欧洲央行-银行业绩的决定因素：来自复制投资组合的证据（英）-2024.5

EUROPEANCENTRALBANK

EUROSYSTEM

CarloAltavilla,JulianeBegenau,LorenzoBurlon,FranziskaHünnekes

WorkingPaperSeries

Determinantsofbankperformance:

evidencefromreplicatingportfolios

No2937

Disclaimer:ThispapershouldnotbereportedasrepresentingtheviewsoftheEuropeanCentralBank(ECB).TheviewsexpressedarethoseoftheauthorsanddonotnecessarilyreflectthoseoftheECB.

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Abstract

Weconstructanovelmeasureofbankperformance,investigateitsdeterminants,andshowthatitaffectsbankresilience,lendingbehaviourandrealoutcomes.Usingconfidentialandgranulardata,wemeasureperformanceagainstamarket-basedbenchmarkportfoliothatmimicsindividualbanks’interestrateandcreditriskexposure.From2015tomid-2022,euroareabanksunderperformedmarketbenchmarksbyarounde160billionperyear,amidsubstantialheterogeneity.Structuralfactors,suchascostinefficiencies,ratherthanmonetaryorregulatorymeasures,werethemaindriverofbankunderperformance.Wealsoshowthathigheredgebanksarelessreliantongovernmentsupportmeasuresandlesslikelytoexperiencethematerialisationofinterestrateorcreditriskwhenhitbyshocks.Usingtheeuroareacreditregisterandthepandemicshockforidentification,wefindthathigheredgebanksoriginatemorecredit,directittowardsmoreproductivefirms,andsupportmorefirminvestment.

JELcodes:E52,G12,G21,G28.

Keywords:banking,maturitytransformation,replicatingportfolio,creditsupply.

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Non-technicalsummary

Overthelasttwodecades,thelowperformanceofeuroareabanksrelativetotheirU.S.peershasraisedconcernsamongpolicymakersandincreasinginterestsamongresearchers.Banks’abilitytogenerateadequateprofitsiscrucialforthetransmissionofmonetarypolicy.Profitablebanksareabletoattractcapitalfrommarketinvestorsandtogeneratecapitalinternallythroughretainedearnings.Higherbankperformanceenhancesthecapacityofthebankingsystemtoprovidecredittotheeconomywhenmone-tarypolicyiseasedandtowithstandshockswhenmonetarypolicyistightened.Moreover,higherbankperformanceincreasestheefficiencyofstabilisationpolicies,asahigherbankresiliencealsoimpliesthatthereisalesserneedforpublicinterventioninresponsetothemanifestationofadversescenarios.

Inthispaperweusegranularconfidentialdatatoshedlightondriversandimplicationsofbankper-formance.Specifically,thestudyanswersthreequestions.First,howcanweadequatelymeasurebanks’abilitytogenerateprofits?Second,whatarethedeterminants?Andthird,howdoesbankperformanceaffectbankresilience,lendingbehaviourand,ultimately,realoutcomes?

First,weconstructanovelmeasureofbankperformance,whichwelabelbankedge,comparingactualbankbookreturnsagainstamarket-basedbenchmarkportfoliothatmimicsindividualbanks’in-terestrateandcreditriskexposure.Weobtainthisnewmeasurebyusingverygranularinformationonindividualbanks’balancesheetcompositionacrossmaturities,inceptiondatesandrisklevels.Bybenchmarkingbankperformanceagainstmarketequivalentsataverygranularlevel,thisnewmeasureprovidesauniqueperspectiveonbanks’edgeoverotherinvestors’abilitytooriginateprofitableinvest-mentstrategies.Wecalculatequarterlybankedgesforapanelofaround100largeEuropeanbanksfrom2015to2023.Wefindthatfrom2015tothestartofthehikingcycle,theaggregatebankingsectorun-derperformedthemarketbenchmarkonaveragebyarounde160billionperyear,or1percentofequity,amidsubstantialheterogeneityacrossbanksasthetop25percentbanksconsistentlyoutperformedthemarket.TheincreaseinlendingmarginsbroughtaboutbythehigherinterestrateenvironmentsinceJuly

2022closedthisgapandturneditpositiveforvirtuallyallbanks.

