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Analysis of the CEBS Bank Stress Test

The stress test simulates both a deterioration of the economic environment and an
additional sovereign shock on 91 European banks, amounting to 65% of total assets of
the European market. The focus of the exercise revolves around credit and market risk
and a time-horizon of two years (until the end of 2011).
Core Tier I Capital
The minimum regulatory tier I ratio for banks supervised in the EU stands at 4%. The
stress test carried out by the CEBS fixed a threshold of tier I ratio of 6% as symbolic
benchmark. These values appear extremely low when compared to the current level of
capital sitting on banks’ balance sheet, although it should be kept in mind that the
guidelines for the assessment of capital adequacy have been considerably relaxed.
If we take a look back at 2008 and 2009, we see how 6% was close to the weakest levels
of Tier I ratio in the banking industry during a period of severe market distress, thus
giving some empirical relevance to the benchmark threshold. Regardless of nominal
values, the purpose of comparing institutions amongst each other will still be served.
The study simulates the impact of a benchmark and an adverse scenario for the Euro
zone. The first one assumes growth for 2010 and 2011 of +0.7% and +1.5%
respectively, while the latter a slowdown by -0.2% and -0.6%.
The aggregate Tier I capital ratio stood at 10.3% at the end of 2009. The materialization
of the adverse scenario would result in impairments and trading losses totaling €596 bn,
which would drive the ratio down to 9.2%. It’s worth noting that the stress test takes
into account the contribution of approximately €197 bn of government capital support.
Should we strip that out, we would see another 120bps being taken away from the
aggregate capital figure. Those funds will eventually have to be paid back to
governments, although it is not in the best interest of governments to pressure banks as
that would translate into financial stress spiraling through the economy and money
market (drying liquidity once again with obvious consequences). Although banks will be
able to refinance themselves (at least partly) on capital markets, as investment
sentiment toward the sector improves, the worst case scenario of 8% composite Tier I
capital ratio still sits well above the benchmark threshold of 6%.
Amongst the banks observed in the present analysis, none of them appeared to require
additional capital, while 7 out of the 91 banks scrutinized by the CEBS would be expected
to raise additional capital to comply with regulation.
Sovereign Debt
One of the main areas of focus of the stress test was the assessment of the banks’
exposure to sovereign debt. These holdings are either recorded as trading book or
banking book securities. The first ones, as the name suggests, are for speculative
purposes while the second ones are to be held to maturity. Consequently, the CEBS
decided to apply a haircut only to trading books. The only country who saw a haircut
applied to its debt (a 30% which is again not stressed enough in my opinion) was
Greece.
The goal of this exercise is to rank some of the banks stressed by the CEBS according to
their capital adequacy, risk of sovereign debt holdings and equity valuations.
When analyzing the capital base I simply took the number of the stress test excluding
the adjustment to the banking book and I have ranked the banks according to the
change in their Tier I capital ratio following the adverse scenario, both under a relative
and an absolute perspective. While different business models justify taking into
consideration the relative variation, given the extent of reliability in assessing default risk

1

of retail banking and investment banking products, the absolute figure still serves the
purpose of making banks comparable with each-others.
When assessing the risk of govies holdings, I have looked at market elements such as
credit rating and CDS and at economic factors such as budget deficit and debt. The
specific variables I have considered were:
Budget
-number of positive budget balance over the past 5 years
-weighted average variation of budget balance over the same period
The two numbers provide an indication of the extent and the trend to which a country
has been creating surplus or deficit over the recent past.
Debt
-most recent debt/GDP ratio
-evolution of the debt in absolute terms over the last 5 years
-evolution of the debt/GDP ratio over the last 5 years
These three variables provide information useful to discern those economies that are
more subject to liquidity shocks and those that are more flexible and efficient in terms of
growth/debt.
The weighs of these four parameters is fairly homogenous with the exception of the
credit rating (15%), which has been taken into account only for its impact on the cost of
refinancing. Despite the frequent market over reactions, I considered the CDS (25%
weigh) to be a better indicator (over time, although I have only considered the spot
value given the relatively lower volatility in spreads) of the overall credit situation of the
countries studied. The debt and budget deficit (33% and 27%) have slightly higher
impact on the overall risk assessment as they tell us more about the fundamental
economic situation. Ultimately, it’s important to remember that CDS should, at least
partially, price those variables in.
Results
The result of the country debt score was not surprising: Nordic countries clearly shine as
the strongest economies, also accompanied by Germany while the PIIGS and Eastern
Europe (the latter are the worst) come out as the obvious burden to the European
economy. It’s worth pointing out that the UK scored fairly badly as well, ranking right
above Poland, the PIIGS and Eastern Europe. France obtained a score above average, in
spite of being pressured by some of the worst budget deficit and debt situation observed.
Amongst Southern European countries, Spain scored the ranked the highest as opposed
to Portugal which was the worst.
The implications of the country risk assessment are fairly interesting. Contrary to their
poor country debt/budget score, UK banks were only second to Nordic banks due to their
extremely low local market holdings and much lower exposure to PIIGS than their peers.
Consequently to strong local market sovereign holdings by “PIIGS” banks, the other
results are strictly correlated to the country debt rankings.
Finally, when putting together both core tier I capital and sovereign/PIIGS exposure we
can finally draw the complete picture. Greek names are by far the weakest link of the
industry in terms of overall sovereign exposure. Italian banks are next for the reason
mentioned above and so are, in order, Spanish and the French ones. Nonetheless, Italian
banks such as Monte Paschi and Intesa San Paolo happen to be the two banks with the
highest PIIGS exposure to tier I capital ratio, with the exception of NBG and Pyraeus
bank. In this context, Unicredit detaches itself from the herd given its wider international
breadth. As per the rest, UK banks logically ranked best (low exposure combined with
highest tier I capital ratios) while other financial institutions had disclosed figures very
much in line with those of one another.

