1. Key Risk & Performance Indicators
European Banks
Key Risk & Performance Indicators
Dashboard 3Q2016

2. Challenges for European Banks 3Q2016
Risks - Pillar 11
Level
Trend
Risk Drivers
Slow reduction of NPLs, structural and market impediments, risk of rising impairments
Heightened market volatility, risk from declining market liquidity
Risks from IT outsourcing, fragmented and ageing IT systems, cyber attacks
Credit risk
impediment = Hindernis, Erschwerung
Market risk
Operational risk
1 European Banking Authority, Risk Dashboard, Data as of 3Q2016

3. Challenges for European Banks 3Q2016 Concentration risk, IRRBB
Risks - Pillar 21
Level
Trend
Risk Drivers
Low interest rate environment, increased appetite for higher risk exposures
Existing and new cases of misconduct, lengthy litigation processes
Low interest and fee income, stickiness of costs
Concentration risk, IRRBB
Reputational
and legal
Profitability
1 European Banking Authority, Risk Dashboard, Data as of 3Q2016

4. Challenges for European Banks 3Q2016 Risks - Liquidity & Funding1
Level
Trend
Risk Drivers
Reduced issuance volumes and heightened market volatility
Important role of central bank funding and deposits. Banks remain vulnerable in their funding mix.
Access to funding and maturity distribution
Funding structure
1 European Banking Authority, Risk Dashboard, Data as of 3Q2016

5. Challenges for European Banks 3Q2016 Regulatory and legal environment
Risks - Environment1
Level
Trend
Risk Drivers
RWAs (e.g. sovereign risk, IRRBB), resolution
Fragmentation of asset quality and profitability in EU high; further fragmentation after Brexit
Risk from large debt overhang remains high
Regulatory and legal environment
Fragmentation
Sovereign Risk
1 European Banking Authority, Risk Dashboard, Data as of 3Q2016

6. European Banks (EU28) - September 2016
Solvency (weighted Average)1
1 European Banking Authority, Risk Dashboard, Data as of 3Q2016 (weighted by total assets)

7. Solvency European Banks - Selected Countries
CET 1 Ratio 3Q20161
EBA best
14%
EBA worst
11%
1 European Banking Authority, Risk Dashboard, Data as of 3Q2016, CET 1 ratio fully phased-in

8. Selection of Large European Banks
CET1 Ratio 2Q20161
CET Ratios Large U.S. BHCs
JPM
11.9%
BAC
10.6%
WFC C
12.5%
1 Investor Relations websites banks, fully loaded, retrieved from 2Q2016 Results or Investor Presentations

9. European Banks (EU28) - September 2016
Nonperforming Loans (weighted Average)1
EBA worst 8%
EBA best 3%
1 European Banking Authority, Risk Dashboard, Data as of 3Q2016 (weighted by total assets)

10. Asset Quality European Banks - Selected Countries
Nonperforming Loans (NPL) 3Q20161
47.1 %
EBA worst 8%
EBA best 3%
1 European Banking Authority, Risk Dashboard, Data as of 3Q2016 (NPL to total gross loans and advances)

11. European Banks (EU28) - September 2016
Coverage Ratio (weighted Average)1
EBA best
55%
EBA worst
40%
1 European Banking Authority, Risk Dashboard, Data as of 3Q2016 (weighted by total assets)

12. European Banks (EU28) - September 2016
Liquid Assets to ST-Liabilities (weighted Average)1
EBA best
30% NA
EBA worst
20%
1 European Banking Authority, Risk Dashboard, Data as of 3Q2016 (weighted by total assets)

13. European Banks (EU28) - September 2016
Loan-to-Deposit Ratio (weighted Average)1
EBA worst
150%
EBA best
100%
1 European Banking Authority, Risk Dashboard, Data as of 3Q2016 (weighted by total assets)

14. Loan-to-Deposits Ratio 3Q20161
Balance Sheet Structure European Banks - Selected Countries
Loan-to-Deposits Ratio 3Q20161
EBA worst
150%
EBA best
100%
1 European Banking Authority, Risk Dashboard, Data as of 3Q2016 (loan-to-deposit ratio for households and non-financial corporations)

15. European Banks (EU28) - September 2016
Debt-to-Equity Ratio (weighted Average)1
EBA worst
15x
EBA best
12x
1 European Banking Authority, Risk Dashboard, Data as of 3Q2016 (weighted by total assets)

16. European Banks (EU28) - September 2016
Net Interest Margin (weighted Average)1
NIM Large
U.S. Banks2:
3.10 %
1 European Banking Authority, Risk Dashboard, Data as of 3Q2016 (weighted by total assets)
2 U.S. banks: JPM, WFC, Citi, BAC, USB, PNC, COF, BB&T, SunTrust, FTB

17. Profitability European Banks - Selected Countries
Net Interest Margin (NIM) 3Q20161
1 European Banking Authority, Risk Dashboard, Data as of 3Q2016

18. European Banks (EU28) - September 2016
Return on Assets (weighted Average)1
Moody’s
„strong“
1 European Banking Authority, Risk Dashboard, Data as of 3Q2016 (weighted by total assets)

19. Profitability European Banks - Selected Countries
Return on Assets (ROA) 3Q20161
1 European Banking Authority, Risk Dashboard, Data as of 3Q2016

20. European Banks (EU28) - September 2016
Return on Equity (weighted Average)1
EBA best
10%
EBA worst 6%
1 European Banking Authority, Risk Dashboard, Data as of 3Q2016 (weighted by total assets)

21. Profitability European Banks - Selected Countries
Return on Equity (ROE) 3Q20161
EBA best
10%
EBA worst 6%
1 European Banking Authority, Risk Dashboard, Data as of 3Q2016

22. Selection of Large European Banks
ROE Ratio FY20151
CET Ratios Large U.S. BHCs
WFC
12.1%
JPM
10.2% C
7.9%
BAC
6.3%
1 Investor Relations websites banks

23. European Banks (EU28) - September 2016
Cost-to-Income Ratio (weighted Average)1
EBA worst
60%
EBA best
50%
1 European Banking Authority, Risk Dashboard, Data as of 3Q2016 (weighted by total assets)

24. Profitability European Banks - Selected Countries
Cost-Income-Ratio 3Q20161
EBA worst
60%
EBA best
50%
1 European Banking Authority, Risk Dashboard, Data as of 3Q2016

25. CDS Price / 5-Year Senior Debt International Banks - March 20171
in bps
text
1 SNL Financial – March 7, 2017

26. Market Capitalization International Banks - March 20171
in US-$ billion
Market Capitalization (Market Cap)
1 SNL Financial – March 7, 2017

27. International Banks - March 20171
Price-to-Book Ratio
International Banks - March 20171
Price to Book Value
1 SNL Financial – March 7, 2017

28. Standard & Poor’s LT-Rating International Banks - March 20171
AAA
AA+ AA
AA- C A+
Finanzkraft C A C A-
BBB+
BBB
BBB- C
= Cooperative banks
1 Investor Relations Websites Banks - March 7, 2017

29. Vielen Dank für Ihre Aufmerksamkeit! Peter Bürger
Risk & More
Peter Bürger
Risk & More Consulting
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