Increased from 59.3% to 67.4%

9. Profitability – Cost to Income Ratio

Q4 2015: 62.8%
Cost to income ratio below 50%: Increased from 10.9% to 11.6%
Cost to income ratio between 50% and 60%: Increased from 12.2% to 19.0%
Cost to income ratio above 60%: Increased from 76.9% to 69.5%

10. Profitability – Net Interest Income to Total Operating Income

Q4 2015: 57.4%
Net interest income share increased from 56.3% in the previous quarter

11. Balance Sheet Structure – Loan-to-Deposit Ratio

Q4 2015: 120.9%
Small banks: 95.5%
Mid-sized banks: 137.8%
Large banks: 118.0%

12. Balance Sheet Structure – Liquid Assets to Short-Term Liabilities

Q4 2015: 59.0%
Liquid assets below 20%: Increased from 44.5% to 35.7%

13. Balance Sheet Structure – Debt to Equity Ratio

Q4 2015: 63.7%
Debt to equity ratio below 12x: Increased from 8.0% to 9.8%
Debt to equity ratio between 12x and 15x: Increased from 28.0% to 39.6%
Debt to equity ratio above 15x: Increased from 51.1% to 50.6%

Key Trends

Capital ratios continued to increase, with CET1 ratio rising to 13.6% in Q4 2015, driven by increased capital and decreased risk-weighted assets.
Credit risk showed modest improvements, but NPLs and NPEs remained high in some parts of the EU. Coverage ratio for NPLs improved slightly, but a significant portion of banks still had coverage below 40%.
Profitability remained low, with RoE declining seasonally to 4.7% in Q4 2015, but showing an annual increase from 3.5% in 2014. Large banks had higher RoE than smaller banks.
Liquidity and funding were affected by market volatility and regulatory uncertainties, with issuance activity for subordinated debt significantly below previous years.
Balance sheet structure showed a decrease in the loan-to-deposit ratio, with a narrowing of dispersion among banks of different sizes.

Key Observations

Country dispersion remained a concern, especially in the CET1 ratio and coverage ratio for NPLs.
Smaller banks faced more challenges in profitability and liquidity compared to larger banks.
Regulatory and legal environment posed ongoing risks due to uncertainties around risk-weighted assets, MREL, and MDA.
Fragmentation in asset quality, profitability, and funding structure persisted across jurisdictions.
Sovereign risk remained high due to debt overhang in some countries, increasing vulnerabilities for banks with significant sovereign exposure.

Conclusion

The EU banking sector showed some improvement in capital and credit risk indicators in Q4 2015, but profitability and liquidity remained under pressure. The sector continues to face challenges related to regulatory uncertainties, market volatility, and concentration risks, particularly in emerging markets and commodity and energy sectors. Smaller banks were more vulnerable in terms of profitability and liquidity compared to larger banks. The dispersion in risk indicators across countries and bank sizes remains a key concern.

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