EBA欧洲银行-2014-04-29-Sovereign-bond-haircuts_1页_225kb
报告摘要
EU Wide Stress Test 2014 - Valuation Haircuts for Sovereign Exposures
核心内容概述
本文档提供了欧盟2014年、2015年和2016年压力测试中对各国主权债务的估值折扣（valuation haircuts）数据。这些估值折扣反映了在不利情景下，主权债务的潜在贬值幅度，用于评估银行在极端市场条件下的资本充足性。
主要观点
- 估值折扣是基于主权债务的信用利差（credit spread）变化来计算的。
- 估值折扣随时间的增加而增加，表明长期债务在不利情景下贬值幅度更大。
- 不同国家的估值折扣存在差异，主要与各自的信用状况、市场流动性及经济基本面相关。
- 对于某些国家（如Estonia和Luxembourg），由于缺乏可交易的主权债务，采用插值或平均方法确定估值折扣。
关键信息总结
各国估值折扣（2014-2016）
2014年
| 国家 | 3M | 1Y | 2Y | 3Y | 5Y | 10Y | Over 10Y |
|---|---|---|---|---|---|---|---|
| Belgium | 0.2% | 0.9% | 1.8% | 2.9% | 6.3% | 12.8% | 23.7% |
| Bulgaria | 0.3% | 0.6% | 1.8% | 3.3% | 6.5% | 14.1% | 14.1% |
| Czech Republic | 0.2% | 0.7% | 1.9% | 2.7% | 6.6% | 12.8% | 24.6% |
| Denmark | 0.2% | 0.5% | 1.2% | 2.2% | 4.7% | 12.5% | 21.4% |
| Germany | 0.2% | 0.6% | 1.2% | 2.0% | 4.4% | 10.2% | 19.6% |
| Croatia | 0.3% | 0.8% | 1.9% | 3.2% | 6.6% | 13.4% | 13.4% |
| Ireland | 0.2% | 1.0% | 1.8% | 3.3% | 5.8% | 13.4% | 13.4% |
| Greece | 0.4% | - | - | - | - | 20.5% | 31.3% |
| Spain | 0.3% | 1.0% | 1.9% | 3.2% | 6.5% | 14.3% | 26.0% |
| France | 0.2% | 0.9% | 1.6% | 2.8% | 6.0% | 13.0% | 24.2% |
| Italy | 0.3% | 1.2% | 2.3% | 3.6% | 7.6% | 15.7% | 28.0% |
| Cyprus | 0.0% | 0.0% | 0.1% | 0.5% | 1.7% | 4.7% | 4.7% |
| Latvia | 0.2% | 0.5% | 1.4% | 2.3% | 5.3% | 10.9% | 10.9% |
| Lithuania | 0.1% | 0.5% | 1.1% | 1.8% | 3.9% | 8.1% | 8.1% |
| Luxembourg | 0.2% | - | - | - | - | 14.2% | 14.2% |
| Hungary | 0.4% | 1.7% | 2.6% | 4.2% | 8.0% | 16.4% | 22.9% |
| Malta | 0.3% | 1.0% | 1.8% | 2.9% | 6.1% | 12.6% | 20.5% |
| Netherlands | 0.2% | 0.8% | 1.4% | 2.0% | 5.0% | 11.6% | 22.1% |
| Austria | 0.2% | 0.8% | 1.2% | 2.1% | 5.2% | 12.0% | 25.5% |
| Poland | 0.3% | 1.0% | 2.3% | 3.5% | 7.0% | 14.2% | 19.5% |
| Portugal | 0.2% | 0.9% | 1.4% | 2.9% | 6.9% | 15.4% | 24.3% |
| Romania | 0.2% | 0.9% | 1.7% | 3.0% | 5.5% | 12.7% | 12.7% |
| Slovenia | 0.3% | 1.1% | 2.3% | 4.0% | 8.0% | 14.1% | 14.1% |
