Furthermore, banks have restructured their investment portfolios towards exposures with lower risk weights. However, a glance at banks’ credit portfolios also shows that there has been a shift in the borrower structure. Generally speaking, there has been a relatively strong increase in loans to financially vulnerable enterprises.
Thus, the share of loans to enterprises with low capital ratios and high interest burdens has increased over time. In addition, a lower value-at-risk for market risk in the last two years has helped boost capital ratios. Thus, a sharp rise in financial market volatility could put pressure on banks.