RISK DASHBOARD DATA AS OF Q4 2017

Transcription

1 RISK DASHBOARD DATA AS OF Q4 2017

2 2 Contents 1 Summary 3 2 Overview of the main risks and vulnerabilities in the banking sector 4 3 Heatmap 5 4 Risk Indicators (RIs) 4.1 Solvency Tier 1 capital ratio 6 Total capital ratio 7 CET1 ratio 8 CET1 ratio (fully loaded) Credit Risk and Asset Quality Ratio of non-performing loans and advances (NPL ratio) 10 Coverage ratio for non-performing loans and advances 11 Forbearance ratio for loans 12 Ratio of non-performing exposures (NPE ratio) Profitability Return on equity 14 Return on assets 15 Cost to income ratio 16 Net interest income to total operating income 17 Net fee and commission income to total operating income 18 Net trading income to total operating income 19 Net interest income to interest bearing assets Balance Sheet Structure and Liquidity Loan-to-deposit ratio (for households and non-financial corporations) 21 Leverage ratio (fully phased-in definition of Tier 1) 22 Leverage Ratio (transitional definition of Tier 1 capital) 23 Debt to equity ratio 22 Asset encumbrance ratio 23 Liquidity coverage ratio (%) 24 5 Annex 1: Statistical Annex Asset composition and volumes 26 Liability composition and volumes 27 Risk-weighted asset composition and break-down of asset quality data 28 Exposures to Real Estate activities and Construction 29 Profitability analysis 30 6 Annex 2: Methodological note on the RIs heatmap 31 7 Annex 3: The RI and Annex database 32

3 3 Summary * European banks continued to strengthen their capital ratios in the last quarter of The CET1 ratio increased by 20 bps, from 14.6% in Q to 14.8% in Q4 2017, reaching a new peak since Q CET1 ratios are now above 11% for all institutions. In comparison to the previous quarter, the fully loaded CET1 ratio increased by 30 bps to 14.6% and the Tier 1 capital ratio increased by 20 bps to 16.2%. Total capital ratio experienced a slight increase by 10 bps in Q4 to 19.. The increase of capital ratios was driven by a decrease of the total risk exposures amount (mostly for credit risk). banks continued to improve the overall quality of their loans portfolio. In Q4 2017, the average ratio of non-performing loans (NPL) to total loans continued its downward trend, reaching its lowest level since Q (4.). This result is explained by an increase in the outstanding volume of loans granted and a decrease in the overall amount of NPLs by over 1/3 in 3 years, from over 1.12 trillion Euros to 813 billion Euros. This decreasing trend was observed across all banks-size classes, in particular, smaller banks. Nevertheless, the widespread dispersion among the countries (with ratios ranging from 0.7% to 44.9%), along with the still high amount of NPLs in banks balance sheet, remains a vulnerability for the European banking sector as a whole. The coverage ratio for NPLs was broadly stable, decreasing by 20 bps to 44.5%. Profitability remains a key challenge for the banking sector. Compared to the first three quarters of 2017, the average return on equity (ROE) decreased from 7.2% (Q3 2017) to 6.1% in Q4 2017, showing its usual seasonality per year-end. On a year-on-year comparison, the average ROE rose 2.8 p.p. from its lowest level of 3.3% in Q4 2016, mainly driven by the annual increase in net trading income (8.5% in Q4 2017). The heatmap confirms the recent ROE s improvement, with the asset share of banks with a ROE above 6% increasing to 46.9% in Q The dispersion among countries widened, with the ROE ranging from -16.5% to 17.4%. The return on equity remains below the cost of equity with legacy assets, cost-efficiency and banks' business models still being some of the main obstacles towards reaching sustainable profitability levels. The loan-to-deposit ratio continued to decrease, reaching 116.7% with a 50 bps decline from the previous quarter, mainly driven by an increase in deposits. In Q4 2017, the leverage ratio remained broadly stable, increasing 10 bps to 5.5%. Debt to equity ratio continued its downward trend, reaching a new low since Q Asset encumbrance ratio remained stable in Q at the level of 27.9%. The average liquidity coverage ratio (LCR) kept its upward trend, rising to 148.5%, and remaining well above the liquidity coverage requirement of 8 set for *) This risk dashboard is based on a sample of Risk Indicators (RI) from 190 European banks (unconsolidated number of banks, including 36 subsidiaries; the list of the banks can be found under the link The sample of banks is reviewed annually by competent authorities and adjusted accordingly ( EBA+DC+090+%28Decision+on+Reporting+by+Competent+Authorities+to+the+EBA%29.pdf/9beaf5be e36-a75b-b77aa3164f3f). This can determine breaks in the time series. Ratios provided in the text are weighted average if not otherwise stated. The name of the country is only disclosed if the number of reporting institutions is at least three. The data is based on the EBA s implementing technical standards (ITS) on supervisory reporting ( Regulation No 680/2014 and it subsequent amendments). In the chart on Risk Indicators by size class, considering the distribution of the average total assets, the small banks are those below the first quartile, the large banks are those above the third quartile. Underlying data in this risk dashboard has been compiled by the EBA since 2014 and it has served as basis for additional analyses included in EBA's Risk Assessment Report, last version published in November 2017.

4 Overview of the main risks and vulnerabilities in the banking sector Level of risk Bank risk Risk drivers Last quarter (memo) Current quarter Contributing factors/interactions Level Expected Trend Level Forward Trend Credit risk NPL outstanding remain high, impediments for NPL reduction, risk from elevated levels of indebtdeness Although asset quality continues to improve with the NPLs ratio at its lowest level since 2014, nonperforming loans remain a key source of vulnerability for the banking sector. The stock of NPLs, albeit decreasing, is still elevated suggesting that further efforts are needed to tackle NPLs. Activity on the secondary NPL market shows some positive signs but is still limited due to structural impediments, suggesting that efforts in this respect have to continue, including the implementation of the Commission measures to address the risks related to NPLs. Elevated levels of indebtedness are also a source of concern in a context of monetary policy normalization. Pillar 1 Market risk Risk of increasing volatility, market liquidity, potential repricing Volatility risk has increased amid macroeconomic as well as high political and geopolitical uncertainties. The revival of protectionism may have knock-on effects on volatility and market liquidity. A sudden repricing of risk premia could severely affect yields in particular of riskier assets. Capital Operational risk Cyber attacks, cost pressure as hindrance to build up sound ICT systems, outsourcing In an interconnected environment, Information and communication technology (ICT) resilience remains a key challenge. The high-profile of cyber attacks and data security are posing serious risks that can cause a material disruption to banks and / or the banking sector. Building-up ICT resilience is essential and goes together with sound IT systems, but cost pressure and operational challenges constrain banks' respective initiatives. Banks increasingly rely on outsourcing to third-party providers, which may pose additional security and governance issues. Concentration risk, IRRBB and other Low interest rate environment, build-up of concentration in certain asset classes Banks' intermediation margins prospects remain modest as the low-interest rate environment still prevails. There are growing expectations for monetary policy normalisation. Increasing interest rates may raise some concerns about maturity mismatches owing to a significant share of market instruments maturing in the short- and medium-term while the banks' asset side is to a large extent long-term driven. In addition, the build-up of potential concentration in certain asset classes, e.g. CRE, needs to be carefully monitored. Pillar 2 Reputational and legal Unabated risks from misconduct Still pending litigation issues, including potential civil lawsuits, may continuously affect consumer confidence and banks' profitability. Related costs remain at elevated levels. Profitability risk Sustainable profitability trend to be confirmed, income driven by unsustainable components Despite recent positive signs, profitability remains uneven across banks and is at a low level with return on equity remaining below the cost of equity. NPLs, cost-efficiency and banks' business models are still among the main obstacles towards reaching sustainable profitability levels. Banks' profitability is on average still driven by more volatile components, like trading and other income. Banks have not yet managed to increase the share of the sustainable components in their income. The broad-based economic recovery should support banks profitability prospects in general, but global economic uncertainty poses a risk to it. Liquidity & Funding Access to funding and maturity distribution Funding structure Vulnerability from volatility Potential challenges to attain MREL Funding conditions continue to be benign amid accommodative monetary policy and low volatility. Even though spreads are currently more elevated than in the past few months, they are still at extremely low levels in historical comparison. A sudden repricing of risk premia could lead to deteriorating access to funding and increase costs. Many banks still need to attain loss-absorbing capacity at reasonable costs. Implications of monetary policy normalization on banks' balance sheets remain uncertain. Expectations are for lower volumes of covered bond and senior unsecured funding compared to last year, whereas emphasis in banks' funding measures is assumed to be on MREL eligible debt. Banks are expected to access funding markets mainly during the first half of the year, because of potential changes in monetary policy stances and potentially growing political risks. These trends might lead to increasing competition to attract investors at reasonable costs. Regulatory and legal environment MREL implementation, Brexit The regulatory outlook has clarified, with the agreement on the BCBS reforms, even though some uncertainty around the implementation of MREL requirements and implications from Brexit remain. Environment Fragmentation Asset quality, profitability, regulatory level playing field High dispersion of asset quality and profitability still persists and is considered among the key obstacles to further banking sector consolidation. A regulatory level playing field needs to be monitored in the context of Brexit. Sovereign risk Political risk, debt overhang Significant sovereign exposures contribute to elevated vulnerabilities of banks in some jurisdictions. Given the level of indebtedness, an increase of interest rates could have a negative impact on the debt service costs in some countries. Level Trend High Medium Low Increasing Stable Decreasing The level of risk summarises, in a judgmental fashion, the probability of the materialisation of the risk factors and the likely impact on banks. The assessment takes into consideration the evolution of market and prudential indicators, National Supervisory Authorities' and banks own assessments as well as analysts views.

