Deutsche Bank skriver, at beholdningen af statsobligationer i de europæiske banker er blevet så stor, at de truer stabiliteten i bankunionen. Det gælder især for italienske og spanske banker. Det er nødvendigt med gennemgribende reformer, mener Deutsche Bank.

The coronavirus pandemic has caused a surge in public debt and highlights the need to tackle sovereign risk on bank balance sheets, which remains a threat to the stability of the Banking Union.

Euro-area banks hold bonds and have granted loans to their domestic sovereigns worth a combined EUR 2.1 tr, equalling 6.2% of total assets. Among the largest countries, banks in Italy have the highest exposure relative to capital (194%), followed by Spain (105%), whereas it is much lower in Germany (67%) and France (60%).

Sovereign risk must be mitigated to finalise the Banking Union but this will require some honest acknowledgements by supervisors and entail restrictions for banks and politicians.

Sovereign risk on bank balance sheets has still not been tackled, in contrast to
other risk mitigation measures introduced by the Banking Union. It remains the
elephant in the room. The current pandemic with its surge in public debt
highlights the need for reform. A solution would be a big leap forward but would
require some honest acknowledgements by supervisors and entail new,
inconvenient restrictions for banks and politicians.

Total sovereign exposure of banks in the euro area currently amounts to EUR
2.9 tr, i.e. a substantial 9% of total assets, according to the ECB. Claims on
domestic governments account for the bulk of that, EUR 2.1 tr, other euro-area
governments only for EUR 493 bn and the rest of the world for EUR 316 bn.
Debt securities represent two thirds of total exposure and loans one third. While
banks hold domestic claims in the form of bonds and loans in almost equal
parts, they have a clear preference for bonds in their non-domestic sovereign
portfolio. With respect to government levels, two thirds of total claims on euro-area

public entities are on central governments – mostly in the form of bonds.

Given such differences, sovereign risk mitigation must precede further risk
sharing mechanisms such as a mutualisation of deposit insurance (EDIS).
Capital requirements for sovereign exposure should be introduced, based both
on credit risk according to the sovereign rating and on concentration thresholds
which would penalise excessive credit provision to a single government. Capital
charges would help to reduce risk, contribute to a level playing field for banks
and strengthen fiscal discipline across the euro area.