ESRB RISK DASHBOARD. March 2016

Transcription

1 ESRB RISK DASHBOARD March 1 DISCLAIMER: The risk dashboard is a set of quantitative indicators and not an earlywarning system. Users may not rely on the indicators as a basis for any mechanical form of inference.

2 Table of contents 1. Interlinkages and composite measures of systemic risk 1.1 Composite indicator of systemic stress 1. Probability of a simultaneous default 1. Crossborder claims of banks 1. MFI credits by counterpart sectors 1. MFI deposits by counterpart sector 1. MFI credits to general government 1.7 MFI loans for house purchase 1. Investment funds holdings of debt securities by counterpart sector Investment funds holdings of equity and investment fund shares by counterpart sector 7. Macro risk.1 Current and forecast real GDP growth. Domestic credittogdp gap. Current account balancetogdp ratio 9. Unemployment rate 9. Aggregate debttogdp ratio 1. General government debttogdp ratio 11.7 General government deficittogdp ratio 11. CDS premia on sovereign debt 1.9 Government debt service 1.1 Household debttogross disposable income ratio 1.11 NFC debttogdp ratio 1. Credit risk 1.1 Annual growth rates of MFIs loans to households 1. Annual growth rates of MFI loans to NFCs 1. Cost of borrowing from MFIs for households (for house purchase) 1. Cost of borrowing from MFIs for NFCs 1. Lending margins of MFIs loans to households (for house purchase) 1. Lending margins of MFIs loans to NFCs 1.7 Changes in credit standards for loans to households (for house purchase) 17. Changes in credit standards for loans to NFCs 17.9 Optionadjusted spreads on euro area corporate bonds 1.1 Expected default frequency of the corporate sector 1.11 Foreign currency loans 19.1 Over/undervaluation of residential property prices.1 Change in nominal residential property prices. Funding and liquidity 1.1 Interbank interest rate spreads 1. Financial market liquidity indicator 1. EUR/USD crosscurrency basis swap spreads 1. Banks funding by central banks. Money markets and the Eurosystem s standing facilities. Maturity profile of Banks outstanding debt securities.7 Banks longterm debt securities issuance. Loantodeposit ratio.9 CDS spread between senior and subordinated debt. Market risk.1 Global risk aversion indicator. Price/earnings ratio of equity indices. Equity indices. Shortterm interest rates implied volatility 7. Longterm interest rates implied volatility 7. Exchange rate volatility. Profitability and solvency 9.1 Banking groups profitability indicators 9. Banking groups solvency, liquidity and balance sheet structure indicators. Insurance groups profitability indicators 1. Insurance groups solvency indicators. Insurance groups Retention ratio ESRB risk dashboard M a r c h 1 1

3 Table of contents continued 7. Structural risk 7.1 Banking sector size 7. Banking sector leverage 7. Growth of components of the EU financial sector 7. Total assets of investment funds and OFIs 7. Total assets of investment funds and OFIs in the EU 7. NonMMF investment funds ratio of short term assets to short term liabilities General notes The ESRB risk dashboard is a set of quantitative and qualitative indicators of systemic risk in the EU financial system. The composition and the presentation of the ESRB risk dashboard have been reviewed in the first quarter of 1. Unless otherwise indicated, all EU indicators relate to the Member States of the EU (the EU). Unless otherwise indicated, all data series relate to the Euro 19 (i.e. the euro area including Lithuania) for the whole time series. For statistics based on the balance sheet of the MFI sector, as well as statistics on financial markets and interest rates, the series relate to the composition of the EU/euro area in the period covered (changing composition). Statistics based on the balance sheet of the MFI sector are unconsolidated. Additional indicators to support the systemic risk assessment in the EU financial system are available in the Macroprudential database: List of countries and aggregates Austria AT France FR The Netherlands NL Belgium BE Greece GR Poland PL Bulgaria BG Croatia HR Portugal PT Cyprus CY Hungary HU Romania RO Czech Republic CZ Ireland IE Sweden SE Germany DE Italy IT Slovenia SI Denmark DK Lithuania LT Slovakia SK Estonia EE Luxembourg LU United Kingdom UK Spain ES Latvia LV Euro area EA Finland FI Malta MT European Union EU List of acronyms BIS Bank for International Settlements ICPF Insurance Corporation and Pension Funds CDS Credit Default Swap IMF International Monetary Fund CISS Composite Indicator of Systemic Stress IPD Investment Property Databank COREP Common Solvency Ratio Reporting MFI Monetary and Financial Institutions EBA European Banking Authority MMF Money Market Funds ECB European Central Bank NFC NonFinancial Corporations EIOPA European Insurance and OFI Other Financial Intermediaries Occupational Pensions Authority ITS Implementing Technical Standards EONIA Euro OverNight Index Average SovCISS Sovereign Composite Indicator of Systemic Stress ESCB European System of Central Banks Cutoff date Data available to the ECB by Thursday, March 1 were taken into account in these statistics. Contact For enquiries regarding the risk dashboard and its contents, please contact: ESRB risk dashboard M a r c h 1

