EBA欧洲银行-Presentation-to-Analysts_15页_718kb

Summary of the 2011 EU-Wide Stress Test

Core Content

The 2011 EU-Wide Stress Test was conducted by the European Banking Authority (EBA) to assess the resilience of a large sample of EU banks (90 institutions in 21 countries) against an adverse macroeconomic scenario. The test aimed to evaluate the banks' capital positions, particularly focusing on the Common Equity Tier 1 (CT1) ratio, using a 5% CT1 threshold as a strong benchmark. It also emphasized transparency in bank disclosures, including sovereign risk, to enhance market confidence and comparability across institutions.

Main Objectives

• Assess resiliency: Evaluate the ability of EU banks to withstand a severe but plausible macroeconomic downturn.
• Enhance transparency: Provide unprecedented disclosure of financial and business risks, including sovereign risk, to support market confidence.
• Support supervisory action: Offer a tool for national supervisors to assess prudential risks in a pan-EU context and take timely remedial measures.

Key Outcomes

Without 2011 Capital Raising

• 20 banks had a CT1 ratio below 5%
• EUR25bn capital deficit was observed in institutions below the 5% CT1 threshold
• 14 banks fell within the 5%–6% CT1R range
• CT1R dropped from 8.9% to 7.4%

With 2011 Capital Raising

• 8 banks had a CT1 ratio below 5%
• EUR2.5bn capital deficit was observed
• 16 banks fell within the 5%–6% CT1R range
• CT1R decreased from 8.9% to 7.7%

CT1R Trends

• The CT1R trend showed a decline for all banks under the adverse scenario.
• Top 30 banks were more affected than bottom 60 banks, with significant variations in how they managed the stress.
• Mitigating measures were crucial in improving CT1R for the top banks, while the bottom banks showed less improvement.

Challenges and Remedial Measures

• Significant challenges remain for all EU banks due to adverse sovereign conditions.
• National supervisors were required to request remedial action plans from banks with CT1R below 5% by 15 October 2011, with implementation by end-2011.
• Banks with CT1R above but close to 5% were also required to submit plans, with full implementation by 15 April 2012.
• The EBA was to review these plans and issue reports in February and June 2012.

Key Financial Indicators

• Net interest income fell below the 2009 level due to rising funding costs outpacing asset yields.
• Impairment provisions amounted to approximately EUR400bn for 2011–12 in the adverse scenario, similar to the 2009 crisis peak.
• Default rates varied significantly across banks and were influenced by macroeconomic scenarios and the EBA's guidance on sovereign and financial institution exposures.
• Risk-weighted assets (RWA) increased by 14% in the adverse scenario, primarily due to higher Internal Ratings-Based (IRB) risk weights for defaulted assets and securitization.

Sovereign Exposures and Impairment Recognition

• The EBA issued guidance in June 2011 on how to assess sovereign and financial institution exposures, particularly in the banking book.
• PD (Probability of Default) for sovereigns was set at 36.15%, based on rating agencies' corporate rating migration matrices.
• LGD (Loss Given Default) was set at 40%, leading to an expected loss (EL) of 15%.
• Greek sovereign debt totaled EUR98bn at the end of 2010, with 67% held by home-country banks.
• Ireland and Portugal also had significant sovereign debt held by their home-country banks (61% and 63%, respectively).

Conclusion

The 2011 EU-Wide Stress Test highlighted the vulnerability of EU banks to adverse macroeconomic conditions, particularly in the context of sovereign risk. It provided a comprehensive assessment of capital resilience, risk dispersion, and funding challenges, while emphasizing the importance of transparency, supervisory action, and remedial measures to strengthen the financial system. The EBA's role was crucial in setting standards and guiding national supervisors in addressing these challenges.