EBA欧洲银行-CEBS-2009-180-Annex-2-28Press-release-from-CEBS29_3页_90kb

CEBS Press Release on EU-Wide Stress Testing Results Summary

Core Content

The CEBS (Committee of European Banking Supervisors) conducted an EU-wide stress testing exercise in 2009, as mandated by ECOFIN, in collaboration with the European Commission and the ECB. The exercise aimed to evaluate the resilience of the European banking system under different macroeconomic conditions, focusing on 22 major European cross-border banking groups that account for 60% of the total assets of the EU banking sector on a consolidated basis.

Main Objectives

• To provide policy makers with enhanced aggregate information on the banking sector's resilience.
• To assess the potential impact of adverse economic conditions on the banking system.
• To ensure consistency and comparability of results across EU countries through shared scenarios, risk parameters, and guidelines.

Key Findings

Baseline Scenario

• Under the baseline scenario, reflecting current macroeconomic projections, the aggregate Tier 1 capital ratios of the 22 banks are expected to remain well above 9%, surpassing the Basel minimum requirement of 4%.

Adverse Scenario

• In the adverse scenario, which represents a severe but plausible economic shock, the potential credit and trading losses for the banks over the years 2009–2010 could reach nearly €400 billion.
• Despite these losses, the financial position of the banks is deemed sufficient to maintain an aggregate Tier 1 ratio above 8%.
• No bank in the sample would see its Tier 1 ratio fall below 6% under the adverse scenario.

Supporting Factors

• The resilience of the banking system is attributed to:
  • Recent increases in earnings forecasts.
  • Public sector support, including capital injections and asset guarantees, which have bolstered capital buffers.

Limitations and Uncertainties

• The stress test results are based on what-if scenarios and critical assumptions, which introduce uncertainty.
• The sustainability of current earnings and macroeconomic/market trends are key sources of uncertainty.
• The results are based on a sample of 22 banks, and cannot be directly extrapolated to the entire EU banking system.

Policy Response

• ECOFIN Ministers and Governors welcomed the exercise, noting that large EU banks appear sufficiently capitalised to withstand a severe macroeconomic deterioration.
• They emphasized the importance of continuing to strengthen banks' financial positions while ensuring credit availability to the economy.
• They will monitor the situation closely and may respond in a coordinated manner if necessary.

Methodology and Scope

• The stress test was based on the situation at the end of 2008, and covered the period 2009–2010.
• The exercise included:
  • An assessment of credit risks under two macroeconomic scenarios: baseline and adverse.
  • A sensitivity analysis on trading book/market risk positions using commonly agreed parameters.
• The national supervisory authorities conducted the test within their jurisdictions, and the results were aggregated by CEBS to ensure consistency and comparability.

Additional Information

• The stress test results are based on commonly agreed scenarios, ECB-provided risk parameters, and CEBS guidelines.
• Tables in the document provide detailed macroeconomic assumptions and property price changes for the baseline and adverse scenarios, offering insights into the economic conditions used for the stress test.

Conclusion

The EU-wide stress test exercise conducted by CEBS, in cooperation with ECOFIN, the European Commission, and the ECB, has demonstrated that the European banking system is resilient under adverse economic conditions. While significant losses are possible, the capital levels of the banks in the sample remain strong, supported by public sector interventions and improved earnings. The results highlight the importance of continued vigilance and support to ensure the stability of the financial system.