Off-balance-sheet credit risk of the top 20 European commercial banks

The comparison of off-balance-sheet (OBS) credit risk of the top 20 European commercial banks indicated that loan commitments are the largest source of credit risk among traditional OBS instruments. However, the notional amounts of derivative activities make up around 95 per cent of the total OBS exposure. Here, a concentration of exposure with a small group of banks can be found. An analysis by country of origin points to national differences in the use of derivative leverage. In comparison with US commercial banks, European banks use fewer OBS activities as a multiple of on-balance-sheet assets. The disclosure and reporting by European banks regarding OBS activities varies widely and is less comparable than US activities.