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EBA Stress Test Dataset Summary

Core Content

The European Banking Authority (EBA) has published a dataset from the 2018 EU-wide Stress Test Exercise, which includes bank-by-bank data for 48 banks. The data is organized into 10 Transparency templates and is available in two CSV files: TRA_CR.csv and TRA_OTH.csv. These files contain different categories of stress test data, enabling users to analyze various aspects of bank risk and capital.

Main Points

• Purpose: The dataset is designed to help users understand and analyze bank performance under different stress scenarios.
• Data Structure: The dataset is divided into two CSV files, each representing a specific category of data:
  • TRA_CR.csv contains data related to Credit Risk.
  • TRA_OTH.csv contains Summary results, Capital, Risk exposure amount, and P&L.
• Transparency Templates: Each CSV file corresponds to one or more transparency templates, which provide detailed data for specific financial metrics.
• Data Dictionary and Metadata: Users are provided with metadata and a data dictionary to understand the structure and meaning of the data, including the possible values for each variable.
• Tools for Data Exploitation: The EBA offers practical tools such as interactive maps, Excel aggregation tools, and CSV files for analysis in any analytical software.

Key Information

• The dataset includes 8 columns for the Capital-related data:
  • Country_code: Country of the bank.
  • LEI_code: Legal Entity Identifier for the bank.
  • Bank_Name: Name of the bank.
  • Period: Time period of the data.
  • Item: Code for each variable.
  • Scenario: Code for the stress scenario.
  • Fact_char: Value of the string variable.
  • Amount: Value of the variable (numerical).
• Scenario Codes:
  • 1: Actual figures
  • 11: Restated figures
  • 2: Baseline scenario
  • 3: Adverse scenario
• CET1 Ratio - Fully Loaded:
  • The item code for the CET1 Ratio - fully loaded is 183765.
  • This can be identified by searching for the label "CET1 Ratio - fully loaded" in the Data dictionary.xlsx file.

Example of Data Use

To analyze the CET1 Ratio - fully loaded for each bank by scenario using Excel:

1. Download the CSV File: Obtain the TRA_OTH.csv file which contains capital-related data.
2. Import into Excel: Use the Text Import Wizard to import the CSV file.
3. Create a Pivot Table:
   • Set the Row Labels to Bank_Name.
   • Set the Column Labels to Period and Scenario.
   • Set the Values to Amount, and aggregate them by Sum.
   • Disable Subtotals and Grand Totals for clarity.
4. Interpret the Results: The pivot table will display the CET1 Ratio - fully loaded for each bank across different periods and scenarios, allowing for detailed analysis of capital adequacy under stress conditions.

Conclusion

The EBA Stress Test dataset provides a comprehensive resource for analyzing bank resilience and capital positions under various stress scenarios. The structured data, combined with the metadata and data dictionary, enables users to extract meaningful insights and perform in-depth financial analysis using tools like Excel.