Risk Quantum/European Banking Authority (EBA)
Banks in outer EU grew loan reserves most through Covid – EBA
Substantial differences found at country level on degree of coverage ratio build
Output floor to drive Basel III capital increase at EU banks
About 40% of total Tier 1 capital surge due to limits on modelled RWAs
State-backed Covid loans have light capital impact – EBA
Average risk density of guaranteed loans was 18% at end-June
EU loans under Covid moratoria have high credit risk – EBA
Banks in Austria, Iceland, Romania and Slovakia especially vulnerable, data shows
Banks in EU periphery lose most on soured loans
Irish, Spanish, Italian banks also have to wait longest to recover loaned funds to borrowers in default
At Santander, Covid relief for €75bn of loans expired through Q3
Sixteen per cent of loans coming out of payment holidays have experienced a fall in creditworthiness
EBA’s software treatment offers banks meagre capital benefits
Three-year prudential amortisation approach more generous than initial two-year proposal
Souring loans piled up at EU banks in Q2
Share of loans that have declined in creditworthiness made up 8.2% of lenders’ totals
EU banks’ credit risk estimates deteriorated in Q2
Weighted average corporate borrower PD across countries climbed to 2.04%
EU banks’ capital gauges show mixed recovery from Covid hit
Tier 1 leverage ratios fall for second quarter in a row
Which EU banks hold the most loans subject to Covid relief?
UK lender Lloyds had 13% of its loan book under payment moratoria as of June 30
France, Germany lead EU on MREL debt sales
French banks account for 27% of total bail-in bond issuances