2

Conclusion
The assumptions used by the CEBS as the backbone of the stress test look way too
relaxed. However, it was interesting to analyze the results of the study in order to
extrapolate the capital solidity of European banks on a relative basis. The availability of
core capital as opposed to risky assets holdings has been in the spotlight for a while now
and continues to be the object of particular attention, especially given the ongoing
concerns over sovereign debt. However, as macro condition stabilizes and economic
activity remains on a path of normalization, equity valuations (as well as business model
and growth prospects) will progressively regain relevance to the eyes of existing and
potential shareholders.
Equity and credit scores hold limited relevance when taken on a standalone basis and
that’s by combining those results together that we obtain the most useful information.
For instance, the equity ranking of National Bank of Greece, which includes both
multiples and growth potential, is of all due respect (8th out of 32). That figure might
look counter-intuitive only until we take a look at the credit score of NBG. In effect, the
core capital and sovereign exposure rankings are amongst the weakest ones within the
sample analyzed, which would explain the poor equity performance, earnings
deterioration, consequent cheap valuations and relative high growth potential.
Credit and Equity scores diverge for the majority of financial institutions screened, which
implies that equity investors have already moved on a number of stocks by pricing in
banks capital position and risky exposure. This does not mean that financial institution
with strong credit scores trading at high multiples (i.e. Scandinavian banks) hold limited
upside potential, but rather that some other companies’ stocks with an equally strong
capital base are not pricing in that edge. Those names include banks such as Barclays,
Deutsche Bank. There are other names that appear as worthy investment candidates:
KBC, BNP and SocGen were, in effect, held back by their sovereign exposure. The first
one presents a high PIIGS/core tier I ratio (mostly Italian debt) and a significant
exposure to Eastern Europe while the French peers are burdened by a mix of Italian,
French and Eastern European countries’ debt (especially SocGen). Conversely, Lloyd’s
and RBS, which scored extremely well under a credit stand point, achieved low equity
rankings due to expensive multiples and not meaningful growth figures given the
constraint on earning imposed by the restructuring. It’s interesting to note that these two
banks have a net tangible book lower than the book value (besides BCPE and Nordea),
implying a negative goodwill. The price to net tangible book value of Lloyd’s and RBS,
the valuation ratio most widely used for banks, is among the lowest ones in the industry
and is backed by very solid core capital numbers.
Although I did not include UBS and Credit Suisse in the study, given their exclusion from
the stress test, a look at their capital situation and multiples reveals that quality comes
at a cost.

3

CREDIT RECAP

A
A
BEL
BEL
DEN
FRA
FRA
FRA
GER
GER
GER
GRE
GRE
GRE
IRE
IRE
ITA
ITA
ITA
NL
NL
NL
POR
POR
SPA
SPA
SPA
SWE
SWE
SWE
UK
UK
UK
UK

Erste Bank
Raiffeisen
Dexia
KBC
Danske Bank
BNP
BPCE
Socgen
Commerz
Deutsche Bank
Deutsche Postbank
EFG
NBG
Piraeus Bank
Allied Irish Bank
Bank of Ireland
Intesa
MPS
Unicredit
Abn/Fortis
ING
Rabobank
BCP
ESFG
Jupiter
BBVA
Santander
Nordea
SE Banken
Svenska
Barclays
HSBC
Lloyds
RBS

Total sov. Exposure
/ T1 capital

PIIGS /T1 capital

Govies Holding
Risk (1-10)

Govies Holding
Ranking

Tier 1 end 2009

2.22x
1.35x
3.31x
3.77x
1.65x
1.52x
1.21x
1.21x
2.51x
0.96x
3.70x
1.89x
2.70x
2.64x
1.12x
0.14x
2.35x
3.09x
2.09x
1.40x
1.37x
1.11x
0.64x
1.00x
1.37x
1.94x
0.94x
1.03x
1.36x
0.81x
0.88x
0.63x
0.17x
1.44x

