(Editor's Note: This report was republished on Aug. 5 to include chart 10 in the Appendix.)
Key Takeaways
- The 101 banks that participated in the EBA and ECB's stress tests generally performed well under assumptions that were tougher than the last exercise in 2018.
- For many, this will support regulatory acceptance of their shareholders' distribution plans after the ECB's recent removal of its 2020 prohibition of such payments.
- Banks that fared less well could face tougher regulatory capital requirements and guidance; though this would typically mean that only a desired capital return may be curtailed.
- We don't expect the results of the stress tests, including possible capital return, to have a rating impact, as our ratings typically already incorporate a forward-looking expectation of a moderate reduction in capital ratios.
The latest EU bank stress tests suggest the vast majority of European banks should remain comfortably profitable during 2021-2023, even if they have to make significant top-ups to credit provisions. While structural profitability may still prove vulnerable under certain scenarios, the banks are showing improved resilience overall.
At this point, we don't expect the results of the stress tests, including possible capital return, to lead us to change ratings on any of the banks that were tested. While we will dig deeper into the results on individual banks and discuss the results with management, we saw no major surprises in the results. Our ratings typically already incorporate a forward-looking expectation of a moderate reduction in capital ratios as distributions restart.
The European Banking Authority (EBA) published the results of its 2021 stress test exercise on Friday, July 30. The publication covered 50 banking groups from 15 countries in the EU and Norway, and between them cover broadly 70% of the region's banking sector by total assets. The European Central Bank (ECB), as supervisor of the largest eurozone banks, carried out a parallel stress exercise on a further 51 banks and also announced the results on July 30.
Following the end of the post-Brexit transition period, U.K. banks were excluded from the exercise for the first time. However, the Bank of England (BoE) performs its own annual stress tests, and will publish bank-by-bank results for this year's exercise in the fourth quarter, having already published some high level results in its recent Financial Stability Report. The level of disclosure by the EBA and ECB varies: EBA data are granular at an entity level (providing a similar level of disclosure to the recent Fed DFAST exercise and what we expect from the BOE's reporting of its stress exercise); by contrast, the ECB results are high level at the entity level.
The primary objective of the exercise was to assess EU banks' resilience to adverse economic developments, notably under an assumed downturn of European economies over 2021-2023. It also provided information on banks' expected evolution under a base-case scenario, which remains of interest given the uncertainty surrounding the pandemic's full impact on the quality of banks' loan books, additional provisioning needs, profitability prospects in an environment of ultra-low rates, and banks' ability to build up capital organically--or at least preserve it. As such, the exercise forms the central pillar of regulatory stress testing and can have a direct impact on regulatory decisions on the related banks. It is supplemented by other supervisory tools that examine potential resilience, not least the growing body of climate and sustainability-focused stress testing and supervisory enquiry (see Climate Risk Vulnerability: Europe’s Regulators Turn Up The Heat On Financial Institutions).
The appendix to this report includes a list of banks and their high-level results. In addition to the comfortable profitability for most of the banking system, the testing shows weak aggregate profitability of close to a 5%-6% return on equity (ROE), with no improvement even by 2023. The average capital ratio drifts upward through 2023 despite a 50% dividend assumption as capital growth exceeds the rise in risk-weighted assets (RWAs).
Under the adverse case, the EBA and ECB exercises show similar aggregate results: a larger reduction in capital ratios than in the 2018 exercise (a drawdown of about 5% vs. 4% before), but a similar end point of 10% common equity tier 1 (CET1). Taking into account that the 2021 scenario assumptions were tougher than in 2018 and banks' starting point capital ratios were higher, system resilience improved over the past three years. As before, though, individual banks' results showed wide variations around the average. The main drivers of depleted profitability were, in order, spiking loan losses, trading losses, and shrinking net interest income (NII). Rising, procyclical RWAs also contributed significantly to the modelled depletion in capital ratios.
The outcome accords with two other reference points:
- The EBA's mid-2020 desktop "vulnerability assessment" of 86 banks, which showed a 5.7% drawdown after stress, leaving aggregate CET1 at 8.8%. The 2020 adverse scenario was similar to that in 2021, but the banks generally fared better in the 2021 exercise thanks to higher starting point capital ratios (buoyed in large part by their dividend retention in 2020).
- The high-level aggregate results from the 2021 BOE exercise, which showed a 5.8% drawdown after stress, leaving aggregate CET1 at 10.4%.
The results also align with our sectoral view in many respects. In general, and under a base case of returning economic growth, weak structural profitability is a greater risk to European bank credit quality than that of a severe capital depletion post-pandemic due to persistent high credit losses. Regulatory capital ratios are already quite high and are unlikely to deteriorate severely. Furthermore, as the adverse case outcome shows, already weak pre-provision profitability could still deteriorate markedly. This would further undermine bank resilience since it then quickly exposes bank capital when credit losses rise. Finally, the risk of coupon stoppage for additional tier 1 (AT1) instruments is not theoretical: the EBA said that 22 of the 50 banks triggered constraints on coupon distributions under the adverse case.
We expect few adverse consequences from the exercise. The EBA and ECB have both been keen to highlight the greater resilience shown by the sector relative to the 2018 exercise, and only two banks in the EBA study fell below their minimum capital requirements under the adverse case, of which one was marginal. The greatest relevance for the banks is rather that regulators will use the results to help guide their decision on whether to approve the likely flood of requests for shareholder distribution they will receive in the coming weeks and months. Indeed, the ECB has expanded its scope to increase capital "guidance" for banks that showed large drawdowns under the adverse scenario.
