BOC：2022年支付方式调查报告：13年间的现金使用情况

ISSN1831-9424

CentralbankdigitalcurrencyandEuropeanbanks’balancesheets

PetraccoGiudici,M.,DiGirolamo,F.

2023

EUR31387EN

ThispublicationisaTechnicalreportbytheJointResearchCentre(JRC),theEuropeanCommission’sscienceandknowledgeservice.Itaimstoprovideevidence-basedscientificsupporttotheEuropeanpolicymakingprocess.ThecontentsofthispublicationdonotnecessarilyreflectthepositionoropinionoftheEuropeanCommission.NeithertheEuropeanCommissionnoranypersonactingonbehalfoftheCommissionisresponsiblefortheusethatmightbemadeofthispublication.ForinformationonthemethodologyandqualityunderlyingthedatausedinthispublicationforwhichthesourceisneitherEurostatnorotherCommissionservices,usersshouldcontactthereferencedsource.ThedesignationsemployedandthepresentationofmaterialonthemapsdonotimplytheexpressionofanyopinionwhatsoeveronthepartoftheEuropeanUnionconcerningthelegalstatusofanycountry,territory,cityorareaorofitsauthorities,orconcerningthedelimitationofitsfrontiersorboundaries.

EUScienceHub

https://joint-research-centre.ec.europa.eu

JRC132239

EUR31387EN

PDFISBN978-92-76-61675-7ISSN1831-9424

doi:10.2760/1356

KJ-NA-31-387-EN-N

Luxembourg:PublicationsOfficeoftheEuropeanUnion,2023

©EuropeanUnion,2023

ThereusepolicyoftheEuropeanCommissiondocumentsisimplementedbytheCommissionDecision2011/833/EUof12December2011onthereuseofCommissiondocuments(OJL330,14.12.2011,p.39).Unlessotherwisenoted,thereuseofthisdocumentisauthorisedundertheCreativeCommonsAttribution4.0International(CCBY4.0)licence

(/licenses/by/4.0/)

.Thismeansthatreuseisallowedprovidedappropriatecreditisgivenandanychangesareindicated.

ForanyuseorreproductionofphotosorothermaterialthatisnotownedbytheEuropeanUnion,permissionmustbesoughtdirectlyfromthecopyrightholders.

Howtocitethisreport:PetraccoGiudici,M.,DiGirolamoE.,CentralbankdigitalcurrencyandEuropeanbanks’balancesheets,PublicationsOfficeoftheEuropeanUnion,Luxembourg,2023,doi:10.2760/1356,JRC132239

.

i

Contents

Abstract 1

Acknowledgements 2

1Introduction 3

2BackgroundandscenariosonaEuroCentralBankDigitalCurrency 4

3Methodologyanddata 6

3.1Data 6

3.2Descriptivestatisticsofbalancesheetstructure 7

4Results 10

4.1ShockscomparedtoTotalLiabilities 10

4.2Freereservesadjustmentchannel 12

4.3Wholesalefundingadjustmentchannel 14

4.4Lendingassetsadjustmentchannel 16

5Conclusions 19

References 20

Listofabbreviationsanddefinitions 21

Listoffigures 22

Listoftables 23

1

Abstract

Theaimofthispaperistolookatpossiblescenariosofdemandforaretail-onlyeurocentralbankdigitalcurrencyandassesstheirimpactonbank’sbalancesheets,toexplorepotentialeffectsonbank’sintermediationcapacityandfinancialstability.TheEuropeanCentralBank,inthecontextoftheEurosysteminvestigativeexercise,hastackledthisissuebyproposingasetofillustrativescenariosfortheadoptionofaEuroCBDC(seeAdalidetal.,2022anddiscussiontherein).Weexpandtheiranalysistoincludemoredetailedresultsatcountrylevelbymakinguseofindividualbanksdata.Foreachdemandscenario,weestimatethepotentialshockondepositsmakinguseofMS-leveldata.Wethenapplytheseshocksatindividualbanklevelandcomparethemtoasetofalternativeadjustmentchannels,includingfreereserves,wholesalefundingandassets(deleveraging)toobtainadistributionoftheratioofshockstodifferentchannels.Resultsshowthatpercapitademandscenariosaround3thousandeurodonotseemtopresentrisksforfinancialstabilityintheaggregate,thoughtheypresentasymmetricimpactsandcouldgiveraisetoshiftsinthestructureofbalancesheetsandinterbankmarkets.