| Slovakia | 0.3% | 0.8% | 1.9% | 3.4% | 5.9% | 14.6% | 25.0% |
| Finland | 0.2% | 0.8% | 1.6% | 2.2% | 4.5% | 11.4% | 21.6% |
| Sweden | 0.2% | 0.7% | 1.6% | 2.3% | 5.2% | 13.5% | 26.2% |
| United Kingdom | 0.2% | 0.9% | 1.4% | 2.4% | 5.3% | 11.8% | 23.9% |
2015年
| 国家 | 3M | 1Y | 2Y | 3Y | 5Y | 10Y | Over 10Y |
|---|---|---|---|---|---|---|---|
| Belgium | 0.2% | 0.8% | 1.4% | 2.2% | 4.7% | 9.4% | 17.5% |
| Bulgaria | 0.2% | 0.5% | 1.4% | 2.5% | 4.8% | 10.3% | 10.3% |
| Czech Republic | 0.2% | 0.5% | 1.4% | 1.9% | 4.6% | 8.7% | 17.2% |
| Denmark | 0.1% | 0.4% | 0.9% | 1.7% | 3.4% | 9.0% | 15.7% |
| Germany | 0.1% | 0.5% | 0.9% | 1.5% | 3.2% | 7.3% | 14.2% |
| Ireland | 0.2% | 0.8% | 1.4% | 2.5% | 4.2% | 9.7% | 9.7% |
| Greece | 0.2% | - | - | - | - | 12.5% | 20.3% |
| Spain | 0.2% | 0.6% | 1.2% | 2.0% | 4.1% | 9.0% | 17.1% |
| France | 0.2% | 0.7% | 1.3% | 2.1% | 4.4% | 9.4% | 17.8% |
| Italy | 0.2% | 0.8% | 1.5% | 2.4% | 5.0% | 10.4% | 19.2% |
| Cyprus | 0.2% | 0.7% | 1.2% | 2.0% | 3.8% | 7.9% | 7.9% |
| Latvia | 0.1% | 0.3% | 0.8% | 1.3% | 3.1% | 6.5% | 6.5% |
| Lithuania | 0.1% | 0.3% | 0.7% | 1.1% | 2.4% | 5.0% | 5.0% |
| Luxembourg | 0.2% | - | - | - | - | 10.2% | 10.2% |
| Hungary | 0.3% | 1.5% | 2.3% | 3.6% | 6.6% | 13.3% | 18.4% |
| Malta | 0.2% | 0.8% | 1.4% | 2.2% | 4.4% | 9.1% | 14.9% |
| Netherlands | 0.1% | 0.6% | 1.0% | 1.4% | 3.4% | 7.9% | 15.3% |
| Austria | 0.1% | 0.6% | 0.9% | 1.5% | 3.6% | 8.2% | 17.9% |
| Poland | 0.3% | 0.8% | 1.9% | 2.8% | 5.4% | 10.8% | 15.1% |
| Portugal | 0.1% | 0.2% | 0.5% | 1.1% | 3.1% | 7.5% | 12.5% |
| Romania | 0.2% | 0.6% | 1.2% | 2.1% | 3.7% | 8.6% | 8.6% |
| Slovenia | 0.2% | 0.7% | 1.3% | 2.4% | 4.7% | 8.6% | 8.6% |
| Slovakia | 0.2% | 0.7% | 1.5% | 2.7% | 4.5% | 11.1% | 19.0% |
| Finland | 0.1% | 0.6% | 1.1% | 1.6% | 3.0% | 7.7% | 14.9% |
| Sweden | 0.2% | 0.5% | 1.1% | 1.6% | 3.5% | 9.0% | 18.0% |
| United Kingdom | 0.2% | 0.7% | 1.1% | 1.8% | 3.9% | 8.4% | 17.4% |
2016年
| 国家 | 3M | 1Y | 2Y | 3Y | 5Y | 10Y | Over 10Y |