Tough But Realistic Stress Assumptions
The results of any stress test need to be viewed in the context of the underlying assumptions and methodology.
In common with the 2016 and 2018 exercises, the EBA/ECB methodology maintained assumptions which would be unlikely to hold true in reality--for example, a static balance sheet, no corrective management action beyond dividend and AT1 coupon cessation (if capital ratios fell below the applicable overall capital requirement), and no workout or cure of Stage 3 exposures. It also assumed no release of Stage 3 provisions, no decline in the aggregate coverage of Stage 1 credits, highly constrained assumptions on trading and other fee income, and more besides. These constraints were used to help ensure consistency across banks, but they also provide a somewhat unrealistic outcome.
The EBA and ECB used the same baseline and adverse scenarios, having published them at the start of 2021. (For simplicity we describe them as the "EBA scenario" below.) The EBA baseline scenario reflected the expectations at the time of the national central banks: a three-year cumulative expansion of economic activity of almost 11% in the EU, which followed the sharp economic downturn in 2020 linked to the pandemic. Although six months have passed since then, we see the baseline scenario as still quite closely aligned with our economists' current expectations, albeit the EBA was more bearish on unemployment prospects (see charts 1 and 2).
Chart 1
Chart 2
The EBA adverse scenario was an undeniably tough one that assumed European economies would drop back into recession for at least 2021 and 2022, and in some cases also 2023. The protracted economic contraction leads to an even higher spike in unemployment, a sharp correction in financial and real estate markets, higher risk premiums and wider differences in premiums across eurozone countries. This adverse scenario differs from the BOE's adverse scenario (which was similarly published at the start of 2021), notably on the pandemic's effect on economic activity in the years to come. While the EBA's scenario depicts a gradual but persistent economic contraction, the BoE assumes a bigger shock in 2021 but then a marked recovery in later years --more "W"-shaped in nature if one includes 2020 also (see chart 3). This leads to a different unemployment profile (chart 4). Assumptions on peak-to-trough decline of residential housing prices nevertheless appear tougher in the BoE stress test (see chart 5).
Chart 3
Chart 4
Chart 5
We previously criticized the assumptions in the EBA's 2016 and 2018 stress test exercises. First, under the adverse stress the assumptions were, on average, nowhere near as severe as those we apply in our risk-adjusted capital framework (RACF). Under our RACF, we consider that a RAC ratio of 8% indicates that a bank should have sufficient capital to withstand a substantial stress scenario in developed markets. We describe such an 'A' rating stress as a scenario in which GDP could decline by as much as 6%, unemployment could reach up to 15%, and stock market value could drop by up to 60% (see "S&P Global Ratings Definitions," published Jan. 5, 2021). By contrast, the 2016 and 2018 adverse cases were more consistent with a more moderate 'BB' or 'BBB' level of economic stress. Second, in these previous exercises significant differences in the level of stress applied to each EU economy, making it an uneven assessment of resilience.
We consider that the 2021 exercise came closer to assessing a level of stress commensurate with the RACF given that it envisages a moderate downturn in 2021-2023 that follows the sharp regionwide and global downturn in 2020. Bank financials have undoubtedly benefited significantly from the extensive fiscal support deployed in 2020, but the negative impact of weaker emerging asset quality will, in our view, remain apparent in 2021 even under the base case, and a deeper or stalled economic recovery could severely amplify the subsequent corporate and household insolvencies. In our view, the 2021 exercise also shows better consistency in the country-by-country assumptions under the adverse scenario for the stress period (2021-2023 in this study). We note, however, moderate differences here, and some economies shrunk much more than others in 2020, leading to a different starting point (chart 1).
Pre-provision Profitability Remains The Achilles' Heel For Many
While we remain mindful of the limitations of the EBA exercise's assumptions and methodological constraints, the aggregated and granular disclosures together provide an instructive picture, in our view.
The baseline scenario provides some insight on what could happen to bank profitability and capital ratios between now and 2023. In chart 6, we compare modeled 2023 pretax profit relative to that for 2020. It is unsurprising to see a much lower level of credit impairment charge, given the sectorwide spike in 2020, and an overall marked rise in sector pre-tax profit as a result. The stand-out takeaway is rather the erosion of NII in the assumed persistent ultra-low interest rate environment. The methodology constrained banks in the benefit they could assume from reducing operating expenses, but nevertheless in such a weak revenue environment, bank management may need to accelerate and deepen plans to redesign operational process, improve digital customer service proposition, and find efficiencies. A handful of banks' CET1 capital ratios fall under the baseline scenario, but the declines were modest in nature.
Chart 6
Chart 7
The adverse scenario has its biggest impact in 2021, when modelled sectorwide credit losses jump from an already elevated €73 billion in 2020 to €160 billion. Combined with an assumed severe negative impact on revenues, this pushes the sector to a pretax loss of €167 billion. A 7% average rise in RWAs amplifies the capital depletion, dragging the system average fully loaded CET1 capital ratio to 11.2% from 15.0%.
