Page 30 - EBA 2013.2869 Risk Assesment Report final proof4

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E U R O P E A N B A N K I N G A U T H O R I T Y
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6 countries (area Q1/b) the impact of higher
CT1 has been larger than the impact of the
decline in RWAs. On the other hand, for 6
countries (area Q1/a), the improvement in the
CT1 ratio has been largely driven by a reduc-
tion of RWAs. In 4 countries (area Q2-a) the
increase in the CT1 has been partially offset
by an increase of RWAs while for two coun-
tries along with a reduction of RWAs there
has been a reduction of capital.
Therefore, improvement has been achieved
by acting on both numerator and denomi-
nator; however recent trends show growing
importance of the RWAs effect. Focussing on
the 6 months ending in December 2012, for
most EU countries in which there has been
an increase in the Core Tier 1 ratio, this has
been achieved mainly by combining both an
increase in capital and a reduction in RWAs
(areas Q1/a and Q1/b of the chart below). The
green areas represent a positive variation of
the CT1 ratio between June 2012 and Decem-
ber 2012. In contrast, the red areas show a
negative variation of the CT1 ratio between
June 2012 and December 2012. In 4 coun-
tries, the RWAs reduction has been partially
offset by a reduction of capital. Vice-versa, in
three EU countries, along with an expansion
in RWAs banks have increased their capital
levels (areas Q4/a and Q2/a of the chart be-
low). In the 4 countries where there has been
a reduction of the Core Tier 1 ratio, this has
been the result of the contraction of capital
which in two cases has been partially off-
set by a decrease of RWAs (area Q4/b of the
chart below).
Figure 20: Trend of CT1 ratio (Sept 11 - Dec 2012) by country of the banks:decomposition of
Capital effect and RWAs Effect
6.0 %
4.0 %
2.0 %
0.0 %
– 2.0 %
– 4.0 %
– 6.0 %
– 6.0 %
– 4.0 %
– 2.0 %
0.0 %
2.0 %
4.0 %
6.0 %
RWAs Effect
Capital Effect
Q4-b
Delta CT1 ratio < 0
RWAs Effect > 0 > Capital Effect
RWAs Effect < Abs (Capital Effect)
Q2-b
Delta CT1 ratio < 0
Capital Effect > 0 > RWAs Effect
Capital Effect < Abs (RWAs Effect)
Q2-a
Delta CT1 ratio > 0
Capital Effect > 0 > RWAs Effect
Capital Effect > Abs (RWAs Effect)
Q4-a
Delta CT1 ratio > 0
RWAs Effect > 0 > Capital Effect
RWAs Effect > Abs (Capital Effect)
Q3-a
Delta CT1 ratio < 0
0 > RWAs Effect > Capital Effect
Q3-b
Delta CT1 ratio < 0
0 > Capital Effect > RWAs Effect
Q1-a
Delta CT1 ratio > 0
RWAs Effect > Capital Effect > 0
Q1-b
Delta CT1 ratio > 0
Capital Effect > RWAs Effect > 0
Figure 21: Trend of CT1 ratio (Jun - Dec 2012) by country of the banks: decomposition of Capital
effect and RWAs Effect
3.0 %
2.0 %
1.0 %
0.0 %
– 1.0 %
– 2.0 %
– 3.0 %
– 3.0 %
– 2.0 %
– 1.0 %
0.0 %
1.0 %
2.0 %
3.0 %
RWAs Effect
Capital Effect
Q4-b
Delta CT1 ratio < 0
RWAs Effect > 0 > Capital Effect
RWAs Effect < Abs (Capital Effect)
Q2-b
Delta CT1 ratio < 0
Capital Effect > 0 > RWAs Effect
Capital Effect < Abs (RWAs Effect)
Q3-b
Delta CT1 ratio < 0
0 > Capital Effect > RWAs Effect
Q3-a
Delta CT1 ratio < 0
0 > RWAs Effect > Capital Effect
Q1-b
Delta CT1 ratio > 0
Capital Effect > RWAs Effect > 0
Q1-a
Delta CT1 ratio > 0
RWAs Effect > Capital Effect > 0
Q4-a
Delta CT1 ratio > 0
RWAs Effect > 0 > Capital Effect
RWAs Effect > Abs (Capital Effect)
Q2-a
Delta CT1 ratio > 0
Capital Effect > 0 > RWAs Effect
Capital Effect > Abs (RWAs Effect)