4 1. Interlinkages and composite measures of systemic risk 1.1 Composite indicator of systemic stress (Last observation: Feb. 1) 1. correlation money market financial sector bond market forex market equity market CISS SovCISS Q Q Q Q1 1 1 Sources: Thomson Reuters, ECB and ECB calculations. Notes: The CISS is unitfree and constrained to lie within the interval (, 1). See Hollo, D., Kremer, M. and Lo Duca, M., CISS a composite indicator of systemic stress in the financial system, Working Paper Series, No 1, ECB, March 1. The Sovereign CISS applies the same methodological concept of the CISS. 1. Probability of a simultaneous default (Percentages; last observation: 9 Feb. 1) by two or more large and complex banking groups by two or more EU sovereigns Q Q Q Q1 1 1 Sources: Bloomberg, Thomson Reuters and ECB calculations. Note: See Box, Financial Stability Review, ECB, June 1. ESRB risk dashboard M a r c h 1 Section 1. Interlinkages and composite measures of systemic risk / Page

5 1. Interlinkages and composite measures of systemic risk 1. Crossborder claims of banks (Sample of EU countries; percentages; last observation: Q1 1 for foreign claims, Q 1 for total consolidated capital) EU lenders and borrowers other EU countries noneu countries (7%, 1%] (1%, %] (%, %] above % IE NO SE UK FI US DK DE NL ES FR BE CZ LU PT AT IT TR GR Sources: BIS, ECB and ECB calculations. Notes: Data for foreign claims refer to claims on an immediate borrower basis. See Guidelines to the international consolidated banking statistics, available at The size of the bubbles corresponds to the share of total foreign claims in the total equity of a country s consolidated banking sector. The thickness of the arrows depends on the share of bilateral foreign claims (i.e. claims of banks in country A on borrowers in country B) in the total equity of the banking sector extending the loans. Arrows extend only from EU countries reporting to the BIS and where the share of bilateral foreign claims in total equity is more than 7%. Section 1. Interlinkages and composite measures of systemic risk / Page ESRB risk dashboard M a r c h 1

6 1. Interlinkages and composite measures of systemic risk 1. MFI credits by counterpart sectors a. Fourquarter cumulated flows b. Outstanding amounts (euro area; EUR billions; last observation: Q 1) (euro area; EUR trillions; last observation: Q 1) Eurosystem MFIs general government NFCs households other financial institutions insurance corporations and pension funds noneuro area residents total Notes: MFIs excluding the Eurosystem. Credit comprises loans and holdings of securities. Eurosystem credit comprises only loans. Households include nonprofit institutions serving households. 1. MFI deposits by counterpart sector a. Fourquarter cumulated flows b. Outstanding amounts (euro area; EUR billions; last observation: Q 1) (euro area; EUR trillions; last observation: Q 1) Eurosystem MFIs general government NFCs households other financial institutions insurance corporations and pension funds noneuro area residents total Notes: MFIs excluding the Eurosystem. Households include nonprofit institutions serving households. ESRB risk dashboard M a r c h 1 Section 1. Interlinkages and composite measures of systemic risk / Page

7 1. Interlinkages and composite measures of systemic risk 1. MFI credits to general government (EU; share of total assets; percentages) 1 last observation: Dec. 1 Dec. 1 threeyear average RO HR HU SI IT PL SK CZ ES BG BE LT PT DE AT GR FR MT NL FI CY LV DK SE EE UK IE LU Notes: Credit extended by MFIs excluding the ESCB to domestic general government. Credit comprises granted loans and holdings of debt securities issued. Total assets excludes remaining assets. For some countries, such as Italy and France, governmentowned agencies mandated to finance primarily public administrations are listed as MFIs. 1.7 MFI loans for house purchase (EU; share of credit to the private sector; percentages) last observation: Dec. 1 Dec. 1 threeyear average 1 1 DK SE UK SK FI DE MT EE PT CZ LT FR IE ES PL LV NL BE GR AT LU SI HR RO CY HU IT BG Notes: MFIs excluding the ESCB. Data refer to loans granted to domestic households for house purchase purpose. Credit comprises loans and holdings of debt securities. Section 1. Interlinkages and composite measures of systemic risk / Page ESRB risk dashboard M a r c h 1

8 1. Interlinkages and composite measures of systemic risk 1. Investment funds holdings of debt securities by counterpart sector a. Cumulated flows b. Outstanding amounts (euro area; fourquarter cumulated flows; EUR billions; last observation: Q 1) (euro area; EUR trillions; last observation: Q 1) MFIs general government other financial institutions insurance corporations and pension funds NFCs noneuro area residents total Investment funds holdings of equity and investment fund shares by counterpart sector a. Cumulated flows b. Outstanding amounts (euro area; fourquarter cumulated flows; EUR billions; last observation: Q 1) (euro area; EUR trillions; last observation: Q 1) MFIs other than MMFs MMFs other financial institutions total insurance corporations and pension funds NFCs investment funds other than MMFs noneuro area residents ESRB risk dashboard M a r c h 1 Section 1. Interlinkages and composite measures of systemic risk / Page 7