2

Acknowledgements

TheauthorsacknowledgeusefulcommentsandsuggestionsfromMatteoSalto,GuillaumeCousin,MarioBellia,theparticipantstotheinformalworkinggrouponCentralBankDigitalCurrenciesandtotheJointJRC-ECFINseminar.Anyremainingerrorsoromissionsremainourown.

Authors

PetraccoGiudici,Marco

DiGirolamo,Francesca

3

1Introduction

In2021theEurosystemlaunchedaninvestigativeexercisetoensureitsreadinesstoissueadigitalcurrencyifneeded.

Theprojectstartedwithaplanneddurationoftwoyears,andhasbeenaccompaniedbyaparallelsetofexercisesbytheEuropeanCommission,includingtheestablishmentofaninformalworkinggrouponDigitalCurrencies,thecreationofanInterServiceSteeringGroup,andthedraftingofanImpactAssessmentofaEuroCentralBankDigitalCurrency(CBDC).

ThispaperisacontributiontotheworkoftheInterServiceSteeringGroupandtheImpactAssessment.Theaimofthispaperistolookatpossiblescenariosofdemandofaretail-onlyeurocentralbankdigitalcurrencyandassesstheirimpactonbank’sbalancesheets,toexplorepotentialeffectsonbank’sintermediationcapacityandfinancialstability.

OneofthekeyquestionstodeterminethepotentialimpactofaEuroCBDConbanksisitspotentialextentofadoption,andinparticulartheextenttowhichCDBCisgoingtobeusedinplaceofdepositsforpaymentandstoreofvaluepurposes.

AlargesubstitutionofdepositsinfavourofCDBCcouldhaveconsequentialimpactsonthebalancesheetofbanks,forcingbankstodecreaseassets,potentiallyleadingtoacontractionoflendingtotherealeconomy,ortoanincreaseofwholesalefunding,withpossibleimplicationsforfinancialstability.

Take-upofaCBDCinturndependsonawidevarietyoftechnical,legal,policy,socialandeconomiccharacteristicsofboththecurrencyandtheenvironmentinwhichitisreleased.Thisisthereforeanextremelychallengingissuetotackle.

TheEuropeanCentralBank,inthecontextoftheEurosysteminvestigativeexercise,hastackledthisissuebyproposingasetofillustrativescenariosforadoptionofaEuroCBDC(seeAdalidetal.,2022anddiscussiontherein).

ThesescenariosareallpredicatedontheassumptionthataEuroCBDCwouldbelimited,atleastforthetimebeing,toRetailTransactionswithintheEuroarea.Additionally,scenariosarealsoincludinglimitstoindividualtake-upofEuroCBDC.

InordertokeepconsistencywiththeworkalreadyperformedbyECB,inthisworkwewillstrivetolimitasmuchaspossiblevariationsfromthescenariosandassumptionsproposedbyECB,concentratinginsteadonexpandinganalysisusingindividualbanks’balancesheetsinplaceofaggregates.

Therestoftheworkisorganisedasfollows:section2looksatbackgroundandthedefinitionofscenarios;section3describesthemethodology,adjustmentchannelsconsideredanddataemployed;section4presentsresults;andsection5concludes.

4

2BackgroundandscenariosonaEuroCentralBankDigitalCurrency

TheECBdocument(Adalidetal.,2022)looksattwomainillustrativedemandscenarioswithunlimitedsupply,andascenarioofmaximumtake-upinthecontextofdifferentsupplylimits.

Wepresenthereaquickrecapofthemaincharacteristicsofeachscenario.Fulldetailsareavailableinsection2ofthedocumentcitedabove.