0.23x
0.03x
1.48x
0.81x
0.08x
0.54x
0.24x
0.31x
0.60x
0.29x
1.52x
1.41x
2.60x
2.44x
0.64x
0.13x
2.15x
3.08x
1.04x
0.18x
0.35x
0.09x
0.31x
1.00x
1.25x
1.83x
0.85x
0.05x
0.05x
0.00x
0.16x
0.08x
0.00x
0.19x

5.11
4.86
5.27
5.31
2.80
5.22
5.20
5.48
4.41
4.42
5.10
7.55
8.17
8.16
6.04
6.75
5.97
6.05
5.13
4.23
5.11
4.36
6.73
7.47
5.76
5.79
5.92
1.94
3.18
1.54
4.17
4.78
4.74
4.63

15
13
20
21
3
19
18
23
8
9
14
33
35
34
28
31
27
29
17
6
16
7
30
32
24
25
26
2
4
1
5
12
11
10

10.4%
10.6%
13.4%
12.2%
11.7%
11.4%
10.2%
11.9%
10.5%
13.2%
7.9%
11.7%
11.7%
10.9%
9.5%
9.0%
9.8%
7.6%
10.0%
12.0%
11.2%
14.8%
9.4%
9.2%
8.8%
10.6%
11.0%
11.3%
11.8%
10.2%
15.8%
11.7%
10.8%
14.1%

Tier 1 under
adverse scenario
and govies
8.0%
7.8%
10.9%
9.4%
10.0%
9.6%
8.5%
10.0%
9.1%
9.7%
6.6%
8.2%
7.4%
6.0%
6.5%
7.1%
8.2%
6.2%
7.8%
9.9%
8.8%
12.5%
8.4%
6.9%
7.0%
9.3%
10.0%
10.1%
10.3%
8.9%
13.7%
10.2%
9.2%
11.2%

Capital Score

Capital ranking

6.29
6.61
2.07
3.91
3.71
3.48
5.44
2.76
5.80
4.22
7.71
5.69
6.56
7.24
6.81
8.36
5.09
8.87
6.16
4.62
5.56
2.12
6.54
6.96
8.57
3.71
2.73
2.71
3.63
5.51
0.30
2.71
4.04
3.21

25
28
2
13
11
9
19
7
23
15
32
22
27
31
29
33
18
35
24
16
21
3
26
30
34
11
6
5
10
20
1
4
14
8

COUNTRY DEBT SCORE

Austria
Belgium
Bulgaria
Cyprus
Czech Re
Denmark
Estonia
Finland
France
Germany
Greece
Hungary
Iceland
Ireland
Italy
Latvia
Liechstenstein
Lithuania
Luxembourg
Malta
Netherlands
Norway
Poland
Portugal
Romania
Slovakia
Slovenia
Spain
Sweden
UK

Budget
Score
12.4
11.6
2.6
9.2
14.0
1.4
6.0
1.0
16.4
9.6
19.2
17.6
-13.6
14.4
16.0
-15.6
2.2
13.6
6.4
-16.8
18.0
17.2
14.8
12.0
10.4
1.8
18.8

Debt
Score
10.5
13.9
1.8
7.5
12.5
14.1
13.6
12.0
15.8
12.5
17.9
16.3
-22.2
15.0
19.8
-16.2
16.1
11.4
15.9
-10.9
17.1
15.7
12.4
15.8
17.0
6.0
18.9

Rating
Rating
AAA
AA+
BBB
A+
A+
AAA
A
AAA
AAA
AAA
BB+
AAA
BBB
AA
A+
BB
-BBB
AAA
A
AAA
AAA
A
ABBBA+
AA
AA
AAA
AAA

CDS
Score
1
12
24
16
16
1
20
1
1
1
28
1
24
13
16
29
-24
1
20
1
1
20
23
27
16
13
13
1
1

Spread
81.1
112.1
265.7
153.9
83.8
38.3
94.3
27.8
70.4
41.4
772.5
27.8
-241.9
158.8
320.8
-234.8
--44.9
23.8
126.9
244.0
334.1
74.8
69.8
203.1
37.3
62.0

Score
12
15
23
17
13
5
14
2
10
6
26
2
-21
18
24
-20
--7
1
16
22
25
11
9
19
4
8

Total Risk Rank
Score
Rank
10.5
8
13.3
15
10.0
7
11.4
10
13.4
16
6.5
4
12.1
11
4.9
3
12.9
13
8.7
5
21.5
26
11.3
9
--18.4
22
15.7
20
20.7
25
--17.8
21
----9.1
6
0.4
1
15.0
18
19.3
23
19.8
24
13.1
14
12.5
12
15.2
19
3.7
2
14.1
17