Second,weassesstheroleofdifferentfactorsofbankperformancecommonlyconsideredintheliterature.Inparticular,welookatregulation,competition,costefficiencyandmonetarypolicy.Toinvestigatethesedrivers,weexploitthepanelnatureofourdatavialocalprojections,andweidentifytheroleofeachfactorisolatingseeminglyexogenousandidiosyncraticdeterminantsofthesefactorsthatgobeyondtheimpactviathenetworthofbanks.Ouranalysisshowsthatthepredominantdriversofeuroareabanks’underperformancearestructural:highercostinefficiencyand,toalesserextent,

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highercompetitionleadtomorebankunderperformance.Tighterregulationandmonetarypolicyhavenorobusteffectonbankedges.Aonestandarddeviationincreaseincostinefficiency,equivalenttoaquarterlychangeofcost-to-incomeratioof14percentagepoints,leadstoareductioninbankedgesequal

to10percentoftheirquarterlyvariation,or19basispointsofbankequity.

Third,weassesswhetherbankedgescorrelatewithbankresilienceagainstadverseshocksandbankrelianceonpublicsupportmeasures,supportingcreditsupplyandtherealeconomy.WefindthatbankswithpositiveedgeswerehalfasreliantonpublicguaranteesasbankswithnegativeedgesduringtheCovid-19pandemic.Wealsofindthatbankswithhigheredgeswerelesslikelytoexperiencethemate-rialisationofinterestrateorcreditriskwhenhitbytheMarch2023marketturmoil.Importantly,whenwesortbanksaccordingtotheirreturnonequity(ROE),therearenodifferencesbetweenhighROEbanksandlowROEbanks.Thisvalidatesthebankedgeasanex-anteinformativepredictorofbankperformancethatiscomplementarytoothermeasures.Moreover,weusetheEuropeancreditregistertoidentifytheeffectofbankedgesonbankcreditsupplybycomparingthecreditsupplyofbankswithdifferentedgelevelstothesameborrower.Thisallowsustoisolatethedifferentialimpactofabankedgeontoitssupplyofloanstofirms.Wefindthateachpercentagepointofhigherbankedgeisassociatedwitha3percenthigherloanvolumeforthesameborrower,especiallyformoreproductivefirms.WethenmakeuseofthehigherloanvolumespredictedbyhigheredgestoexplainfirminvestmentsovertheCovid-19pandemic.Wefindthatfirmsmoreexposedtohighedgebankswereabletosustainhigherinvestmentrates.Theimprovementinbankedgesviacostefficiencygainsledtoa3percentexpansion

increditsupplyand9percenthigherfirminvestment.

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1Introduction

Theperformanceofthebankingsectorinfluencesbanks’intermediationcapacity,thetransmissionofprudentialandmonetarypolicy,aswellasfirms’abilitytoinvestininnovativeprojects.Measuringthisperformanceanditsdriversis,therefore,ofparamountimportanceforunderstandingtheresilienceofthebankingsectorandtheeconomytoshocks.Usingavailableindicatorsofbankperformancesuggeststhatinthelast15yearsEuropeanbankshavebeenstruggling.Since2008,theprice-to-bookequityratioofEuropeanbanks,acommonlyusedvaluationmeasure,hasaveragedwellbelowoneandwellbelowthatoftheirUSpeers.Inaddition,thereturnonbookequity,acommonlyusedprofitabilitymeasure,lagsbehindthatofalsostrugglingUSpeers.Post-crisisfinancialregulatoryreform,non-bankcompetition,

structuralcostinefficiencies,andlowinterestratesaresomeofthemanyproposedexplanationsforlowpost-crisisbankvaluationglobally(e.g.,

SarinandSummers,

2016;

Buchak,Matvos,Piskorski,andSeru,

2018;

Atkeson,d’Avernas,Eisfeldt,andWeill,

2019;

SartoandWang,

2023)

.

