TP 4 - Entrenamiento

STRESS TESTER 2.
0: A HANDS-ON STRESS TESTING EXERCISE TOOL

The purpose of the workbook is to illustrate basic stress tests (and related tools) that can be used to assess risks in a small
and relatively non-complex banking system, using a realistic (but fictional) example.
The contents of this workbook reflect the views of the author and not those of the IMF or IMF policy.
Created by Martin ihk in March 2004; this version February 2007. Comments or suggestions are welcome.
Contacts: Martin ihk, tel. 1-202-623-8931, fax 1-202-589-8931, e-mail: mcihak@imf.org.
I would like to thank R. Sean Craig, Plamen Iossifov, Peter Chunnan Liao, Thomas Lutton, Christiane Nickel, Nada Oulidi,
Richard Podpiera, Leah Sahely, Graham Slack, participants of a regional conference on financial stability issues at Sinaia,
Romania, and participants in seminars at the IMF, the World Bank, the Central Bank of Russia, and the Central Bank of
Trinidad and Tobago for their helpful comments on the accompanying Excel file. All remaining errors are mine.
CONTENTS OF THE WORKBOOK
Description
Worksheet Name
This sheet (explanation of the workbook).
Read Me
Data
Six tables. Input data as compiled by the National Bank of Bankistan (NBB). The data were
Assumptions
Credit Risk
collected in March 2006 and generally relate to end-December 2005, unless noted otherwise.
Table A1 contains basic balance sheet and income statement data. Table A2 contain other
prudential indicators important for the stress tests. Tables 1c and 1d include key ratios based on
the input data. Table A3 contains the financial soundness indicators, while Table A4 characterizes
the structure of the banking sector. Tables 1e and 1f show how the financial soundness indicators
can be combined into institution-by-institution rankings, using a simple early warning system
calibrated by the NBB (see the Assumptions sheet). Table A5 provides the rankings; Table A6
converts them into probabilities of default.
One table: Table B puts together all the assumptions.
This worksheet also contains several charts allowing the user to see how changes in the
assumptions affect the results.
Two tables: Table C1 summarizes the reported data on asset quality. Table C2 shows the credit
risk stress test. It consists of four components: (1) a correction for underprovisioning of NPLs; (2)
an aggregate NPL shock, (3) a sectoral shock, allowing different shocks to different sectors, and
(4) a shock for credit concentration risk (large exposures).
Interest Risk
Two tables: Table D1 sorts assets and liabilities into three time-to-repricing buckets, using the
input data from was provided by the NBB. Table D2 shows the corresponding interest rate stress
test. The test itself consists of two components: (1) flow impact from a gap between interest
sensitive assets and liabilities; (2) stock impact resulting from repricing of bonds.
FX Risk
Two tables: Table E1 contains information on the foreign exchange exposure of the banks and the
direct exchange rate risk shock. Table E2 shows a simple calculation of the indirect foreign
exchange shock (using FX loans to approximate impact on credit quality).
Interbank
Liquidity
Three tables: Table F1 is a matrix of net interbank exposures. Table F2 uses the interbank
exposure data to show "pure" interbank contagion, i.e. to illustrate what happens to the other
banks when one bank fails to repay its obligations in the interbank market. Table F3 shows a
"macro" contagion exercise, in which banks' failures to repay obligations in the interbank market
are not assumed, but rather a result of the "macro" shocks modeled in the sheet "Scenarios."
Two tables. The worksheet summarizes two liquidity tests, showing for each bank how many days
it would be able to survive a liquidity drain without resorting to liquidity from outside (other banks or
the central bank). Table G1 models a simple liquidity drain that affects all banks in the system
proportionally. Table G2 is a model of "liquidity contagion," where the liquidity drain is faster in
banks that are perceived similarly weak by depositors. This exercise also allows for testing liquidity
impact of government default.
Scenarios
Four tables: Table H1 summarizes the results of the combination of credit shocks, interest rate
shocks, exchange rate shocks, and liquidity shocks from the respective worksheets. The table also
compares the impact to profits and allows for an autonomous shock to profits. Table H2 shows the
post-shock financial soundness ratios for the banking sector. Table H3 shows post-shock ratings.
Table H4 shows the corresponding post-shock probabilities of default. The results, presented
numerically in this worksheet, can be inspected visually in the "Assumptions" worksheet.
NOTATION
Yellow denotes input data reported by the NBB.
Yellow/white stripes denotes consistency check on the input data.
Green denotes numerical assumptions for the stress test (all in the Assumptions sheet)
Green/white stripes denote numerical assumptions imported from the Assumptions sheet.
Blue denotes the assumed sizes of the shocks to the risk factors (all in the Assumptions sheet).
Blue/white stripes denote numerical assumptions imported from the Assumptions sheet.
No background (with black font) denotes linked cells or formulas.
OTHER GENERAL COMMENTS
The file is formatted for presentation on the computer screen via an LCD projector. If you want to print out from this file, you
may
need to format
first for
printing. are in the sheet "Assumptions." This is the sheet that a regular user would work with
All assumptions
anditshock
parameters
the most, changing the numerical assumptions (in green) and shocks sizes (in blue) and observing the results (in charts in
Assumptions, or in the relevant worksheets). It is also possible to change the numerical assumptions and shock sizes in
the individual worksheets (in green/white and blue/white striped cells, respectively), but this may result in breaking the link
to the Assumptions worksheet.
Total capital may in general differ from regulatory capital; in this workbook, we for simplicity use the same numbers, but it is
set up in a way that allows for differences between equity and regulatory capital.
All shocks are for simplicity expressed in terms of capital (and capital adequacy ratios). In practice, banks can use profits
as the first line of defense. To address this issue, profits are presented in the "Scenarios" sheet alongside with the impacts
to illustrate the relative size of the profit "buffer." We use annual profits, which is consistent with the fact that we evaluate
the shocks in a horizon of one year (see the interest rate shock). For some banks, the profit "buffer" is non-existent or
We allow for autonomous shocks to profits or net interest income (see the "Scenarios" sheet).
The numbers in the file are in B$ millions and relate to end-2005, unless noted otherwise. Ratios are in percent.
151130365.xls.ms_office; Data
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6/11/2013; 5:15 AM
Table A. Bankistan: Reported Data, end-2005 (In B$ millions; ratios in percent)
All Banks
State Owned Domestic

