EBA publishes 2021 stress-test draft templates

2020/11/13

The European Banking Authority (EBA) published the list of participating banks, the final methodology, draft templates and the template guidance for the 2021 EU-wide stress test, which include some changes, such as the recognition of foreign-exchange effects for certain profit and loss items and the treatment of moratoria and public guarantees in relation to the COVID-19 crisis. The exercise is coordinated by the EBA and carried out in cooperation with the European Central Bank, the European Systemic Risk Board (ESRB), the European Commission and the competent authorities from all relevant national jurisdictions. The stress-test exercise will be launched in January 2021 with the publication of the macroeconomic scenarios. Submissions of results to the EBA are expected at the beginning of April 2021, in mid-May 2021, at the end of June 2021, and, finally, in mid-July 2021, with the results to be published by 31 July 2021. As previously, the 2021 EU-wide stress test is a bottom-up exercise with constraints, including a static balance-sheet assumption. The exercise assesses the impact of adverse shocks on the solvency of banks, which are required to estimate the evolution of a common set of (credit, market, counterparty and operational) risks and to project the impact of the scenarios on the main income sources.