5 5 RIs heatmap Traffic light Sample of banks* RI Threshold Current vs previous quarters for the worst bucket > 21.8% 14.4% 16.9% 27.6% 30.7% 28.8% 29.6% 39.6% 55.6% 50.4% 50.6% 59.4% 65.7% 1 Tier 1 capital ratio [12% - ] 48.1% 57.6% 63.9% 52.7% 61.5% 63.4% 62.3% 52.5% 35.4% 42.9% 39.6% 38.2% 33.2% Credit Risk & Asset Quality Solvency CET1 ratio Ratio of non-performing loans and advances (NPL ratio) Coverage ratio of nonperforming loans and advances Forbearance ratio for loans and advances < 12% 30.1% % 19.7% 7.8% 7.9% % % 9.8% 2.3% 1.1% > 14% 19.7% % 13.1% 22.9% % 27.5% 32.2% 42.4% % 52.5% [11% - 14%] 39.3% 49.9% 66.5% 73.8% 72.7% 73.7% 72.6% 68.1% 63.2% 54.5% 51.9% 53.1% 47.5% < 11% % 13.9% 13.1% 4.3% 4.3% 4.6% 4.5% 4.5% 3.2% % 0. < 3% 34.4% 36.6% 37.8% 38.1% 36.3% 37.7% 42.8% 42.1% 41.6% 41.4% 44.7% 51.4% 60.2% [3% - 8%] 42.6% 46.4% 46.3% 46.1% 49.9% 48.8% % 45.2% 45.4% 42.9% 36.2% 28.7% > 8% % 15.9% 15.8% 13.8% 13.5% 13.1% 13.3% 13.2% 13.3% 12.5% 12.4% 11.1% > 55% 9.3% 9.8% 9.7% 10.5% 10.1% 10.5% 10.7% 10.9% 16.8% 9.5% 11.2% 12.9% 9. [4-55%] 55.9% 55.8% 58.8% 56.8% 50.3% 48.3% 50.3% % % 48.5% 51.9% < % 34.5% 31.5% 32.7% 39.6% 41.2% 38.9% 40.2% 39.6% 39.4% 38.4% 38.6% 39.1% < 1.5% 29.3% 29.2% 35.4% 36.2% 42.4% 41.6% 42.8% % 52.8% 52.3% 52.3% 59.5% [1.5% - 4%] 40.3% 41.6% 34.5% 37.4% % 36.4% 32.2% 23.2% 26.4% 27.3% 27.5% 23.5% >4% 30.4% 29.2% 30.2% 26.3% 21.7% 21.2% 20.9% 24.8% 25.3% 20.9% 20.4% 20.2% 17. > % % 6.4% 3.1% % 5.3% 13.5% 11.9% 15.1% 12.4% 22 Return on equity [6% - 1] 29.1% % 35.6% 44.3% 42.3% 49.4% 36.8% 38.4% 44.4% 47.7% 48.1% 34.5% Balance Sheet Structure Profitability Cost to income ratio Loan-to-deposit ratio for households and nonfinancial corporations Debt to equity ratio < 6% 65.8% 48.2% 29.7% 41.9% 49.3% 54.6% 44.6% 56.6% 56.4% % 36.8% 53.1% < % 10.5% 11.6% 12.4% 11.7% 12.1% 9.9% 9.4% 10.7% 13.5% 14.6% 13.6% 9.9% [5-6] 13.5% 33.8% 34.6% 36.1% 17.5% 16.9% 26.3% 23.8% 13.8% % 18.5% 16.9% > % 55.7% 53.8% 51.6% 70.8% % 66.8% 75.6% 75.5% 68.5% 67.9% 73.2% < % 29.4% 27.6% 29.5% 30.6% 27.3% 28.7% 29.9% 35.4% 31.2% 35.8% 35.5% 36. [10-15] 58.2% 57.9% 59.3% 57.8% 56.7% 59.9% 58.6% 56.9% 52.5% 56.6% 51.6% 52.6% 52.5% > % 12.7% 13.1% 12.7% 12.6% 12.8% 12.7% 13.3% 12.1% 12.2% 12.6% 11.8% 11.5% < 12x 10.6% 10.1% 7.4% 10.6% 12.6% 9.6% % 16.3% 17.9% 27.1% 24.1% 26.7% [12x - 15x] 26.4% 32.8% 41.3% 37.8% 36.7% 35.7% % % 25.4% 28.9% 29.1% > 15x % 51.3% 51.6% 50.7% 54.7% % 54.6% 47.8% 47.5% % Note: Traffic lights provide the trend of the KRI given the historical time series. Data bar colour scale: green for the "best bucket", yellow for the intermediate and red for the "worst bucket". * Number of banks after consolidation. Furthermore, not all banks submit respective data for all Risk Indicators.

6 6 Solvency 1 - Tier 1 capital ratio 56% 48% 4 32% % 98 16% 96 8% Numerator: Tier 1 capital 90 Denominator: Total risk exposure amount Dec 2014 =. 35% 18% 3 17% 25% 16% 2 14% 1 13% 5% 12% EE SE FI LU BG LV IE HR DK LT SI NL CZ RO BE NO DE GR GBMT PL SK FR IT AT CY PT HU ES between Dec and Dec Non-FINREP banks are assigned to the bucket of small banks. 13.5% 11.7% 13.6% 16.2% 13.4% 11.6% 13.6% 16.2% 13.9% % 16.8% 14.1% 12.1% 14.1% 17.6% 14.7% % 18.5% 14.5% 12.8% 14.7% % % 15.3% % 18.9% 15.5% % 19.9% 15.4% 13.3% 15.8% 19.2% 15.7% 13.6% 16.2% 19.6% % 16.5% 19.8% 16.2% 14.1% 16.4% 20.3%

7 7 Solvency 2 - Total capital ratio 56% 48% 4 32% % 98 16% 96 8% Numerator: Total capital 90 Denominator: Total risk exposure amount Dec 2014 =. 35% 21% % 19% 2 18% 17% 1 16% 5% 14% EE SE FI DK IE LV NL LU BG HR GBNO DE LT BE MTRO SI SK CZ AT FR PL GR IT HU CY ES PT between Dec and Dec Non-FINREP banks are assigned to the bucket of small banks. 16.2% 13.8% 16.4% 19.4% 16.1% 13.7% 15.8% 19.5% 16.7% 14.2% 16.6% 20.3% % 16.8% 21.7% 17.7% 14.8% 17.2% 22.8% 17.4% 14.9% 17.2% 22.3% 17.8% % 22.6% 18.3% 15.1% 17.9% 22.5% 18.5% 15.2% 18.5% 23.5% 18.5% 15.3% 18.1% 22.7% 18.6% % 23.9% 18.9% % 23.2% % 22.6%

8 8 Solvency 3 - CET1 ratio 48% % % 98 16% 96 8% Numerator: CET1 capital 90 Denominator: Total risk exposure amount Dec 2014 =. 35% 18% 3 17% 25% 16% 2 14% 1 13% 5% 12% 11% EE SE FI LV HR LU BG IE LT SI DK RO CZ GR BE MT NL DE PL NO SK GB FR AT CY HU PT IT ES between Dec and Dec Non-FINREP banks are assigned to the bucket of small banks. 12.5% 11.2% 12.8% 15.5% 12.4% 11.4% % 12.8% 11.6% 13.1% 15.9% % 13.4% 17.2% 13.5% 12.3% % 12.4% 14.2% 17.3% 13.6% 12.3% 14.3% 17.5% % 14.5% 17.7% 14.2% 12.5% 14.7% 18.8% 14.1% 12.6% 14.6% 18.8% 14.3% % 14.6% 13.2% 15.2% % 13.4% 15.4% 19.7%

