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EBA Risk Dashboard Q4 2022

The European Banking Authority (EBA) has released its quarterly Risk Dashboard (RDB) along with the first edition of the RDB on minimum requirements for own funds and eligible liabilities (MREL). The recent events involving First Republic Bank, Silicon Valley Bank (SVB), and Credit Suisse have significantly impacted the volatility of EU/EEA banks' equity and debt.

However, the direct exposure of EU/EEA banks to these institutions is limited based on supervisory reporting as of Q4 2022. EU/EEA banks maintain substantial capital and liquidity ratios, and their profitability grows.

  • In Q4 2022, banks bolstered their capital ratios and sustained high liquidity ratios. On a fully loaded basis, the average Common Equity Tier 1 (CET1) ratio rose to 15.3% from the previous quarter's 14.8%. The average Liquidity Coverage Ratio (LCR) reached 164.7% (compared to 162.4% in Q3 2022), while the average Net Stable Funding Ratio (NSFR) experienced a slight decline, settling at 125.8% in Q4 2022. 
  • EU/EEA banks possess diverse funding and liquidity profiles. Looking ahead, banks need to prepare for the repayment of Targeted Longer-Term Refinancing Operations (TLTRO) for Euro area banks. 
  • In Q4, total assets declined approximately 7%, primarily driven by decreased cash balances (-16%), presumably due to TLTRO repayments.  
  • Household exposures remained relatively stable, whereas loans to non-financial corporates (NFC) increased by nearly 1% quarter-on-quarter (QoQ), supported by commercial real estate exposures (CRE) rising by 2.3% QoQ. 
  • Debt securities constitute 11.6% of total assets, amounting to around EUR 3.1 trillion. Of these securities, approximately EUR 1.5 trillion is booked at amortized cost. The non-performing loan (NPL) ratio remained steady at 1.8%. Although the share of stage 2 loans slightly decreased to 9.4% in Q4 2022 from 9.6% in Q3 2022, the cost of risk experienced a slight increase from 0.43% to 0.46% during the same period. 
  • The average return on equity (RoE) saw a significant increase from 7.3% in Q3 2022 to 8% in Q4 2022, primarily driven by the rise in net interest margins (NIM). 

The figures included in the Risk Dashboard are based on a sample of 162 banks, covering more than 80% of the EU/EEA banking sector (by total assets) at the highest level of consolidation. At the same time, country aggregates also include significant subsidiaries (the list of banks can be found here). 

For inquiries please contact:

RBI Regulatory Advisory

Raiffeisen Bank International AG | Member of RBI Group | Am Stadtpark 9, 1030 Vienna, Austria  | Tel: +43 1 71707 - 5923