9 . Macro risk.1 Current and forecast real GDP growth (EU; percentage changes; yearonyear growth) last observation: Q 1 threeyear average 1 forecast IE MT LU SE SK CZ RO PL ES HU BG CY SI LV HR UK LT EU EA FR BE DE PT AT NL IT EE FI DK GR Sources: European Commission and the European Commission Winter 1 forecast. Notes: The threeyear historical average is the average of the yearonyear growth rates over the last 1 quarters. For IE and LU, "last observation" refers to Q 1. To accommodate a number of large revisions received after the deadline, the cutoff date for the data in this chart was exceptionally extended to 1 March 1 (for all other charts in this dashboard the cutoff date was March 1).. Domestic credittogdp gap (EU; percentages) 1 last observation: Q 1 threeyear average 1 1 n.a. n.a. 1 7 CZ FR SE FI AT PL DE SK GR BE IT LT EE NL GB MT CY BG LV HU UK DK PT IE ES LU RO HR 7 Sources: European Commission, BIS, ECB and ECB calculations. Notes: See ESRB recommendation of 1 June 1 on guidance for setting countercyclical buffer rates (ESRB/1/1). ECB calculations and National calculations may differ. Section. Macro risk / Page ESRB risk dashboard M a r c h 1

10 . Macro risk. Current account balancetogdp ratio (EU; percentages) last observation: Q 1 threeyear average NL MT DE SI DK SE LU HU IE EA AT EE IT ES BG CZ EU PT FI FR BE RO PL GR LT SK LV UK CY 1 Source: ECB and European Commission. Notes: Quarterly data represent the sum of the four quarters up to and including the quarter of reference. The threeyear average is compiled on the basis of the annualised ratio of the last 1 quarters.. Unemployment rate (EU; percentage of labour force; seasonally adjusted) last observation: Jan. 1 threeyear average 1 forecast GR ES HR CY PT IT LV EA SK FR FI LT EU SI IE BG BE SE PL RO NL EE HU AT DK LU UK MT CZ DE Sources: European Commission and the European Commission Winter 1 forecast. Notes: For EE and HU, "last observation" refers to December 1; for GR and UK, "last observation" refers to November 1. ESRB risk dashboard M a r c h 1 Section. Macro risk / Page 9

11 . Macro risk. Aggregate debttogdp ratio a. Level (EU; percentages; last observation: Q 1) NFCs households general government threeyear average 1 1 CY LU IE PT GR NL BE IT ES DK FR SE AT MT HR DE SI UK HU PL SK FI EE LV CZ RO LT BG Sources: ECB and European Commission. Notes: DebttoGDP ratios for NFCs are based on consolidated debt figures. Private sector debt not available for BG owing to national confidentiality constraints. Consolidated nonfinancial coporations debt not available for FI and UK. Three year averages are not availablefor BG,FI,LU and UK. b. Yearonyear change (EU; percentage points; yearonyear changes; last observation: Q 1) 1 change NFCs change households change general government CY LU IE PT GR NL BE IT ES DK FR SE AT MT HR DE SI UK HU PL SK FI EE LV CZ RO LT BG Sources: ECB and European Commission. Notes: DebttoGDP ratios for NFCs are based on consolidated debt figures. Data on changes of private sector debt are not available for BG owing to national confidentiality constraints. Data on changes of nonfinancial corporations debt are not available for FI and UK. Section. Macro risk / Page 1 ESRB risk dashboard M a r c h 1

12 . Macro risk. General government debttogdp ratio (EU; percentages) 1 1 last observation: Q 1 threeyear average 1 forecast GR IT PT CY BE IE ES FR EA UK EU HR AT SI HU DE MT NL FI SK PL SE DK CZ LT RO LV BG LU EE Sources: European Commission and the European Commission Winter 1 forecast. Notes: Intrageneral government transactions are consolidated. The black dashed line represents the threshold of % for the government debttogdp ratio under the Stability and Growth Pact..7 General government deficittogdp ratio (EU; fourquarter moving sum; percentages) last observation: Q 1 threeyear average 1 forecast GR ES UK HR SI FR PT BG BE FI PL IT SK IE EU AT EA LV MT NL DK SE RO CY HU CZ LT LU EE DE Sources: European Commission and the European Commission Winter 1 forecast. Notes: The black dashed line represents the threshold of % for the budget deficit under the Stability and Growth Pact. For a number of countries, the figures include bank recapitalisation costs. Excluding these factors would in most cases lower the deficits. ESRB risk dashboard M a r c h 1 Section. Macro risk / Page 11