9 9 Solvency 4 - CET1 ratio (fully loaded) % 4 35% 3 25% % Numerator: CET1 capital (fully loaded) 90 Denominator: Total risk exposure amount (fully loaded) Dec 2014 =. 35% 18% 3 17% 25% 16% 2 14% 13% 1 12% 5% 11% 1 EE LU SE FI LV HR BG LT SI DK IE RO CZ MT BE NL GR PL NO DE SK GB FR AT HU CY IT PT ES between Dec and Dec Non-FINREP banks are assigned to the bucket of small banks. 11.5% 10.5% 12.1% 15.1% 11.7% 10.6% 12.3% 15.2% 12.1% 10.6% 12.4% 15.2% 12.3% 11.1% 12.7% 16.1% 12.9% 11.7% 13.6% 16.9% 12.9% 11.7% 13.9% 17.1% 13.1% 11.9% 13.8% 17.6% 13.5% % 17.9% 13.7% % 18.7% 13.8% 12.2% 14.5% 18.6% % 14.7% 19.1% 14.3% 12.8% 14.9% % 13.2% 15.2% 20.1%

10 10 Credit Risk and Asset Quality 5 - Ratio of non-performing loans and advances (NPL ratio) % % % 75 Numerator: Non-performing loans 70 Denominator: Total loans Dec 2014 =. 5 45% 25% % 3 25% % 5% GR CY PT IT BG SI IE HU HR RO PL ES AT MT SK FR LT BE DK LV NL DE NO EE CZ GB FI SE LU between Dec and Dec % 2.1% 5.5% 14.9% 6.2% 2.1% 5.5% 15.4% % 5.8% 14.4% 5.9% 2.2% 5.5% 14.5% 5.7% 2.2% % 5.6% 1.9% 4.9% 14.2% 5.4% 1.9% 4.6% 13.6% 5.4% 1.8% 4.6% 13.1% 5.1% 1.6% 4.1% 13.1% 4.8% 1.5% 3.4% % 1.4% 3.4% % 1.4% 3.4% 8.7% % %

11 11 Credit Risk and Asset Quality 6 - Coverage ratio of non-performing loans and advances Numerator: Specific allowances for loans 70 Denominator: Non-performing loans Dec 2014 = % 6 46% 5 44% 4 42% % 1 36% RO SI CZ HU SK PL HR BG AT FR IT PT GR CY LU BE ES DEMTNO LV GB SE IE LT NL DK FI EE between Dec and Dec % 31.8% 41.1% 48.2% % 41.7% 47.2% 43.6% 32.1% 40.9% 47.5% 43.6% 32.3% 41.7% 48.3% 43.7% 31.3% 40.3% 47.5% 43.7% 31.2% 39.5% 47.6% 43.9% 31.8% 40.6% 47.9% 44.3% 31.7% 40.9% 47.5% 44.8% % 48.6% 45.2% 30.6% 38.9% 48.2% % 39.9% 48.9% 44.7% 28.2% 40.1% % 26.9% 40.2% 48.7%

12 12 Credit Risk and Asset Quality 7 - Forbearance ratio for loans and advances 25% % Numerator: Forborne loans Denominator: Total loans Dec 2014 =. 3 12% 25% 1 2 8% 6% 1 4% 5% 2% GR CY PT IE SI BG ES RO IT HR HU LV MT PL NO FI LT AT NL EE DE DK SK BE GB FR SE CZ LU between Dec and Dec % 1.4% 3.5% 9.5% 3.8% 1.4% 3.4% 10.3% 3.7% 1.3% 3.5% 8.9% 3.6% 1.3% 3.3% 9.1% 3.5% 1.3% 2.9% % 1.2% 2.9% 9.4% 3.4% 1.3% % 3.4% 1.5% % 3.2% 1.4% 2.9% 8.8% % 2.6% 8.4% 2.9% 1.2% 2.5% 7.9% 2.7% 1.1% 2.5% 7.6% 2.6% % 6.5%

13 13 Credit Risk and Asset Quality 8 - Ratio of non-performing exposures (NPE ratio) 35% % % 75 Numerator: Non-performing debt instruments 70 Denominator: Total debt instruments Dec 2014 =. 45% 4 18% 16% 35% 14% 3 12% 25% 1 2 8% 6% 1 4% 5% 2% GR CY PT IT BG IE SI HR HURO PL ES AT SK FR LT MT DK BE NL LV EE DE NOGB CZ FI SE LU between Dec and Dec % % 11.5% 5.3% 1.9% 4.5% 11.9% 5.1% 1.9% 4.5% 11.9% % 4.4% 12.3% 4.9% 1.8% % 1.7% 3.8% 11.3% 4.7% 1.6% 3.6% 9.9% 4.6% 1.6% 3.7% 10.2% 4.4% 1.4% 3.2% 8.9% 4.2% 1.4% % 3.9% 1.3% 2.9% 7.4% 3.7% 1.2% 2.8% 7.1% 3.6% 1.2% 2.7% 6.5%

14 14 Profitability 9 - Return on equity Numerator: Profit or loss for the year -4 0 Denominator: Total equity Dec 2014 =. 2 13% 11% 1 9% 5% 7% 5% -5% 3% -1 1% - -1% -3% -2 HU CZ RO BG LV DKMT SK SE SI PL AT NO FI NL LT EE IT BE IE ES LU HR FR GB DE GR PT CY between Dec and Dec % -2.8% 3.8% % 3.4% 7.1% 10.6% 6.8% 3.5% % 6.4% 3.5% 6.8% 10.7% 4.5% 2.5% 5.7% 9.1% 5.6% 1.9% % 5.7% 2.3% 6.2% 9.7% 5.4% 2.4% 5.9% 9.7% 3.3% 1.4% 5.5% 9.6% 7.3% % 10.4% 7.1% 3.9% 7.5% 10.4% 7.2% 4.1% 7.2% 10.5% 6.1% 3.1% 6.6% 10.6%

15 15 Profitability 10 - Return on assets 2.4% % 1.2% % % -1.2% % Numerator: Profit or loss for the year -2.4% 0 Denominator: Total assets Dec 2014 =. 2.5% % 1.2% 1.5% % 0.5% 0.6% % -0.5% 0.2% % -0.2% -2. HU BG RO LV SI EE CZ PL SK HR LT MT IE AT NO FI SE IT DK BE NL ES LU FR GB DE GR PT CY between Dec and Dec % 0.24% 0.53% % 0.43% 0.73% 0.41% 0.21% 0.45% 0.72% 0.38% % 0.28% 0.14% 0.35% 0.59% 0.36% 0.11% 0.34% 0.63% 0.36% 0.16% 0.36% 0.65% 0.34% % 0.65% 0.21% 0.08% 0.36% 0.65% 0.47% 0.21% 0.41% % 0.23% 0.46% % 0.23% 0.47% % 0.18% 0.43% 0.82%

16 16 Profitability 11 - Cost to income ratio Numerator: Costs Denominator: Net operating income Dec 2014 = % 66% 7 63% % 4 54% 3 51% 2 48% 1 45% DE FR AT GB SI IT LU IE HUMT BE NL CY SK ES PL PT GR DK SE RO FI LV HR CZ LT EE NOBG 42% between Dec and Dec % 45.9% 58.5% 69.7% 60.9% 44.8% 56.8% 66.5% 59.3% 46.3% 55.9% 65.3% 59.9% 46.9% 57.3% 66.3% 62.8% 48.2% 59.2% 67.7% % 63.9% 73.8% 62.7% 49.9% 59.8% 70.7% % 58.9% 70.8% 65.3% % 73.2% 63.9% 49.7% 59.8% 72.5% 61.6% 50.2% % 49.5% % 63.4% 50.2%

17 17 Profitability 12 - Net interest income to total operating income Numerator: Net interest income 92 Denominator: Net operating income Dec 2014 = % % % % GRNO NL SK MT ES CY BG PL HR CZ AT EE HU IE SI BE SE RO DK LT GB LV PT DE LU FI FR IT between Dec and Dec % 49.6% 62.2% 75.4% 55.5% 43.2% 58.3% 73.8% 54.9% 45.9% 58.9% 72.7% 56.3% 48.3% 59.9% 77.6% 57.3% 48.9% 61.1% 78.1% 58.8% 51.9% 64.7% 80.7% % 64.1% 77.1% 57.7% 50.4% 62.6% 76.8% 57.8% 49.7% 63.8% 75.5% 55.9% 48.7% 62.7% 75.9% 55.4% 50.1% 61.8% 72.9% 56.6% 52.7% 62.9% 74.5% 57.4% % 76.6%

