Transcript Risk outlook - Bank of England

Part A:
Global environment
Chart A.25 UK and euro-area banks’ equity prices have come under
particular pressure
UK and euro-area bank equity indices(a)
Sources: SNL Financial, Thomson Reuters Datastream and Bank calculations.
(a) Weighted by 2015 assets.
(b) Ten largest banks based on 2015 total assets in Austria, Belgium, France, Germany and the Netherlands.
Chart A.26 Euro-area government yields have fallen further since the
referendum
Change in selected ten-year euro-area government bond yields since December 2015 Report
Sources: Thomson Reuters Datastream and Bank calculations.
Chart A.27 Some periphery euro-area banks have both large NPLs and
low CET1
European banks’ CET1 ratio versus non-performing loans(a)
Sources: SNL Financial and Bank calculations.
(a) Data as at 2015 Q4.
(b) Data for deferred tax assets (DTAs) include some DTAs which are not counted by banks towards their regulatory capital. As such, these calculations may overestimate
slightly the amount of DTAs counted as capital.
Chart A.28 Lending-deposit spreads on new business are falling in the
euro area
Spreads between rates on euro-area banks’ new lending and new deposits(a)
Sources: ECB and Bank calculations.
(a) Data up to April 2016. Dashed lines show average spreads since 2003.
Chart A.29 UK banks’ exposures to EMEs remain sizable, but are
decreasing in the euro-area periphery
UK banks’ exposures to selected countries and regions(a)(b)(c)
Sources: BIS consolidated banking statistics, SNL Financial and Bank calculations.
(a) End of year Q4 data.
(b) Foreign claims of domestically owned banks on an ultimate risk basis.
(c) Excludes claims on non-bank financial institutions due to a lack of data prior to 2014.
(d) Consists of Greece, Ireland, Italy, Portugal and Spain.
Chart A.30 Emerging market currencies and some risky asset prices have
fallen since the UK referendum
Changes in emerging market exchange rates to the US dollar(a) and prices of other risky assets
Sources: Bloomberg, Standard & Poor’s (S&P), Thomson Reuters Datastream and Bank calculations.
(a) Average of the ten largest economies in each region according to their PPP-adjusted GDP.
(b) Denominated in US dollars.
(c) JPMorgan Emerging Market Bond Index Global, denominated in US dollars.
Chart A.31 Private sector debt levels have risen over 2015 in a number
of countries
Non-financial private sector debt to GDP(a)
Source: BIS total credit statistics.
(a) End of year Q4 data.