13 . Macro risk. CDS premia on sovereign debt (Sample of EU countries; basis points; fiveyear maturities; last observation: Mar. 1) Austria Belgium Germany Greece Spain Finland France Ireland Italy Netherlands Poland Portugal Sweden United Kingdom Q1 Q Q Q Q1 1 1 Sources: Thomson Reuters Datastream and CMA. Notes: Greek sovereign CDS were not traded between 9 March 1 and 11 April 1 following the decision by the ISDA that a credit event had occurred. Due to the lack of contributors, data were also not available between 1 March and 1 May 1. For presentational reasons, this chart has been truncated..9 Government debt service (EU; percentage of GDP; Feb. 1 to Jan. 17) face value due in months or less face value due over and up to 1 months interest to accrue in 1 year or less euro area, scheduled for the next 1 months IT HU ES FR BE PT SI HR MT DE SE UK GR SK AT FI NL IE RO CZ DK PL CY LT LV BG LU EE Sources: ECB and ECB calculations; European Commission forecast for GDP. Notes: Debt service is a set of payments, including the principal amount and interest, to be made by the debtor over the life of a debt. Debt service is measured for the coming 1 months. Section. Macro risk / Page 1 ESRB risk dashboard M a r c h 1

14 . Macro risk.1 Household debttogross disposable income ratio (EU; percentages) last observation: Q 1 threeyear average DK NL CY SE IE LU UK PT FI ES BE GR FR AT DE EE IT PL HR CZ SK HU SI LV BG LT RO MT n.a. Sources: ECB and European Commission. Notes: Data for CY,EE,HU,LT,LV and SK are based on annual ESA1 series for 1. Data for BG and LU are based on annual ESA9 series for 1. Data for MT are not available..11 NFC debttogdp ratio (EU; percentages) last observation: Q 1 threeyear average n.a. n.a. n.a. LU CY IE NL SE BE PT ES FR DK IT MT HR AT EE SI GR LV HU DE CZ PL SK RO LT BG FI UK Sources: ECB and European Commission. Notes: DebttoGDP ratios for NFCs are based on consolidated debt figures. NL data are consolidated at the level of the resident enterprise group. Data on NFC debt for BG are not available owing to national confidentiality constraints. Data on consolidated NFC debt for FI and UK are not available. ESRB risk dashboard M a r c h 1 Section. Macro risk / Page 1

15 . Credit risk.1 Annual growth rates of MFIs loans to households (EU; percentages) last observation: Jan. 1 Jan. 1 threeyear average SK SE CZ RO MT LT LU BE EE UK FR PL DE FI AT IT SI DK BG NL CY HR ES PT LV GR IE HU Notes: Loans extended by MFIs excluding the ESCB. Data for euro area Member States refer to loans granted to euro area households, while for noneuro area Member States to loans to domestic households. Euro area Member States data are adjusted for the derecognition of loans from the MFI statistical balance sheet due to their sale or securitisation. The figure is based on growth in the index of notional stocks.. Annual growth rates of MFI loans to NFCs (EU; percentages) last observation: Jan. 1 Jan. 1 threeyear average PL CZ EE LU LT FI SK FR BE SE RO DE AT CY DK LV UK BG IT ES GR PT HR IE HU NL SI MT Notes: Loans extended by MFIs excluding the ESCB. Data for euro area Member States refer to loans granted to euro area NFCs, while for noneuro area Member States to loans to domestic NFCs. Euro area Member States data are adjusted for the derecognition of loans from the MFI statistical balance sheet due to their sale or securitisation. Section. Credit risk / Page 1 ESRB risk dashboard M a r c h 1

16 . Credit risk. Cost of borrowing from MFIs for households (for house purchase) (euro area; percentage points) last observation: Jan. 1 Jan CY IE LV NL MT SK GR BE IT SI FR EE PT ES DE AT LT LU FI Notes: MFIs excluding ESCB. The cost of borrowing from MFIs is calculated as the weighted average of rates on shortterm (i.e. initial period of interest rate fixation up to one year) and longterm (i.e. initial period of interest rate fixation over one year) MFI loans, weighted by the volumes of new business (smoothed by the moving average of the previous two years).. Cost of borrowing from MFIs for NFCs (euro area; percentage points) 7 last observation: Jan. 1 Jan GR CY PT MT LV SI IE IT SK ES EE LT DE BE NL AT FR FI LU Notes: MFIs excluding ESCB. The cost of borrowing from MFIs is calculated as the weighted average of rates on shortterm (i.e. initial period of interest rate fixation up to one year) and longterm (i.e. initial period of interest rate fixation over one year) MFI loans, weighted by the volumes of new business (smoothed by the moving average of the previous two years). ESRB risk dashboard M a r c h 1 Section. Credit risk / Page 1