18 18 Profitability 13 - Net fee and commission income to total operating income Numerator: Net fee and commission income Denominator: Net operating income Dec 2014 = % 29% 3 28% 27% 25% 26% 2 25% 24% 23% 1 22% 5% 21% 2 LT LV IT FR DE LU HU SI AT SE EE HR PT PL BG FI ES SK RO BE GBMT IE DK CZ CY NL GRNO between Dec and Dec % 13.7% 22.9% 30.3% 26.6% 13.6% 22.6% 31.4% 26.2% 13.5% 21.7% 30.4% 26.4% 13.3% 21.6% 30.9% 26.8% 12.2% 22.1% 29.9% 27.1% 13.6% 23.3% 32.9% 26.6% 11.8% 22.5% 32.3% 27.1% 12.3% 23.2% 32.6% 27.2% 12.6% 23.1% 32.5% 27.5% 12.6% 23.1% 32.3% 27.4% % 33.1% 27.7% 13.1% 22.2% 33.1% 28.2% 13.6% 23.6% 32.9%

19 19 Profitability 14 - Net trading income to total operating income Numerator: Net trading income Denominator: Net operating income Dec 2014 = % 5% -5% -5% -1-1 FR CZ DK GB DE LV SE NO LU FI LT IE PT EE IT BE RO PL SI AT ES NL HU HR GR SK BG CY* MT* between Dec and Dec % -0.5% 1.2% 5.4% 7.8% % 6.5% -1.3% 1.3% 5.5% 6.2% -1.4% 1.5% 4.4% 5.8% -0.6% 0.9% 4.8% 5.3% % 3.8% 5.4% -1.2% 0.4% 3.5% 6.2% -0.3% % 6.1% -0.1% 1.7% 6.6% 10.1% % 8.4% 9.2% 0.1% 2.1% 7.7% 8.9% 0.2% 2.5% 7.2% 8.5% 0.1% 1.8% 6.8%

20 20 Profitability 15 - Net interest income to interest bearing assets 4.5% % % % % 94 Numerator: Net interest income Denominator: Interest earning assets Dec 2014 =. 4.5% % 3.5% 2.2% % 1.8% % 1.6% % 0.5% 1.2% 0. HU BG PL HR GR RO SK CY ES SI CZ IE MT AT LV PT EE NL NO LT IT GB BE FR SE DE FI DK LU between Dec and Dec % 1.07% 1.48% 1.79% 1.55% 1.03% 1.48% 1.81% 1.57% 1.06% 1.53% 1.84% 1.57% 1.05% 1.52% 1.85% % 1.53% 1.96% % 1.46% % 1.07% 1.41% 2.09% 1.48% 1.07% 1.44% 2.13% 1.49% 1.06% 1.38% 2.01% 1.48% 0.99% 1.38% 1.98% 1.48% 0.98% 1.38% 2.02% 1.47% % 2.01% 1.48% 1.01% 1.38% 2.0

21 21 Balance Sheet Structure and Liquidity 16 - Loan-to-deposit ratio for households and non-financial corporations Numerator: Loans to NFCs and households 96 Denominator: Deposits to NFCs and households Dec 2014 = DK SE NO FI LU DE NL EE IT ES FR GR SK IE BE LT AT PL GB PT CZ CY HR HU LV SI BG ROMT between Dec and Dec % 96.2% 121.1% 191.8% 125.1% 98.7% 122.2% %.1% 120.6% 182.6% 123.2% % 179.4% 121.7% 97.4% 119.6% 175.6% 120.5% 96.9% 118.2% % 93.3% % 118.6% 93.8% % 118.1% 94.2% 117.7% 182.6% 117.5% 91.6% 114.7% % 91.6% 112.3% 179.2% 116.7% 89.9% 112.5% 175.4%

22 22 Balance Sheet Structure and Liquidity 17 - Leverage ratio (fully phased-in definition of Tier 1) 14% % 1 8% % 98 4% % Numerator: Tier 1 capital - fully phased-in definition Denominator: Total Leverage Ratio exposure - using a fully phased-in definition of Tier 1 capital Sep 2016 =. 14% 7.5% 12% % 8% 6. 6% 5.5% 4% 5. 2% 4.5% EE HR BG GR PL SI IE LV RO LT CY MTHU PT SK FI NO LU AT CZ IT BE ES GB FR SE DE DK NL 4. between Dec and Dec % 5.4% 7.2% 5.1% 4.3% 5.4% 7.3% % 5.3% 7.1% 5.1% 4.3% 5.4% 7.4% 5.2% 4.4% 5.6% 7.6% 5.3% 4.5% 5.6% 7.7%

23 23 Balance Sheet Structure and Liquidity 18 - Leverage Ratio (transitional definition of Tier 1 capital) 14% % % 99 6% 98 4% 97 2% Numerator: Tier 1 capital - transitional definition Denominator: Total Leverage Ratio exposure - using a transitional definition of Tier 1 capital Sep 2016 =. 14% 7.5% 12% % 8% 6. 6% 5.5% 4% 5. 2% 4.5% EE HR GR BG PL IE SI LV RO CY LT MT PT HU SK FI NO AT LU CZ IT BE ES GB FR DE SE NL DK 4. between Dec and Dec % 4.4% 5.8% 7.2% 5.5% 4.6% 5.7% 7.5% 5.3% 4.4% 5.5% 7.3% 5.3% 4.4% 5.7% 7.6% 5.4% 4.5% 5.6% 7.7% 5.5% 4.7% 5.8% 7.7%

24 24 Balance Sheet Structure and Liquidity 19 - Debt to equity ratio Numerator: Total liabilities Denominator: Total equity Dec 2014 = DK DE NL SE FR GB BE LU ES IT FI NO CZ AT MT PT SK CY LT RO LV HU IE PL GR SI BG HR EE 70 between Dec and Dec % % % % % % % % % % % % % % % % % % % % % % % % % % 9.6% % % % % % % % % % % % % % % % % % % 983.9% % %

25 25 Balance Sheet Structure and Liquidity 20 - Asset encumbrance ratio Numerator: Encumbered assets and collateral 94 Denominator: Total assets and collateral Dec 2014 = % 36% 4 34% 32% % 2 26% 24% 1 22% 2 DK GR DE GB IT SE ES FI FR NO BE IE PT AT NL SK CZ HR HU CY LV LU PL RO MT SI BG EE LT* between Dec and Dec Non-FINREP banks are assigned to the bucket of small banks. 25.4% 13.1% 24.3% 38.8% 25.6% 14.3% 24.8% 38.4% 25.8% 13.7% 25.3% 36.2% 25.4% 13.7% 24.9% 36.9% 25.5% % 35.7% 25.4% 14.3% 24.6% 36.2% 25.5% 12.8% 24.9% 36.1% 26.5% % 36.9% 26.6% 13.5% 24.6% 37.4% 27.7% 14.3% 25.3% 37.9% % 24.3% 36.8% 27.9% % 27.9% 13.4% %

26 26 Balance Sheet Structure and Liquidity 21 - Liquidity coverage ratio (%) Numerator: Liquidity Buffer 98 Denominator: Net Liquidity Outflow Sep 2016 = LV RO BG SI LT CY SK HUMT DK HR PT DE IT GB EE CZ ES SE AT LU IE PL FI BE FR NL NOGR between Dec and Dec % 127.1% 150.3% 243.3% 141.3% 128.4% 154.1% 243.9% 144.7% 131.7% 156.6% 221.1% 145.6% 135.8% % 144.6% 133.7% % 148.5% 139.2% %