SOVEREIGN DEBT EXPOSURE - 1/2
AUT

AUT

BEL

BEL

DEN

FRA

FRA

FRA

FRA

KBC

ACA

BNP

BPCE

SocGen

338
21'839
27
1
7'785
2
0
95
237
423
909
3'830
0
446
7'641
0
0
0
0
0
80
0
2'787
165
1
1'927
389
1'707
0
80

DANSKE BANK
52
107
0
1
20
6'851
11
1'650
887
3'166
0
47
0
655
596
1
0
80
145
0
242
1'489
97
0
0
0
0
41
6'664
3'410

58'171
44.8%
4.8%
30.2%
0.3%
6.4%
3.1%
17'553
30.2%

50'709
21.4%
0.3%
15.1%
0.9%
1.8%
3.4%
7'641
15.1%

8'822
1.35x
3.2%

17'573
3.31x
148.5%

4.86
13

5.27
20

Local currency (mln)
Austria
Belgium
Bulgaria
Cyprus
Czech Republic
Denmark
Estonia
Finland
France
Germany
Greece
Hungary
Iceland
Ireland
Italy
Latvia
Liechstenstein
Lithuania
Luxembourg
Malta
Netherlands
Norway
Poland
Portugal
Romania
Slovakia
Slovenia
Spain
Sweden
UK

Erste Bank
5'358
212
151
12
5'230
22
2
88
342
1'141
757
2'732
41
105
1'233
77
0
44
0
38
93
0
691
270
2'488
3'878
125
233
33
67

Raiffeisen
4'147
228
259
0
940
0
0
6
263
327
19
1'466
0
0
251
0
0
0
0
0
43
0
469
2
1'278
2'117
109
6
0
0

DEXIA
1'785
7'903
144
44
464
51
0
184
2'752
12'339
3'748
1'806
0
147
17'553
50
0
184
144
0
209
0
2'510
2'818
380
403
51
1'822
663
17

Total
as a % of total
Portugal
Italy
Ireland
Greece
Spain
of which local market
as a % of total

25'463
10.2%
1.1%
4.8%
0.4%
3.0%
0.9%
5'358
21.0%

11'930
2.3%
0.0%
2.1%
0.0%
0.2%
0.1%
4'147
34.8%

Tier 1 end 09
Exposure / Equity Tier 1
Exposure PIIGS / Equity Tier 1

11'486
2.22x
22.6%
5.11
15

Govies holding risk (1-10)
Rank
Elaboration on CEBS and Exane data

GER

GER

GER

Commerz
Deutsche Bank eutsche Postban
700
437
1'170
800
2
1'840
0
21
0
200
0
0
400
293
0
0
86
0
0
-8
0
200
720
0
1'300
1'353
2'595
42'800
15'732
4'206
2'900
1'092
1'337
1'200
73
37
0
-35
23
0
-69
300
10'000
8'142
4'581
100
76
40
0
0
0
300
7
0
0
1'114
0
0
0
0
500
85
798
0
2
0
4'000
990
0
1'100
-81
50
0
-108
0
500
56
0
200
-47
0
3'600
1'009
1'186
100
-56
0
2'400
1'990
0

733
3'240
0
0
2
0
0
618
25'407
731
854
240
0
929
12'347
0
0
0
3
0
2'233
28
226
1'478
110
0
1
2'286
1
1'125

829
18'670
1
21
137
572
1
218
18'041
4'705
4'937
1'424
46
571
23'005
25
0
48
374
0
12'531
55
2'532
2'505
127
29
298
3'007
86
642

0
282
0
0
119
112
0
70
34'903
81
1'185
56
0
491
6'849
0
0
0
316
0
165
0
308
198
0
124
59
113
64
0

301
1'301
153
0
6'780
0
0
35
15'105
490
4'001
233
0
453
4'931
0
0
0
1'624
0
291
15
657
376
3'009
110
326
851
0
856

