EBA欧洲银行-2011-07-15-Technical-background-note-to-Disclosure-templates_7页_232kb

2011 EU-wide Stress Test Technical Summary

Introduction

The 2011 EU-wide stress test results are disclosed in two formats: aggregate and individual bank-by-bank. This includes:

• An overview of results under baseline and adverse scenarios.
• Institution-specific data on credit exposures and sovereign exposures.

All disclosures are based on pre-defined EBA templates, which are consistent across all participating banks. Banks and supervisors may not alter the templates unless agreed with the EBA. Additional information or clarifications should be provided outside the templates by the banks or their national supervisory authorities.

Structure of the Disclosure Templates

There are six templates used for disclosing institution-specific results:

1. "0 - Summary": Provides high-level information on the stress test outcomes under the adverse scenario, including capital shortfalls and planned mitigating measures.
2. "1 - Aggregate information": Contains detailed results for both 2011 and 2012, including:
   • Losses and capital changes.
   • Impact of mitigating measures.
   • Evolution of provisions, coverage ratios, and loss rates.
3. "2 - Capital composition": Details the composition of capital as of 31 December 2010, including Core Tier 1 capital elements.
4. "3 - Mitigating measures": Lists all mitigating measures a bank has implemented or plans to implement, including those not permitted by the stress test methodology.
5. "4 - EADs": Breaks down credit risk exposures by regulatory portfolios and geographies.
6. "5 - Sovereign exposures": Provides a detailed breakdown of exposures to central and local governments, including maturity, accounting portfolios, and derivatives.

All figures are reported in million EUR and are published in EUR only, with conversions based on ECB exchange rates as of 31 December 2010.

General Principles of Disclosure

• The stress test is based on a static balance sheet and stable business mix assumption.
• Exemptions are allowed for:
  • Mandatory restructuring plans agreed with the EU Commission.
  • Publicly disclosed legal agreements or plans before 30 April 2011.
• Results are presented with and without the effects of mitigating measures, particularly those publicly announced and fully committed before 31 December 2010.
• Section D of the "1 - Aggregate information" template includes other mitigating measures, such as countercyclical provisions or divestments, which are not yet finalised.
• The EBA does not take responsibility for errors or discrepancies in the data, which are the responsibility of the banks and their national supervisors.

Credit Risk Exposures

• The "4 - EADs" template provides a full overview of credit risk exposures as of 31 December 2010.
• Exposures are broken down by:
  • Regulatory portfolios (as per EBA definitions, not necessarily matching national practices).
  • Geographies, with breakdowns for exposures equal to or exceeding 5% of total exposures.
• Securitisation exposures and counterparty credit risk may be included in the "Total exposures" column.
• LTV ratios for real estate portfolios are reported on a best effort basis, with definitions provided in footnotes. These ratios are considered a useful indicator of portfolio quality despite potential inconsistencies.

Sovereign Exposures

• The "5 - Sovereign exposures" template covers direct and indirect exposures to central and local governments.
• It includes:
  • Cash debt securities (gross direct long exposures).
  • Derivatives (net positions at fair value).
  • Net direct positions (gross long positions net of cash short positions, usually in the trading book).
• The methodology for stress testing net direct positions is outlined in the EBA Methodological note, and these positions are floored to zero to avoid negative values.
• Offsetting is allowed only for cash short positions, which affects the total net direct sovereign exposures.
• The EBA's definition of sovereigns includes only central and local governments, while BIS includes general government, central banks, and multilateral development banks.

Differences with BIS Data

• The EBA's sovereign exposure data should not be confused with the BIS public sector foreign claims data.
• Key differences include:
  • Reporting population: BIS includes more banks.
  • Position type: EBA reports net direct positions, while BIS reports gross positions.
  • Risk basis: EBA uses immediate borrower basis, while BIS uses ultimate risk basis.
  • Consolidation: EBA reports claims of the bank's own jurisdiction, while BIS may report claims of non-bank entities.
  • Currency: EBA uses EUR, BIS uses USD.
  • Derivatives treatment: EBA includes net fair value of derivative positions, while BIS may not.

Additional Notes

• Countercyclical provisions and similar reserves can be reported in the "Profit and Loss" section if allowed by national legislation.
• The EBA's haircut approach applies only to fair valued debt securities, not to amortised cost securities.
• Banks may disclose their true economic positions outside the EBA templates, which aim for a consistent and conservative approach.