27 STATISTICAL ANNEX

28 28 Statistical Annex Asset composition and volumes % of total assets Asset composition Cash balances Equity instruments Debt securities Loans and advances Derivatives Other Assets Mar-17 Jun-17 Sep-17 Dec-17 Mar-17 Jun-17 Sep-17 Dec-17 Mar-17 Jun-17 Sep-17 Dec-17 Mar-17 Jun-17 Sep-17 Dec-17 Mar-17 Jun-17 Sep-17 Dec-17 Mar-17 Jun-17 Sep-17 Dec-17 AT 10.3% 11.1% % 0.6% 0.5% 0.6% 0.6% 16.7% 16.5% 15.9% 15.9% 65.8% 65.3% 67.2% 67.8% 2.7% 2.6% 2.5% 2.3% 3.9% % 4. BE 8.9% 11.1% 11.3% 8.1% 0.4% 0.4% 0.4% 0.4% 19.7% 18.9% 18.5% % 55.3% 55.7% 59.3% 6.2% 5.7% 5.6% 5.5% 8.8% 8.6% 8.5% 8.8% BG 21.5% 17.2% 18.6% 17.5% 0.1% 0.1% 0.1% 0.1% 12.6% 13.4% 12.5% 14.8% 60.1% 63.2% % 0.3% 0.2% 0.3% 0.2% 5.4% 5.9% 5.6% 5.5% CY 18.8% 19.9% 21.5% 23.2% 0.2% 0.2% 0.2% 0.1% 6.5% 6.9% % 66.2% 64.4% 61.8% % % 8.6% 9.4% 8.7% CZ 12.9% 18.4% 14.8% 10.2% 0.1% 0.1% 0.1% 0.1% 14.6% 14.2% 13.3% 13.1% 68.9% % 73.3% 1.8% 1.8% 1.6% 1.7% 1.6% 1.6% 1.5% 1.6% DE 9.9% 11.2% 11.4% 11.7% 2.9% 2.9% 2.9% 3.1% 14.3% % % 53.7% 54.3% % 13.4% 12.9% 12.8% 4.5% 4.9% 4.5% 3.4% DK 5.6% 6.4% % 0.6% 0.5% 0.5% 0.7% 13.5% 13.4% 13.3% % 71.1% 71.9% 71.6% 6.2% 6.4% % 2.3% 2.2% 2.3% 2.3% ES 4.4% % % 1.3% 1.2% 1.3% 14.8% 14.6% 14.7% 13.8% 65.8% 65.9% 65.2% 64.7% 4.6% 4.4% 4.2% 4.2% 9.2% 8.9% 8.4% 8.9% FI 10.3% 9.4% 9.2% 12.2% 0.1% 0.1% 0.1% 0.1% 12.3% 12.5% 12.2% 12.4% 68.1% 70.2% 71.3% 68.6% 5.6% 4.5% % 3.5% 3.4% 3.3% 3.3% FR 8.6% 8.9% 8.4% 8.6% 3.6% 3.6% 3.7% 3.2% % 10.6% 10.1% 58.5% 59.1% % 10.4% % 9.2% 7.9% 7.6% 7.7% 7.4% GB 8.6% 9.4% 9.8% 10.4% % 3.3% 3.8% 13.4% 13.4% 13.3% % 55.6% % % 13.7% 13.5% % 3.9% 3.6% GR 3.2% 3.2% 3.4% 3.5% 0.3% 0.3% 0.3% 0.3% 15.8% 14.4% 10.6% 8.7% 63.1% 64.3% 66.6% 67.3% 2.4% 2.4% 2.5% 2.7% 15.2% 15.4% 16.5% 17.5% HR 10.5% 11.3% 10.8% 13.4% 0.3% 0.3% 0.3% 0.3% 10.7% 10.8% 10.6% 10.6% 74.5% 73.6% 74.7% % 0.5% 0.4% 0.3% 3.2% 3.5% 3.2% 3.3% HU 8.9% 8.2% 9.1% 9.5% % 0.4% 0.4% 25.7% 26.6% 26.7% 27.1% 58.3% 58.9% % 1.3% 1.3% 1.4% 1.4% 4.8% 4.6% 4.4% 4.4% IE 9.2% 8.9% 9.1% 10.1% 0.2% 0.3% 0.3% 0.3% 15.9% % 14.9% 64.1% 64.7% 65.5% 66.1% 5.2% 4.9% 4.5% 4.1% 5.3% 5.2% 4.7% 4.5% IT 2.1% 2.9% 2.8% 3.7% 1.6% 1.6% 1.5% 1.6% 17.7% 17.2% 17.3% 16.5% 66.6% % 68.4% 4.1% % 3.5% 7.8% 6.4% 6.5% 6.2% LT 21.2% 20.6% 24.4% 24.5% % % 3.3% 2.7% 2.6% 73.4% 74.2% 71.1% 71.7% 0.7% 0.6% 0.4% 0.3% 1.3% 1.3% 1.2% 1. LU 13.1% 12.8% 11.9% 10.3% 0.5% 0.5% 0.5% 0.5% 11.9% 13.9% 14.1% 10.1% 66.8% 64.7% % 5.4% 5.7% 4.2% 2.3% 2.3% 2.4% 3.2% 14.1% LV 22.9% 23.8% 22.6% 24.2% 0.2% 0.2% 0.2% 0.3% 19.1% 17.1% 17.7% 18.4% 55.8% 56.9% 57.5% 55.1% 0.4% 0.3% 0.3% 0.2% 1.6% 1.6% 1.7% 1.7% NL 8.4% 6.3% 7.4% 6.4% 0.8% 0.9% 0.9% % 9.4% % % 76.9% 4.4% 4.3% 3.8% 3.8% 3.6% 3.2% 3.1% 3. NO 12.7% 9.8% 11.5% % 0.3% 0.3% 0.4% 9.9% 9.6% 9.1% 11.8% 68.7% 71.6% % 5.3% 5.5% % % % PL 4.6% 4.8% 5.3% % 0.3% 0.3% 0.2% 20.9% 20.6% 19.5% 21.8% 69.4% 69.8% 70.3% 68.4% 1.2% 0.9% % 3.7% 3.7% 3.7% 3.6% PT 3.7% 3.7% 4.3% 5.5% % 2.7% 2.7% 19.1% 20.1% 19.9% 19.5% 63.3% 62.6% 62.1% 61.8% 1.2% 1.1% 1.1% 1.1% 9.7% 9.7% 9.9% 9.5% RO 13.6% 13.3% 11.9% 15.9% 0.2% 0.2% 0.3% 0.2% % 28.4% 26.9% % 56.5% 54.2% 0.2% 0.2% 0.1% 0.1% % 2.8% 2.7% SE 12.2% 12.2% 11.7% 8.2% 1.4% 1.2% 1.2% 1.1% 11.2% 10.7% % 65.9% % 72.1% 5.9% 5.7% 5.1% 5.4% 3.5% 3.2% 3.1% 2.6% SK 6.3% 6.7% 2.9% % 0.1% 0.2% 0.2% 16.9% 15.1% 14.6% 13.6% 74.3% 75.7% 80.1% 77.9% 0.3% 0.4% 0.3% 0.3% % 2. EE 23.8% 21.6% % 0.1% 0.1% 0.1% 0.1% 2.4% 2.2% 2.2% 1.6% 72.4% 74.5% 74.3% 74.8% 0.3% 0.2% 0.2% 0.2% 1.1% 1.3% 1.1% 1. SI 13.6% 11.9% 10.6% 11.2% 0.8% 0.8% 0.8% 0.7% 25.7% 26.8% 27.3% 25.9% 56.7% 57.2% 57.9% 59.1% 0.2% 0.2% 0.2% 0.2% 3.1% 3.1% 3.2% 3. MT 3.7% 3.9% 3.5% 4.4% 0.4% 0.4% 0.4% 0.4% % 27.3% 25.6% % % 0.1% 0.1% 0.1% 0.1% 2.8% 2.9% 2.8% 2.9% % 8.6% 8.7% 2.4% 2.4% 2.4% 2.4% 13.4% 13.2% 13.1% 12.8% 60.5% 61.1% 61.6% 62.3% 9.5% 9.1% 8.6% 8.4% 6.2% 5.8% 5.7% 5.5% T02_1 T02_1 T02_1 T02_1 T02_3 T02_3 T02_3 T02_3 T02_2 T02_2 T02_2 T02_2 T03_1 T03_1 T03_1 T03_1 T03_1 T03_1 T03_1 T03_1 Volumes bln R; % AT BE BG CY CZ DE DK ES FI FR GB GR HR HU IE IT LT LU LV NL NO PL PT RO SE SK EE* SI MT Assets Total Assets Share of financial assets held for trading Share of fair value level 3 to total fair valued assets Mar-17 Jun-17 Sep-17 Dec-17 Mar-17 Jun-17 Sep-17 Dec-17 Mar-17 Jun-17 Sep-17 Dec % 2.7% 2.6% 2.4% 7.5% 5.9% 6.5% % 5.7% 5.5% 5.2% 9.1% 8.8% 9.1% 9.1% % % 0.5% 0.7% 0.6% % % % 2.7% 1.7% 1.3% 3.3% 4.8% 5.5% 6.2% % 19.4% 18.9% % 3.1% 3.1% 3.1% % 13.9% 13.8% 13.7% 0.4% 0.4% 0.5% 0.4% % 7.1% 6.9% 6.8% 1.1% % 4.5% 4.2% 4.5% 2.5% 4.1% 2.3% 2.2% % % 18.5% 2.5% 2.5% 2.5% 2.9% % 24.1% 23.4% 22.9% 2.3% 2.2% 2.2% % 2.8% 2.8% 3.4% 1.6% 1.7% 1.8% 1.5% % 0.8% 0.6% 0.6% 2.4% 2.3% 2.1% % 2.4% 2.8% 2.9% 0.4% 0.4% 0.4% 0.4% % 4.3% 3.9% 3.7% 3.2% 2.9% % % 6.8% 6.8% 6.3% 2.2% 2.3% 2.4% 2.3% % 1.3% 0.6% 0.6% 1.1% 1.2% 7.8% 1.1% % 5.8% 4.4% 2.4% 0.7% 0.6% 0.7% 0.7% % 1.7% 1.6% 1.6% 0.4% 0.5% 0.5% 0.6% % 8.7% 8.4% 7.5% 2.1% 2.1% % % % 19.1% % 11.5% % 2.1% 1.4% 1.4% 4.1% 3.7% 3.1% 1.4% % 3.5% 3.3% % 19.6% 17.7% % 0.8% 0.8% 0.4% 1.1% 0.6% 0.3% 0.4% % 13.8% 12.8% 11.9% 1.1% 0.8% 0.9% 0.9% % 0.4% 0.3% 0.3% 1.5% 2.4% 1.1% 1.3% % 1.7% 1.6% % 0.7% 0.7% 0.9% % 0.6% 0.5% 0.4% 0.3% 0.3% 0.3% 0.3% % 0.1% 0.1% 0.1% 0.3% 0.3% 0.6% 0.6% % 15.9% 15.7% 14.7% 2.7% 2.5% 2.6% 2.6% Volumes; bln R AT BE BG CY CZ DE DK ES FI FR GB GR HR HU IE IT LT LU LV NL NO PL PT RO SE SK EE* SI MT Loans and advances (1) Mar-17 Jun Sep Dec Individual country data includes subsidiaries, which are excluded from aggregate. For example, at country level the subsidiary in country X of a bank domiciled in country Y is included both in data for countries X and Y (for the latter as part of the consolidated entity). In the aggregate, only the consolidated entity domiciled in country Y is considered. The sample of banks is unbalanced and reviewed annually. (1) Net carrying amount, including loans held for trading.

