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Silvia Lozano Guerrero

25 November 2020
Financial Stability Review Issue 2, 2020
The increase in sovereign debt in the wake of the pandemic has renewed concerns about the developments in the euro area sovereign-bank nexus. While these interlinkages may arise through various channels, this box assesses these developments focusing on the direct exposures of euro area banks to sovereign debt securities. In 2020 to date, euro area banks increased their exposures to domestic sovereign debt securities by almost 19% in nominal amount, with some differences across countries. This increase reflects both higher issuance of government debt and some bank-specific factors, including the decision to invest the increased amount of deposits in low-risk assets. In future months, euro area banks could further increase their domestic sovereign bond exposures, also in relation to the forthcoming trajectory of government debt, though, the actual path of banks’ domestic sovereign bond exposures will depend on multiple factors at the country-level and at the institution-level. The box explores also the implications of market valuation changes in euro area banks’ sovereign bond portfolios on their capital positions. So far, the vulnerability of banks to higher sovereign debt holdings has been contained because valuation changes have been modest. But with sovereign debt positions expected to remain elevated for some time, vulnerability to valuation changes will persist and other sovereign-bank linkages could also increase.
JEL Code
G21 : Financial Economics→Financial Institutions and Services→Banks, Depository Institutions, Micro Finance Institutions, Mortgages
G28 : Financial Economics→Financial Institutions and Services→Government Policy and Regulation
H63 : Public Economics→National Budget, Deficit, and Debt→Debt, Debt Management, Sovereign Debt