(SB)
Private (DB)
Foreign
(FB)
SB1
SB2
SB3
DB1
DB2
DB3
DB4
DB5
FB1
FB2
FB3
FB4
Table A1. Balance sheet and income

statement data (simplified)
Total assets
Cash and T-bills
Long-term government bonds
Total loans (net)
Other assets (net)
Total liabilities
Deposits
Demand deposits
Domestic currency
Foreign currency
Term deposits
Domestic currency
Foreign currency
Total capital (equity)
67,264
4,507
5,280
54,915
2,562
67,264
61,820
29,914
11,573
18,341
31,906
13,427
18,478
5,444
18,005
1,415
568
14,627
1,395
18,005
17,498
8,027
5,336
2,691
9,471
6,670
2,800
508
12,619
1,033
1,021
9,981
584
12,619
11,402
5,366
2,701
2,665
6,036
2,778
3,258
1,217
36,639
2,059
3,691
30,306
583
36,639
32,920
16,521
3,537
12,984
16,399
3,979
12,420
3,720
2,381
250
131
1,592
408
2,381
2,299
1,124
899
225
1,175
952
223
81
2,753
178
85
2,315
175
2,753
2,687
982
884
98
1,705
1,501
205
66
12,872
987
352
10,721
812
12,872
12,511
5,921
3,553
2,368
6,590
4,218
2,372
361
331
10
16
304
1
331
294
137
55
82
157
66
91
37
1,475
150
112
1,021
192
1,475
1,472
638
319
319
834
426
409
2
4,705
390
407
3,855
53
4,705
4,178
2,211
1,415
796
1,967
1,200
767
527
2,021
185
143
1,402
291
2,021
1,965
782
305
477
1,183
461
722
56
4,087
298
343
3,400
47
4,087
3,493
1,598
607
991
1,895
625
1,270
594
14,121
1,100
1,892
10,937
191
14,121
12,458
6,801
1,768
5,033
5,657
1,527
4,129
1,663
17,121
450
780
15,622
269
17,121
15,407
7,290
1,166
6,124
8,117
1,704
6,412
1,715
4,583
450
921
3,112
100
4,583
4,300
2,091
565
1,526
2,209
685
1,524
283
814
59
98
635
22
814
756
339
37
302
417
62
354
59
Net income ("after-tax profit")

