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R I S K A S S E S S M E N T O F T H E E U R O P E A N B A N K I N G S Y S T E M

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Figure 26: Bonds — aggregated debt maturity profile — 20-year breakout as of September 2015 (billion EUR) 33 Figure 27: Expectations on trading market liquidity 34 Figure 28: iTraxx financials (Europe, senior and subordinated, 5 years, bp) 34 Figure 29: Consolidated foreign claims of reporting European banks vis-à-vis selected countries’ banks, 2006 Q4 = 100 35 Figure 30: Loan-to-deposit ratio — weighted average over time and country dispersion 36 Figure 31: Euribor rates 36 Figure 32: Evolution of the ECB’s monetary policy and operations (MPO) and TLTRO volumes 37 Figure 33: Bank funding plans: expected changes in asset volumes (net changes) 38 Figure 34: Bank funding plans: expected changes in liability volumes (net changes) 38 Figure 35: Evolution of transitional vs fully loaded CET1 ratios 39 Figure 36: CET1 ratio — 5th and 95th percentiles, interquartile range and median; and by country 39 Figure 37: Evolution of CET1 capital and REA — numerator and denominator trends 40 Figure 38: CET1 main components — evolution and composition 40 Figure 39: REA main components — evolution and composition 41 Figure 40: Evolution of the capital ratios 41 Figure 41: 5th and 95th percentiles, interquartile range and median of the tier 1 capital ratio (left) and total capital ratio (right) 42 Figure 42: Total cumulative issuance of AT1 CoCos by EU banks (billion EUR) 42 Figure 43: Planned issuance of subordinated instruments 43 Figure 44: Planned issuance of subordinated instruments 43 Figure 45: Evolution of the ratios of incomes and expenses compared to total operating income (TOI) 44 Figure 46: Decomposition of RoE (EU aggregate) — June 2016 45 Figure 47: NII to TOI: 5th and 95th percentiles, interquartile range and median; evolution (numerator and denominator) of NII compared to TOI (December 2014 = 100) 46 Figure 48: RoE by bucket and percentage of banks’ total assets 46 Figure 49: RoE and RoA — comparison 47 Figure 50: Banks’ CoE expectations 47 Figure 51: EU banks’ CoE based on the CAPM 48 Figure 52: RoE —long-term sustainable RoE in RAQ for banks and 50th and 75th percentiles and comparison with CoE 48 Figure 53: EU banks’ CoE 49