Inthisstudy,weinvestigatethedeterminantsofbankingunderperformancewithintheeuroarea,employingacomprehensiveandconfidentialdatasetfromtheEuropeanCentralBank(ECB).Thisstudymakesuseofanovelperformancemetric,termedthe‘bankedge’,whichassessesabank’scomparativeadvantagerelativetoamarket-basedandrisk-adjustedbenchmarkportfolio.Unliketraditionalperfor-mancemetricssuchasReturnonEquity(ROE),thisnewmeasurecapturesdistinctdimensionsofbankperformance.Ourempiricalfindingssuggestthattheprimaryfactorscontributingtotheunderperfor-manceofeuroareabanksarestructural,predominantlydrivenbyhighoperationalexpensesandinten-sifiedcompetitionfromnon-bankfinancialinstitutions.Tighterregulationandmonetarypolicyhavenorobusteffectonbanks’edge.Wevalidatethebankedgeasanex-anteinformativepredictorofperfor-mance.Specifically,wedemonstratethatbankswithahigher‘bankedge’exhibitreduceddependenceongovernmentalsupportmechanismsinthefaceoftheCovid-19pandemicandarelesssusceptibletotherealizationofinterestrateorcreditrisksduringthemarketdisturbancesofMarch2023.Furthermore,theanalysisrevealsthatanelevated‘bankedge’correlateswithamarkedlyincreasedprovisionofcredit,particularlytomoreproductivefirms,whichinturntranslatesintohigherfirm-levelinvestmentrates.

Toconstructtheperformancemeasureforeachbank,webuildon

Begenau,Piazzesi,andSchneider

(2015)andfollow

BegenauandStafford

(2019)bycomparingthebookreturnoneachbank’sindividual

portfoliopositionagainstamarket-basedbenchmarkfixed-incomeportfolioreturnthatsharesthesameinterestrateandcreditriskcharacteristicsasthebankposition.Thebank’sedgeisthenjustthedifferencebetweenthetworeturns.Thiscalculatesabond-marketbasededgethatcomparesbankreturnsagainst

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bond-marketcompensationsforpassivecredit-andinterestrateriskexposures.Theedgeispositiveifbanksachievehigherrisk-adjustedreturnsthanwhataninvestorwouldearnforholdingthesameriskspassivelyinthecapitalmarkets.

Wecomputethequarterlybankedgesforapanelcomprising100majorEuropeanbankscoveringtheperiodfrom2015to2023.Theexposureofthesebankstointerestrateandcreditrisksisdeterminedthroughtheanalysisofourrichdata.Dataonindividualbankbalancesheetpositionscomefromde-tailednonpublicECBsupervisorydata,whichwesupplementwithdetailedloandatafromtheeuroareacreditregister(AnaCredit),detaileddepositdatafromindividualbankbalancesheetstatistics(IBSI)andsecuritylevelinformationforsecuritiesheldfromtheSecuritiesHoldingsStatisticsGroup(SHSG),andforsecuritiesissuedfromtheCentralizedSecuritiesDatabase(CSDB).Together,thesedataallowustocalculateeachbank’sinterestrateandcreditriskexposures.Toconstructthebenchmarkportfolio,weusetheECB’ssovereignyieldcurves,themediangovernmentbondratingsprovidedbyS&P,Moody’sandFitch,andtheIHSMarkitiBoxxcapitalmarketdata.Wecalculatetheedgeofanindividualbankasthedifferenceoftheactualreturnsandthereplicatingportfolio’sreturns.Wethenshowthatoveroursampleperiodeuroareabanksunderperformedthebenchmarkbyarounde160billion,or1percentagepointsofbookequity,onaverageeachyearuntiltheECB’sstartedincreasinginterestratesinJuly2022.Sincethen,bankshaveonaverageoutperformedthebenchmarkbyaround2percentagepoints.Thereis,however,largevariationinthecross-sectionofbanks.Althoughthetop25%ofbanksoutperformedthebenchmarkbyaround0.6percentagepointsbetween2015and2022Q2,thebottom25%under-performeditbyaround5.6percentagepointsinannualisedtermsinthesameperiod.FollowingthesharpincreaseininterestratessinceJuly2022,bothgroupsimprovedsignificantly,withthetop25%banksoutperformingthebenchmarkby7.8percentagepointsuntil2023Q2,andthebottom25%also

outperformingbyaround0.4percentagepoints.

Toinvestigatethedriversofloweuroareabankperformance,weexploitthepanelnatureofourdatawithinalocalprojection-styleregressionframework,bypredictingabank’sedgeusingmeasuresofcom-petition,regulatoryintensity,cost-inefficiency,andmonetarypolicyshocks.Moreintensecompetitionandhighercostsrelativetobankincomeareassociatedwithareductioninbanks’relativeperformance,whilemonetarypolicyhasanambiguouseffect,andtighterregulationhasnoeffectonbankedges.Giventhatbanksexhibitinghigher(lower)bankedgesalsohavegreater(lesser)networth,andconsideringthatnetworthplausiblyreflectsabank’scostefficiencyandcompetitivestanding,itisconceivablethattheaforementionedoutcomesmightjustbeattributabletovariationsinnetworthratherthantothe‘bankedge’performancemetricitself.Toseparatenetworthandleverageeffectsfromourperformancemea-

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sure,weorthogonalizeeachpotentialdriverofthebankedgewithrespecttovariousmeasuresofbanknetworth.Wethenfindthatcostinefficienciesandtosomelesserextentcompetitionarethekeydriversofbankedges.Aone-standarddeviationincreaseinthecost-to-incomeratiosofbanksleadstoa19basis

pointreductioninthebankedge,equalto10%ofitsvariation.