Thefirstscenarioreferstoa“moderatedemandforretailpaymentsonly”,inthisscenarioEuroCBDCismainlysubstitutedforbanknotesandalimitedpartofthetransactionvalueofpaymentcards.Thesecondscenarioreferstoa“largedemand”scenario,whereEuroCBDCisintensivelyusedbothforpaymentsandasastoreofvalue,bothbyhouseholdsandNFCs.Inthethirdscenario,supplyofEuroCBDCislimitedtoamaximalfixedamountperindividual,anditsavailabilityislimitedtophysicalpersonswhoresideintheEuroArea.(

1

)ThisscenarioisbuiltaroundalimitofEur3000foreveryresident,(

2

)withanuncertaintyanalysisinvolvingbothhigherandloweralternativemaximumsupplylevels.

IntermsoftotaldemandandquantitiesofdepositssubstitutedforCBDC:

1.themoderatedemandscenarioforeseesatotaldemandofEur470m,ofwhich120mfromforeigndemand,andtheremainderequallysubstitutingdomesticbanknotesanddeposits.

2.thelargedemandscenarioforeseesatotaldemandofEur7.2tn,ofwhich5.1tndomesticdemand.Almost85%ofthisdemandwouldbesubstitutingfordeposits.

3.thecappedsupplyscenarioatEur3000foreseesamaximaltotaldemandofEur1.15tn,ofwhichaboutEur1tndomesticdemand,almost60%ofwhichsubstitutingfordeposits.Inthisscenario,individualsaregoingtosubstituteabout50%oftheirbanknotes,andcovertheremainingpartbyswappingCDBCfordeposits.Alternativemaximumsupplylevelsof2,4,5and10thousandEuroarealsoconsideredbyECB.

Inthecurrentwork,wemainlyworkonreproducingthelastsetofscenarios.Thisismainlyduetothefactthatthesearefeasibletoimplementonabank-by-bankandcountry-by-countrybasis,theycanbecalibratedtoreproduceatotaldemandthatcorrespondstothemoderateandlargescenarios,andwelackdatatodifferentiatetotaldemandatcountryandbankleveldependingonwhetherthiscomesonlyfromhouseholdsoralsofromtheNFCsector.

WethereforeproceedasafirststeptotheconstructionofasetofscenariosatMSlevelfordifferentlevelsofmaximumsupplyoffunds.Inallscenarios,inlinewithECB,weassumethatuptohalfthecurrentamountofcashheldbyindividualsissubstitutedforCBDC,beforestartingtoexchangedepositsforCBDC.

InordertotranslatethesescenariosindemandscenariosforeachMSintheEuropeanUnion(

3

),weretrievedataonthenumberofhouseholds,theshareofhouseholdswithdeposits,andtheaveragenumberofpeopleperhouseholdfromESTAT,dataondepositsfromhouseholdsandNFCsfromECB,andoncashholdingsfromESTAT.

Webuildscenariosfortake-uplimitsof1,2,3,4,5and10thousandeuro.Atotaldemandofsubstitutionofdepositsequivalenttothemoderatescenarioisobtainedincorrespondenceofalimitof1.6thousandeuroperperson,andatotalpotentialdemandofsubstitutionofdepositsequivalenttothelargescenarioisobtainedforalimitof14thousandeuro.Thedemandistermedpotential,asthislimit,iffullyexhausted,wouldcorrespondtomostcashanddepositsforsomebankingsectors.

AspertheoriginalreportbyECB,givendatalimitations,itisnotpossibletotakeintoconsiderationthefactthatsomehouseholdswillhavedepositsorcashholdingswhicharesmallerthanthepotentialdemandforsubstitutionforCBDC(i.e.evenifthelimitofsubstitutionislargerthanthecashand/ordepositholdingsofsomehouseholds,thedemandforsubstitutionwillbefullycountedforeveryhousehold).Whenthismethodologyis

(1)Visitorswouldbeallowedtemporaryaccounts.