Arguably, the more revealing effect is what happens in 2022 and 2023. Bank profitability remains affected by still-elevated credit loss impairments, but sector average capital ratios continue to slide, to 10.2% by 2023. This is partly due to a further rise in RWAs (on average 12% higher in 2023 than 2020), but also to weak preprovision profitability. In chart 7, we compare 2023 pretax profit drivers with those for 2020--the slide in NII is self-evident. The methodology is hugely conservative since the static balance sheet assumption assumes that management in effect sits on its hands despite the multi-year downturn--in reality, they would attempt to control asset exposure and take deeper actions to address cost bases. Still, in a competitive environment, interest margins and other revenues are much harder for management to control, meaning that the modelled NII impact could be a fair modelled outcome. As a result, we see these results (including the base case) as confirming our view that some European banks' main weakness is their ability to generate enough revenue to amply cover their cost bases.
Looking at the bank-by-bank results, we see the usual diverse range of outcomes in terms of the effect on capital ratios (see chart 8). For any bank that saw a large drawdown in its capital ratio, it is valuable to understand the drivers. However, investor interest tends to center on banks with the lowest trough ratios, shown in the dark blue columns in our chart. The EBA said that 22 banks showed modelled breaches in their overall capital requirement. This would trigger restrictions in the distributions that they could make to shareholders and to holders of AT1 instruments, but that is unsurprising in the context of the severe stress scenario. It serves as a reminder of the regulatory purpose of AT1 instruments: to assist loss absorption when banks come under pressure.
Chart 8
Two banks (HSBC Continental Europe (HSBCCE) and Monte dei Paschi) showed rather more severe breaches in their supervisory review and evaluation process (SREP) CET1 requirement. We note though for HSBCCE this was marginal; the constraining assumptions would have played a role (such as not taking into account the now-agreed sale of its French retail business), and the entity remains part of a strong banking group.
More positively, and by definition, more than half the banks had trough CET1 ratios above the 10% average, indeed sometimes far above it. Among the best performers were banks that were already comfortably profitable again by 2022, despite there being no meaningful economic recovery through end-2023. They include diverse names such as Santander, DNB, SEB, BBVA, Bankinter, and Pekao.
Improved But Still Partial Disclosure From The ECB Exercise
The ECB exercise mirrors that undertaken by the EBA, in terms of methodology and in many ways also in terms of the results it showed. Positively, the ECB provided data on the 51 banks for the first time. However, its disclosures lack detailed entity-level data. For example, it aggregated banks in clusters within predefined stressed CET1 and leverage ratio thresholds.
As chart 9 shows, there were wide variances in the impact on bank capital ratios under the adverse scenario. For the banks at the bottom of this grid, those with the lowest capital ratios, the ECB didn't explain how far the CET1 ratios dropped below the 8% threshold. Nevertheless, some of the banks have independently issued press releases to explain the detailed outcomes. We conclude, for example, that, not least in view of their "B" grade rating level, some of the leading Greek banks showed reasonable resilience, doubtless aided by the efforts they made in recent years to tackle legacy nonperforming assets (NPAs). (Alpha, Eurobank, Piraeus, and NBG reported end-2023 fully loaded CET1 ratios of 8.3%, 7.6%, 6.5%, and 6.4%). The banks have continued to make NPA sales since the start of 2021, and Piraeus also raised capital.
Chart 9
No Formal Pass Or Fail: A Dividend Green Light For Some, More Serious Consequences For Others
As before, there was no formal pass or fail capital threshold under the base or adverse stress, and therefore no predetermined route for regulators to follow. Still, the outcome will inform regulatory decisions in the following areas:
- Despite the ECB's recent decision to rescind the sectorwide dividend ban it imposed in Spring 2020, banks that performed poorly are likely to struggle to win regulatory approval to pay material dividends, or else their dividend plans could be constrained. By contrast, banks that showed good results could use this to back-up any request to make distributions to shareholders.
- The poorest-performing banks could be compelled to take remedial action to bolster resilience. In practice, we don't expect capital-raising to follow these results, with the exception of Monte dei Paschi (not rated). In recent years, the Italian authorities took several actions to enhance the bank's solvency, but it remains exposed to higher structural risks than the rest of its peers. For this reason, it was no surprise that Monte dei Paschi showed by far the weakest results under stress (emergent transitional CET1 ratio of 0.3%). Indeed, the bank is already committed to an up to €2.5 billion capital increase to be completed by April 2022.
- For all banks, the exercise informs the SREP used to set entity-specific capital requirements. If banks showed materially weaker or stronger data and risk governance than supervisors expected, this could lead the regulators to adjust their pillar 2 requirement (P2R). Banks that show weaker modelled resilience to stress could see changes in their Pillar 2 guidance (P2G). In both cases, banks could see a rise (or fall) in minimum capital they are likely to hold, but the consequences of a future breach differ. (Unlike P2R, P2G sits above the level of "required" capital, so a breach of this would not increase the risk of these banks facing mandatory restrictions of coupon payments on hybrids. (Chart 10 in the appendix contains a graphical explanation.)
- The outcome of the exercise may help to inform authorities' future decisions with regard to the withdrawal of the flexibility measures granted to help banks navigate through the pandemic, or by contrast, inform on the need to take additional measures should economic conditions deteriorate further.
No Immediate Rating Impact, But Plenty To Ponder
We will further evaluate the bank-specific comprehensive disclosures from the EBA stress test in the coming days, but at first sight the results do not appear to challenge our view of the creditworthiness of the rated banks in their sample. Furthermore, our ratings typically already incorporate a forward-looking expectation of a moderate reduction in capital ratios as distributions restart. We will nevertheless dig deeper into the results on individual banks, discuss the results with management including the effect of material constraints in the methodology, and consider whether each banks' modelled resilience (or lack of it) and earnings resilience accords with our own credit view.