Weassesswhetherbankedgescorrelatewithbankresilienceagainstadverseshocksandbankre-lianceonpublicsupportmeasures,therebysupportingcreditsupplyandtherealeconomy.WefindthatbankswithpositiveedgeswerehalfasreliantonpublicguaranteesasbankswithnegativeedgesduringtheCovid-19pandemic.WealsofindthatbankswithhigheredgeswerelesslikelytoexperiencethematerialisationofinterestrateorcreditriskwhenhitbytheMarch2023marketturmoil.Importantly,whenwesortbanksaccordingtotheirreturnonequity(ROE),therearenodifferencesbetweenhighROEbanksandlowROEbanks.Thisvalidatesthebankedgeasanex-anteinformativepredictorofbankperformancethatiscomplementarytoothermeasures.

Higherbankedgesareassociatedwithlargerbankcreditsupplyand,ultimately,supporthigherinvestmentratesbyfirmsthatborrowfromhighedgebanks.WeusetheEuropeancreditregistertoidentifytheeffectofbankedgesonbankcreditsupplybycomparingthecreditsupplyofdifferentbankswithdifferentedgelevelstothesameborrower.Thisallowsustoisolatethedifferentialimpactofabank’sedgeonitssupplyofloanstofirms.Wefindthateachpercentagepointofhigherbankedgeisassociatedwitha3%higherloanvolumeforthesameborrower,especiallyformoreproductivefirms.WethenmakeuseofthehigherloanvolumespredictedbythehigheredgestoexplainfirminvestmentsduringtheCovid-19pandemic.Wefindthatfirmsmoreexposedtohigh-edgebankshadhigherinvestmentrates.Improvementinbankedgesthroughcostefficiencygainsledtoanexpansionof

3%increditsupplyandincreasedfirminvestmentby9%.

RelatedLiteratureOurworkrelatestoseveralrecentstudiesthatexaminebankperformance,itsdeterminants,anditsinteractionwithmonetarypolicy.

RecentworkonbankperformanceintheUnitedStatesincludes

BegenauandStafford

(2019),

Sarin

andSummers

(2016,

2019)and

Atkeson,d’Avernas,Eisfeldt,andWeill

(2019).Ouranalysisisbased

onauniqueandnon-publiccollectionofdataprovidedbytheECB.Theseeuroarea-focuseddatahavebeenusedbynumerousotherstudiesfocusingondifferentquestionsandtopics.1

Standardbankperformancemeasuresaretypicallyfocusedonbookvalues2ormarket-basedmea-

1E.g.,

Altavillaetal.

(2020,

2021b

);

Bubeck,Maddaloni,andPeydró

(2020);

MaddaloniandPeydró

(2011);

Peydró,Polo,

andSette

(2021);

AndreevaandGarcía-Posada

(2021)

2Bookvaluemeasuresincludethereturnonassets(ROA),thereturnonequity(ROE),andnarrowercomponentsofbank

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sures.3Ourperformancemeasurecombinesbankaccountingdataoninvestmentandfundingpositionstogetherwithmarketinformationonthereturnsandcostsofthosepositions(e.g.,

Begenau,Piazzesi,

andSchneider,

2015;

BegenauandStafford,

2019

).4Wecalculateourbankperformancemeasureasthedifferencebetweenbanks’returnonequityandthebenchmarkreturn,thatis,thecostofcapitalfromtheperspectiveofbankequityinvestors.Asaresult,ouredgeissimilartotheeconomicvalueadded(EVA)(e.g.,

Damodaran,

2007;

Kimball,

1998

),butonewhereeachbank’scostofcapitaliscalculatedbasedonitspositionsasaleveredfixedincomeportfolio.5

Ourpapercontributestotheliteratureontheimpactofmonetarypolicyonbankprofitability(e.g.,

Flannery,

1981;

Hancock,

1985;

Bourke,

1989;

