EBA欧洲银行-EBA-ST-2011-003Overview-of-2011-EBA-EU-wide-stress-test_8页_186kb

Summary of the EBA 2011 EU-wide Stress Test

Core Content

The European Banking Authority (EBA) conducted the 2011 EU-wide stress test as part of the European System of Financial Supervision (ESFS), in coordination with the European Systemic Risk Board (ESRB), the European Central Bank (ECB), and the European Commission. The test aimed to evaluate the resilience of the EU banking system and individual institutions under adverse macro-economic conditions. It was designed to be micro-prudential, focusing on a bottom-up approach to ensure consistency and conservatism across the EU.

Main Objectives

• To assess the resilience of banks to hypothetical stress events.
• To evaluate the solvency of individual institutions under specific restrictive conditions.
• To align with the principles of the CEBS/EBA Guidelines for stress testing.
• To incorporate regulatory changes that would be in effect during the 2011-2012 period.

Sample of Banks

• The stress test included over 65% of the EU banking system's total assets.
• It covered at least 50% of the national banking sectors in each EU Member State.
• The scope was based on consolidated assets as of the end of 2010.

Risk Factors and Scope of Consolidation

• The focus was on credit and market risks under adverse economic conditions.
• Trading and banking book assets, including off-balance sheet exposures, were subject to stress at the highest level of consolidation.
• Insurance activities were excluded from both the balance sheet and the P&L.
• Sovereign risk was specifically addressed with a sovereign shock applied to the trading book.

Scenarios

• The stress test used baseline (Annex 1) and adverse (Annex 2) macro-economic scenarios.
• These scenarios spanned the period 2011–2012.
• Stressed market parameters were applied directly to the trading book positions.
• Some parameters were adjusted to be more directional to better reflect market volatility.

Assumptions and Methodology

• A static balance sheet was assumed, with zero growth and constant business mix.
• Defaulted assets were not replaced, leading to a reduction in the balance sheet.
• No workout of defaulted assets was assumed, keeping the portfolio constant but increasing the proportion of defaulted assets.
• Regulatory transitional floors (e.g., from Basel I to Basel II) were considered, with the EBA collecting data on capital ratios with and without these effects until December 2012.

Capital and Regulatory Considerations

• Capital changes were expected due to profit or loss after tax and gradual decrease of Tier 2 instruments.
• Regulatory changes (e.g., CRD III) were incorporated where applicable, using scaled increases in RWA based on the latest Quantitative Impact Study (QIS) results.
• Legally binding restructuring plans were to be included in the assessment, with banks required to provide detailed information on their impact.

P&L and Impairment Calculations

• Impairments were to be computed for both defaulted and non-defaulted assets.
• RWA forecasts reflected defaulted/impairment flows and new regulatory parameters.
• Net commission income and administrative costs were kept constant at 2010 levels, unless affected by restructuring plans.
• Dividend pay-out ratios were based on 2010 levels or the median of the last three years under adverse scenarios.

Trading Book and Market Risk

• All trading book exposures were to be evaluated at fair value under stress scenarios.
• Gains and losses were calculated from the difference in fair value before and after shocks.
• Total gains and losses from the trading book were deducted from net trading income.
• RWA on market risk was assumed stable (based on 2010 levels), except for regulatory changes and restructuring plans.

Hedging and Funding

• Hedging positions were to be rolled-over without changes in strategy.
• Increased costs of hedging (e.g., higher CDS premiums) were to be reflected in the P&L.
• Funding needs were considered stable, with no changes to the funding structure.
• Interest rates on both wholesale and retail funding were to increase in line with the macro-economic scenarios.

Conclusion

The 2011 EU-wide stress test was a comprehensive exercise designed to ensure financial stability and systemic resilience across the EU banking sector. It incorporated macro-economic and market risk scenarios, regulatory changes, and conservative assumptions to provide a robust and consistent assessment. The results were subject to quality control, peer review, and final review by the EBA's Board of Supervisors in early June 2011.