Entity-level disclosures from the ECB stress test were less granular than those published by the EBA. For these banks, we will discuss the results with these institutions as part of our ongoing surveillance.
Related Criteria
- S&P Global Ratings Definitions, published Jan. 5, 2021
- Risk-Adjusted Capital Framework Methodology, July 20, 2017
- Banks: Rating Methodology And Assumptions, Nov. 9, 2011
Related Research
- Climate Risk Vulnerability: Europe’s Regulators Turn Up The Heat On Financial Institutions, Aug. 2, 2021
- Credit Conditions Europe Q3 2021: Late-Cycle Redux, June 29, 2021
- Fed Stress Test Results Give Banks Room To Release The Capital They Built Up During The Pandemic, June 28, 2021
- Economic Outlook Europe Q3 2021: The Grand Reopening, June 24, 2021
- As Near-Term Risks Ease, The Relentless Profitability Battle Lingers For European Banks, June 24, 2021
- European Banks' 2021 Stress Test Contemplates A Tough Adverse Macroeconomic Scenario, Feb. 1, 2021
- Bulletin: U.K. Bank Rating Actions Won't Wait For The Bank of England's 2021 Stress Test Results, Jan. 20, 2021
- 2018 EU Bank Stress Test: Harsher Macro Assumptions And IFRS 9 Will Raise The Bar For Some Banks, Oct. 31, 2018
- Europe's Stress Test Results Show That Most Rated Banks Improved Their Resilience, Aug. 1, 2016
Appendix
Table 1
| Selected Metrics For Banks In EBA Stress Test Exercise 2021 | ||||||||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Starting point Dec-2020 | Adverse scenario | |||||||||||||||||||||||||
| Bank | CET 1 ratio (%) | Total Capital ratio (%) | CET1 SREP capital (%) | Total SREP capital (%) | Overall capital (CET1 element) (%) | Overall capital requirement (%) | Lowest CET1 ratio (2021-23, %) | Lowest total capital ratio (2021-23, %) | SREP CET1 headroom (bps) | SREP total capital headroom (bps) | OCR CET1 headroom (bps) | OCR Total capital headroom (bps) | ||||||||||||||
| ABN AMRO Bank N.V. | 17.7 | 23.7 | 5.6 | 10.0 | 9.6 | 14.0 | 13.5 | 19.4 | 788 | 937 | 387 | 536 | ||||||||||||||
| AIB Group plc | 15.6 | 20.8 | 6.2 | 11.0 | 9.7 | 14.5 | 8.8 | 13.8 | 261 | 285 | -89 | -65 | ||||||||||||||
| Banca Monte dei Paschi di Siena S.p.A. | 9.9 | 13.5 | 6.2 | 11.0 | 8.8 | 13.6 | (0.1) | 3.4 | -629 | -757 | -892 | -1,020 | ||||||||||||||
| Banco Bilbao Vizcaya Argentaria S.A. | 11.7 | 15.9 | 5.3 | 9.5 | 8.6 | 12.8 | 8.7 | 12.7 | 335 | 322 | 10 | -3 | ||||||||||||||
| Banco BPM S.p.A. | 13.2 | 17.2 | 5.8 | 10.3 | 8.4 | 12.9 | 7.0 | 10.7 | 125 | 44 | -139 | -219 | ||||||||||||||
| Banco Comercial Português, SA | 12.2 | 15.6 | 5.8 | 10.3 | 8.8 | 13.3 | 8.1 | 11.4 | 231 | 116 | -75 | -190 | ||||||||||||||
| Banco de Sabadell S.A. | 12.0 | 15.9 | 5.8 | 10.3 | 8.5 | 13.0 | 6.5 | 10.4 | 77 | 11 | -198 | -265 | ||||||||||||||
| Banco Santander S.A. | 11.9 | 15.7 | 5.3 | 9.5 | 8.9 | 13.0 | 8.6 | 12.4 | 331 | 291 | -20 | -60 | ||||||||||||||
| Bank of Ireland Group plc | 13.4 | 18.0 | 5.8 | 10.3 | 9.3 | 13.8 | 8.1 | 12.6 | 228 | 236 | -122 | -114 | ||||||||||||||
| Bank Polska Kasa Opieki SA | 16.4 | 18.4 | 4.5 | 8.0 | 7.8 | 11.3 | 15.2 | 17.1 | 1,068 | 914 | 743 | 588 | ||||||||||||||
| Bankinter, S.A. | 12.3 | 15.0 | 5.2 | 9.2 | 7.7 | 11.7 | 11.1 | 13.8 | 589 | 460 | 339 | 210 | ||||||||||||||
| Bayerische Landesbank | 15.9 | 18.2 | 5.6 | 10.0 | 8.6 | 13.0 | 10.0 | 12.0 | 433 | 198 | 132 | -104 | ||||||||||||||
| Belfius Banque SA | 16.4 | 19.6 | 5.6 | 10.0 | 9.6 | 14.0 | 13.7 | 16.6 | 803 | 663 | 403 | 262 | ||||||||||||||
| BNG Bank N.V. | 33.4 | 39.4 | 5.8 | 10.3 | 9.3 | 13.8 | 23.5 | 29.1 | 1,774 | 1,884 | 1,424 | 1,534 | ||||||||||||||
| BNP Paribas | 12.6 | 16.0 | 5.2 | 9.3 | 9.2 | 13.3 | 8.2 | 11.2 | 301 | 193 | -101 | -209 | ||||||||||||||
| Caixa Geral de Depósitos, SA | 18.2 | 20.9 | 5.8 | 10.3 | 9.0 | 13.5 | 15.2 | 17.9 | 946 | 767 | 621 | 442 | ||||||||||||||
| COMMERZBANK Aktiengesellschaft | 13.2 | 17.4 | 5.6 | 10.0 | 9.4 | 13.8 | 8.2 | 12.3 | 257 | 233 | -120 | -143 | ||||||||||||||
