RISK DASHBOARD - eba.europa.eu

1 RISK DASHBOARDDATA AS OF Q3 20212 Contents1 Summary32 Overview of the main risks and vulnerabilities in the EU banking sector43 Heatmap54 Risk Indicators (RIs) 1 capital ratio6 Total capital ratio7 CET1 ratio8 CET1 ratio (fully loaded)9 Leverage ratio10 Leverage ratio (fully phased-in definition of Tier 1) Risk and Asset QualityRatio of non-performing loans and advances (NPL ratio)12 Coverage ratio for non-performing loans and advances13 Forbearance ratio for loans and advances14 Ratio of non-performing exposures (NPE ratio) on equity16 Return on assets17 Cost to income ratio18 Net interest income to total net operating income19 Net fee and commission income to total net operating income20 Net trading income to total net operating income21 Net interest margin22 Cost of and LiquidityLoan-to-deposit ratio (for households and non-financial corporations)24 Asset encumbrance ratio25 Liquidity coverage ratio (%)265 Annex 1: Statistical AnnexAsset composition and volumes28 Loans: composition and asset quality29 Loans: NPL and coverage ratios30 Distribution of NFC loans and advances by NACE code31 NPL ratios of NFC loans and advances by NACE code32 Exposures to Real Estate activities and Construction33 IFRS9 specific data34 Sovereign exposures35 Liability composition and volumes36 Composition of own funds and risk-weighted assets37 Profitability analysis: main drivers within RoE38 EBA-compliant Moratoria39 Public guarantee schemes406 Annex 2: Methodological note on the RIs heatmap417 Annex 3: The RI and Annex database433 List of Institutions for Supervisory (LCR) ( ).

2 Thedecreasingtrendoftheloantodeposit ratio wasuninterruptedandtheratio stands ( ),drivenby a higherriseofthedepositstowardsNFCsandhou seholdsrather than ratio remained stable at ( in Q1 2020).*)This riskdashboardis basedona sampleofRisk Indicators(RI)from161 European banks (unconsolidated numberofbanks, including30subsidiaries).Thesampleofbank sis reviewedannuallybycompetentauthorities andadjustedaccordingly. Thiscandeterminebreaksinthe ,fromQ12020onwards,EUaggregatesnolongeri ncludefigures forUKbanks textareweightedaverage basedontheEBA s implementingtechnicalstandards(ITS)on supervisoryreporting(EURegulationNo680/2 014and itsubsequent amendments).InthechartonRisk Indicatorsbysize class,consideringthedistributionoftheave ragetotalassets, the small banks are those below the first quartile, the large banks are those above the third quartile. Summary*Bankcapitalratios ratio reached on a fully loaded basis by end Q3 2021. A small decrease in capital combined with a slight increase in riskweightedassets(RWA)havepushed theratioaround10bplowercomparedtotheprev iousquarter.

3 Theleverage ratioremained fully loaded basis. Total assets increasedbymorethan1%ona quarterly basis, drivenby continuedincreasing cash balances( ).Outstandingloanstowardshouseholdsmargi nally increased ( ),while outstanding loans towards non-financial corporations (NFCs) remained stable (EUR ).Asset quality hasimproved further,withbanksonaveragereportinga lowerratioofnon-performingloan(NPL) ( ).The decline intheratio was drivenby a5%decreaseinNPLs(EUR419bn)and was broad based. Household exposures' NPL in NPL ratios wasmorepronouncedinCommercialRealEstate( CRE)exposures( )andSMEs( ).Sectorsvulnerabletoconfinementmeasures have ,howevertheratio remainselevatedcomparedtoSeptember2020( ).BanksreportedEUR380bnof forborneloans( total loans). The volume of forborne loans stabilised, after a significant increase reported during previous moratoriadecreasedfurtherinthe ofloansunderexistingmoratoriastoodat EUR50bn,with onlytwocountries reportingmorethan loans ofloansunder publicguaranteeschemes(PGS)stoodat EUR378bninQ3,same as last qualityofloansbenefitingfromsupportmeasu res remainsa withexpiredmoratoriawerereportedasNPL,an d6%forthoseunder allocationforbothcategories, and respectively.

