L'OCDE se félicite des stress tests européens
Faisant suite à leur publication le mois passé, l’OCDE se félicite maintenant des résultats des stress tests des banques européennes. Elle publie ainsi 13 pages de synthèse intégrant définition et tableaux de résultats.
Dans ses conclusions, elle y mentionne que : « This study has shown that most of the sovereign debt is held on the banking books of banks, whereas the EU stress test only considered their small trading book exposures. Sovereign debt held in the banking book cannot be ignored however. »
The results of this exercise appear quite encouraging. Tier 1 capital rises strongly in the benchmark due to very solid earnings growth (e.g. with a steep yield curve) and there are declining impairment charges. In the worse case adverse scenario banks suffer impairment and trading losses including sovereign haircuts amounting to â‚¬565bn over the 2 years, but fortuitously earnings over that same period amount to â‚¬509bn, so the net impact on capital (assuming no dividends) is a mere â‚¬59bn. The aggregate Tier 1 ratio falls only from 10.3 % for the 91 banks to 9.2% in the adverse scenario, and mainly because the risk-weighted assets rise (the 4 notch credit quality decline in securitisation ratings causes risk weightings of the asset to increase).
At the individual bank level only 7 banks see their Tier 1 capital ratio move below a level of 6% set for the exercise in the adverse case. Banks appear to be resoundingly resilient in Europe. If the macro scenario is closer to the benchmark central case, then the aggregate Tier 1 capital ratio would rise to 11.2%—a very happy state indeed.
via Blundell-Wignall, A. and P. Slovik (2010), â€œThe EU Stress Test and Sovereign Debt Exposuresâ€, OECD Working Papers on Finance, Insurance and Private Pensions, No. 4, OECD Financial Affairs Division, www.oecd.org/daf/fin