| Confédération Nationale du Crédit Mutuel | 18.6 | 21.8 | 5.5 | 9.8 | 8.5 | 12.8 | 13.4 | 16.2 | 789 | 645 | 488 | 344 | ||||||||||||||
| Coöperatieve Rabobank U.A. | 16.8 | 24.2 | 5.5 | 9.8 | 10.0 | 14.3 | 10.0 | 16.5 | 453 | 675 | 2 | 224 | ||||||||||||||
| Danske Bank | 18.0 | 22.6 | 7.6 | 12.6 | 13.2 | 18.2 | 11.3 | 15.4 | 365 | 279 | -197 | -284 | ||||||||||||||
| Deutsche Bank AG | 13.6 | 17.4 | 5.9 | 10.5 | 10.4 | 15.0 | 7.4 | 11.1 | 152 | 56 | -300 | -396 | ||||||||||||||
| DNB Bank Group | 19.6 | 25.0 | 6.5 | 10.0 | 15.0 | 18.5 | 16.7 | 21.7 | 1,016 | 1,171 | 166 | 321 | ||||||||||||||
| DZ BANK AG Deutsche Zentral-Genossenschaftsbank | 15.1 | 19.4 | 5.5 | 9.8 | 9.0 | 13.3 | 10.2 | 13.3 | 473 | 350 | 121 | -1 | ||||||||||||||
| Erste Group Bank AG | 14.2 | 19.7 | 5.5 | 9.8 | 10.2 | 14.4 | 10.2 | 15.4 | 470 | 563 | 2 | 95 | ||||||||||||||
| Groupe BPCE | 16.0 | 18.2 | 5.8 | 9.8 | 9.3 | 13.3 | 10.2 | 12.6 | 442 | 288 | 91 | -63 | ||||||||||||||
| Groupe Crédit Agricole | 16.9 | 20.4 | 5.3 | 9.5 | 8.9 | 13.0 | 10.6 | 13.7 | 526 | 416 | 175 | 65 | ||||||||||||||
| HSBC Continental Europe | 12.6 | 17.3 | 6.2 | 11.0 | 8.7 | 13.5 | 5.9 | 10.3 | -28 | -66 | -279 | -318 | ||||||||||||||
| ING Groep N.V. | 15.4 | 19.7 | 5.5 | 9.8 | 10.5 | 14.8 | 11.0 | 15.2 | 550 | 545 | 48 | 43 | ||||||||||||||
| Intesa Sanpaolo S.p.A. | 14.0 | 19.2 | 5.3 | 9.5 | 8.4 | 12.6 | 9.4 | 14.2 | 404 | 474 | 94 | 164 | ||||||||||||||
| Jyske Bank | 17.9 | 22.9 | 6.6 | 11.6 | 10.6 | 15.6 | 11.6 | 15.7 | 505 | 410 | 105 | 10 | ||||||||||||||
| KBC Group NV | 17.6 | 21.2 | 6.3 | 9.8 | 10.4 | 13.9 | 14.0 | 17.4 | 771 | 766 | 354 | 349 | ||||||||||||||
| La Banque Postale | 20.4 | 24.5 | 5.6 | 10.0 | 8.4 | 12.8 | 11.2 | 14.7 | 562 | 473 | 287 | 197 | ||||||||||||||
| Landesbank Baden-Württemberg | 14.8 | 22.8 | 5.5 | 9.8 | 8.8 | 13.0 | 8.4 | 15.4 | 289 | 563 | -38 | 236 | ||||||||||||||
| Landesbank Hessen-Thüringen Girozentrale | 14.4 | 18.1 | 5.5 | 9.8 | 8.7 | 13.0 | 8.6 | 12.3 | 308 | 256 | -18 | -70 | ||||||||||||||
| Länförsäkringar Bank AB (publ) | 16.7 | 19.1 | 4.5 | 8.0 | 7.0 | 10.5 | 15.4 | 17.8 | 1,094 | 980 | 844 | 730 | ||||||||||||||
| Mediobanca - Banca di Credito Finanziario S.p.A. | 14.5 | 17.7 | 5.2 | 9.3 | 7.7 | 11.8 | 9.7 | 12.8 | 452 | 352 | 202 | 102 | ||||||||||||||
| Nederlandse Waterschapsbank N.V. | 45.1 | 53.5 | 5.8 | 10.3 | 8.3 | 12.8 | 37.8 | 44.6 | 3,206 | 3,439 | 2,956 | 3,189 | ||||||||||||||
| Nordea Bank Abp | 17.1 | 20.5 | 5.5 | 9.8 | 10.2 | 14.5 | 13.4 | 16.6 | 791 | 688 | 319 | 217 | ||||||||||||||
| Nykredit Realkredit | 20.2 | 24.3 | 6.2 | 11.0 | 10.7 | 15.5 | 13.8 | 17.0 | 760 | 609 | 310 | 159 | ||||||||||||||
| OP Osuuskunta | 18.9 | 21.5 | 5.8 | 10.3 | 9.3 | 13.8 | 12.7 | 14.9 | 691 | 462 | 341 | 112 | ||||||||||||||
| OTP Bank Nyrt. | 14.2 | 16.6 | 5.3 | 9.4 | 7.9 | 12.0 | 11.2 | 12.8 | 593 | 338 | 334 | 79 | ||||||||||||||
| Powszechna Kasa Oszczednosci Bank Polski SA | 16.4 | 17.6 | 4.5 | 8.0 | 8.0 | 11.5 | 15.0 | 16.1 | 1,046 | 810 | 695 | 460 | ||||||||||||||
| Raiffeisen Bank International AG | 13.6 | 18.4 | 5.8 | 10.3 | 10.4 | 14.9 | 9.0 | 13.2 | 326 | 292 | -140 | -175 | ||||||||||||||
| SBAB Bank AB – group | 13.4 | 17.7 | 5.5 | 9.7 | 8.0 | 12.2 | 12.0 | 16.7 | 651 | 697 | 399 | 446 | ||||||||||||||
| Skandinaviska Enskilda Banken — group | 21.0 | 25.1 | 6.0 | 10.3 | 11.6 | 15.9 | 16.9 | 20.4 | 1,084 | 1,006 | 528 | 450 | ||||||||||||||
| Société générale S.A. | 13.2 | 18.9 | 5.5 | 9.8 | 9.0 | 13.3 | 7.5 | 12.8 | 206 | 306 | -148 | -47 | ||||||||||||||
| Svenska Handelsbanken — group | 20.3 | 24.3 | 4.5 | 8.0 | 11.1 | 14.6 | 16.2 | 19.8 | 1,166 | 1,185 | 508 | 526 | ||||||||||||||
| Swedbank — group | 17.5 | 21.0 | 5.9 | 10.0 | 12.4 | 16.5 | 14.9 | 18.3 | 906 | 826 | 252 | 172 | ||||||||||||||
| UniCredit S.p.A. | 15.1 | 19.4 | 5.5 | 9.8 | 9.0 | 13.3 | 9.2 | 13.5 | 374 | 370 | 20 | 16 | ||||||||||||||
