Visualising the EBA stress results

In July 2011, the European Banking Authority (EBA) published results of a stress test of 90 of the biggest banks in the EU.  The purpose of the stress test was to test the resilience of the banks in an “adverse but plausible” scenario to give investors good data and transparency about the stability of these banks.  The details are here http://www.eba.europa.eu/EU-wide-stress-testing.aspx

The data provided for each bank included the risk weighted assets (RWAs), core tier 1 (CT1) capital and ratios, exposures at default (EADs) to various sectors of the economy and also a breakdown of sovereign exposures by country and residual maturity.

The EBA provided a report into each bank but also thoughtfully made the raw data available.  I have mashed this up and made some visualisations using Tableau Public data visualisation software.  (See http://www.tableausoftware.com/public/ for more details).   These provide great insight into the data.

The first visualisation shows the exposures to each sovereign country.  Use the ‘bank’ selector to look at all banks or for a particular bank. You can ask questions such as “what is RBS’s exposure to sovereigns?

The second visualisation shows the exposures by bank.  Use the ‘country’ selector to look at all sovereign exposure or for a particular country.   You can ask questions such as “which banks are most exposed to Greece?”

I find this “heat map” style of visualisation useful for an “at-a-glance” overview of the data. Much of the power of the visualisation is the interactivity so I suggest that you have a play.

This next visualisation shows the the exposure to the PIIGS – the five countries that have been of most concern (Portugal, Ireland, Italy, Greece and Spain) during the credit crisis.  I have grouped the banks by their home country. Obviously banks have a lot of domestic exposure but it’s interesting to see that French, German and Belgian banks have a significant amount of Greek debt – and even more Spanish debt.

Of course, capital adequacy data as of December 2010 are very old news. A lot has happened in the year since the EBA published these results last July. Many of the banks have improved their CT1 ratios (indeed, one purpose of the stress tests was to galvanise banks into exactly this action). Bankia, a Spanish bank has been re-structured. Over the next few weeks, I will be bringing the data more up-to-date and providing more visualisations.