(2)Thislimitisconsideredtobefullyexhaustedbyeveryresident,irrespectivelyofstatus,ageoreffectiveavailabilityofcashordeposits,inordertobuilda“maximumtake-up”giventhechosenlimit.

(3)Thisisdonealsofornon-EAMSinordertoproducecounterfactualscenarios,asdescribedintheintroduction.

5

employedatindividualMSandbanklevel,itcandeliversubstantialover-estimatesfortheimpactsinjurisdictionsorbankswithlargenumbersofsmalldeposits.(

4

)

Resultsforeachscenariouptothedemandlimitof5thousandeuroarepresentedinFigure1.

Figure1:demandfordepositconversioninvariousscenarios

demandlimitscenario

5

4

3

2

1

0.1.2.3.4.5

demandfordepconversion

Sizeofcircleproportionaltoshareofdeposits.Reddotisunweightedmean

Source:JRC,basedondatafromECB,EUROSTAT,NSOs,NCBs.

Fromthefigureitcanbeseenthat,fortheEur3kcapscenario,themaximumpossibleimpactismoderateformostnationalbankingsystems.Impactsstartincreasinginthe4kand5kscenarios,andcanstartbeingrelevantforalimitednumberofMS(keepinginmindsomeoftheresultsforjurisdictionswithsmallerbankingsystemsandaveragedepositspercapitalmightbeover-estimatedasdescribedabove).(

5

)

(4)Severalattemptsatworkingaroundthislimitationwereperformed,butthepotentialgaininprecisiondidnotseemtocompensatetheinevitableincreaseinestimatebiasduetotheintroductionsofassumptions.Moreover,deviatingfromtheoriginalECBset-upwouldmakeresultshardertointerpretandcomparewithoutofferingsubstantialqualitativegains.

(5)A“whatif”scenariofornon-Euroareamembershasalsobeencalculated.Theseresultsrepresenta“comparativestatic”exerciseofwhatcouldhappeninthecountryiftheywouldbeamemberoftheEuroareaatthetimeofCDBCadoptionwithoutanyadditionalchangetothecurrentexchangerate,bankbalancesheetstructureornationaleconomicstructure.These“whatif”scenariosshowssomewhatlargeraverageimpacts(subjecttothecautionremarkthatthemethodologyispronetoyieldover-estimatesinjurisdictionswithlowerincomeanddepositspercapita),butoverallnodifferenceinmaximalimpactacrossscenarios.These“whatif”scenariosareapurelyhypotheticalexerciseanddonotrepresentunderanycircumstanceapotentialimpactoftheadoptionofaeuroCBDConnon-EAMSbankingsectorsundercurrentconditions.

6

3Methodologyanddata

Inthissection,welookatthepossibleimpactsofthedemandofdepositsforsubstitutionwithaCBDConbank’sbalancesheets.Depositsarenominallyshorttermliabilitiesforbanks(thoughtheyaredefactothemoststablesourceofbankfunding),andbankscanreacttothisreductionontheliabilitysidebytakingintoconsiderationthreepossiblemechanism(seealsoAdalidetal.,2022).

1.Decreasingassetswithoutaffectingthelendingfunction,byreducingcashandnon-mandatorycentralbankreserves.Thischanneldoesnotrequireanychangesintherelationshipsbetweentheaggregatebalancesheetofthebankingsectorsandthatofothersectors(apartfromthereductionindepositsfromhouseholds)asitsimplyreducedtheassetsideinparallelwiththereductionindepositliabilities;

2.Increasingliabilitiesbyincreasingwholesalefunding,eitherintra-group,ontheinterbankmarket,orwiththeCentralBank(inthisreportduetodatalimitationsweconsidertotalwholesalefundingonly).Attheaggregatelevel,anyincreaseinwholesalefundingwillimplyanincreaseinliabilitiestocompensatetheshocktodeposits,andwillneedtobefinancedbyanothersector,eitherotherfinancialcorporations,non-financialcorporations,orthecentralbank.(

6

)

