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Draft templates and methodology for 2023 EU-wide stress tests published by EBA

To identify potential risks, inform supervisory decisions, and increase market discipline, the EU-wide stress test aims to evaluate the durability of EU banks to adverse economic developments.

It covers approx. 75% of the banking sector in the euro area, non-euro area EU member states and Norway measured based on consolidated total assets as of year-end 2021. A final methodology and draft templates for the 2023 EU-wide stress test, as well as milestone dates, were released on 4 November. 

The methodology document and templates cover all relevant risk areas and include industry feedback. A macroeconomic scenario will be published in January 2023 to launch the stress test exercise, with results expected by the end of July 2023.

With some top-down elements, the EU-wide stress test in 2023 follows a bottom-up approach, which means that banks use their own models subject to a review by competent authorities. The focus lies on the assessment of the adverse shocks on banks' solvency, and the balance sheets are presumed to be constant. An adverse scenario requires banks to assess credit, market, counterparty, and operational risks, they should also project the impact of these scenarios on main income sources.

There are prescribed parameters that banks must use when calculating the net fee and commission income, risk weights for securitizations, and credit loss paths for sovereign exposures.

The milestone for the 2023 EU-wide stress test are:

  • Launch of the exercise at the end of January 2023;
  • First submission of results to the EBA at the beginning of April 2023;
  • Second submission to the EBA in mid-May 2023;
  • Third submission to the EBA at the end of June 2023;
  • Final submission to the EBA in mid-July 2023;
  • Publication of results by end-July 2023.

For inquiries please contact:

RBI Regulatory Advisory

Raiffeisen Bank International AG | Member of RBI Group | Am Stadtpark 9, 1030 Vienna, Austria  | Tel: +43 1 71707 - 5923