26'212
4.9%
0.0%
2.3%
2.5%
0.0%
0.2%
6'851
26.1%

52'592
34.0%
2.8%
23.5%
1.8%
1.6%
4.3%
25'407
48.3%

95'437
35.7%
2.6%
24.1%
0.6%
5.2%
3.2%
18'041
18.9%

45'495
19.4%
0.4%
15.1%
1.1%
2.6%
0.2%
34'903
76.7%

41'898
25.3%
0.9%
11.8%
1.1%
9.5%
2.0%
15'105
36.1%

73'300
24.0%
1.5%
13.6%
0.0%
4.0%
4.9%
42'800
58.4%

32'876
30.7%
-0.2%
24.8%
-0.2%
3.3%
3.1%
15'732
47.9%

13'440
3.77x
80.9%

15'847
1.65x
8.2%

52'405
1.00x
34.1%

62'910
1.52x
54.1%

37'574
1.21x
23.5%

34'693
1.21x
30.6%

29'251
2.51x
60.2%

5.31
21

2.80
3

5.31
22

5.22
19

5.20
18

5.48
23

4.41
8

GRE

GRE

EFG

NBG

GRE

IRE

IRE

Piraeus Bank Allied Irish Bank Bank of Ireland
0
90
0
0
66
0
105
0
0
19
0
0
0
0
0
0
50
0
0
0
0
0
25
0
0
845
49
0
525
0
8'306
41
0
0
71
0
0
0
0
0
4'136
1'186
0
671
30
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
228
0
0
0
0
0
1'050
0
0
257
0
542
0
0
0
0
0
0
0
0
0
391
0
0
30
49
0
1'088
0

0
0
359
97
0
0
0
0
162
294
7'433
73
0
0
100
0
0
27
0
0
0
0
905
0
682
0
0
0
0
0

0
0
93
130
0
0
0
0
60
110
19'756
7
0
0
4
0
0
0
0
0
0
0
5
0
301
0
0
0
0
0

18'163
41.0%
0.3%
25.2%
1.7%
7.4%
6.5%
4'206
23.2%

10'132
74.3%
0.0%
1.0%
0.0%
73.4%
0.0%
7'433
73.4%

20'466
96.5%
0.0%
0.0%
0.0%
96.5%
0.0%
19'756
96.5%

8'972
92.6%
0.0%
0.0%
0.0%
92.6%
0.0%
8'306
92.6%

9'564
57.5%
2.7%
7.0%
43.2%
0.4%
4.1%
41
0.4%

1'314
92.5%
0.0%
2.3%
90.3%
0.0%
0.0%
0
0.0%

34'406
0.96x
29.3%

4'906
3.70x
151.9%

5'349
1.89x
140.8%

7'590
2.70x
260.3%

3'401
2.64x
244.2%

8'542
1.12x
64.3%

9'575
0.14x
12.7%

4.42
9

5.10
14

7.55
33

8.17
35

8.16
34

6.04
28

6.75
31

SOVEREIGN DEBT EXPOSURE - 2/2
Local currency (mln)
Austria
Belgium
Bulgaria
Cyprus
Czech Republic
Denmark
Estonia
Finland
France
Germany
Greece
Hungary
Iceland
Ireland
Italy
Latvia
Liechstenstein
Lithuania
Luxembourg
Malta
Netherlands
Norway
Poland
Portugal
Romania
Slovakia
Slovenia
Spain
Sweden
UK
Total
as a % of total
Portugal
Italy
Ireland
Greece
Spain
of which local market
as a % of total
Tier 1 end 09
Exposure / Equity Tier 1
Exposure PIIGS / Equity Tier 1
Govies holding risk (1-10)
Rank
Elaboration on CEBS and Exane data

ITA

ITA

Intesa

MPS

ITA

NED

50
40
0
0
0
0
0
0
434
380
828
703
0
156
63'543
0
0
0
44
0
3
0
0
0
0
3'038
177
556
0
1'069

0
3
0
3
0
0
0
0
66
0
35
0
0
3
27'756
0
0
0
0
0
0
0
1
93
6
0
0
116
7
1

Unicredit
7'738
210
414
0
1'344
2
0
40
847
19'906
801
1'535
21
80
38'832
15
0
1
0
0
103
1
6'984
186
1'064
410
410
537
13
36

71'021
91.6%
0.0%
89.5%
0.2%
1.2%
0.8%
63'543
89.5%

28'090
99.7%
0.3%
98.8%
0.0%
0.1%
0.4%
27'756
98.8%

81'530
49.6%
0.2%
47.6%
0.1%
1.0%
0.7%
38'832
47.6%

30'205
2.35x
215.5%

9'093
3.09x
308.0%

5.97
27

6.05
29

ABN/FORTIS
747
639
0
0
0
18
0
6
3'563
2'982
0
0
0
178
1'858
0
0
0
3
0
9'825
8
280
137
0
0
0
546
11
865

NED

POR

POR

SPA

SPA

SPA

SWE

SWE

SWE

ING

BCP

ESFG

BBVA

Jupiter

NORDEA

SE Banken

Svenska

927
8'819
4
24
-33
14
0
452
7'642
6'835
2'425
188
30
-50
6'443
0
0
7
0
0
4'240
0
5'056
1'773
299
171
-20
1'380
6
9