29 29 Statistical Annex Liability composition and volumes % of total liabilities AT BE BG CY CZ DE DK ES FI FR GB GR HR HU IE IT LT LU LV NL NO PL PT RO SE SK EE SI MT Liabilities composition Debt securities issued Deposits from credit institutions Customer deposits (1) Other liabilities (2) Mar-17 Jun-17 Sep-17 Dec-17 Mar-17 Jun-17 Sep-17 Dec-17 Mar-17 Jun-17 Sep-17 Dec-17 Mar-17 Jun-17 Sep-17 Dec % % 13.4% % 13.3% 11.4% 63.1% 64.1% 64.5% % 8.7% 8.7% 8.2% 20.6% 19.9% 20.1% 20.6% 13.3% 14.2% 13.8% 11.6% % 51.4% 53.4% 16.2% 15.1% 14.8% 14.4% 0.6% 0.6% 0.6% 0.6% 6.3% 5.2% % 90.2% 91.4% 92.6% 93.8% 2.8% 2.9% 1.9% % 1.1% 1.1% 1.5% 1.5% 1.7% 1.8% 93.5% 93.2% 93.3% 92.7% % % 9.2% 9.7% 9.2% 10.9% 16.1% 14.4% 15.5% 13.2% 70.6% 71.6% 71.4% 71.9% 4.1% 4.3% 3.8% % 19.9% 19.9% 20.4% 14.1% 13.8% 14.1% 13.5% % 42.8% 25.6% 25.3% 24.7% 23.3% 55.1% 54.1% % 3.4% 3.1% 2.7% 2.6% 25.6% 26.9% % 15.9% % % 12.9% 12.7% 12.6% 7.9% 7.8% 7.3% 7.4% 61.5% 61.9% 62.8% 62.5% 17.5% 17.4% 17.2% 17.5% 36.6% 36.1% 35.3% 33.9% 2.9% 1.9% 1.5% 1.4% 45.7% 48.3% % 14.9% 13.7% 13.2% 14.8% 18.3% 18.4% 17.8% 18.7% % 5.6% 4.9% 51.3% 52.1% 53.1% 54.2% 24.4% 23.6% 23.5% 22.1% 10.5% 10.6% 10.4% 10.5% 5.2% % 4.8% 58.6% 59.9% 60.2% 61.3% 25.7% 24.5% 24.3% 23.4% 0.5% 0.4% 0.4% 1.3% 8.3% 7.4% 5.8% 5.3% 60.6% 63.2% 67.9% 70.7% 30.6% 28.9% 25.9% 22.7% 0.4% 0.4% 0.1% 0.2% 11.2% 10.4% 7.9% 7.7% 84.6% 85.2% 88.3% 88.2% 3.8% % 3.9% 3.1% % 2.9% 6.7% 6.4% 5.7% % 82.4% 83.4% 85.1% 9.8% 8.2% % 9.3% 9.5% 8.9% 7.8% 7.6% 6.8% 5.7% 67.8% 70.3% 71.9% 74.4% 13.5% 12.7% 11.8% 10.9% 16.9% 16.9% 16.5% 15.2% 7.1% 6.7% 6.8% 6.7% 53.7% 55.2% 56.4% 58.2% 22.3% 21.3% 20.3% % 14.8% 14.1% 16.5% 81.2% 81.8% 82.4% 80.5% 4.3% 3.5% 3.4% % 26.3% 26.6% % 18.5% 18.9% % 46.3% 47.1% 39.1% % 7.4% 16.9% 4.6% 4.1% 4.4% 4.6% % 7.9% 7.9% 86.1% 86.5% 85.3% 85.3% 2.3% 2.3% 2.4% 2.3% 26.4% 25.3% 24.9% 24.9% 3.8% 3.5% 3.9% 3.2% 59.1% % 62.2% 10.7% 10.2% 9.8% 9.7% 38.9% 38.1% 37.5% 39.1% 8.1% 6.9% 8.2% 7.7% 43.6% 45.7% 45.1% 45.5% 9.4% 9.2% 9.2% 7.8% 4.9% % 6.7% % 2.6% 2.5% 84.4% 84.5% 84.7% 85.5% 4.6% % 5.2% 6.3% 6.1% 5.9% 5.1% % 4.5% 3.9% 75.2% 75.9% 76.1% 77.9% 13.5% 13.3% 13.4% 13.1% 0.4% 0.4% 0.4% 0.4% 8.8% 7.8% 7.8% 6.9% 87.7% 88.3% 88.4% 89.1% 3.2% 3.5% 3.4% 3.7% % 46.1% 5.4% 5.9% 4.9% 3.9% % % 13.5% 13.2% 12.6% 11.4% 10.7% 11.1% 11.5% 11.6% 3.6% 3.3% 3.5% 3.7% 82.9% 82.8% 82.3% % 2.8% 2.7% 2.7% 0.2% 0.2% 0.2% 0.5% 8.6% 7.4% 8.1% 15.2% 88.6% 90.5% 89.7% 81.9% 2.6% 1.8% % 1.5% 1.5% 0.1% 0.1% % 4.7% 4.4% 88.4% 88.2% % 5.1% 5.5% 5.1% 4.9% 2.2% 2.2% 2.2% 2.3% % 1.2% % 94.1% 94.4% 94.2% % 2.2% 2.5% % 18.6% 18.8% 7.2% 7.1% 6.9% 6.4% 52.6% 53.7% 54.4% 55.5% 21.2% 20.5% % (1) Customer deposits include deposits from non financial corporations, households, other financial institutions and general governments. (2) Also includes deposits from central banks. T05_1 T05_1 T05_1 T05_1 T05_1 T05_1 T05_1 T05_1 T04_2 T04_2 T04_2 T04_2 Volumes; bln R Total Liabilities % of debt securities issued Share of secured funding Mar-17 Jun-17 Sep-17 Dec-17 AT BE BG CY CZ DE DK ES FI FR GB GR HR HU IE IT LT LU LV NL NO PL PT RO SE SK EE SI MT AT BE BG CY CZ DE DK ES FI FR GB GR HR HU IE IT LT LU LV NL NO PL PT RO SE SK EE SI MT Mar-17 Jun-17 Sep-17 Dec % 34.7% 35.6% 35.2% 22.9% 22.7% 22.6% 21.7% % % 25.1% % 86.7% 87.6% 88.2% 88.9% % % 21.6% 21.9% 22.3% 19.4% 22.6% 23.4% 23.6% 23.6% 16.1% 16.3% 16.2% 15.8% 130.5% % 85.2% % 52.5% 53.4% 55.2% 71.9% 68.8% 66.5% 63.2% 25.9% % 26.1% % % 19.1% 52.1% 55.6% 53.7% 54.7% 34.2% 41.6% % 43.9% 43.6% 42.5% 54.2% % 48.3% 48.8% 50.7% 93.9% 94.3% 93.8% 93.7% % 32.6% 32.8% 33.1% Individual country data includes subsidiaries, which are excluded from aggregate. For example, at country level the subsidiary in country X of a bank domiciled in country Y is included both in data for countries X and Y (for the latter as part of the consolidated entity). In the aggregate, only the consolidated entity domiciled in country Y is considered. The sample of banks is unbalanced and reviewed annually.

