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The European Banking Authority (EBA) launched the 2021 EU-wide stress test and released the macroeconomic scenarios. Following the postponement of the 2020 exercise, due to the COVID-19 pandemic, this year’s EU-wide stress test will provide valuable input for assessing the resilience of the European banking sector.

Accordingly, the adverse scenario is based on a narrative of a prolonged COVID-19 scenario in a ‘lower for longer’ interest rate environment, in which negative confidence shocks would prolong the economic contraction. The EBA expects to publish the results of the exercise by 31 July 2021.

Key features of the exercise.   The exercise assesses the impact of an adverse macroeconomic scenario on the solvency of EU banks. The stress test allows supervisors to assess if banks’ capital buffers, which have been accumulated in recent years, are sufficient to cover losses and support the economy in stressed times. Moreover, the exercise fosters market discipline through the publication of consistent and granular data at a bank-by-bank level, which is crucial particularly at times of increased uncertainty in the markets. The results of the exercise are an input to the Supervisory Review and Evaluation Process (SREP).

The EU-wide stress test will be conducted on a sample of 50 EU banks – 38 from countries under the jurisdiction of the Single Supervisory Mechanism (SSM) – covering roughly 70% of total banking sector assets in the EU and Norway, as expressed in terms of total consolidated assets as of end 2019.

Given the specific macroeconomic conditions caused by the COVID-19 pandemics coupled with a high degree of uncertainty, this year, the focus on the different objectives will depend on the conditions closer to the publication date. The outcome might also provide valuable input to make informed decisions on possible exit strategies from the flexibility measures granted to banks due to the COVID-19 crisis, or on the need for additional measures, should the economic conditions deteriorate further.

Key elements of the scenarios.   The baseline scenario for EU countries is based on the projections from the national central banks of December 2020, while the adverse scenario assumes the materialisation of the main financial stability risks that have been identified by the European Systemic Risk Board (ESRB) and which the EU banking sector is exposed to. The adverse scenario also reflects recent risk assessments by the EBA.

The narrative depicts an adverse scenario related to the ongoing concerns about the possible evolution of the COVID-19 pandemic coupled with a strong drop in confidence leading to a prolongation of the worldwide economic contraction. The worsening of economic prospects is reflected in a global decline of long-term risk-free rates from an already historically low level and results in a sustained drop in GDP and an increase in unemployment. Slowing growth momentum would cause a drop in corporate earnings leading, together with a re-assessment of market participants’ expectations, to an abrupt and sizeable adjustment of financial asset valuations as well as a significant drop in residential and commercial real estate prices. A decline in economic growth and rising risk premia could further challenge debt sustainability in the public and private sectors across the EU.

The adverse scenario is designed to ensure an adequate level of severity across all EU countries. By 2023, at EU level, the real GDP would decline by 3.6% cumulatively, unemployment rate would rise by 4.7 percentage points, residential real estate prices would decline by 16.1 %, and commercial real estate prices would decline by 31.2%. Equity prices in global financial markets would fall by 50% in advanced economies and by 65% in emerging economies in the first year.  The 2021 adverse scenario is very severe having in mind the weaker macroeconomic starting point in 2020 as a result of the severe pandemic-induced recession.