10
10
0
0
0
0
0
0
0
0
718
9
0
200
50
0
0
0
0
0
10
0
1'837
953
121
0
0
0
0
0

0
0
0
0
0
0
0
0
0
0
464
0
0
0
0
0
0
0
0
0
0
0
3
4'688
0
0
0
59
0
1

8
476
0
0
15
0
0
487
864
713
293
203
0
16
5'001
0
0
0
0
0
2
0
169
629
0
0
0
43'991
2
17

0
322
0
0
0
0
0
0
1'831
125
64
0
0
0
-31
0
0
0
0
0
0
0
0
0
0
0
0
23'981
0
0

SANTANDER
242
84
0
0
0
-2
0
-2
1'559
-461
300
0
0
9
433
0
0
0
0
0
406
-2
4
4'864
0
0
0
48'502
-2
4'413

21'666
12.5%
0.6%
8.6%
0.8%
0.0%
2.5%
0
0.0%

46'641
25.7%
3.8%
13.8%
-0.1%
5.2%
3.0%
2'425
5.2%

3'918
49.0%
24.3%
1.3%
5.1%
18.3%
0.0%
718
18.3%

5'215
99.9%
89.9%
0.0%
0.0%
8.9%
1.1%
464
8.9%

52'886
94.4%
1.2%
9.5%
0.0%
0.6%
83.2%
5'001
9.5%

26'292
91.3%
0.0%
-0.1%
0.0%
0.2%
91.2%
-31
-0.1%

39'034
2.09x
103.6%

15'481
1.40x
17.6%

34'015
1.37x
35.2%

6'102
0.64x
31.5%

5'199
1.00x
100.2%

27'255
1.94x
183.2%

5.13
17

4.23
6

5.11
16

6.73
30

7.47
32

5.79
25

UK

-3
463
0
0
0
3'958
114
3'718
-44
809
249
10
0
0
709
46
0
51
0
0
188
6'630
193
0
0
0
0
37
3'094
0

0
0
0
0
0
498
181
252
0
8'505
151
0
0
0
146
46
0
717
0
0
0
617
1
76
0
0
0
152
2'289
0

0
0
0
0
0
116
7
413
0
313
0
0
0
0
0
0
0
0
0
0
0
171
1
0
18
0
0
0
5'921
1

BARCLAYS
1'227
947
-3
1
251
90
7
573
2'233
15'516
388
172
13
15
2'233
1
0
2
-3
4
532
3'009
50
1'024
9
378
40
4'376
1'552
9'104

60'347
89.7%
8.1%
0.7%
0.0%
0.5%
80.4%
433
0.7%

20'222
4.9%
0.0%
3.5%
0.0%
1.2%
0.2%
3'094
15.3%

13'631
3.9%
0.6%
1.1%
0.0%
1.1%
1.1%
2'289
16.8%

6'961
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
5'921
85.1%

19'244
1.37x
124.8%

63'869
0.94x
84.7%

19'577
1.03x
5.1%

10'025
1.36x
5.2%

5.76
24

5.92
26

1.94
2

3.18
4

UK

UK

UK

Lloyds

HSBC

RBS

22
88
0
1
0
67
0
0
659
1'433
0
2
0
0
94
0
0
0
412
0
185
0
0
143
24
0
0
0
5
5'143

-339
1'889
0
0
0
1'158
0
334
14'295
12'904
1'499
185
0
632
4'840
0
0
0
169
266
3'597
21
531
531
0
0
158
78
0
17'053

229
1'977
0
0
169
619
0
199
16'956
20'785
2'010
70
0
4'280
3'919
0
0
0
32
0
16'263
212
149
660
422
17
0
821
696
19'934

43'741
18.4%
2.3%
5.1%
0.0%
0.9%
10.0%
2'233
5.1%

8'278
2.9%
1.7%
1.1%
0.0%
0.0%
0.0%
94
1.1%

59'800
12.7%
0.9%
8.1%
1.1%
2.5%
0.1%
4'840
8.1%

90'419
12.9%
0.7%
4.3%
4.7%
2.2%
0.9%
3'919
4.3%

8'604
0.81x
0.0%

49'637
0.88x
16.2%

47'530
0.17x
0.5%

94'647
0.63x
8.0%

62'898
1.44x
18.6%

1.54
1

4.17
5

4.74
11

4.78
12

4.63
10

CEBS STRESS TEST CAPITAL RESULTS

Actual

A
A
BEL
BEL
DEN
FRA
FRA
FRA
GER
GER
GER
GRE
GRE
GRE
IRE
IRE
ITA
ITA
ITA
NL
NL
NL
POR
POR
SPA
SPA
SPA
SWE
SWE
SWE
UK
UK
UK
UK

Erste Bank
Raiffeisen
Dexia
KBC
Danske Bank
BNP
BPCE
Socgen
Commerz
Deutsche Bank
Deutsche Postbank
EFG
NBG
Piraeus Bank
Allied Irish Bank
Bank of Ireland
Intesa
MPS
Unicredit
Abn/Fortis
ING
Rabobank
BCP
ESFG
Jupiter
BBVA
Santander
Nordea
SE Banken
Svenska
Barclays
HSBC
Lloyds
RBS

