Transcript Folie 1 - oefg.at

Comprehensive Assessment
An Austrian Supervisors’ Perspective*)
Claus Puhr
Vienna, 11 November 2014
Supervision Policy, Regulation and Strategy Division
Oesterreichische Nationalbank
*) Please note that the views expressed in this presentation
represent the author’s opinion and do not necessarily reflect
the OeNB’s or the ESCB’s or the SSM’s position
(all data used is publicly available from the EBA/ECB websites).
Comprehensive Assessment | Stress Test Scenario
The scenario is fairly similar across countries …
4
Annual GDP Growth (AT)
4
3
1.5
1.8 1.7
2
1.2
1.8
1.7
-0.4
0
-0.1
-0.2
-2
2013
2014
0.0
-1
-1.5
2015
-2
2016
-9,7
-6,7 -6,6 -7,0
4
0
0
-1
Cum. GDP Shock1)
2
1
0.3
8
6
3
2
1
Annual GDP Growth (EA)
-0.7
2013
2014
-1.4
2015
-2
-4
2016
Baseline (AT)
Adverse (AT)
Baseline (EA)
Adverse (EA)
WEO Oct. 2014 (AT)
WEO Oct. 2014 (EA)
AT
AT
EAEA
Baseline
Baseline
2)
CESEE*
EUEU CESEE
Adverse
Adverse
1)
Deviation Baseline / Forecast vs. end-2016 under the adverse scenario
2) CESEE = regional GDP-weighted average of EU member states
www.oenb.at
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Comprehensive Assessment | AQR-Impact
… but neither the AQR impact is similarly consistent …
Change of the NPE-Ratio1 during the Asset Quality Review
ÖVAG
410bp
EGB
360bp
RLB-OÖ
360bp
RLB-NÖW
320bp
BAWAG
200bp
RZB
120bp
1)
EA mean2
111bp
NPE-Ratio = Non-performing exposure divided by total exposure of those portfolios selected for the AQR
Average RWA-weighted change of the NPE-Ratio across all 130 SSM banks
-3www.oenb.at
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2)
Comprehensive Assessment | Total Impact
… nor the impact of the stress test (the result‘s main driver)
Change of the CET1-Ratio1 end-2013 to end-2016 (adverse scenario)
ÖVAG
940bp
BAWAG
600bp RLB-NÖW
570bp
EGB
360bp RLB-OÖ
350bp
1)
RZB
260bp
EA mean2
340bp
CET1-Ratio for the purpose of the stress test defined as the CRR implementation under phase-in rules
Average RWA-weighted change of the CET1-Ratio across all 130 SSM banks
-4www.oenb.at
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2)
Comprehensive Assessment | Implementation Matters
How to explain the deviations across sample-banks
 While individual scenarios are quite comparable,
this does not hold for all risk factors
 Impact is generated only indirectly via scenarios
 The current state-of-affairs as well as the past matter
(because of econometrically-modelled relative parameter shifts)
 Moreover, some risk factors are treated more punitive than others
 The static balance sheet assumption is quite restrictive
 This drives results from the extrapolation of past / obsolete costs …
 … to off-setting potential hits from FX-movements
 The stress test is conducted as a bottom-up exercise
 i.e., banks calculate their own results (subject to quality assurance)
 We observe two kinds of bias (at least for AT banks):
small banks and/or better capitalised banks produce tougher results
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Comprehensive Assessment | Interpretation Matters
How to put stress test results to good use anyhow
 EU-wide stress tests provide a lot more than headline results
 The wealth of data is overwhelming, particularly in data-scarce Europe
 This allows to put some of the shortcomings in perspective
 And allows for a differentiated assessment of bank‘s risk bearing capacity
 But be weary of stress tests‘ limitations
 The methodology is the methodology
 And consistency often trumps a more tailor-made approach
 In all likelihood, stress tests will neither uncover new risks, …
 … nor will they cover all known risks
 To conclude, stress tests are one powerful supervisory tool,
but they are – fortunately – far from the only tool
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Annex
Comprehensive Assessment | Stress Test Scenario
A comparison with past EU-wide exercises
Cumulated GDP Shock of previous EU-wide Stress Test Scenarios
(Deviation of the baseline / forecast vs. end-of-adverse-scenario GDP level, in ppt)
Source: ESRB
www.oenb.at
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Comprehensive Assessment | Overall Results
Österreichische Banken leicht unter Mittelwert
CET1-Ratios zum Ende des adversen Szenarios 2016
EA Mean1
8,4%
Hurdle rate2
5,5%
1)
Average RWA-weighted CET1-Ratio across all 130 SSM banks at the end of the adverse scenario
Minimum CET1-Ratio requirement at any stage under the adverse scenario (CRR phase-in definition)
-9www.oenb.at
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2)
Comprehensive Assessment | Detailed AT Results
AT results are driven by tough NII, CR and B3 phase-in shocks
www.oenb.at
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Comprehensive Assessment | Detailed EA Results
EA-results (RWA-weighted) more moderated in comparison
www.oenb.at
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