17 . Credit risk. Lending margins of MFIs loans to households (for house purchase) (EU; percentage points) last observation: Jan. 1 Jan. 1 threeyear average 1 1 BG HR HU IE RO PL LV BE SI DK UK EE CY NL CZ LU MT ES DE SK LT FR PT AT IT SE GR FI Notes: Lending margins are measured as the difference between MFIs interest rates for new business loans and a weighted average rate of new deposits from households and NFCs. For noneuro area countries, rates for loans and deposits in both euro and the national currency are taken into account. For euro area countries, rates refer to loans granted to euro area residents, whereas for noneuro area countries rates refer to loans granted to domestic residents. For UK, "last observation" refers to December 1.. Lending margins of MFIs loans to NFCs (EU; percentage points) 7 last observation: Jan. 1 Jan. 1 threeyear average BG GR RO HR PT LV SI IE CY HU ES SK EE LT UK PL MT BE DE DK AT SE IT CZ FR FI LU NL Notes: Lending margins are measured as the difference between MFIs interest rates for new business loans and a weighted average rate of new deposits from households and NFCs. For noneuro area countries, rates for loans and deposits in both euro and the national currency are taken into account. For euro area countries, rates refer to loans granted to euro area residents, whereas for noneuro area countries rates refer to loans granted to domestic residents. Section. Credit risk / Page 1 ESRB risk dashboard M a r c h 1

18 . Credit risk.7 Changes in credit standards for loans to households (for house purchase) (Sample of EU countries; weighted net percentages; last observation: Q1 1) euro area Germany Spain Italy Netherlands United Kingdom France Net tightening (+) Net easing () Sources: ECB and Bank of England. Notes: Weighted net percentages of banks contributing to the tightening of standards over the previous three months. For the United Kingdom, data are only available from the second quarter of 7 and are weighted according to the market share of the participating lenders. The net percentage balances on secured credit availability to households in the United Kingdom have been inverted.. Changes in credit standards for loans to NFCs (Sample of EU countries; weighted net percentages; last observation: Q1 1) euro area Germany Spain Italy Netherlands United Kingdom France Net tightening (+) Net easing () Sources: ECB and Bank of England. Notes: Weighted net percentages of banks contributing to the tightening of standards over the previous three months. For the United Kingdom, data refer to large and mediumsized enterprises and are only available from the second quarter of 7. They are weighted according to the market share of the participating lenders. The net percentage balances on corporate credit availability in the United Kingdom have been inverted. ESRB risk dashboard M a r c h 1 Section. Credit risk / Page 17

19 . Credit risk.9 Optionadjusted spreads on euro area corporate bonds (euro area; percentages; last observation: Mar. 1) AArated BBBrated high yield Q1 Q Q Q Q1 1 1 Source: Bank of America Merrill Lynch. Note: Spreads (in basis points) over German government bonds for both plain vanilla bonds and bonds with embedded options (for which the value of the option is stripped using proprietary models)..1 Expected default frequency of the corporate sector (EU; percentages; weighted average; last observation: Jan. 1 ) nonfinancial sector financial sector Q1 Q Q Q Q1 1 1 Sources: Moody s KMV and ECB calculations. Note: The weighted average is based on the amounts of nonequity liabilities. Model changed into EDF9 as of 1 June 1. Section. Credit risk / Page 1 ESRB risk dashboard M a r c h 1

20 . Credit risk.11 Foreign currency loans a. By currency (EU; percentages; last observation: Q 1) 7 1 EUR USD CHF All currencies other than EUR, USD, CHF n.a. n.a. HR BG RO PL HU CY CZ AT LU IE GR LV NL SI SE MT FR DE BE FI EE ES LT IT SK PT DK UK 7 1 b. By sector (EU; percentages; last observation: Jan. 1) households NFCs financial institutions 7 1 HR BG RO PL HU UK CZ CY AT GR IE DK LU LV NL SI SE MT FR DE BE ES EE FI LT IT SK PT 7 1 c. Annual changes (EU; percentage points; last observation: Jan. 1) CZ NL ES PT SK IT MT IE FR BE FI LT DE EE SE UK LV SI DK PL LU CY AT GR HR BG RO HU Note to charts.11 a, b and c: BG (currency board arrangement) and DK have a regime of fixed exchange rates visàvis the euro. ESRB risk dashboard M a r c h 1 Section. Credit risk / Page 19

