EBA欧洲银行-EBA-ST-2011-004-Detailed-Methodological-Note_1_51页_600kb

报告摘要

2011 EU-Wide Stress Test Summary

1. Background and Introduction

The European Banking Authority (EBA) initiated the 2011 EU-wide stress test in coordination with the European Systemic Risk Board (ESRB), the European Central Bank (ECB), and the European Commission.
The stress test is a micro-prudential exercise, designed to evaluate the resilience of the EU banking system and individual institutions under hypothetical stress events.
It is part of the broader framework for assessing the resilience of the financial sector under the European System of Financial Supervision (ESFS).
The test is conducted on a bank-by-bank basis, at the highest level of consolidation, covering all subsidiaries and branches operating in foreign countries.
The EBA provides support to banks by outlining the objectives, scope, scenarios, and common definitions and assumptions.
The exercise includes a public disclosure of bank-specific outcomes and individual follow-up actions where appropriate.

2. Objectives of the Exercise

The main objective is to assess the resilience of the EU banking system and the specific solvency of individual banks under hypothetical stress conditions.
The test focuses on credit risk and market risk, aiming to identify vulnerabilities and understand the impact of adverse economic conditions.
It supports the supervisory review process, including the ICAAP (Internal Capital Adequacy Assessment Process) and national stress tests.
The results will contribute to the definition of warnings and recommendations by the ESRB and EBA, and support the implementation of appropriate measures by individual institutions.

3. Overview and Main Features of the Exercise

3.1 Timeline

Preparatory phase: Started in the last quarter of 2010 with a review of lessons learned from the 2010 exercise.
Agreement on scenarios: Reached on 4 March 2011 with all involved parties.
Submission deadline: Banks submit results to national supervisory authorities (NSAs) before the EBA deadline of 29 April 2011.
Quality assurance: Conducted by the EBA from March to May 2011.
Endorsement and publication: Expected by the EBA Board of Supervisors in June 2011, with publication of results and disclosure of back-stop measures.

3.2 Scope of the Exercise

Sample of banks: Covers over 65% of the EU banking system total assets, and at least 50% of the national banking sectors in each Member State.
Selection criteria: Banks are included in descending order of market share by total assets in each Member State.
Consolidation: The test is conducted at the highest level of consolidation, including all subsidiaries and branches.
Risk factors tested: Credit risk, market risk, and operational risk (indirectly through capital requirements).
Exclusions: Liquidity risk is not directly assessed, but the cost of funding is considered.
Common assumptions: Static balance sheet, zero growth, and constant business mix, with some exemptions.

3.3 Time Horizon and Reference Date

The stress test is based on consolidated year-end 2010 figures for both banking and trading books.
Scenarios are applied over a two-year period (2011 and 2012).
The time horizon aligns with the CEBS/EBA Guidelines for stress testing and current practices.

3.4 Conduct of the Exercise

The EBA and ECB provide guidelines for the conduct of the stress test.
Cross-border banks are tested using internal models and granular portfolio data.
Less complex institutions use simplified stress tests based on national supervisors and ECB reference parameters.
Supervisory review: NSAs will review and challenge the results before submission to the EBA.
Consistency checks: The EBA will conduct in-depth consistency checks and peer reviews in May 2011.
Q&A mechanism: Established to support the implementation of the stress test.

3.5 Treatment of Future Regulatory Changes

Regulatory changes are only considered if they come into force during the assessment period (2011-2012).
The exercise incorporates changes from CRD III and CRD IV, but does not front-run Basel III or CRD IV provisions.
New rules affecting capital are not included in the stress test.

4. General Features of the Exercise and Scenarios

4.1 Macro-Economic Scenarios

Baseline scenario: Based on the Autumn 2010 European Commission forecast, assuming a continuation of economic recovery.
- EU GDP growth: 1.7% in 2011, 2% in 2012.
- Euro area GDP growth: 1.5% in 2011, 1.8% in 2012.
- Inflation (HICP): EU at 1.5% in 2011, 0.5% in 2012; Euro area at 1.3% and 0.6% respectively.
Adverse scenario: Composed of:
- EU shocks: Sovereign debt crisis, global negative demand shock from the US, and USD depreciation.
- Impact: Reduction of EU real GDP growth by 2 percentage points in both 2011 and 2012.
- Euro area real GDP growth would be negative (-0.5% in 2011, -0.2% in 2012).
- Inflation would be lower in the adverse scenario compared to the baseline.

4.2 Trading Book Stress Test

A detailed and granular set of market risk parameters is used, including:
- Interest rates and volatilities for major currencies (EUR, GBP, USD).
- Exchange rates and volatilities for currency pairs.
- Haircuts and volatility changes for equity and debt indices.
- Credit spreads and bid/ask spreads for liquidity assessment.
Baseline assumptions:
- Equity prices remain stable.
- European stock prices are assumed to drop by 15% in the adverse scenario.
- USD is assumed to weaken by 11% against all major non-pegged currencies.
- Short-term interest rates increase by 125 basis points.
- Long-term euro area sovereign bond yields increase by 75 basis points.
Commodity prices: A 5% transitory shock is assumed for all commodities, which does not affect the macro-economic scenario.
Market risk parameters: Derived from a satellite multi-equation model, calibrated to the macro-economic scenarios.
Stressed parameters: Set at the 25th/75th percentile of the density forecast.
Impact on trading income: Shocks are applied instantaneously to trading book positions as of 31 December 2010.
Distribution of impact: The resulting shock is equally distributed between 2011 and 2012 results for presentation purposes.

4.3 Securitisation Transactions

The treatment of securitisation transactions is included in the stress test, focusing on losses on securitisations.
These are considered under credit risk and market risk frameworks.

4.4 Profit and Loss (P&L) and Capital

P&L adjustments: Include impacts from interest rate shocks, loan losses, and securitisation losses.
Capital considerations: The test includes the impact of sovereign stress on funding costs and the evolution of deferred tax assets.
Government support measures: Considered as part of the capital adequacy assessment.
Pay-out: Assessed in the context of the stress scenarios.
RWA (Risk-Weighted Assets): Calculated under both credit and market risk, including securitisation positions.

5. Key Assumptions and Methodologies

The test assumes a static balance sheet and zero growth over the two-year horizon.
Consolidation perimeter: Defined by the CRD regulation.
Elimination of insurance activities: Done from both the balance sheet and P&L.
Data sources: Relies on ECB and EBA guidelines, as well as internal models and simulations.
Benchmark parameters: Used for consistency and comparison across institutions and countries.
Peer review: Conducted in May 2011 with participation from NSAs, ESRB, and ECB.
Transparency: Bank-specific results are disclosed publicly, with follow-up actions where necessary.

6. Conclusion

The 2011 EU-wide stress test is a comprehensive exercise designed to evaluate the resilience of the EU banking system under various macro-economic and market stress conditions.
It includes credit risk, market risk, and operational risk considerations.
The test is conducted at the highest level of consolidation and involves rigorous review and challenge by national supervisors.
The results are used to inform supervisory actions, capital planning, and risk management strategies.