| Volkswagen Bank | 18.1 | 18.1 | 5.6 | 10.0 | 8.1 | 12.5 | 15.5 | 15.5 | 986 | 552 | 735 | 301 | ||||||||||||||
| Note: All ratios are on a fully loaded basis. Rated banks are in bold. Sources EBA, S&P Global Ratings. | ||||||||||||||||||||||||||
Table 2
| Rating Component Scores For Entities In EBA Stress Test Exercise 2021 | ||||||||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Name | Anchor | Business Position | Capital and Earnings | Risk Position | Funding | Liquidity | Funding and Liquidity | SACP | Support Notches | Adjustment Notch | Opco LT ICR | Outlook | ||||||||||||||
| Erste Group Bank AG | bbb+ | Strong | Adequate | Adequate | Above Average | Strong | Above Average and Strong | a | - | A | Stable | |||||||||||||||
| Raiffeisen Bank International AG* | bbb+ | Adequate | Adequate | Adequate | Above Average | Strong | Above Average and Strong | a- | - | A- | Negative | |||||||||||||||
| Belfius Bank SA/NV | a- | Adequate | Strong | Moderate | Average | Adequate | Average and Adequate | a- | - | A- | Stable | |||||||||||||||
| KBC Bank N.V. | bbb+ | Strong | Strong | Adequate | Average | Adequate | Average and Adequate | a | +1 (ALAC) | A+ | Stable | |||||||||||||||
| Danske Bank A/S | bbb+ | Strong | Strong | Moderate | Average | Adequate | Average and Adequate | a- | +1 (ALAC) | A | Stable | |||||||||||||||
| Jyske Bank A/S | bbb+ | Adequate | Strong | Adequate | Average | Adequate | Average and Adequate | a- | +1 (ALAC) | A | Stable | |||||||||||||||
| Nykredit Realkredit A/S | bbb+ | Adequate | Strong | Adequate | Average | Adequate | Average and Adequate | a- | +2 (ALAC) | A+ | Stable | |||||||||||||||
| Nordea Bank Abp | a- | Strong | Strong | Adequate | Average | Adequate | Average and Adequate | a+ | +1 (ALAC) | AA- | Stable | |||||||||||||||
| OP Corporate Bank PLC* | a- | Strong | Very strong | Moderate | Average | Adequate | Average and Adequate | a+ | +1 (ALAC) | AA- | Stable | |||||||||||||||
| BNP Paribas | bbb+ | Very strong | Adequate | Adequate | Average | Adequate | Average and Adequate | a | +1 (ALAC) | A+ | Stable | |||||||||||||||
| BPCE | bbb+ | Adequate | Strong | Adequate | Average | Adequate | Average and Adequate | a- | +1 (ALAC) | A | Stable | |||||||||||||||
| Caisse Centrale du Credit Mutuel | bbb+ | Strong | Strong | Adequate | Average | Adequate | Average and Adequate | a | - | A | Stable | |||||||||||||||
| Credit Agricole S.A. | bbb+ | Strong | Adequate | Strong | Average | Adequate | Average and Adequate | a | +1 (ALAC) | A+ | Stable | |||||||||||||||
| La Banque Postale | bbb+ | Adequate | Adequate | Moderate | Above Average | Strong | Above Average and Strong | bbb+ | +2 (Group) | A | Stable | |||||||||||||||
| Societe Generale | bbb+ | Adequate | Adequate | Adequate | Average | Adequate | Average and Adequate | bbb+ | +2 (ALAC) | A | Stable | |||||||||||||||
| Commerzbank AG | bbb+ | Moderate | Adequate | Adequate | Average | Adequate | Average and Adequate | bbb | +1 (ALAC) | BBB+ | Negative | |||||||||||||||
| Deutsche Bank AG | bbb+ | Adequate | Adequate | Moderate | Average | Adequate | Average and Adequate | bbb | +1 (ALAC) | -1 | BBB+ | Positive | ||||||||||||||
| S-Finanzgruppe Hessen-Thueringen* | a- | Adequate | Strong | Adequate | Average | Adequate | Average and Adequate | a | - | A- | Stable | |||||||||||||||
| Volkswagen Bank GmbH | bbb+ | Weak (-2) | Very strong | Adequate | Average | Adequate | Average and Adequate | bbb+ | - | BBB+ | Stable | |||||||||||||||
| OTP Bank PLC | bb+ | Strong | Adequate | Adequate | Above Average | Strong | Above Average and Strong | bbb | - | BBB | Stable | |||||||||||||||
| Bank of Ireland Group PLC§ | bbb | Adequate | Strong | Moderate | Average | Adequate | Average and Adequate | bbb | +2 (ALAC) | A- | Negative | |||||||||||||||
| AIB Group PLC§ | bbb | Adequate | Strong | Moderate | Average | Adequate | Average and Adequate | bbb | +1 (ALAC) | BBB+ | Positive | |||||||||||||||