21 . Credit risk.1 Over/undervaluation of residential property prices (EU; percentages) Last observation: Q 1 (range of estimates) Last observation: Q 1 (demand model) 7 (demand model, annual average) AT BE BG CY CZ DE DK EE ES FI FR GR HR HU IE IT LT LU LV MT NL PL PT RO SE SI SK UK EA Sources: Eurostat, national sources, ECB and ECB calculations. Notes: Estimates based on four different valuation methods: pricetorent ratio, pricetoincome ratio, asset pricing approach and a Bayesian estimated inverted demand model. For further details see Box, Financial Stability Review, ECB, June 11; and box, Financial Stability Review, ECB, November 1. For each country, the blue bars represent the range of estimates across the four valuation methods. For BE, "last observation" refers to Q 1, and for DK, HR, HU, RO, SK and FI, "last observation" refers to Q 1..1 Change in nominal residential property prices (EU; percentages; last observation: Q 1) 1 SE UK IE 1 oneyear change GR CY SI IT HR ES NL RO PT SK BG PL FI BE FR CZ DK AT DE LU HU MT LV LT EE threeyear change Sources: ECB, national sources and ECB calculations. Section. Credit risk / Page ESRB risk dashboard M a r c h 1

22 . Funding and liquidity.1 Interbank interest rate spreads. Financial market liquidity indicator (basis points; threemonth maturities; last observation: Mar. 1) (euro area; last observation: 1 Mar. 1 ) EUR USD GBP composite indicator foreign exchange, equity and bond markets money market Q1 Q Q Q Q Q1 Q Q Q Q Sources: Thomson Reuters, Bloomberg and ECB calculations. Note: Difference between interbank interest rates and overnight indexed swap. Sources: ECB, Bank of England, Bloomberg, JPMorgan Chase & Co., Moody s KMV and ECB calculations. Note: See Box 9, Financial Stability Review, ECB, June 7.. EUR/USD crosscurrency basis swap spreads (basis points; last observation: Mar. 1) EUR/USD threemonth basis swap EUR/USD twelvemonth basis swap Q1 Q Q Q Q Source: Bloomberg. Note: Data available since January. ESRB risk dashboard M a r c h 1 Section. Funding and liquidity / Page 1

23 . Funding and liquidity. Banks funding by central banks (EU; share of total liabilities; percentages) 1 1 last observation: Oct. 1 Oct. 1 threeyear average 1 1 n.a. GR CY PT ES IT SI FR IE AT LT SK BE LV DE NL FI EE LU MT HR PL RO BG SE CZ DK HU UK Sources: ECB, IMF and ECB calculations. Notes: MFIs excluding the ESCB and Money Market Funds. Banks funding by central banks comprises all loans granted by the ESCB. Total liabilities exclude capital and reserves as well as remaining liabilities.. Money markets and the Eurosystem s standing facilities (euro area; EUR billions; last observation: Feb. 1) marginal lending facility (minus) (l.h.s.) current account (l.h.s.) deposit facility (l.h.s.) EONIA volumes (r.h.s.) Q Q1 Q Q Sources: ECB and Bloomberg. Note: Eurosystem s current account includes minimum reserves. Section. Funding and liquidity / Page ESRB risk dashboard M a r c h 1

24 . Funding and liquidity. Maturity profile of Banks outstanding debt securities (EU; EUR billions; last observation: Feb. 1) 1 up to 1 year over 1 and up to yrs over and up to yrs over and up to 1 yrs more than 1 yrs Q Q Q Q1 1 1 Sources: Dealogic DCM Analytics, Dealogic CPWare and ECB calculations. Notes: The maturity profile refers to the residual maturity of longterm and shortterm debt securities issued by European banks. Banks longterm debt includes corporate bonds, mediumterm notes, covered bonds, assetbacked securities and mortgagebacked securities with a maturity of more than 1 months. Banks shortterm debt includes commercial papers certificates of deposits and shortterm notes with a maximum maturity of 1 months. Data are based on amounts outstanding at the end of the corresponding year or month..7 Banks longterm debt securities issuance (EU; EUR billions; last observation: Feb. 1) covered bonds senior unsecured subordinated unsecured government guarantee scheme Q Q Q Q1 1 1 Source: Dealogic DCM Analytics. Note: Debt issuance by EU public and private sector banks, excluding issuance of short term debt (i.e. with original maturity of below one year) and excluding ABS, MBS and agency related issuances. ESRB risk dashboard M a r c h 1 Section. Funding and liquidity / Page

25 . Funding and liquidity. Loantodeposit ratio (EU; percentages) last observation: Q 1 Q 1 threeyear average DK SE FI GR CY ES LU AT IE NL FR PT IT EE DE UK SK LT PL SI HU RO HR CZ BG MT BE LV Notes: MFIs sector excluding the ESCB. Data refers to the ratio between total loans and total deposits visàvis the domestic and euro area households, NFCs and nonmfi residents excluding the general government. Mortgage banks in Denmark, which represent around % of total MFI loans to domestic NFCs, are not allowed to take deposits owing to regulations, but must fund their lending through issuance of covered bonds only. Excluding mortgage banks from the indicator, the loantodeposit ratio for DK is equal to.79 for Q 1 and. for Q 1..9 CDS spread between senior and subordinated debt (EU; basis points; fiveyear maturities; last observation: Mar. 1) 1 ISDA 1 Definitions Q1 Q Q Q Q1 1 1 Sources: Thomson Reuters Datastream, CMA and ECB calculations. Notes: Data available for a sample of 9 large EU banks. Shift in data as of September 1 due to the implementation of the ISDA 1 Credit Derivatives Definitions. Section. Funding and liquidity / Page ESRB risk dashboard M a r c h 1

