Page 40 - Ekonomija i Biznis_septemvri 2016.indd

BANKING

replaced by assets and liabilities of portfolios, as well as the losses which
similar nature. This assumption is too arise from the operational risks. The
restrictive if one considers that the be- banks included in the test, according
havior of banks in real circumstances to the data published by EBA, reported
of macroeconomic shocks changes that they have an aggregate average
drastically. Another restrictive assump- weighted rate of return on capital of
tion is that the methodology excludes 6.5% at the end of 2015. This level of re-
the effects which can be achieved with turn is significantly below the cost for
management of bad portfolios, that is, the capital (8% – 10%) assessed by the
it ignores any measures that can be un- banks as a long-term sustainable rate of
dertaken for reduction of the already return. Actually RoRC is assessed as a
undertaken risks. Hence, when one an- ratio of the net profit/loss of the banks
alyzes the test results, these should be for the year and the regulatory Tier 1
carefully interpreted. capital (netted for the appropriate de-
ductions and transitional adjustments
The effect of the negative scenario

The test shall be followed by a period where the ECB together
with the natural regulators shall discuss on the test results
with each bank individually and will trace the future activities
related to the capital plans which should provide their appropri-
ate capitalization

shows that the CET 1 indicator drops related to the implementation of CRD
to a level of 9.4%, that is, 3.8 percent- IV/CRR). In addition, one should also
age points, compared to the initial CET consider the losses from the exposures
1 indicator before the test. The CET 1 in derived financial instruments (deriv-
fully loaded ratio, which considers the atives), which are also identified in the
effects of the implementation of the Report as a source of losses, particu-
requirements of CRD IV/CRR, reduces larly in banks, which have significant
from 12.6 % to 9.2 %. The reduction of exposures in such portfolios of complex
the capital adequacy, same as in the financial instruments.
previous tests, is mostly affected by
the effects of materialization of the as- The test shows an aggregate increase
sumed additional credit risk (349 billion of the exposure to risk of 10% in the
Euros). The effect of the operational negative scenario. Most of this expo-
risks is quantified as 105 billion, while sure, approximately 2/3, arises from
the market risks within all portfolios the portfolios to which the so called
are assessed as an amount of 98 billion IRB approach of credit risk modeling is
Euros. The average leverage ratio in applied. The remaining part belongs to
this scenario reduces from 5.2% to 4.2%. market risks (25%) and operational risks
The impact of capitalization is partially (7%).
neutralized with the income before res-
ervations for losses. The test showed the greatest capital
exhaustion in the Italian bank Banca
The report indicates that the low Monte dei Paschi di Siena, where the
profitability remains one of the most SET 1 indicator in the negative scenario
critical problems and a source of con- shows a fall of as much as 14 percentage
cern for the European banks. This is points, that is, after the performed test,
particularly critical, if one considers the bank enters the negative solvency
the context of the surrounding of low zone considering that the SET 1 is -2,23
interest rates, the high losses which %. This bank, expecting the exception-
arise from the damage of the credit ally bad test results, before their very
publication announced that it is plan-

40 September 2016