***: Fitch Rating

Tier I ratio
9.2%
9.3%
12.3%
10.9%
11.7%
10.1%
9.1%
10.7%
10.5%
12.6%
7.1%
11.2%
11.3%
9.1%
7.0%
9.2%
8.3%
7.5%
8.6%
13.0%
10.2%
14.1%
9.3%
7.7%
8.6%
9.4%
10.0%
10.2%
12.4%
9.1%
13.0%
10.8%
9.6%
14.4%

Additional govies
Adverse scenario
shock
Benchmark scenario
RWA
RWA
Tier
I
ratio
Tier
I
Tier I ratio
Tier I ratio
Tier I ratio
change
chg
ratio chg change Tier I ratio
chg
10.4%
1.3%
-2.0%
8.1%
-1.0%
17.3%
8.0%
1.2%
10.6%
1.2%
-3.4%
7.9%
-1.4%
12.1%
7.8%
1.5%
13.4%
1.1%
-6.3%
12.7%
0.4%
-6.3%
10.9%
1.4%
12.2%
1.3%
0.5%
9.8%
-1.1%
11.4%
9.4%
1.5%
11.7%
0.0%
3.5%
10.8%
-0.9%
6.5%
10.0%
1.7%
11.4%
1.2%
1.7%
9.7%
-0.4%
11.2%
9.6%
0.5%
10.2%
1.1%
1.9%
8.7%
-0.4%
12.1%
8.5%
0.6%
11.9%
1.2%
2.3%
10.2%
-0.6%
11.0%
10.0%
0.7%
10.5%
0.0%
2.9%
9.3%
-1.2%
8.2%
9.1%
1.4%
13.2%
0.6%
15.2%
10.3%
-2.3%
38.6%
9.7%
2.9%
7.9%
0.8%
-4.6%
6.7%
-0.4%
-9.7%
6.6%
0.5%
11.7%
0.5%
8.5%
10.2%
-1.0%
11.7%
8.2%
3.0%
11.7%
0.5%
4.6%
9.6%
-1.7%
5.7%
7.4%
3.9%
10.9%
1.8%
2.1%
8.3%
-0.8%
-0.7%
6.0%
3.1%
9.5%
2.4%
-40.5%
7.2%
0.2%
-39.3%
6.5%
0.5%
9.0%
-0.2%
-18.5%
7.6%
-1.5%
-17.5%
7.1%
2.1%
9.8%
1.5%
-4.6%
8.8%
0.5%
4.3%
8.2%
0.1%
7.6%
0.1%
-0.5%
6.8%
-0.7%
1.4%
6.2%
1.3%
10.0%
1.3%
2.0%
8.1%
-0.5%
4.2%
7.8%
0.8%
12.0%
-1.0%
3.4%
10.3%
-2.8%
6.0%
9.9%
3.1%
11.2%
1.0%
8.5%
9.1%
-1.2%
25.8%
8.8%
1.4%
14.8%
0.8%
6.3%
12.7%
-1.4%
19.5%
12.5%
1.6%
9.4%
0.1%
0.0%
8.4%
-0.9%
0.0%
8.4%
0.9%
9.2%
1.6%
0.0%
7.4%
-0.3%
0.0%
6.9%
0.8%
8.8%
0.1%
-3.6%
6.8%
-1.8%
-3.6%
7.0%
1.6%
10.6%
1.2%
3.7%
9.6%
0.2%
7.3%
9.3%
0.1%
11.0%
1.1%
3.0%
10.2%
0.3%
4.0%
10.0%
0.0%
11.3%
1.1%
2.1%
10.2%
0.0%
11.5%
10.1%
0.1%
11.8%
-0.6%
2.2%
10.7%
-1.7%
6.0%
10.3%
2.1%
10.2%
1.1%
3.6%
7.4%
-1.7%
10.9%
8.9%
0.2%
15.8%
2.8%
4.5%
13.9%
0.9%
9.9%
13.7%
-0.7%
11.7%
0.9%
4.1%
10.4%
-0.4%
9.5%
10.2%
0.6%
10.8%
1.2%
5.9%
9.4%
-0.3%
10.4%
9.2%
0.4%
14.1%
-0.3%
2.7%
11.7%
-2.7%
6.9%
11.2%
3.2%

Required
capital
6%
threshold
-

Score from 1-10 (the lower the
better)
Capital
Score
6.3
6.6
2.1
3.9
3.7
3.5
5.4
2.8
5.8
4.2
7.7
5.7
6.6
7.2
6.8
8.4
5.1
8.9
6.2
4.6
5.6
2.1
6.5
7.0
8.6
3.7
2.7
2.7
3.6
5.5
0.3
2.7
4.0
3.2