26 . Market risk.1 Global risk aversion indicator (Last observation: 1 Mar. 1) Q1 Q Q Q Q1 1 1 Sources: Bloomberg, Bank of America Merrill Lynch (BoA ML), UBS, Commerzbank and ECB calculations. Notes: Constructed as the first principal component of five currently available risk aversion indicators, namely Commerzbank Global Risk Perception, UBS FX Risk Index, Westpac s Risk Appetite Index, BoA ML Risk Aversion Indicator and Credit Suisse Risk Appetite Index. A rise in the indicator denotes an increase in risk aversion.. Price/earnings ratio of equity indices (EU; last observation: Mar. 1) EU nonfinancial corporations EU main index EU banking sector EU insurance sector Q1 Q Q Q Q1 1 1 Source: Thomson Reuters Datastream. ESRB risk dashboard M a r c h 1 Section. Market risk / Page

27 . Market risk. Equity indices a. By sector (EU, index: Jan = 1; last observation: Mar. 1) EU banks EU building materials/fixtures Euro Stoxx EU insurers EU industrials Q1 Q Q Q Q1 1 1 Sources: Bloomberg (Euro Stoxx ) and Thomson Reuters Datastream (others). b. Implied volatility (Euro Stoxx index; last observation: Mar. 1) Q1 Q Q Q Q Source: Bloomberg. Notes: Volatility is implied by atthemoney options observed in the market. The implied volatility is based on EURO STOXX Volatility Index (VSTOXX) traded on Eurex. It measures implied volatility on options across all maturities. The blank spots in the plot of the index come from a lack of data series during public holidays when the financial markets are closed. Section. Market risk / Page ESRB risk dashboard M a r c h 1

28 . Market risk. Shortterm interest rates implied volatility (three months one year; last observation: Mar. 1) EUR M1Y GBP M1Y USD M1Y Q1 Q Q Q Q1 1 1 Source: Bloomberg. Notes: Volatility is implied by atthemoney swaption prices observed in the market.. Longterm interest rates implied volatility (three months ten years; last observation: Mar. 1) EUR M1Y GBP M1Y USD M1Y Q1 Q Q Q Q1 1 1 Source: Bloomberg. Note: Volatility is implied by atthemoney swaption prices observed in the market. ESRB risk dashboard M a r c h 1 Section. Market risk / Page 7

29 . Market risk. Exchange rate volatility (Last observation: Mar. 1) EURUSD EURJPY USDJPY Q1 Q Q Q Q1 1 1 Source: Bloomberg. Note: Volatility is implied by atthemoney option prices observed in the market for major currencies, based on threemonth maturity. Section. Market risk / Page ESRB risk dashboard M a r c h 1

30 . Profitability and solvency.1 Banking groups profitability indicators* a. Return on equity b. Return on assets (EU; percentages; interquartile range and median; last observation: Q 1) (EU; percentages; interquartile range and median; last observation: Q 1) Q Q Q1 Q Q Q 1 1. Q Q Q1 Q Q Q 1 1. Source: EBA. Source: EBA. Note: Quarterly flows are annualised. Note: Quarterly flows are annualised. c. Costtoincome ratio d. Net interest income to total operating income (EU; percentages; interquartile range and median; last observation: Q 1) (EU; percentages; interquartile range and median; last observation: Q 1) Q Q Q1 Q Q Q 1 1 Q Q Q1 Q Q Q 1 1 Source: EBA. Source: EBA. Quarterly data refer to cumulative flows over the corresponding year. Quarterly data refer to cumulative flows over the corresponding year. * The EBA data presented are subject to changes in the composition of the sample over time. The figures are subject to revision. Data are fully based on the EBA s ITS on supervisory reporting. Further details on the main methodological aspects of the EBA s ITS are available on EBA s website: ESRB risk dashboard M a r c h 1 Section. Profitability and solvency / Page 9

31 . Profitability and solvency. Banking groups solvency, liquidity and balance sheet structure indicators* a. CET1 to risk weighted assets ratio b. Nonperforming loans to total gross loans and advances (EU; percentages; interquartile range and median; last observation: Q 1) (EU; percentages; interquartile range and median; last observation: Q 1) Q Q Q1 Q Q Q Q Q Q1 Q Q Q 1 1 Source: EBA. Source: EBA. c. Ratio of liquid assets to short term liabilities d. Asset encumbrance ratio (EU; percentages; interquartile range and median; last observation: Q 1) (EU; percentages; interquartile range and median; last observation: Q 1) Q Q Q1 Q Q Q Q Q1 Q Q Q 1 1 Source: EBA. Source: EBA. * The EBA data presented are subject to changes in the composition of the sample over time. The figures are subject to revision. Data are fully based on the EBA s ITS on supervisory reporting. Further details on the main methodological aspects of the EBA s ITS are available on EBA s website: Section. Profitability and solvency / Page ESRB risk dashboard M a r c h 1