3.Decreasingassetsbyaffectingthelendingfunction,byreducingloanstocustomersand/ordebtsecurities(excludingthoseheldshorttermorfortradingorhedgingpurposes).Inparticular,wefocusona“worstcasescenario”fortherealeconomywherethereductionisentirelyconductedbydecreasingcustomerloans.Intheshortterm,theseassetscanbeeithernotrolledoverorsoldtoothersectorsortothecentralbank,withtheproceedingsusedtoreimbursedepositors.(

7

)

Additionally,wealwaysconsiderafourthadjustmentmechanism,employeddirectlybyhouseholdsandwhichdoesnotaffectthebalancesheetofbanks

4.ExchangingcashforCDBC,whichisalwaysconsideredtohappenupto50%ofcashreservesofhouseholds.

Foreachdemandscenariodescribedabove,weestimatetheshockondepositsatindividualbanklevelbyapplyingtheoverallshockcalculatedaboveatcountryleveltocustomerdepositsforeachbank.Relativetototaldeposits,wethusobtainanidenticalshockforeachbankinanygivenMS.Wethentranslatethisshockinabsolutemonetaryamounts,andcompareittotheamountofthevariableinvolvedineachadjustmentchannel,againatindividualbanklevel.Finally,weplotadistributionoftheratiooftheshocktothepotentialadjustmentchannelsize.

3.1Data

Toanalysetheimpactofdepositsubstitutiononindividualbanks,weobtainbalancesheetdatafromMoody’sAnalyticsBankfocus.(

8

)

OursampleincludebanksclassifiedinBankfocusassavingsbanks,commercialbanks,andcooperativebanks.Afterdataandconsistencychecks,weexcludeotherspecialisations,especiallybankholdingcompaniesandinvestmentbanks.

Thedataincludesdataforconsolidatedandunconsolidatedbalancesheets.Often,multiplebalancesheetsarepresentedforthesameentity,andwemakesurethatatmostoneconsolidatedandoneunconsolidatedsamplesareretained(excludinginmostcasetheC*andU*specialpurposebalancesheets).Thishoweverdoesnotcompletelyeliminatetheissueofhavingmultiplesub-consolidatedentitieswithoverlappingboundarieswithinthesamegroup,especiallyinsomejurisdictions.Forthisreason,furthercleaningisconductedforConsolidatedbalancesheetsinordertokeeponlythehighestpossibleconsolidationlevelwithingroups.

(6)Thisfundingmightneedtobecoveredbycollateral.Wedonothavedataoncollateralavailability,butratiosoftheshockstoassetscanbeusedasaroughguideline.Theratiostolendingassetsaredevelopedinthethirdchannelassessment.ECBcalculationsshowthatattheaggregatelevelunencumberedcollateralismorethanenoughtocovertheoverallshortfall.SeeChart5inAdalidetal.(2022)

(7)Thus,thelasttwochannelsdonotexactlycoincidewiththechannelsillustratedintheECBreport.IntheECBreport,thesecondchannelfocusesexclusivelyonincreasedlendingfromtheCentralBank,whilethethirdchannelfocusesonassetsalestothecentralbank.WedonotinvestigatetheoptionwherebanksselltotheEurosystemassetsfromothersectors.

(8)

/product

-list/bankfocus.

7

Finally,ratherthantryingtohavethelargestpossiblesampleintermsoftotalassetsandnamescoveredbymixingconsolidatedandunconsolidateddata,weretaintwoseparatesub-samples,asconsolidatedbalancesheetsoftenreflectconsolidationacrossbordersand/ordonotallowtoobservesomefeaturesofintra-groupstructures.

Ourfinalsample(see

Table1)

atconsolidatedlevelcoversabout80%ofbankingsectorassetsreportedbyECBintheirstatistics,whiletheunconsolidatedsamplecoversabout50%ofreportedassets.

WemostlyconcentrateonusingindividualdatatoproduceEAlevelestimatesratherthancountrylevelaggregations.Unconsolidatedsamples,whilelesspopulated,aremorefaithfullyrepresentingthedivisionofimpactacrossboundaries.Thecomparisonbetweenresultsinthetwocasescanofferinsightsondifferencesinimpactbetweengroupsandindividualsubsidiariesandindependentbanks.

