The net exposure of banks to sovereign debt fell 9 per cent in 2011 but then rose 9.3 per cent in the 18 months to June this year, data released by the EBA showed.

The data confirms what many already suspected – that banks, particularly in Italy and Spain, have been plowing cheap funds from the European Central Bank into buying more of their own countries’ bonds, a lucrative carry trade that has also helped ensure governments can fund their deficits at sustainable rates.

Regulators partly blame a move by banks to rein in cross-border activity and build up new liquidity buffers made up predominantly of government debt as a way of reducing risk.

But the EBA’s data – which updated core capital and holdings of sovereign debt and loans at 64 leading European banks – is likely to reinforce fears that the fortunes of the banks and the states in which they are based are still too closely intertwined.

It will also fuel a debate over whether all government debt should be treated as equally risk-free when it comes to calculating bank capital requirements.