EBA欧洲银行-Risk-Assessment-Questionnaire-June-2017_65页_4mb

Risk Assessment Questionnaire – Summary of Results (June 2017)

Introduction

The European Banking Authority (EBA) conducts semi-annual Risk Assessment Questionnaires (RAQs) among banks and market analysts. This summary presents the results of the RAQs conducted between April and May 2017, with 37 banks or their supervisory bodies and 21 market analysts participating. The results are published alongside the EBA's quarterly Risk Dashboard and are presented in an aggregated graphical form, with charts corresponding to the questions in the appendices. For questions with only one possible answer, the difference between the sum of responses and 100% is due to "n/a" or "no opinion" responses.

Summary of the Main Results

• Profitability: Banks and market analysts expect a slight improvement in banks' profitability, with a positive trend in specific portfolios like SME and retail lending.
• Operational Risks: Operational risks, including litigation costs, are expected to remain high but with a decreasing trend compared to previous periods.
• Market Sentiment Drivers: Elections and referendums are the main drivers of negative market sentiment, followed by geopolitical risks. Litigation risk and monetary policy trends have decreased in importance.
• Banks' Business Model: Banks are not expecting a significant impact from the UK's decision to leave the EU. Growing technological advances are seen as a key trend affecting European banks, while mergers and acquisitions are less expected.

Banks' Questionnaire

1. Business Model / Strategy / Profitability

• ROE Expectations: More than half of the banks (60%) expect to operate with a ROE between 10% and 12%, up from 45% in December 2016.
• COE Expectations: 60% of banks estimate their Cost of Equity (COE) between 8% and 10%, up from about 50% in December 2016.
• Profitability Expectations: About 80% of banks expect profitability to increase in the next 6-12 months, with net fees and commission income being the main driver, followed by cost reduction and net interest income.
• UK Exit Impact: 80% of banks disagree that the UK's decision to leave the EU will materially impact their business.

2. Funding / Liquidity

• AT1 Instruments: Fewer banks (30%) intend to issue AT1 instruments in the next 12 months, down from 40% in December 2016.
• T2 Instruments: Over 60% of banks intend to issue Tier 2 instruments.
• Market Analysts' Views: About 70% and 60% of market analysts believe banks will be able to issue AT1 and T2 instruments, respectively. 70% expect banks to issue MREL/TLAC eligible debt instruments.
• Funding Sources: Banks continue to rely on retail deposits (around 55%), while more banks intend to attain senior unsecured funding (over 40%). Market analysts expect an increase in senior unsecured funding (up to 55%) but a decrease in retail deposits and central bank-based funding.

3. Asset Volume Trends

• Asset Deleveraging: 45% of banks consider asset deleveraging as part of their strategy, slightly down from 50% in December.
• Deleveraging Drivers: Disposal of business units and asset sales remain the main drivers.
• Balance Sheet Growth: Almost 70% of banks plan to increase balance sheet volumes, up from 50% in December. Market analysts show similar expectations (about 70%).
• Portfolio Growth: Banks expect increases in SME and retail lending, with a decreasing trend in consumer loans and structured finance. Market analysts also expect similar trends for SME loans, residential mortgages, and consumer credit.

4. Asset Quality

• Improvements: Banks expect improvements in asset quality for SME and residential mortgage loans (over 50% agreement), and consumer credit (about 40%).
• Deterioration: Asset finance is expected to see a deterioration in quality (about 20% agreement by banks, down from 40% in December; 50% by market analysts, down from 70%).
• Impairment Provisions: Over 50% of banks expect stable impairment provisions in the next 12-18 months, up from 40% in December. Almost 30% expect a decrease.

5. Conduct, Reputation, and Operational Risk

• Litigation Costs: About 25% of banks expect heightened litigation costs in the next 6-12 months, down from nearly 40% in December.
• Operational Risks: Nearly 60% of banks do not expect an increase in operational risks, in contrast to 50% in December.

6. General Open Question

• Risks and Vulnerabilities: Banks identify regulatory risks, shadow banking, Fintech, and cyber risks as potential sources of increased risk. Market analysts highlight the consequences of the UK leaving the EU and rules on bail-inable instruments.

Market Analysts' Questionnaire

1. Business Model / Strategy / Profitability

• Profitability Expectations: Over 80% of market analysts expect an overall increase in profitability, with a similar trend in the EU banking sector.
• Trends Affecting Banks: Growing technological advances are seen as the main trend affecting European banks, with less emphasis on mergers and acquisitions.

2. Funding / Liquidity

• Senior Unsecured Funding: Market analysts expect a growth in senior unsecured funding, up from less than 45% in December.
• Retail Deposits: Fewer analysts (15%) expect an increase in retail deposits compared to 25% in December.
• Central Bank Funding: Expectations for central bank funding have decreased significantly (from 35% to 10%).

3. Asset Volume Trends

• Asset Deleveraging: Market analysts expect a decrease in volumes for Commercial Real Estate (CRE) (70% agreement, up from 60% in December).
• Asset Sales: Nearly 100% of market analysts expect more asset sales in specific loan portfolios or geographies.

4. Asset Quality

• Asset Quality Improvements: Market analysts expect improvements in asset quality for SME financing (up to 70% from 50% in December).
• Deterioration: Expectations for deterioration in asset quality are mainly for corporate loans and residential mortgages, down from 70% and 85% in December.

Appendix

• The appendices include the full Risk Assessment Questionnaires for banks and market analysts, which provide detailed questions and responses. Some questions were newly added in June 2017 and do not have comparative data from previous periods.