## Figure 1.17. Euro Area Banks, Sovereign Shocks, and Nonperforming Loans

## Source details

**Canonical URL:** [Figure 1.17. Euro Area Banks, Sovereign Shocks, and Nonperforming Loans](https://www.imf.org/-/media/files/publications/gfsr/2019/april/english/ch1data/charts/figure1-17.pdf)

## Other formats

- [Markdown version](/-/media/files/publications/gfsr/2019/april/english/ch1data/charts/figure1-17.pdf.md)
- [Structured JSON version](/-/media/files/publications/gfsr/2019/april/english/ch1data/charts/figure1-17.pdf.json)

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### Banking systems’ holdings of domestic government bonds
- Panel title: "1. Banking Systems’ Holdings of Domestic Government Bonds (Percent of assets)"
- Time points shown: 2006; 08; 10; 12; 14; 16; 18
- Data labels / time markers in figure: 2018:Q2; 2010

### Bank government bond holdings by rating
- Panel title: "2. Bank Government Bond Holdings by Rating (Percent of government bond portfolio)"
- Rating categories shown in legend: A rated or higher; BBB rated or lower; Other
- Time points shown: 2018:Q2; 2010; 18:Q2; 10

### Estimated impact of sovereign bond mark-to-market valuations on Tier 1 capital ratios, 2018:Q2
- Panel title: "3. Estimated Impact of Sovereign Bond Mark-to-Market Valuations on Tier 1 Capital Ratios, 2018:Q2 (Percentage points)"
- Numeric tick labels shown: –16; –14; –12; –10; –8; –6; –4; –2; 0
- Country codes appearing in figure labels: ITA PRT ESP IRL FRA DEU GRC
- Other combined label text visible: ITAPRTESPIRLFRADEUPRTITAIRLESPFRADEU

### Estimated loan losses and reserves, 2018:Q2
- Panel title: "4. Estimated Loan Losses and Reserves, 2018:Q2 (Percent of risk-weighted assets)"
- Scenario and series labels present in panels: Loan loss reserves (shown with negative sign); Adverse loan loss adjustment; Moderate loan loss scenario; Severe downside scenario; Mild downside scenario
- Numeric tick labels shown: –5; 0; 5; 10; 15; 20
- Country codes appearing in figure labels: DEU FRA ESP IRL PRT ITA
- Combined label text visible: DEUFRAESPIRLPRTITADEUFRAESPIRLPRTITA

### Tier 1 capital ratios under stress scenarios
- Panel titles:
  - "5. Tier 1 Capital Ratios: Moderate Downside Scenario (Percent)"
  - "6. Tier 1 Capital Ratios: Adverse Downside Scenario (Percent)"
- Series labels visible: Reported Tier 1 ratio, 2010; Mild mark-to-market impact; Post shock Tier 1 ratio; Moderate loan loss adjustment; Severe mark-to-market impact; Post shock Tier 1 ratio; Adverse loan loss scenario
- Numeric tick labels shown: 0; 12; 2; 4; 6; 8; 10; 2018:Q2; 2010; 18:Q2; 10

### Key findings and interpretations (as stated in the figure text)
- "Higher buffers have left most banks better prepared for shocks ...... but in an adverse downside scenario, capital ratios would come under more pressure."
- "Some banks have strengthened their links to domestic sovereigns ...... and sovereign credit ratings have been downgraded in some countries ..."
- "... which together could create losses for banks."
- "Banks may also need to recognize losses on nonperforming loans that in some countries could exceed loan loss reserves."

### Notes on methodology and interpretation (as provided)
- Sources cited in the figure: Banca IFIS; Bloomberg Finance L.P.; European Banking Authority; Haver Analytics; national central banks; PriceWaterhouseCoopers; SNL Financial; and IMF staff analysis.
- Note excerpts:
  - "Panel 1 is based on banking system data, while panels 2–6 are based on the sample of banks in the European Banking Authority transparency exercise (EBA banks)."
  - "Panel 5 (6) shows the impact of the mild (severe) downside scenario for changes in government bond yields and the moderate (adverse) scenario for the loan loss adjustment."
  - "Positive values for the loan loss adjustment and mark-to-market impact in panels 5 and 6 represent a fall in the capital ratio; negative values represent an increase in the capital ratio."
  - "The capital ratios include the impact of reductions in risk-weighted assets related to the disposal of unsecured nonperforming loans, which can in some cases result in a negative number (an improvement in the capital ratio) for the impact of the loan loss adjustment; see Online Annex 1.1 for more details."
  - "Data labels in the figure use International Organization for Standardization (ISO) country codes."

*Source: figure1-17 (figure PDF), IMF staff analysis and cited data providers.*

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_Source: https://www.imf.org/-/media/files/publications/gfsr/2019/april/english/ch1data/charts/figure1-17.pdf_