| Intesa Sanpaolo SpA | bbb- | Strong | Moderate | Strong | Average | Adequate | Average and Adequate | bbb | - | BBB | Stable | |||||||||||||||
| Mediobanca Banca di Credito Finanziario S.p.A | bbb- | Adequate | Adequate | Strong | Average | Adequate | Average and Adequate | bbb | - | BBB | Stable | |||||||||||||||
| UniCredit SpA | bbb | Strong | Adequate | Moderate | Average | Adequate | Average and Adequate | bbb | - | BBB | Stable | |||||||||||||||
| ABN AMRO Bank N.V. | bbb+ | Moderate | Strong | Adequate | Average | Adequate | Average and Adequate | bbb+ | +2 (ALAC) | A | Stable | |||||||||||||||
| BNG Bank N.V. | bbb+ | Adequate | Very strong | Strong | Average | Adequate | Average and Adequate | a+ | +4 (GRE) | AAA | Stable | |||||||||||||||
| Cooperatieve Rabobank U.A. | bbb+ | Strong | Strong | Adequate | Average | Adequate | Average and Adequate | a | +1 (ALAC) | A+ | Stable | |||||||||||||||
| Nederlandse Waterschapsbank N.V. | bbb+ | Adequate | Very strong | Strong | Average | Adequate | Average and Adequate | a+ | +4 (GRE) | AAA | Stable | |||||||||||||||
| ING Groep N.V.§ | bbb+ | Strong | Strong | Adequate | Average | Adequate | Average and Adequate | a | +1 (ALAC) | A+ | Stable | |||||||||||||||
| DNB Bank ASA | a- | Strong | Strong | Adequate | Average | Adequate | Average and Adequate | a+ | +1 (ALAC) | AA- | Stable | |||||||||||||||
| Bank Polska Kasa Opieki S.A. | bbb | Adequate | Strong | Adequate | Average | Strong | Average and Strong | bbb+ | - | BBB+ | Stable | |||||||||||||||
| Banco Comercial Portugues S.A. | bb+ | Adequate | Moderate | Moderate | Average | Adequate | Average and Adequate | bb | - | BB | Stable | |||||||||||||||
| Banco Bilbao Vizcaya Argentaria, S.A. | bbb | Strong | Adequate | Strong | Average | Adequate | Average and Adequate | a- | - | A- | Stable | |||||||||||||||
| Banco de Sabadell S.A. | bbb | Moderate | Adequate | Adequate | Average | Adequate | Average and Adequate | bbb- | - | BBB- | Stable | |||||||||||||||
| Banco Santander S.A. | bbb | Very strong | Adequate | Strong | Average | Adequate | Average and Adequate | a | - | A | Stable | |||||||||||||||
| Bankinter S.A. | bbb | Adequate | Adequate | Strong | Average | Adequate | Average and Adequate | bbb+ | - | BBB+ | Stable | |||||||||||||||
| Lansforsakringar Bank | a- | Moderate | Strong | Adequate | Average | Adequate | Average and Adequate | a- | +1 (Group) | A | Stable | |||||||||||||||
| SBAB Bank AB (publ) | a- | Moderate | Strong | Adequate | Average | Adequate | Average and Adequate | a- | +1 (ALAC) | A | Stable | |||||||||||||||
| Skandinaviska Enskilda Banken AB (publ) | a- | Adequate | Strong | Adequate | Average | Adequate | Average and Adequate | a | +1 (ALAC) | A+ | Stable | |||||||||||||||
| Svenska Handelsbanken AB | a- | Strong | Strong | Adequate | Average | Adequate | Average and Adequate | a+ | +1 (ALAC) | AA- | Stable | |||||||||||||||
| Swedbank AB | a- | Strong | Strong | Moderate | Average | Adequate | Average and Adequate | a | +1 (ALAC) | A+ | Stable | |||||||||||||||
| Data as of Aug. 2, 2021. Note: We omitted HSBC Continental Europe (A+/Stable) from this table as we base our rating approach entirely on its group membership. ALAC--Additional loss-absorbing capacity. GRE--Government-related entity. ICR--Issuer credit rating. Opco--Operating company. N/A--Not applicable. SACP--Stand-alone credit profile. *The rating component scores reflect our assessment of the broader group of which these banks form a part. §Holding company; the rating reflects that on the main operating company. Source: S&P Global Ratings. | ||||||||||||||||||||||||||
Table 3
| Rating Component Scores For Entities In ECB/SSM Stress Test Exercise 2021 | ||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Bank | Anchor | Business Position | Capital & Earnings | Risk Position | Funding and Liquidity | SACP | Support Notches | Opco LT ICR | Outlook | |||||||||||