30 30 Statistical Annex Risk-weighted asset composition and break-down of asset quality data % of total RWA Credit risk capital requirements (excl. securitisation) RWA composition Securitisation capital requirements Market risk capital requirements Operational risk capital requirements Other capital requirements Mar-17 Jun-17 Sep-17 Dec-17 Mar-17 Jun-17 Sep-17 Dec-17 Mar-17 Jun-17 Sep-17 Dec-17 Mar-17 Jun-17 Sep-17 Dec-17 Mar-17 Jun-17 Sep-17 Dec-17 AT 83.9% 83.1% % 0.2% 0.3% 0.2% 0.2% 2.9% 2.7% 2.5% 2.5% 12.3% 12.5% 12.9% 11.9% 0.6% 1.4% 1.3% 1.3% BE 83.8% 83.8% 83.9% 84.3% 1.1% % 2.3% 2.6% 2.4% 2.4% 8.3% 8.4% 8.5% 8.6% 4.5% 4.3% 4.2% 4.1% BG 89.9% 90.1% 89.7% 90.3% % 0.6% 0.7% 0.5% 9.6% 9.4% 9.6% 9.2% CY 88.4% 87.7% 87.6% 88.4% % 0.7% 0.6% 0.5% 10.9% 11.4% 11.5% 10.9% 0.2% 0.2% 0.2% 0.2% CZ 81.7% 81.6% 81.8% 81.1% % 3.8% 4.8% 13.1% 13.3% 13.7% 13.4% 1.1% 0.7% 0.7% 0.7% DE 74.8% 75.4% 74.4% 75.4% 3.3% 2.8% % 6.5% 6.5% 6.4% % 13.4% 14.2% 13.7% 2.2% 1.9% % DK 83.1% 83.7% 84.1% 83.9% 0.1% 0.1% % 7.3% 6.7% 6.3% 6.4% 8.8% % 9.1% 0.7% 0.7% 0.5% 0.5% ES 86.8% 86.8% 87.1% 86.7% 0.4% 0.5% 0.4% 0.5% 3.4% 3.5% 3.1% % % 0.5% 0.5% 0.4% 0.4% FI % 80.6% 81.6% 0.1% 0.1% 0.1% 0.1% 2.7% 3.4% 3.4% 2.1% 8.5% 8.5% 8.5% 8.6% 7.6% 7.5% 7.4% 7.7% FR 85.3% 85.4% 85.4% 85.6% % % 2.8% 2.7% 9.8% % 10.2% % 0.7% 0.8% GB 67.7% % 68.6% 1.3% 1.3% 1.3% 1.2% 13.4% % 14.4% 10.5% 10.7% 10.6% 10.5% 7.1% 5.9% 5.6% 5.3% GR % 89.1% 89.1% 0.1% 0.1% 0.1% 0.1% 3.5% 3.4% 3.2% % 7.4% 7.5% 7.7% 0.2% 0.2% 0.2% 0.2% HR 87.7% % 88.6% % 2.1% 1.9% 1.5% 10.2% 9.8% % 0.1% 0.1% 0.1% 0. HU 82.4% 82.6% 82.8% 81.9% % 3.6% 3.7% 5.1% 13.6% 13.6% 13.3% 12.8% 0.2% 0.2% 0.2% 0.2% IE 88.4% 87.9% 87.3% 87.9% 0.3% 0.3% 0.3% 0.4% % 1.7% 1.4% 8.4% 8.6% 8.6% 8.8% 1.9% % 1.6% IT 85.7% 85.7% 85.7% 86.1% 0.8% 0.7% 0.7% 0.7% 4.2% 4.2% % 8.6% 8.7% % 0.6% 0.6% 0.6% 0.7% LT % % % 1.7% 1.6% 1.3% 8.4% 8.4% 8.4% 7.8% % 0.1% LU 88.1% % 88.1% 0.4% 0.4% 0.4% 0.3% 0.7% 0.8% 0.8% 0.7% 8.8% 8.7% 8.7% 8.9% % 1.9% 1.9% LV 86.8% 86.7% 86.8% 85.8% % 1.4% 1.3% 2.2% 11.8% 11.9% 11.9% NL 82.5% 82.6% 82.4% 82.8% 0.7% 0.8% 0.7% 0.6% 2.3% 2.1% 1.9% 1.7% 13.4% 13.4% % 1.2% 1.1% 1.1% 1. NO % 85.1% 85.8% 0.9% 0.8% 0.7% 0.6% 1.1% 0.9% % 7.7% 7.6% 7.8% 8.4% 10.3% 3.9% 5.4% 3.9% PL 90.6% 91.3% 91.4% 91.6% % % 1.8% 6.5% 6.4% 6.3% 6.2% 0.4% 0.4% 0.3% 0.4% PT 88.4% % 87.3% 1.2% 1.1% 1.1% % 2.5% 2.5% 2.5% 6.5% 6.7% 6.7% % 1.7% 1.8% 2.2% RO 76.4% 76.8% 76.5% 77.1% % 5.9% 5.9% 5.9% 16.5% 17.2% 17.5% % 0.1% 0.1% 0.1% SE 80.9% 81.2% 81.7% 81.2% 0.3% 0.3% 0.3% 0.3% 3.4% 3.3% 3.3% 3.2% 11.8% 11.9% 11.9% 12.1% 3.5% 3.2% 2.8% 3.1% SK 83.9% 82.7% 83.9% 85.5% % 4.1% 2.4% 1.7% 12.2% 12.1% 12.7% 11.9% 0.9% 1.1% EE 89.9% 90.1% 90.2% 90.5% % 0.3% 0.5% 0.3% 9.6% 9.6% 9.3% 9.1% SI 87.1% 87.1% 87.3% 85.1% % 0.9% 3.8% 11.9% 11.7% 11.8% 11.1% MT 90.9% 90.8% % 0.1% 0.1% % % 8.9% 0.1% 0.2% 0.1% 0.1% 79.4% 79.8% 79.7% 80.1% 1.1% 1.1% 1.1% % 6.3% 6.3% 6.1% 10.3% 10.4% 10.6% 10.5% 2.9% 2.4% 2.3% 2.2% Volumes bln R; % T08_1 T08_1 T08_1 T08_1 T08_2 T08_2 T08_2 T08_2 T08_3 T08_3 T08_3 T08_3 T09_1 T09_1 T09_1 T09_ Non-performing loans (1) Loans and advances (1) Non-performing loans ratio Coverage ratio of Non-performing loans Mar-17 Jun-17 Sep-17 Dec-17 Mar-17 Jun-17 Sep-17 Dec-17 Mar-17 Jun-17 Sep-17 Dec-17 Mar-17 Jun-17 Sep-17 Dec-17 AT % 4.3% % AT 56.3% 55.2% 54.7% 52.7% BE % 2.8% 2.7% 2.6% BE 44.3% 44.9% 44.8% 43. BG % 12.4% 11.7% 10.6% BG 58.3% 58.2% 58.1% 54.5% CY % 42.7% 40.6% 38.9% CY 41.3% 45.4% 45.5% 45. CZ % 1.7% 1.6% 1.6% CZ 61.9% 62.7% % DE % 2.2% 2.1% 1.9% DE 37.8% 40.7% 39.8% 39.3% DK % 2.7% 2.5% 2.4% DK 28.7% % 28.9% ES % 5.4% 4.8% 4.5% ES 43.6% 44.7% 41.9% 41.9% FI % 1.7% 1.6% 1.5% FI 28.9% 26.4% 25.6% 27.3% FR % 3.4% 3.2% 3.1% FR 51.3% 50.8% 51.1% 51. GB % 1.7% 1.6% 1.5% GB 30.5% 31.4% 32.4% 32. GR % 46.5% 46.6% 44.9% GR 48.2% 47.5% 47.5% 46.9% HR % 9.8% 8.9% 7.5% HR % 57.9% 58.9% HU % 10.8% 10.1% 8.9% HU 65.4% 64.6% % IE % 11.8% 11.4% 10.4% IE 34.6% 32.4% 32.2% 29.4% IT % 12.2% 11.8% 11.1% IT 50.6% 49.9% 50.1% 50.6% LT % 3.3% 3.1% 2.8% LT % 30.2% 29.2% LU % 1.1% 1.2% 0.7% LU 41.6% 39.5% 40.4% 43.9% LV % 2.7% 2.6% 2.3% LV 30.1% 29.1% 29.5% 32.4% NL % 2.5% 2.4% 2.3% NL 34.7% % 29.1% NO % 1.8% 1.6% 1.8% NO 29.6% 27.4% 32.5% 32.8% PL % % PL 59.5% 60.5% 59.8% 59.3% PT % 17.6% 16.7% 15.2% PT 44.4% 44.9% 45.3% 48.6% RO % 8.9% 8.4% 6.5% RO 66.7% 68.3% 68.8% 67.6% SE % 0.9% 0.9% 1. SE 32.1% 28.7% 29.2% 29.5% SK % 3.8% 3.6% 3.4% SK 55.9% 56.8% 59.8% 59.8% EE % 1.3% 1.3% 1.7% EE 31.6% 26.1% 23.8% 23.4% SI % 13.3% 12.6% 10.5% SI 63.7% 64.8% 65.1% 62.9% MT % 3.9% 3.6% 3.5% MT 34.8% 36.3% 37.1% 35.7% % 4.5% 4.2% % % 44.5% Individual country data includes subsidiaries, which are excluded from aggregate. For example, at country level the subsidiary in country X of a bank domiciled in country Y is included both in data for countries X and Y (for the latter as part of the consolidated entity). In the aggregate, only the consolidated entity domiciled in country Y is considered. The sample of banks is unbalanced and reviewed annually. (1) Gross carrying amounts, other than held for trading.