SaundersandSchumacher,

2000;

Claessens,Coleman,

andDonnelly,

2018;

BrunnermeierandKoby,

2018)

.Whileamonetarypolicyeasingcanreducenet

interestincome(NII)(AlessandriandNelson,

2015;

Borio,Gambacorta,andHofmann,

2017)andthere

-foreharmbanks,italsolowersdiscountratesandthereforeincreasesbankvaluations(

English,Vanden

Heuvel,andZakrajšek,

2018).Monetaryaccommodationcanimprovebankprofitabilitythroughapos

-itiveimpactonloanlossprovisionsandnon-interestincome(

Altavilla,Boucinha,andPeydró,

2018;

Williams,

2020

).Bothchannelsexploredinthesestrandsofliteratureboildowntobanks’exposuretointerestrateorcreditrisk,whichultimatelystemfromthemorefavourableoverallfinancingconditionsinducedbymonetarypolicyeasing.Ourmeasureofbankperformance,whichexplicitlycontrolsforinterestrateandcreditrisk,isolatesthatpartoftheimpactofmonetarypolicymoretightlylinked,forinstance,tobanks’businessmodelsandpractices.

Wealsoshedfurtherlightontherelationbetweenregulatorypressureandbankperformance.Stricterbankregulation,throughforinstanceregulatoryrequirementsforbankcapitalization,motivatedbypru-dentialconsiderations,mayputdownwardpressureonbankperformanceasthecostofcapitalincreases.Thiscouldbefurtherexacerbatedbyagencyproblemsbetweenbankmanagementandshareholders

(CalomirisandKahn,

1991;

DiamondandRajan,

2001).Atthesametime,highercapitallevelsmay

improvebankperformanceandvaluebyimprovingmonitoringincentives(

HolmstromandTirole,

1997;

Allen,Carletti,andMarquez,

2011;

MehranandThakor,

2011).Thebalancebetweenthesefactorsmay

profitabilitylikethenetinterestmargin(NIM).

3Market-basedmeasuresincludethetotalsharereturn(TSR,theratioofdividendsandincreaseofthestockvalueoverthemarketstockprice),theprice-to-earningsratio(P/E,aratioofthefinancialresultsofthecompanyoveritsshareprice),theprice-to-bookvalue(P/B,whichrelatesthemarketvalueofstockholders’equitytoitsbookvalue),andthecreditdefaultswap(asameasureofbankdefaultrisk).

4Seethediscussionin

Begenauetal.

(2022)forreasonswhytousebothbookandmarketvalueswhenstudyingbanks

.

5Evaluatingbankperformanceisultimatelyamatterofrankingfinancialintermediariesvisàvisabenchmark.Unobserv-ablebenchmarksexploredintheliteratureare,forinstance,measuresoffrontierefficiency(

BergerandHumphrey,

1997)orof

costofequity(

Altavillaetal.,

2021a)

.

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dependonthestateoftheeconomyoronindividualbanks’characteristics(

BergerandBouwman,

2013)

.

Weshowthatmostoftherelationbetweenbankperformanceandregulatoryrequirementsisassociatedtotheimpactofregulationonbanks’networth,whereasthereislittlerelationbetweenregulationandmorestructuralcomponentsofbankperformance.

Ourset-upallowstoevaluatetherelationbetweencompetitionandbankperformance.Ontheonehand,highercompetitionlowersmarkupsonloansandmarkdownsondeposits,loweringbanks’marginsandthereforefranchisevalue(

BergerandHannan,

1989;

ClaessensandLaeven,

2004;

Drechsler,Savov,

andSchnabl,

2021

).Ontheotherhand,higherratesimpliedbyhighermarketpowerincreaseriskinessofloanportfolios(adverseselectionandmoralhazard),eventuallyloweringrisk-adjustedreturns(

Stiglitz

andWeiss,

1981;

BoydandDeNicolo,

2005;

Schaeck,Cihak,andWolfe,

2009).Forthespecificcaseof

competitionbynon-banks,thesehavealreadybeenidentifiedasaconsistentthreattotheperformanceofeuroareabanks,especiallyinspecificbusinessareas.Forinstance,morethan60%ofincumbentsviewfintechsasachallengeforincomestreamsrelatedtopaymentandsettlementsystems.6Weshowthatcompetitivepressurefromnon-banksisnegativelyassociatedwithbankperformance.