| Abanca Corporacion Bancaria S.A | bbb | Weak (-2) | Adequate | Adequate | Average and Adequate | bb+ | BB+ | Stable | ||||||||||||
| Alpha Services and Holdings S.A§ | bb- | Adequate | Weak (3-4) | Adequate | Average and Adequate | b+ | B+ | Stable | ||||||||||||
| Argenta Spaarbank N.V.* | bbb+ | Moderate | Very strong | Moderate | Average and Strong | bbb+ | +1 (ALAC) | A- | Stable | |||||||||||
| AXA Bank Belgium | a- | Moderate | Strong | Moderate | Average and Adequate | bbb+ | +1 (Group) | A- | Cw negative | |||||||||||
| Banco de Credito Social Cooperativo S.A. | bbb | Moderate | Adequate | Weak | Average and Adequate | bb | BB | Stable | ||||||||||||
| Bank of Cyprus Public Co. Ltd. | bb- | Adequate | Moderate | Moderate | Average and Adequate | b+ | B+ | Stable | ||||||||||||
| Bank of Valletta PLC | bbb- | Adequate | Strong | Moderate | Average and Adequate | bbb- | BBB- | Negative | ||||||||||||
| Banque et Caisse d'Epargne de l'Etat, Luxembourg | a- | Adequate | Very strong | Moderate | Above Average and Strong | a+ | +3 (GRE) | AA+ | Stable | |||||||||||
| Banque Internationale a Luxembourg | a- | Moderate | Strong | Moderate | Average and Adequate | bbb+ | +1 (ALAC) | A- | Stable | |||||||||||
| De Volksbank N.V. | bbb+ | Moderate | Very strong | Moderate | Average and Adequate | bbb+ | +1 (ALAC) | A- | Stable | |||||||||||
| DekaBank Deutsche Girozentrale | bbb+ | Moderate | Strong | Moderate | Average and Adequate | bbb | +3 (Group) | A | Stable | |||||||||||
| Deutsche Apotheker- und Aerztebank eG | bbb+ | Adequate | Adequate | Moderate | Average and Adequate | bbb | +4 (Group) | A+ | Stable | |||||||||||
| Deutsche Pfandbriefbank AG | bbb+ | Weak (-2) | Strong | Moderate | Average and Adequate | bbb- | +2 (ALAC) | BBB+ | Negative | |||||||||||
| Eurobank S.A | bb- | Adequate | Weak (4-5) | Adequate | Average and Adequate | b+ | B+ | Stable | ||||||||||||
| Hamburg Commercial Bank AG | bbb+ | Weak (-2) | Very strong | Moderate | Below Average and Adequate | bbb- | +2 (ALAC) | BBB | Developing | |||||||||||
| Ibercaja Banco S.A. | bbb | Weak (-2) | Adequate | Adequate | Average and Adequate | bb+ | BB+ | Stable | ||||||||||||
| National Bank of Greece S.A. | bb- | Adequate | Weak (3-4) | Adequate | Average and Adequate | b+ | B+ | Stable | ||||||||||||
| Nova Ljubljanska Banka D.D. | bbb- | Adequate | Adequate | Adequate | Average and Strong | bbb- | BBB- | Stable | ||||||||||||
| Piraeus Financial Holdings S.A.§ | bb- | Adequate | Weak (3-4) | Moderate | Average and Adequate | b | B | Stable | ||||||||||||
| Ulster Bank Ireland DAC | bbb | Moderate | Very strong | Weak | Average and Adequate | bbb- | +3 (Group) | A- | Stable | |||||||||||
| Source: S&P Global Ratings. Data as of Aug. 2, 2021. We omitted the following entities from this table as we base our rating approach for them or their subsidiaries entirely on their group membership: Bank of America Europe DAC, Citibank Holdings PLC, J.P. Morgan Bank Luxembourg S.A., RBC Investor Services Bank S.A., RCB Bank Ltd., State Street Europe Holdings Germany, The Bank of New York Mellon S.A. We omitted SFIL and Kuntarahoitus Oyi (Municipality Finance) as we rate them under under our public finance methodology. ALAC--Additional loss-absorbing capacity. GRE--Government-related entity. ICR--Issuer credit rating. Opco--Operating company. N/A--Not applicable. SACP--Stand-alone credit profile. § Holding company; the rating reflects that on the main operating company. * The rating component scores reflect our assessment of the broader group of which these banks form a part. | ||||||||||||||||||||
Chart 10
This report does not constitute a rating action.
| Primary Credit Analysts: | Giles Edwards, London + 44 20 7176 7014; giles.edwards@spglobal.com |
| Claudio Hantzsche, Frankfurt + 49 693 399 9188; claudio.hantzsche@spglobal.com | |
| Secondary Contact: | Elena Iparraguirre, Madrid + 34 91 389 6963; elena.iparraguirre@spglobal.com |
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