EBA欧洲银行-2016-EU-wide-stress-test-Presentation-to-analysts_20页_1mb

报告摘要

2016 EU-wide Stress Test Summary

Core Content

The 2016 EU-wide stress test was conducted by the European Banking Authority (EBA) to assess the resilience of the EU banking sector to hypothetical adverse economic shocks. The test aimed to provide transparency and foster market discipline by evaluating how major EU banks would perform under a severe economic downturn. It was not a pass/fail exercise but served as input for the 2016 Supervisory Review and Evaluation Process (SREP) to inform Pillar 2 capital guidance and other supervisory measures.

Key Features

Objective: Assess the resilience of the EU banking sector and major banks to macroeconomic shocks.
Use: Provide input for SREP to determine capital requirements and supervisory actions.
Approach: Bottom-up exercise using a common constrained methodology, including static balance sheet assumptions and standardised scenarios.
Sample: 51 banks from 15 EU and EEA countries, with 37 from the Single Supervisory Mechanism (SSM) countries and 14 from other regions.

Adverse Scenario Overview

A 3-year macroeconomic downturn was simulated, with EU real GDP growth deviating by 3.1% in 2016, 6.3% in 2017, and 7.1% in 2018 from baseline levels.
The scenario included:
- Residential and commercial real estate price shocks
- Foreign exchange rate shocks in Central and Eastern Europe
- Interest rates, FX rates, stock prices, inflation, and swap rates as defined variables.
The EU GDP growth was -1.2%, -1.3%, and 0.7% for the three years, respectively.

Key Results

Transitional CET1 capital ratio fell from 13.2% in 2015 to 9.4% in 2018, a decrease of 380bps.
Fully loaded CET1 capital ratio decreased from 12.6% in 2015 to 9.2% in 2018, a drop of 340bps.
Capital depletion:
- Transitional: €269bn
- Fully loaded: €226bn
EU aggregate Return on Regulatory Capital (RoRC) dropped from 6.5% in 2015 to nearly zero by 2018, driven by:
- 500bps reduction in Net Interest Income (NII)
- 270bps increase in impairments
- 180bps decline in market risk income

Impact on Risk Exposure Amounts

Total Risk Exposure Amount (TREA) increased by 10% in 2018 compared to 2015.
Credit risk:
- IRB approach REA: +11%
- Securitisation REA: +133%
- Standardised Approach REA: +2%
Market risk REA: +25%
Operational risk REA: +7%

Impact on Leverage Ratio

Transitional leverage ratio dropped from 5.2% in 2015 to 4.2% in 2018, a 100bps decline.
Four banks fell below the 3% minimum leverage ratio under the adverse scenario (seven on a fully loaded basis).
The decline was solely due to reduced Tier 1 capital, while leverage exposure remained constant.

Credit Risk Impact

Cumulative credit losses in the adverse scenario reached €349bn, causing a -370bps impact on the CET1 ratio.
Net impairments on financial assets increased to €131bn, a 107% rise from 2015.
The highest credit losses were observed in non-corporate exposures, not owed by corporate entities.

Market Risk Impact

Market risk P&L impact over 2016-2018 was -€148bn, or -160bps.
2016 adverse market risk losses (HFT, FVO, hedging, CCR, CVA) were -€53bn, compared to €47bn in 2015.
The scenario included instantaneous losses followed by subdued trading income over the next three years.

Sovereign Exposures

Net direct exposure to sovereigns was €2,600bn across all accounting portfolios.
AFS and FVO exposures accounted for 55% of total sovereign exposure.
Credit spread and interest rate risk losses (after hedging) were 3.4% of total exposures.

Non-Interest Income and Expenses

NFC and dividend income decreased by €15bn or -8% from 2015 to 2018.
Administrative and operating expenses were floored at 2015 levels.
Cost projections could fall below 2015 if one-off expenses were approved in 2015.
Restrictions on distributions may also lead to lower income if banks failed to meet combined buffer requirements.

Use in SREP

The results were used to stack capital requirements and determine reaction functions for supervisory actions.
The stacking order was illustrated, showing the relationship between capital requirements and the stress test outcomes.

Disclosure and Transparency

The EBA provided bank-level and aggregate results comparable to the 2014 stress test, with additional transparency.
Over 16,000 data points were disclosed, including:
- Full database of results
- Individual bank-level results
- Graphic and interactive tools for analysis