32 . Profitability and solvency. Insurance groups profitability indicators a. Return on equity b. Combined ratio nonlife insurance (EU; percentages; interquartile range and median; last observation: H1 1) (EU; percentages; interquartile range and median; last observation: H1 1) H1 H H1 H H1 H H H1 H H1 H H1 H H Source: EIOPA. Note: The return on equity is defined as the cumulated profit (loss) after tax and before dividends over the last four quarters, divided by the average solvency capital over the last four quarters. Source: EIOPA. Note: The combined ratio is defined as net claims incurred and net operating expenses divided by net premium earned. c. Gross premiums written life insurance d. Gross premiums written nonlife insurance (EU; percentages; interquartile range and median; last observation: H1 1) (EU; percentages; interquartile range and median; last observation: H1 1) H1 H H1 H H1 H H H1 H H1 H H1 H H Source: EIOPA. Source: EIOPA. ESRB risk dashboard M a r c h 1 Section. Profitability and solvency / Page 1

33 . Profitability and solvency. Insurance groups solvency indicators a. Solvency ratio life insurance b. Solvency ratio nonlife insurance (EU; percentages; interquartile range and median; last observation: H1 1) (EU; percentages; interquartile range and median; last observation: H1 1) H1 H H1 H H1 H H H1 H H1 H H1 H H Source: EIOPA. Note: The solvency ratio is defined as the available solvency capital divided by the required solvency capital. Source: EIOPA. Note: The solvency ratio is defined as the available solvency capital divided by the required solvency capital.. Insurance groups Retention ratio (EU; percentages; interquartile range and median; last observation: H1 1) H1 H H1 H H1 H H Source: EIOPA. Note: The retention ratio is defined as net premiums written divided by gross premiums written. Section. Profitability and solvency / Page ESRB risk dashboard M a r c h 1

34 7. Structural risk 7.1 Banking sector size (EU; share of nominal GDP; percentages; last observation: Q 1) Total consolidated assets of domestic banking groups Total assets of foreign controlled branches and subsidiaries threeyear average LU MT UK CY SE NL ES DK FR AT FI BE DE PT IE GR IT HR LV CZ EE SI BG HU PL SK LT RO Sources: ECB and Eurostat. Notes: Based on Consolidated Banking Data. Due to unavailability of quarterly data prior to 1, the threeyear average is based on last observation and semiannual data. 7. Banking sector leverage (EU; share of total assets in capital) last observation: Q 1 Q 1 threeyear average CZ SE DE NL BE FR DK UK FI AT ES IT PT GR LT LV HR MT PL IE HU CY BG LU SI RO SK EE Sources: ECB. Notes: Share of total assets in capital for domestic banking groups and standalone credit institutions. Consolidated data. Due to unavailability of quarterly data prior to 1, the threeyear average is based on last observation and semiannual data. ESRB risk dashboard M a r c h 1 Section 7. Structural risk / Page

35 7. Structural risk 7. Growth of components of the EU financial sector 7. Total assets of investment funds and OFIs as per cent of credit institutions total assets (EU;percentages; total assets annualised growth rates;last observation:q 1) (EU and euro area; percentages; last observation: Q 1) Investment funds and OFIs Credit institutions Insurance corporations and pension funds 1 EU Euro area Notes: Data based on financial accounts and monetary statistics. Data refer to the nonconsolidated balance sheets of the respective entities. 7. Total assets of investment funds and OFIs in the EU a. Outstanding amounts b. Cumulated flows (EU; percentages of EU GDP; last observation: Q 1) (EU; EUR billions; fourquarter cumulated flows; last observation: Q 1) 7 total, noneuro area countries money market funds nonmmf investment funds financial vehicle corporations 7 OFIs other than financial vehicle corporations EU (total) euro area (total) LU UK NL IE DE FR IT BE Other countries Sources: ECB and European Commission. Note: Breakdowns are available only for euro area Member States. Section 7. Structural risk / Page ESRB risk dashboard M a r c h 1

36 7. Structural risk 7. NonMMF investment funds ratio of short term assets to short term liabilities (euro area; percentages; last observation: Dec. 1) equity funds bond funds mixed funds real estate funds hedge funds other funds total funds Notes: Shortterm assets include nonmmf investment funds holdings of debt securities and loans and deposits with original maturity up to one year; shortterm liabilities include openended fund units issued and loans received with original maturity up to one year. Maturity breakdowns for loans and deposits are available from 1 Q and are estimated for prior periods based on the maturity breakdowns in 1 for these instruments (for respective counterparty sectors). ESRB risk dashboard M a r c h 1 Section 7. Structural risk / Page

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