Cross-border loans of the 61 biggest European banks

Published: 07-04-2020| Version 1 | DOI: 10.17632/k63trwdfmk.1
Contributors:
Patty Duijm,
Dirk Schoenmaker

Description

The database contains cross-border exposures (as a % of total exposures) to individual countries for the 61 largest European banks over the years 2010-2015. Getting a complete overview of the cross-border positions of European banks is challenging, as there are no regular reporting standards for banks’ foreign exposures split by country. One option is to focus on banks’ foreign subsidiaries. This may however lead to a significant underestimation of a bank’s foreign activities, especially since European banks conduct around half of their foreign activities vis branches. With this dataset we aim to provide a more complete picture of banks' cross-border exposures and collected the data ourselves from public sources. We collected the data for the 61 largest European banks. These banks together represent around two-third of total European banking assets. The 61 banks together invest in 138 different countries (the countries are presented by their ISO2 codes). Data on cross-border exposures are primarily obtained from annual reports, and, when needed, supplemented with data stemming from the public EBA stress tests conducted in 2011 and 2013, and CRD IV country-by-country reporting.Due to the absence of a standard reporting format some assumptions and simplifications had to be made. First of all, the majority of banks report their foreign exposures in loans or assets, but some banks use the net income as the reporting unit. As we are especially interested in banks’ credit exposures to other countries, we had an order of preference for exposures reported in i) loans; ii) assets; and iii) net income. Second, we aimed for cross-border exposures at the country level as for our analysis we link home and host country characteristics. However, sometimes only information on banks’ exposures to a group of countries (e.g. Western Europe) or continents (e.g. Asia) was available. In those cases, we simply reported the exposures to groups of countries or continents (see columns EN-EX in the database). Third, the data collection resulted in an almost complete overview of the foreign exposures of the 61 European banks. For only a small portion of foreign exposures (3.6% of the total foreign exposures or 1.1% of the total assets) we do not know to which region or country these belong . This is the case when banks report their remaining foreign exposures as “other” without mentioning the countries belonging to this group (here we used "in-sample" estimation). Note that it also happens that a bank reports about its cross-border exposures quite granular for one year (i.e. exposures to multipe individual countries), and the subsequent year only reports the total exposures to "rest of europe" and "america". In those cases information from the years with granular information is used to make assumptions about the other years' cross-border exposures.

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