|---|---|---|---|---|---|---|---|
| Belgium | 0.2% | 0.9% | 1.7% | 2.6% | 5.3% | 10.5% | 19.2% |
| Bulgaria | 0.3% | 0.6% | 1.6% | 2.9% | 5.4% | 11.5% | 11.5% |
| Czech Republic | 0.2% | 0.6% | 1.6% | 2.2% | 5.2% | 9.7% | 18.8% |
| Denmark | 0.2% | 0.6% | 1.1% | 2.0% | 4.1% | 10.4% | 18.1% |
| Germany | 0.2% | 0.6% | 1.2% | 1.9% | 4.6% | 10.6% | 19.5% |
| Ireland | 0.2% | 0.9% | 1.6% | 2.9% | 4.8% | 10.8% | 10.8% |
| Greece | 0.3% | - | - | - | - | 13.4% | 21.4% |
| Spain | 0.2% | 0.8% | 1.4% | 2.4% | 4.6% | 10.0% | 18.7% |
| France | 0.2% | 0.8% | 1.5% | 2.5% | 5.1% | 10.6% | 19.5% |
| Italy | 0.2% | 0.9% | 1.8% | 2.7% | 5.6% | 11.4% | 15.8% |
| Cyprus | 0.2% | 0.9% | 1.4% | 2.3% | 4.4% | 8.9% | 8.9% |
| Latvia | 0.1% | 0.4% | 1.1% | 1.7% | 3.7% | 7.6% | 7.6% |
| Lithuania | 0.1% | 0.5% | 0.9% | 1.5% | 3.0% | 6.1% | 6.1% |
| Luxembourg | 0.2% | - | - | - | - | 11.4% | 11.4% |
| Hungary | 0.4% | 1.7% | 2.5% | 3.9% | 7.2% | 14.2% | 19.5% |
| Malta | 0.2% | 0.9% | 1.6% | 2.5% | 5.0% | 10.1% | 16.3% |
| Netherlands | 0.2% | 0.7% | 1.3% | 1.7% | 4.0% | 9.1% | 17.2% |
| Austria | 0.2% | 0.8% | 1.1% | 1.8% | 4.2% | 9.3% | 19.9% |
| Poland | 0.3% | 0.9% | 2.0% | 3.0% | 5.7% | 11.4% | 15.8% |
| Portugal | 0.1% | 0.4% | 0.7% | 1.5% | 3.7% | 8.7% | 14.2% |
| Romania | 0.2% | 0.8% | 1.4% | 2.4% | 4.3% | 9.7% | 9.7% |
| Slovenia | 0.2% | 0.7% | 1.6% | 2.7% | 5.4% | 9.6% | 9.6% |
| Slovakia | 0.3% | 0.8% | 1.8% | 3.1% | 5.1% | 12.2% | 20.6% |
| Finland | 0.2% | 0.8% | 1.4% | 1.9% | 4.2% | 9.0% | 16.9% |
| Sweden | 0.2% | 0.6% | 1.3% | 1.8% | 3.9% | 9.9% | 19.5% |
| United Kingdom | 0.2% | 1.0% | 1.4% | 2.2% | 4.6% | 9.7% | 19.5% |
特殊说明
- Estonia：由于没有可交易的主权债务，采用Slovakia和Slovenia的平均估值折扣。
- Luxembourg：由于缺乏可交易的主权债务，采用插值方法确定估值折扣。
- Greece：在2014年和2016年中，部分时间段没有可交易的债务数据，采用插值方法。
总体趋势
- 估值折扣整体呈上升趋势，尤其是长期债务（如10Y和Over 10Y）。
- 2016年的折扣普遍高于2015年和2014年，表明市场对主权债务的担忧有所加剧。
- 不同国家的折扣差异较大，反映了各自信用状况和市场环境的不同。
展开完整摘要
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