Table1:Samplerepresentativeness

solo

consolidated

MS

N

SampleTA

%ofECBtotal

N

SampleTA

%ofECBtotal

BE

14

8.38E+08

75%

12

1.13E+09

101%

DE

700

4.33E+09

48%

21

5.71E+09

64%

EE

1

7321900

21%

7

3.96E+07

115%

IE

21

3.09E+08

22%

7

5.62E+08

41%

EL

5

2.10E+08

62%

7

3.61E+08

107%

ES

70

2.20E+09

76%

38

3.81E+09

132%

FR

57

5.96E+09

57%

22

8.75E+09

83%

IT

51

1.35E+09

35%

32

2.87E+09

75%

CY

24

5.51E+07

85%

11

4.88E+07

75%

LV

13

2.01E+07

84%

10

1.97E+07

82%

LT

4

2.76E+07

70%

4

2.77E+07

70%

LU

38

3.20E+08

26%

7

2.08E+08

17%

MT

9

2.50E+07

62%

4

2.32E+07

57%

NL

14

1.82E+09

72%

13

2.16E+09

85%

AT

126

5.75E+08

60%

20

7.76E+08

81%

PT

19

3.09E+08

75%

11

3.61E+08

87%

SI

9

3.71E+07

80%

6

3.87E+07

84%

SK

7

7.41E+07

79%

5

7.08E+07

76%

FI

9

5.03E+08

72%

8

8.26E+08

118%

Total

1191

1.90E+10

245

2.78E+10

Asdescribedabove,foreachbankinoursample,wemultiplytotalcustomerdepositsbytheshareoftotaldepositssubstitutedinthenationalbankingsector.Thisyieldsandestimateofthedemandfordepositsubstitutionateachindividualinstitution.Whilethisapproachwillimplyerrorsintheestimationofdemandatindividualestimationlevel,itwillalsoimplythatoveralldemandatMSandaggregatelevelwillbecorrect,anderrorswilltendtoaverageout,providingcorrectestimatesofaverages,totalsandshares.Thisapproachofcoursealsoimpliesthatdemandasashareofdeposits,byconstruction,isidenticalforeachbankwithinasinglecountry.

3.2Descriptivestatisticsofbalancesheetstructure

Inthefollowingweprovidesomebriefdescriptivestatisticsforthesample.

8

Westartbypresentingsomeboxplotsofstructuralbalancesheetindicatorsfordifferentclassesofliabilities.Thisallowstoassesstherelativeimportanceofdifferentfundingchannelsacrossdifferentcountries,size,andconsolidationclassesforbanks.

Figure2:BalancesheetstructureindicatorsforEAMSoverconsolidationclasses

Solo

Cons.

0.2.4.6.81

CustomerdepositsonTLWholesalefundsonTL

Figure3.BoxplotsofcustomerdepositsforEAMS,Unconsolidatedbalancesheets.

CustomerdepositsonTL

0.2.4.6.81

IEMTLTSICYLVATEESKDEESPTBEELLUNLITFRFI

9

Figure4:BalancesheetindicatorsforEAMSbanks,bysizeclass,forunconsolidatedbalancesheets

Small(<3bn)

Medium(3-30bn)

Large(>30bn)

0.2.4.6.81

CustomerdepositsonTL

WholesalefundsonTL

TradingandderivativesliabilitiesonTL

Intermsofthestructureofliabilities,theboxplotsaboveshowthatthemedianofdepositsfundingacrossthewholesampleforEAMSisaround85%forunconsolidatedbalancesheets,and75%forconsolidatedbalancesheets,pointingtoasmallerroleofdepositsatgroupleveland/orforlargerbanksfunding.

Themirrorimageholdsforwholesalefunding,withmedianatunconsolidatedlevelat10%andatconsolidatedlevelatabout20%

Whiletheaveragestructureofliabilitiesseesapreponderanceofdeposits,thedispersionisquitehigh.