31 31 Statistical Annex Exposures to Real Estate activities and Construction In compliance with the Recommendation ESRB/2016/14 on closing real estate data gaps, the EBA is disclosing aggregated information on the exposures towards Non-financial corporations under Real Estate activities (NACE code L) and Construction Sector (NACE code F) (1) (2) Total exposures to Real Estate activities (NACE L) Non-performing exposures to Real Estate activities (NACE L) By country of the counterparty Gross carrying amount As % of Total of exposures to Nonfinancial corporations Gross carrying amount NPL ratio Mar-17 Jun-17 Sep-17 Dec-17 Mar-17 Jun-17 Sep-17 Dec-17 Mar-17 Jun-17 Sep-17 Dec-17 Mar-17 Jun-17 Sep-17 Dec-17 AT % 29.8% 30.6% 30.6% % % 1.9% BE % 14.8% 15.7% 15.9% % % 3.6% BG % 11.3% 11.1% % 43.6% 42.8% 42.3% CY % 17.9% 16.9% 15.8% % 37.2% 36.8% 43.3% CZ % 26.3% 25.9% 24.3% % 1.6% 1.4% DE % 31.5% 32.7% 32.6% % 1.2% 1.1% 0.9% DK % 49.4% 49.5% 49.7% % 3.6% 3.3% 3.3% ES % 11.9% 12.8% % % 16.3% FI % 46.5% 46.7% 45.4% % 0.5% 0.5% 0.4% FR % 31.2% 31.9% 31.5% % 3.1% 3.3% 3.2% GB % % % 3.5% 3.4% 2.3% GR % 5.6% 5.7% 5.8% % 56.9% 57.6% 56.2% HR % 10.5% 9.6% % 39.9% 38.1% 29.9% HU % 20.2% 20.3% 20.1% % 11.6% % IE % 23.6% 23.5% % 36.1% 30.2% IT % 13.8% 13.7% 13.3% % % 34. LT % 24.3% % % % 6.4% LU % 35.9% 34.3% 37.9% % 1.2% LV % 27.5% 28.4% 27.4% % % 11.1% NL % 30.6% 31.2% % 4.1% 3.7% 3.7% NO % 38.3% 38.9% 38.1% % 0.7% 0.8% 0.9% PL % 19.1% 20.1% 19.1% % % 4.1% PT % 10.9% 10.7% 11.1% % % 33.4% RO % 14.7% 13.8% 13.6% % 28.4% 27.5% 21.8% SE % % 60.3% % 0.2% 0.1% 0.1% SK % 17.2% 17.9% % 8.7% 8.6% 7.3% EE % 32.3% 31.3% 30.6% % 1.8% 1.5% SI % 6.9% % % 31.2% 28.4% 30. MT % 6.6% 6.5% % 10.7% 11.1% % 27.3% 27.4% 27.2% % 5.9% 5.6% 5.3% Memo item: Non- countries % 13.5% % 1.9% 1.7% 1.7% By country of the counterparty Volumes bln R; % T13_1 T13_1 T13_1 T13_1 T13_2 T13_2 T13_2 T13_2 T13_3 T13_3 T13_3 T13_3 T13_4 T13_4 T13_4 T13_ Gross carrying amount Total exposures to Construction (NACE F) Non-performing exposures to Construction (NACE F) As % of Total of exposures to Nonfinancial corporations Gross carrying amount NPL ratio Mar-17 Jun-17 Sep-17 Dec-17 Mar-17 Jun-17 Sep-17 Dec-17 Mar-17 Jun-17 Sep-17 Dec-17 Mar-17 Jun-17 Sep-17 Dec-17 AT % 12.5% 12.5% 12.2% % 4.4% 4.1% 3.9% BE % 10.7% 10.3% % 4.8% 4.4% 4.7% BG % 8.1% 7.8% 7.5% % 35.3% 34.7% 32.3% CY % 18.6% 18.8% 19.2% % 75.1% 73.8% 76.3% CZ % 4.1% % % 9.5% 8.8% 7.7% DE % 2.7% % 4.6% 4.5% 4.8% DK % 2.4% 2.5% 2.5% % 5.9% 5.2% 5.4% ES % 15.9% 14.4% 13.5% % 45.1% 26.8% 24.8% FI % 3.5% 3.2% % 4.2% 3.4% FR % 4.4% 4.3% 4.3% % 8.7% 7.6% 7.7% GB % % % 3.6% 5.1% 7.6% GR % 10.3% 10.1% % 69.1% 68.3% 67.8% HR % 11.1% 10.9% % 39.1% % HU % 5.7% 5.5% 5.5% % 13.4% 12.7% 11.2% IE % 3.3% 3.4% 3.4% % 37.9% 30.4% IT % 10.8% 10.3% % 47.6% 46.8% 47. LT % 3.4% 2.6% 2.8% % 10.6% 14.6% LU % 2.1% 2.1% 1.5% % 7.3% 6.9% 7.7% LV % 3.1% 3.2% % 1.3% 2.3% 9.9% NL % 3.7% 3.7% 3.5% % 12.4% 11.7% 11.3% NO % 9.6% 9.7% 9.7% % 1.3% 1.2% 1.1% PL % 5.7% 5.5% 5.3% % 11.3% 11.4% 11.3% PT % % 13.7% % 50.8% 48.8% 44.5% RO % 9.9% 10.4% 9.1% % 34.2% 31.2% 24.7% SE % 2.8% 2.8% 2.8% % 0.7% 0.7% 0.7% SK % 4.7% 4.8% 4.2% % 9.4% 9.3% 9.5% EE % 2.6% 2.7% 3.3% % 1.2% 0.9% 3.8% SI % 4.4% 4.8% 4.6% % 46.9% 41.7% 37.1% MT % % 41.5% 42.3% % 6.8% 6.8% 6.5% % 24.4% 21.4% 21.1% Memo item: Non- countries % 4.2% % 7.4% 7.1% 7.2% Volumes bln R; % (1) In disclosing aggregated information on the real estate (RE) exposures towards the different national RE markets in the Union, the EBA made use of information in regulatory reporting templates that provide a breakdown of credit exposures. RE exposures are identified as those referred to as both the NACE codes F and L, although strictly speaking some sub-categories would need to be excluded following the Commercial Real Estate (CRE) definition adopted in the ESRB Recommendation. (2) Data is country aggregated on the basis of the residence of the immediate counterparty. The information on the geographical distribution of exposures by country is reported by institutions where non-domestic original exposures in all non-domestic countries in all exposures classes are equal or higher than 10 % of total domestic and non-domestic original exposures. For this purpose exposures shall be deemed to be domestic where they are exposures to counterparties located in the Member State where the institution is located.