EBA欧洲银行-2016-EU-wide-stress-test-Haircuts-on-AFS-FVO-sovereign-exposures_1页_203kb
报告摘要
Haircuts on AFS / FVO Sovereign Exposures Summary
Core Content
This document provides a detailed overview of haircuts applied to sovereign exposures for various countries, categorized by time horizons (3M, 1Y, 2Y, 3Y, 5Y, 10Y, and Over 10Y). Haircuts represent the percentage reduction in the market value of sovereign debt instruments due to credit risk and market conditions. The data is divided into two main components: total haircuts and haircuts due to specific factors, namely swap rate changes and sovereign spread over swaps.
Key Information Overview
Total Haircuts (Percent of Market Value)
| Country | 3M | 1Y | 2Y | 3Y | 5Y | 10Y | Over 10Y |
|---|---|---|---|---|---|---|---|
| Austria | 0.10 | 0.30 | 0.90 | 1.80 | 4.10 | 7.80 | 15.20 |
| Belgium | 0.10 | 0.30 | 1.20 | 2.10 | 4.40 | 8.60 | 13.90 |
| Bulgaria | 0.10 | 0.60 | 1.30 | 2.20 | 4.30 | 8.30 | 14.40 |
| Cyprus | 0.10 | 0.70 | 1.40 | 2.10 | 4.90 | 7.60 | 7.60 |
| Czech Republic | 0.00 | 0.00 | 1.60 | 2.30 | 3.70 | 8.70 | 17.50 |
| Denmark | 0.10 | 0.20 | 1.40 | 2.10 | 4.10 | 7.70 | 19.40 |
| Finland | 0.10 | 0.30 | 0.90 | 1.50 | 3.90 | 7.40 | 13.10 |
| France | 0.10 | 0.20 | 1.00 | 1.80 | 4.20 | 7.90 | 14.10 |
| Germany | 0.10 | 0.20 | 0.80 | 1.50 | 3.60 | 7.20 | 12.60 |
| Greece | 0.20 | 1.90 | 3.90 | 5.50 | 11.90 | 18.30 | 25.90 |
| Hungary | 0.30 | 1.30 | 2.30 | 4.30 | 7.60 | 14.10 | 18.40 |
| Ireland | 0.10 | 0.60 | 1.20 | 2.30 | 4.70 | 9.20 | 18.80 |
| Italy | 0.10 | 0.50 | 1.60 | 2.80 | 6.50 | 11.70 | 19.40 |
| Latvia | 0.10 | 0.30 | 1.10 | 1.70 | 4.20 | 8.30 | 13.30 |
| Lithuania | 0.10 | 0.30 | 1.10 | 1.90 | 4.40 | 8.70 | 14.60 |
| Luxembourg | 0.10 | 0.80 | 1.70 | 2.40 | 4.00 | 8.10 | 12.10 |
| Malta | 0.10 | 0.30 | 1.00 | 1.60 | 3.90 | 7.80 | 11.70 |
| Netherlands | 0.10 | 0.30 | 1.00 | 1.60 | 3.90 | 8.00 | 14.00 |
| Poland | 0.10 | 0.40 | 2.30 | 3.60 | 8.60 | 15.00 | 19.10 |
| Portugal | 0.10 | 0.40 | 1.60 | 3.60 | 6.90 | 13.20 | 21.60 |
| Romania | 0.20 | 0.80 | 1.80 | 3.20 | 6.20 | 10.40 | 20.60 |
| Slovakia | 0.10 | 0.30 | 1.10 | 1.90 | 4.30 | 7.90 | 12.00 |
| Slovenia | 0.10 | 0.40 | 1.80 | 3.00 | 5.90 | 11.00 | 22.60 |
| Spain | 0.10 | 0.50 | 1.70 | 2.90 | 5.80 | 11.30 | 17.80 |
| Sweden | 0.00 | 0.10 | 0.90 | 1.90 | 4.50 | 9.20 | 16.60 |
| United Kingdom | 0.10 | 0.30 | 1.10 | 1.60 | 3.30 | 6.10 | 12.40 |
| Australia | 0.00 | 0.50 | 1.00 | 2.30 | 3.60 | 4.00 | 4.30 |
| Canada | 0.00 | 0.60 | 1.90 | 4.10 | 6.30 | 10.60 | 9.60 |
| China | 0.00 | 0.40 | 0.60 | 0.70 | 0.80 | 1.00 | 1.00 |
| Hong Kong | 0.00 | 0.10 | 0.60 | 1.90 | 3.10 | 4.30 | 8.50 |
| Japan | 0.00 | 0.10 | 0.20 | 0.40 | 0.50 | 0.40 | 1.30 |
| Switzerland | 0.00 | 0.40 | -0.50 | 0.20 | 0.90 | 3.20 | 1.80 |
| U.S. | 0.00 | 0.20 | 2.40 | 6.00 | 9.70 | 20.40 | 23.50 |
Main Points
1. Haircuts by Time Horizon
Haircuts increase with longer time horizons, indicating higher perceived risk over time. For example:
- Short-term (3M): Haircuts are generally low, ranging from 0.00% to 0.20%.
- Medium-term (1Y to 5Y): Haircuts rise, with some countries like Greece and Portugal showing significant values (up to 11.90% and 13.20% for 5Y).
- Long-term (10Y and Over 10Y): Haircuts are the highest, with countries like Greece and Portugal reaching up to 25.90% and 21.60% respectively.
2. Country-Specific Haircuts
- Estonia: No marketable sovereign debt, so no haircuts provided. The average of Slovakia and Slovenia is used instead.
- Switzerland and Japan: Some time horizons show negative haircuts, which may indicate that the market value is higher than the nominal value due to favorable conditions.
- U.S.: Shows the highest haircuts for long-term instruments, with Over 10Y at 23.50%.
3. Factors Influencing Haircuts
- Swap Rate Changes: Haircuts due to swap rate changes are generally lower than total haircuts, with some countries showing negative values.
- Sovereign Spread Over Swaps: Haircuts due to changes in sovereign spread over swaps are more significant, especially for longer maturities. For example, in Portugal, the 10Y haircut due to this factor is 8.40%, while the total is 13.20%.
4. Interpolation Method
Where no specific debt instrument is available to derive a valuation haircut, the relevant haircuts are interpolated from available data. This is noted for Estonia and some other countries.
Conclusion
The document illustrates the varying levels of haircuts applied to sovereign debt exposures across different countries and time horizons. It highlights the importance of credit spread shocks and swap rate fluctuations in determining the haircut percentages. The use of interpolation and averaging for countries with incomplete data underscores the complexity of valuing sovereign exposures in the absence of direct market instruments. Overall, the data reflects a nuanced approach to risk assessment in sovereign debt markets.
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