WhenlookingatindividualEAcountries,itispossibletoseethatthereisnon-trivialvariabilitybetweencountries,andinsomecasesalsowithincountries.

Similarly,whenlookingatbanksbysizeclass(withinEAMS),itispossibletoseethatlargerbanksseemtorelylessondepositfundingthansmallerbanks,withamedianofabout65%,versusamedianofabout80%and90%formediumandsmallsizedbanks(sizeassessedatconsolidatedlevel).

Thisseemstopointtoa“hubandspoke”structurewherewholesalefundingishandledpreferentiallybylargerbanksandgroupheads,whothenredistributeittosmallerbanksand/ortoindividualsubsidiarieswithingroups.

Thispossibledualityofrolesforindividualbanksandsubsidiariesisalsoconfirmedbylookingatdistributioncurvesforthemainliabilitiesandfreereserves.Itispossibletoseethatconcentrationismarkedlyhigherwhenlookingatsoloentitiesthanwhenlookingatconsolidatedbalancesheets.

10

ratioofTLtoshock

020406080100

4Results

4.1ShockscomparedtoTotalLiabilities

Beforelookingatpossibleindividualadjustmentchannels,wewanttoexplorethepotentialoverallimpactofashocktodepositscomparedtothesizeofthebalancesheetofthebanks.Inordertodoso,wecomparethesizeoftheshockstothetotalliabilitiesofeachbank.

Thefirstfigure

(Figure5)

showsthecumulativedistributionofbankscomparedtotheTotalliabilities/depositconversionshockratioindifferentdemandscenarios.

Eachscenario(1to5,and10thousanddemandlimits)isrepresentedbyanindividualcurve.Onthehorizontalaxis,wecanfindtheshareofinstitutionsinthesample(notweightedbysize),whileontheverticalaxiswecanfindtheratioofTotalLiabilitiestotheconversionshock.Forreadability,ratiosarecappedat100.

Toaidinreadingthegraph,threehorizontallinesaredrawnatratiosof2(redline,theshockis50%oftotalliabilities),5(orangeline,theshockis20%oftotalliabilities)and10(greenline,theshockis10%oftotalliabilities).Averticallineisdrawnincorrespondenceto10%ofallbanks.

Eachpointonalineindicatestheshareofbanksthathaveacertainratioorlowerinthegivenscenario.

Howtoreadthegraph:inthe3k€demandscenario(darkgreenline),totalliabilitiesamounttolessthan20timesthedepositshockfor10%ofbankswhile90%ofbankshavetotalliabilitiesofover20timesthedepositshock.Thisisequivalenttosayingthatthedepositshockrepresentslessthan5%oftotalliabilitiesfor90%ofbanks.

Figure5:DistributionsoftheRatioofTotalLiabilitiestodepositconversionshockindifferentscenarios,EA,asashareofthenumberofbanksinsample,unconsolidatedBalanceSheets

0.2.4.6.81

shareofbanks

TL/depshk1k,CAPAT100TL/depshk3k,CAPAT100TL/depshk5k,CAPAT100

TL/depshk2k,CAPAT100TL/depshk4k,CAPAT100TL/depshk10k,CAPAT100

Lookingatallscenarios,itispossibletoseethat,forthe1kshock,onlyabout5%ofallbanksintheEAwouldfaceashockequaltoatleast1%oftheirtotalliabilities(ratioofTLtoshockabove100).Forthe3kscenario,only10%ofbankswouldfaceashockequaltoatleast5%ofliabilities(aratioof20).Forthe5kand10kscenarios,10%ofbankswouldfaceashockbiggerthen10%and25%oftheirTL(ratiosof10,and4,respectively),andinthelatterscenario,onlyabout10%ofallbankswouldfaceshocklessthan10%ofTL(ratioof10).

11

ThedistributioncanalsobeplottedintermsofTotalAssetsheldbybanksinsample,ratherthanintermsofnumberofbanks.Inotherwords,eachbankcanbeweightedbyitssizewhencalculatingthedistribution.Weplotsuchadistributionin

Figure6

forthe3thous