Lastly,costefficiencyofeuroareabankshasbeensystematicallyassociatedwithhigherbankper-formance(

Anderssonetal.,

2018

)andhasbeenidentifiedasakeystructuralfeaturedraggingdowntheeuroareabankingsector’sperformance.7Weconfirmthisintuitionunderthelensesofourmeasureofstructuralperformanceforeuroareabanks,andassesswhatahigherlevelofcostefficiencymayentailfortheeuroareabankingsector’sdependenceonpublicsupportmeasuresandtheoverallresilienceofbanklendingconditionstoshocks.

2Measuringbanks’edge

Wemeasuretheedgeofeachbankbycomparingitsreturnonequity(returnonaspecificbalancesheetitem)againstamarketbasedfixed-incomebenchmarkportfoliothatisdesignedtoapproximatethebank’s(bankbalancesheetitem’s)interestrateandcreditriskexposure(e.g.,

Begenau,Piazzesi,and

Schneider,

2015;

BegenauandStafford,

2019).Theideaistocompareabank’sperformanceagainsta

passivemarketreturnthatinvestorscouldhaveearnediftheyhadheldsecuritieswithasimilaramountofinterestrateandcreditrisk.Clearly,bankloansmayberiskierandthereforecommandahigherreturn

6See,e.g.,the

EuropeanBankingAuthority’s(EBA)2018reportontheimpactofFinTechonincumbentcreditinstitutions’

businessmodels.

7See,e.g.,the

speech“Challengesforbankprofitability”byLuisdeGuindos,

Vice-PresidentoftheECB,attheOMFIFCityLectureinLondonon1May2019.

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thanourcapitalmarketbenchmark.Forexample,bankloansmayalsoincludealiquidityriskpremiumbecausemostbankloansarenottradable.Banksmayalsoearnahigherreturnthanthecapitalmarketbenchmarkduetomarketpoweroverbankdependentborrowers.Theyalsomaybeabletofundthem-selvesmorecheaply.These,andrelatedreasons,willbiasustowardsfindingapositiveedge,providedthecostsofrunningthebankingbusinessarenottoolarge.

2.1Data

BankDataOuranalysisreliesonvariousseveralconfidentialdatasetsmaintainedbytheECB.Thecoresampleofbanksarethearound100largefinancialinstitutionsintheeuroareawhicharedirectlysupervisedbytheECBandholdaround60%oftotalassetsofalleuroareabanks.8WeusetheECB’sSupervisoryReporting(SUP)datatoobtainquarterlybalancesheetandincomestatementdataforeachbank,whichgoesbackto2014Q4.Thisdeterminesthebeginningofthesampleperiod.Thisdatacontainsinformationontheoutstandingamountsandrelatedincomeandexpenseflowsforbanks’mainbalancesheetpositions.Theseincludeloans,depositsandsecurities.Inaddition,forloansitalsoincludesinformationontheriskinessofaround50%ofoutstandingamounts(measuredviaregulatoryriskweights,whichisonlyavailableforassetsassessedunderthestandardisedapproach).

WecomplementthisSUPdatawithmonthlybankbalancesheetstatistics(IndividualBalanceSheetItems,IBSI),whichstartinJuly2007andcoveraround300banksintheeuroarea.TheIBSIdatahasinformationaboutmaturitiesandsectorsplitsofbankloansandbankdeposits.Furtherdetailedinforma-tiononmaturityandriskforbankloanstofirmscomesfromtheeuroareacreditregister(AnaCredit;seedescriptionbelow).Forsecuritiesownedbybanks,werelyondetaileddatafromtheSecuritiesHold-ingsStatisticsGroup(SHSG).Thisdataisatthequarterlylevelandcontainscomprehensiveinformation(i.e.,outstandingamounts,rating,andmaturityattheISINlevel)aboutsecuritiesheldbyaround150euroareabanksgoingbackto2013Q4.OntheliabilitysideweuseIBSIdataforinformationaboutdepositmaturityandtheCentralizedSecuritiesDatabase(CSDB)forinformationaboutissuedsecurities.TheCSDBcontainsmonthly,ISINleveldataonallsecuritiesissuedintheeurosinceSeptember2013

ofwhichSHSGisasubsample.FurtherdetailsonthedataisdescribedinAppendix

A.

8Bankswhichareconsidered“significant”financialinstitutionsintheeuroareaaredirectlysupervisedbytheECB’sSingleSupervisoryMechanism(SSM)since2015insteadoft