EBA欧洲银行-EBA-Dashboard-Q2-2018_36页_3mb

EU Banking Sector Risk Dashboard Summary - Q2 2018

Core Content Overview

The EU Banking Sector Risk Dashboard provides an analysis of key risk indicators (RIs) for European banks as of Q2 2018. It outlines the current state of solvency, credit risk, profitability, and balance sheet structure, along with the main risks and vulnerabilities that affect the sector.

Main Risks and Vulnerabilities

Key Risk Indicators (RIs)

1. Solvency Indicators

Tier 1 Capital Ratio

• Core Level: 14.5% (Q2 2018)
• Fully Loaded Tier 1 Capital Ratio: 14.3%
• Trend: Maintained high levels, with all countries in the sample above 12%.
• Dispersion:

  • 15%: 21.8%

  • <12%: 30.1%

Total Capital Ratio

• Core Level: 18.8% (Q2 2018)
• Trend: Slightly increased compared to Q1 2018.
• Dispersion:

  • 15%: 16.7%

  • <12%: 13.5%

CET1 Ratio

• Core Level: 14.5% (Q2 2018)
• Fully Loaded CET1 Ratio: 14.3%
• Trend: Slight decline from Q1 2018.
• Dispersion:

  • 14%: 19.7%

  • <11%: 65.7%

CET1 Ratio (Fully Loaded)

• Core Level: 14.3% (Q2 2018)
• Trend: Slight decline from Q1 2018.
• Dispersion:

  • 15%: 11.5%

  • <12%: 12.1%

2. Credit Risk and Asset Quality

Non-Performing Loan (NPL) Ratio

• Core Level: 3.6% (Q2 2018)
• Trend: Continued downward trend, lowest since harmonization of NPL definition.
• Dispersion:
  • <3%: 34.6%

  • 8%: 22.5%

Coverage Ratio for NPLs

• Core Level: 46% (Q2 2018)
• Trend: Slight decrease from Q1 2018.
• Dispersion:

  • 55%: 9.4%

  • <40%: 34.6%

Forbearance Ratio for Loans

• Core Level: 40.9% (Q2 2018)
• Trend: Slight increase from Q1 2018.
• Dispersion:
  • <1.5%: 29.6%

  • 4%: 30.3%

3. Profitability

Return on Equity (ROE)

• Core Level: 7.2% (Q2 2018)
• Trend: Improved from Q1 2018 (6.8%).
• Dispersion:

  • 10%: 5.1%

  • <6%: 65.7%

Cost to Income Ratio

• Core Level: 10.5% (Q2 2018)
• Trend: Slight decrease from Q1 2018.
• Dispersion:
  • <50%: 10.1%

  • 60%: 76.5%

4. Balance Sheet Structure

Loan-to-Deposit Ratio (Households & Non-Financial Corporations)

• Core Level: 116.2% (Q2 2018)
• Trend: Decreased from Q1 2018 (118.2%).
• Dispersion:
  • <100%: 28.6%

  • 150%: 13.2%

Debt to Equity Ratio

• Core Level: 12.8% (Q2 2018)
• Trend: Slight increase from Q1 2018.
• Dispersion:
  • <12x: 10.0%

  • 15x: 63.5%

Liquidity Coverage Ratio (LCR)

• Core Level: 148.2% (Q2 2018)
• Trend: Increased slightly from Q1 2018.
• Level: Well above the 100% requirement.

5. Additional Risk Factors

• Leverage Ratio (Fully Phased-In): 5.1% (Q2 2018), stable compared to Q1 2018.
• Asset Encumbrance Ratio: 28% (Q2 2018), decreased from 28.4% in Q1 2018.
• Funding Structure: Banks face challenges in replacing central bank funding and issuing MREL eligible instruments. Some banks have insufficient FX funding.
• Regulatory and Legal Environment: Uncertainty around Brexit, CRR/CRD amendments, and MREL requirements.
• Fragmentation: Increased funding costs and access issues, especially for MREL instruments.
• Sovereign Risk: Concerns about debt sustainability and spread widening in certain member states.

Key Information and Notes

• The risk dashboard is based on a sample of 190 European banks (unconsolidated, including 36 subsidiaries).
• Ratios are weighted averages unless otherwise stated.
• The name of the country is disclosed only if at least three reporting institutions are present.
• The data is based on EBA's supervisory reporting standards.
• The "Traffic Light" system is used to indicate the risk level: green for low, yellow for moderate, red for high.
• The data covers the period from December 2014 to June 2018, with the latest update in Q2 2018.
• The heatmap provides a visual representation of the risk levels across different categories and time periods.