2015年-EBA欧洲银行管理局_EBA_Risk_Assessment_Report_84页_3mb

Summary of the Risk Assessment of the European Banking System (December 2015)

Core Content

This report provides a comprehensive risk assessment of the European banking system, focusing on capital, profitability, asset and liability dynamics, and regulatory developments. It is the eighth semi-annual report by the European Banking Authority (EBA), offering insights into the evolving risks and vulnerabilities within the EU banking sector as of June 2015.

Main Views

1. Capital Position

• EU banks have shown improvement in their capital position, with a weighted average CET1 ratio of 12.5% in June 2015, up by 40 bps from December 2014.
• CET1 capital increased by approximately 6.1% in the first half of 2015, while risk-weighted assets (RWAs) rose by about 2.5%.
• The CET1 ratio varied significantly across countries and bank sizes, with the 5th and 95th percentiles and median values showing distinct trends.
• The implementation of IFRS 9 is expected to impact loan loss provisions, which could influence future capital levels.

2. Profitability

• The weighted average return on equity (RoE) for EU banks was 7.8% in June 2015, up from 3.5% in December 2014 and 5.7% in June 2014.
• Despite the improvement, profitability remains weak due to low interest margins, competition from shadow banking and fintechs, and the low quality of assets in many jurisdictions.
• The cost-to-income ratio is a key indicator of profitability, and its trends show a decline in costs, which is positive for banks' performance.

3. Asset Side

• Loan growth in the EU banking sector was modest, with a 3.6% increase year-to-date (YtD), compared to a 1.4% increase in total assets.
• The ratio of impaired and past due (>90 days) loans to total loans decreased from 7% at the end of 2014 to 6.4% in the first half of 2015.
• Asset quality varies significantly across countries and banks, with some sectors, particularly in emerging markets (EM), showing deterioration.
• Banks' exposure to non-bank financial intermediaries was about EUR 1 trillion, with an average individual exposure to non-money market funds at 29% of eligible capital and to UCITS money market funds at 6%.

4. Liability Side

• The funding mix of EU banks showed a more stable trend, with a focus on secured and unsecured instruments.
• There was a slight increase in customer deposits, even with low interest rates, indicating resilience in deposit markets.
• The use of central bank funding and asset encumbrance has increased, with a focus on liquidity management and risk mitigation.

5. Emerging Market Exposures

• EU banks' total exposure to EM countries was approximately EUR 2.3 trillion in June 2015.
• Currency depreciation in EM countries could negatively affect EU banks' exposures and revenues, especially in commodity-dependent economies.
• The EBA noted that the deterioration in asset quality in EM economies could be a key risk factor.

6. Regulatory Developments

• The EBA has continued to work on regulatory convergence, issuing 22 RTS and 10 ITS in the first half of 2015.
• Efforts are underway to finalize the IRB approach, including guidelines on the definition of default and materiality thresholds for credit obligations.
• The liquidity coverage ratio (LCR) is set to be implemented from 1 October 2015, with the EBA providing detailed reporting standards to ensure proper compliance.
• The BRRD framework and EDIS are being implemented to address the "too-big-to-fail" issue and ensure cross-border resolution capabilities.

7. Operational and Conduct Risks

• ICT-related risks remain a significant challenge, with increasing sophistication and frequency of cyberattacks.
• Conduct risks, such as foreign exchange violations, trade sanctions breaches, and customer-related litigation, are still prevalent.
• The EBA reports that banks expect cautious improvements in conduct and litigation risks but caution against neglecting redress costs in the medium term.

Key Information

• Data Sources: The report is based on EBA key risk indicators (KRIs), supervisory reporting, RAQ responses from banks and market analysts, and microprudential expertise.
• Sample Size: The EBA's KRIs are based on a sample of 55 European banks from 20 EEA countries, representing at least 50% of each national banking sector's assets.
• Key Indicators:
  • CET1 ratio: 12.5% in June 2015
  • RoE: 7.8% in June 2015
  • Impaired loans ratio: 6.4% in the first half of 2015
  • Total EM exposure: EUR 2.3 trillion in June 2015
  • Non-bank financial intermediaries exposure: EUR 1 trillion
• Emerging Market Risks:
  • Subdued growth in EM economies
  • Deterioration in asset quality due to volatile commodity prices
  • Currency depreciation impacting bank exposures and revenues
  • High levels of public and private debt in some EM countries
• Regulatory Progress:
  • Finalization of RTS on MREL and bail-in recognition
  • Implementation of LCR with detailed reporting standards
  • Ongoing work on IRB approach and its impact on capital requirements
  • Development of BRRD framework and EDIS

Policy Implications

• The EBA highlights the need for continued regulatory convergence and robust implementation of new standards.
• There is a focus on improving the resilience of the banking system through enhanced capital, liquidity, and risk management frameworks.
• The report calls for monitoring the evolution of asset quality and profitability trends, especially in the context of economic recovery and EM dynamics.
• ICT security and conduct risk management are emphasized as critical areas for ongoing improvement and vigilance.

Conclusion

The European banking system continues to strengthen its capital and liquidity positions, though profitability remains weak and asset quality shows mixed trends. The sector faces significant risks from emerging markets, regulatory changes, and operational challenges, particularly in the area of ICT. The EBA underscores the importance of continued monitoring and proactive risk management to ensure the stability and resilience of the banking system in the face of these challenges.