4 The share of PGS loans under stage 2 was also high (20%) and the share of NPLs was (RoE) ( ).Theincreased profitability wassupported bylow impairments. Costofrisk was ,substantiallylowerthan atthesame period last year( )and at netinterestmargin(NIM)remains at historically low levels, itsdownwardtrendhasstopped, income(NII)continuestobe themaincontributortobanks'netoperating income( ),yetnetfeeand commission income has an income wasattributedto the latter component, up from in Q3 2020 and in Q4 risk dash-boardCurrent -10-1-1110000-101 HighMediumLowIncreasingStableDecreasingO verview of the main risks and vulnerabilities in the EU banking sector Risk measureDevelopmentsDescriptionRisk levelShort-term outlookAsset qualityBanks haveexpandedtheirassetsfurther duetorisingcash towards householdsandnon-financialcorporationsha veremainedstable. Bankassetquality improved deterioratingforthesectorsmostaffectedby thepandemic.

5 Short-termoutlook:Theoutlook forlendingandassetquality strongly dependsonthe aboutthemacroeconomic lending standardsslightlyforloanstowards households,whilethey remainedunchangedforcorporate of commercial real estate (CRE) remains a concern and should be monitored riskMarketriskswereelevatedwithboutsofvo latilitycausedby increasingmacroeconomicuncertainty, supplychainconstraintsandwhatappearstobe morepersistentglobalinflationary inflationoutlookandpossiblerelatedcentra l ,asseenfollowing the first news about Omicron remains elevated, particular for assets that show signs of :Financial markets remainvulnerabletoadversenewsaboutthemac roeconomic remainelevatedif inflationary pressure provestobeoflonger-term marketparticipantsalso stayvigilantregarding central banks communicationson, ,theimpactfromnewcoronavirusvariants andinflationary suchdevelopments,someemergingmarketrelat edexposuresmightbeparticularly keyriskforthesectordespite the ongoing preparations for the cessation of these benchmark and fundingFunding conditionsforbankshavebeenbenign, partsoftheirfundingneedsforthenewyearwit hdifferent uncertaintyonfinancial markets,a temporary spread increasecouldhoweverbe observed, bank funding despite benign further increased, mainly supported by an increase from NFC.

6 Liquidity buffersandavailabilityofstablefundingrem ainelevated,supported by central recentwidening, bank credit spreadsarestillat uncertainty,lesswell-knownbankissuersand thosewithhigherriskperceptionscouldhowev erfindit inflationary pressuresmay alsoaffectfunding funding facilities with other funding sources might therefore prove challenging for some supportmeasureshaveledtoa ,notleastfromassetmanagementservices,has beenanother key contributor to the increase in profitability. The decreasing trend in net interest margins seems to have :Newcoronavirusvariants andresumedsocialdistancingmeasuresinsome countriescouldweighonlendinggrowth, thus,limitingthepositiveimpactofstabilis ednet andcommissionincome infinancial marketsmightpositivelyaffectsomebusiness linesofinvestmentbanks,itcouldalsotransl ateintodepreciationsofsome pressuresandtheresumptionofpre-pandemic working conditionsmightleadtohigher operationalcosts, suchas alsoslowdown,oreven reverse,thedecline in the cost of resilienceCyberandinformationandcommunic ation technology(ICT)relatedrisksremainelevate dandoperationalrisk providers (ML/TF)riskshavenotabated, aseffortstoreduce greenhousegasemissionsstillfallshortofth oseneededtocontain transition risks and contribute to the rise of physical level of risk and short-term outlook summarise, in a judgmental fashion, the probability of the materialisation of the risk factors and the likely impact on banks.