CDS
140
156
277
111
64
89
143
107
95
107
-702
692
610
503
284
115
181
138
-109
71
324
343
267
178
147
63
81
54
117
88
174
135

Rating
A
-A+ (***)
AA
AA
A+
A+
A
A+
ABB
BB+
BB *BBB *AA+
AA
-A
AAA
BBB+
AA
AA
AA
AAA
AAA+
AAA
A

EQUITY VALUATIONS OVERVIEW

P/E
A
A
BEL
BEL
DEN
FRA
FRA
FRA
GER
GER
GER
GRE
GRE
GRE
IRE
IRE
ITA
ITA
ITA
NL
NL
NL
POR
POR
SPA
SPA
SPA
SWE
SWE
SWE
UK
UK
UK
UK

Erste Bank
Raiffeisen
Dexia
KBC
Danske Bank
BNP
BPCE
SocGen
Commerz
Deutsche Bank
Deutsche Postbank
EFG
NBG
Piraeus Bank
Allied Irish Bank
Bank of Ireland
Intesa
Unicredit
MPS
Abn/Fortis
ING
Rabobank
BCP
ESFG
BBVA
Jupiter
Santander
Nordea
SEBanken
Svenska
Barclays
HSBC
Lloyds
RBS

2010e
12.3x
12.6x
9.2x
8.2x
18.7x
8.9x
9.8x
9.8x
18.3x
7.8x
22.8x
32.5x
9.8x
39.6x
--11.7x
15.8x
18.9x
11.9x
7.6x
-9.5x
10.3x
12.0x
8.3x
9.5x
13.1x
19.0x
12.3x
10.6x
13.9x
32.0x
157.9x

ROE
2011e
8.5x
7.1x
7.8x
7.2x
8.3x
7.6x
8.3x
7.4x
12.5x
6.9x
11.3x
11.4x
6.5x
12.2x
--8.9x
9.3x
9.6x
10.6x
5.8x
-7.9x
9.1x
9.6x
7.5x
8.2x
11.5x
12.1x
11.3x
8.2x
10.5x
10.0x
14.8x

2010e
7.5%
7.1%
6.4%
13.9%
4.5%
12.1%
7.8%
8.9%
4.9%
11.9%
3.8%
2.5%
8.8%
1.3%
--18.9%
5.4%
3.1%
3.1%
5.3%
10.3%
-5.7%
7.7%
7.2%
16.5%
12.6%
10.2%
5.2%
12.6%
7.9%
10.2%
3.7%
-1.3%

P/B
2011e
10.8%
11.4%
7.7%
14.1%
10.2%
12.4%
8.7%
10.8%
6.3%
11.8%
8.1%
7.2%
12.0%
4.9%
--5.0%
6.3%
4.3%
6.1%
5.4%
10.5%
-6.3%
7.8%
7.9%
16.8%
13.7%
11.1%
9.1%
12.7%
9.4%
12.6%
10.2%
3.7%

2010e
0.9x
0.9x
0.6x
1.0x
0.9x
1.0x
0.8x
0.8x
0.8x
0.8x
1.0x
0.7x
0.7x
0.5x
-0.8x
0.6x
0.4x
0.6x
0.6x
0.7x
-0.6x
0.7x
0.8x
1.2x
1.2x
12.3x
1.1x
1.5x
0.8x
0.9x
1.1x
0.7x

2011e
0.9x
0.8x
0.5x
0.9x
0.8x
0.9x
0.7x
0.8x
0.7x
0.8x
0.9x
0.7x
0.7x
0.5x
-0.8x
0.6x
0.4x
0.6x
0.6x
0.6x
-0.5x
0.6x
0.8x
1.1x
1.1x
11.6x
1.0x
1.4x
0.7x
0.8x
1.0x
0.7x

P/TBV
Current
1.2x
1.4x
1.0x
0.7x
1.0x
1.4x
0.6x
1.0x
1.2x
1.2x
1.7x
0.9x
1.7x
0.9x
-0.1x
1.5x
0.9x
1.2x
0.9x
0.8x
-0.7x
0.9x
1.0x
2.2x
2.2x
1.5x
1.2x
1.7x
0.8x
2.0x
0.9x
0.3x

Ranking

Score

15
12
11
1
19
8
4
5
29
3
31
26
7
27
--24
20
25
22
2
-10
13
18
9
14
21
28
16
6
17
23
30

14.6
12.9
12.8
5.3
16.6
10.9
10.4
10.4
21.0
8.7
22.2
19.4
10.9
19.9
--17.8
16.8
19.2
17.1
6.1
-11.6
13.1
15.6
11.0
13.1
17.0
20.5
14.7
10.6
15.3
17.4
21.1