7 The assessment takes into consideration the evolution of market and prudential indicators, Competent Authorities' and banks own assessments as well as analysts views. The short term outlook refers to a six months vs previous quarters for the worst bucket2017062017092017122018032018062018 0920181220190320190620190920191220200320 2006202009202012202103202106202109> 15% [12% - 15%] < 12% > 14% [11% - 14%] < 11% > 8% [5% - 8%] < 5% < 3% [3% - 8%] > 8% > 55% [40% - 55%] < 40% < [ - 4%] >4% > 10% [6% - 10%] < 6% < 50% [50% - 60%] > 60% < 100% [100% - 150%] > 150% Risk & Asset QualityCost to income ratioLoan-to-deposit ratio for households and non-financial corporationsProfitabilityNote: 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".Coverage ratio of non-performing loans and advancesTraffic lightReturn on equityForbearance ratio for loans and advancesRIs heatmapFunding & LiquiditySolvencyRatio of non-performing loans and advances (NPL ratio)RITier 1 capital ratioCET1 ratioLeverage ratio6 Dec - - - - - - - - - - - - - - - - - - - Tier 1 capital ratioDispersionNumerator and denominator: trends5th and 95th pct, interquartile range and median.

8 From Q1 2020 onwards, EU aggregates no longer include figures for UK banks and they include data for subsidiaries of UK banks in EU numerator and 2014 = dispersion (as of Sep. 2021)RI by size classWeighted Averages by country. * Norwegian banks have not implemented yet the reporting framework based on CRR2/CRD5. Therefore, Norwegian figures are included in the EBA Risk DASHBOARD only until March average. Banks are classified in the size class according to their average total assets between Dec. 2014 and Sep. 2021. Non-FINREP banks are assigned to the bucket of small average25th50th75th909510010511011512012 5130135 Dec - 14 Mar - 15 Jun - 15 Sep - 15 Dec - 15 Mar - 16 Jun - 16 Sep - 16 Dec - 16 Mar - 17 Jun - 17 Sep - 17 Dec - 17 Mar - 18 Jun - 18 Sep - 18 Dec - 18 Mar - 19 Jun - 19 Sep - 19 Dec - 19 Mar - 20 Jun - 20 Sep - 20 Dec - 20 Mar - 21 Jun - 21 Sep - 21 Numerator: Tier 1 capitalDenominator: Total risk exposure amount0%5%10%15%20%25%30%EEHRLVBGCZISLTS ERODKLUIEBENLMTFICYSKPLITDEFRHUPTATSIESG RNO*EU27 / EEA12%14%16%18%20%22%24%Dec - 14 Mar - 15 Jun - 15 Sep - 15 Dec - 15 Mar - 16 Jun - 16 Sep - 16 Dec - 16 Mar - 17 Jun - 17 Sep - 17 Dec - 17 Mar - 18 Jun - 18 Sep - 18 Dec - 18 Mar - 19 Jun - 19 Sep - 19 Dec - 19 Mar - 20 Jun - 20 Sep - 20 Dec - 20 Mar - 21 Jun - 21 Sep - 21 SmallMediumAll banksLarge0%8%16%24%32%40%48%56%Dec - 14 Mar - 15 Jun - 15 Sep - 15 Dec - 15 Mar - 16 Jun - 16 Sep - 16 Dec - 16 Mar - 17 Jun - 17 Sep - 17 Dec - 17 Mar - 18 Jun - 18 Sep - 18 Dec - 18 Mar - 19 Jun - 19 Sep - 19 Dec - 19 Mar - 20 Jun - 20 Sep - 20 Dec - 20 Mar - 21 Jun - 21 Sep - 217 Dec - - - - - - - - - - - - - - - - - - - Total capital ratioDispersionNumerator and denominator: trends5th and 95th pct, interquartile range and numerator and 2014 = dispersion (as of Sep.)

9 2021)RI by size classWeighted Averages by country. * Norwegian banks have not implemented yet the reporting framework based on CRR2/CRD5. Therefore, Norwegian figures are included in the EBA Risk DASHBOARD only until March average. Banks are classified in the size class according to their average total assets between Dec. 2014 and Sep. 2021. Non-FINREP banks are assigned to the bucket of small average25th50th75th909510010511011512012 5130 Dec - 14 Mar - 15 Jun - 15 Sep - 15 Dec - 15 Mar - 16 Jun - 16 Sep - 16 Dec - 16 Mar - 17 Jun - 17 Sep - 17 Dec - 17 Mar - 18 Jun - 18 Sep - 18 Dec - 18 Mar - 19 Jun - 19 Sep - 19 Dec - 19 Mar - 20 Jun - 20 Sep - 20 Dec - 20 Mar - 21 Jun - 21 Sep - 21 Numerator: Total capitalDenominator: Total risk exposure amount0%5%10%15%20%25%30%35%EELVHRISLUBG DKCZSEIELTMTNLROBEFICYSKDEITFRPLATPTSIHU ESGRNO*EU27 / EEA14%16%18%20%22%24%26%Dec - 14 Mar - 15 Jun - 15 Sep - 15 Dec - 15 Mar - 16 Jun - 16 Sep - 16 Dec - 16 Mar - 17 Jun - 17 Sep - 17 Dec - 17 Mar - 18 Jun - 18 Sep - 18 Dec - 18 Mar - 19 Jun - 19 Sep - 19 Dec - 19 Mar - 20 Jun - 20 Sep - 20 Dec - 20 Mar - 21 Jun - 21 Sep - 21 SmallMediumAll banksLarge0%8%16%24%32%40%48%56%Dec - 14 Mar - 15 Jun - 15 Sep - 15 Dec - 15 Mar - 16 Jun - 16 Sep - 16 Dec - 16 Mar - 17 Jun - 17 Sep - 17 Dec - 17 Mar - 18 Jun - 18 Sep - 18 Dec - 18 Mar - 19 Jun - 19 Sep - 19 Dec - 19 Mar - 20 Jun - 20 Sep - 20 Dec - 20 Mar - 21 Jun - 21 Sep - 218 Dec - - - - - - - - - - - - - - - - - - - CET1 ratioDispersionNumerator and denominator: trends5th and 95th pct, interquartile range and numerator and 2014 = dispersion (as of Sep.

10 2021)RI by size classWeighted Averages by country. * Norwegian banks have not implemented yet the reporting framework based on CRR2/CRD5. Therefore, Norwegian figures are included in the EBA Risk DASHBOARD only until March average. Banks are classified in the size class according to their average total assets between Dec. 2014 and Sep. 2021. Non-FINREP banks are assigned to the bucket of small average25th50th75th909510010511011512012 5130 Dec - 14 Mar - 15 Jun - 15 Sep - 15 Dec - 15 Mar - 16 Jun - 16 Sep - 16 Dec - 16 Mar - 17 Jun - 17 Sep - 17 Dec - 17 Mar - 18 Jun - 18 Sep - 18 Dec - 18 Mar - 19 Jun - 19 Sep - 19 Dec - 19 Mar - 20 Jun - 20 Sep - 20 Dec - 20 Mar - 21 Jun - 21 Sep - 21 Numerator: CET1 capitalDenominator: Total risk exposure amount0%5%10%15%20%25%30%EEHRLVBGCZLTISR OLUSEIEMTBEDKFIPLNLSKCYHUFRSIDEITPTATESG RNO*EU27 / EEA11%13%15%17%19%21%23%Dec - 14 Mar - 15 Jun - 15 Sep - 15 Dec - 15 Mar - 16 Jun - 16 Sep - 16 Dec - 16 Mar - 17 Jun - 17 Sep - 17 Dec - 17 Mar - 18 Jun - 18 Sep - 18 Dec - 18 Mar - 19 Jun - 19 Sep - 19 Dec - 19 Mar - 20 Jun - 20 Sep - 20 Dec - 20 Mar - 21 Jun - 21 Sep - 21 SmallMediumAll banksLarge0%8%16%24%32%40%48%Dec - 14 Mar - 15 Jun - 15 Sep - 15 Dec - 15 Mar - 16 Jun - 16 Sep - 16 Dec - 16 Mar - 17 Jun - 17 Sep - 17 Dec - 17 Mar - 18 Jun - 18 Sep - 18 Dec - 18 Mar - 19 Jun - 19 Sep - 19 Dec - 19 Mar - 20 Jun - 20 Sep - 20 Dec - 20 Mar - 21 Jun - 21 Sep - 219 Dec - - - - - - - - - - - - - - - - - - - CET1 ratio (fully loaded)DispersionNumerator and denominator: trends5th and 95th pct, interquartile range and numerator and 2014 = dispersion (as of Sep.