Net operating income (+)
Net interest income (+)
Interest income (+)
Interest expense (-)
Noninterest income (+)
Provisions for loan losses (-)
Noninterest expense (-)
Securities gains/losses (+)
Applicable income taxes (-)
Extraordinary gains, net (+)
893
988
3,847
5,843
1,996
72
1,396
1,535
-7
67
-22
-50
-27
1,111
1,650
539
18
752
404
-13
5
-5
148
194
662
1,010
348
18
167
319
0
18
-29
795
821
2,075
3,183
1,109
35
477
812
7
45
12
-30
-24
143
212
69
2
115
54
-3
0
-3
-48
-47
171
259
88
3
159
63
0
1
0
28
44
796
1,178
382
13
478
287
-10
3
-2
-4
-5
21
30
9
0
8
19
1
0
0
25
21
89
136
46
2
45
25
1
1
4
32
60
237
345
108
4
40
141
1
4
-25
43
43
103
166
63
8
39
29
2
2
0
52
75
211
333
122
4
35
105
-5
10
-8
213
232
690
1,152
462
13
151
321
2
23
2
487
495
1,065
1,558
493
16
220
366
-2
9
3
80
81
268
398
130
5
86
106
6
11
5
15
14
52
75
23
1
20
19
1
1
2
5,444
36,503
508
10,246
1,217
6,678
3,720
19,579
81
1,030
66
809
361
8,406
37
156
2
568
527
3,148
56
676
594
2,129
1,663
7,755
1,715
9,008
283
2,328
59
488
51,195
47,837
3,358
8,822
1,907
1,946
4,969
5,102
12,700
11,850
850
4,443
281
512
3,651
2,516
9,455
8,794
662
1,268
426
490
351
742
29,040
27,193
1,846
3,111
1,200
944
967
1,845
1,099
970
129
1,014
111
456
447
521
1,945
1,628
316
736
54
56
626
366
9,656
9,251
405
2,693
115
0
2,578
1,629
262
240
22
54
54
0
0
13
950
611
340
389
19
80
290
319
3,751
3,635
116
225
0
225
0
121
1,135
955
181
421
352
69
0
155
3,357
3,354
3
177
1
115
61
134
10,331
9,584
747
1,006
721
282
3
400
15,301
15,284
17
1,233
214
262
757
912
2,811
1,853
958
729
244
322
163
428
597
473
125
142
21
78
44
105
747
994
3,760
259
564
3,365
128
147
105
360
283
290
102
512
412
50
52
577
106
0
2,376
16
0
0
6
24
87
0
68
0
106
21
0
0
35
18
216
85
1
64
79
227
73
97
49
6
23
13
Table A2. Other input data

Capital adequacy calculation
Regulatory capital
Risk weighted assets
Credit risk data
Performing loans
Pass loans
Special mention loans
Non performing loans (NPLs), gross
Substandard loans
Doubtful loans
Loss loans
Provisions held
Collateral reported against:
Substandard loans
Doubtful loans
Loss loans
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All Banks
Sectoral structure of lending
Total loans
Agriculture
Manufacturing
Construction
Trade
Tourism
Non-bank financial institutions
Other
Nonperforming loans
Agriculture
Manufacturing
Construction
Trade
Tourism
Other
Largest exposures
#1
#2
#3
#4
#5

(SB)
Private (DB)
Foreign
(FB)
SB1
SB2
SB3
DB1
DB2
DB3
DB4
DB5
FB1
FB2
FB3
FB4
54,915
2,127
19,305
5,708
11,620
5,725
5,078
5,351
8,822
503
3,330
1,257
1,260
1,145
267
1,061
14,627
816
6,162
1,608
2,829
1,559
762
892
4,443
276
1,827
581
750
544
139
327
9,981
336
3,498
1,009
2,304
1,187
795
852
1,268
65
460
183
169
179
55
157
30,306
976
9,645
3,091
6,487
2,979
3,521
3,607
3,111
161
1,043
493
342
422
73
577
1,592
81
892
173
116
153
0
177
1,014
53
479
132
164
121
0
66
2,315
25
380
253
431
479
153
594
736
9
118
92
110
164
36
208
10,721
709
4,890
1,182
2,282
927
609
122
2,693
214
1,230
357
476
260
103
53
304
15
71
29
56
54
0
79
54
4
14
7
8
12
0
10
1,021
13
268
115
321
151
118
35
389
5
116
49
86
54
29
51
3,855
73
1,422
365
1,021
428
282
265
225
8
81
41
2
39
0
54
1,402
106
543
177
293
124
114
45
421
35
190
52
73
39
26
7
3,400
129
1,195
323
613
430
281
429
177
14
59
34
0
35
0
35
10,937
333
3,550
1,109
2,330
1,088
1,554
973
1,006
50
337
167
93
139
28
193
15,622
469
4,850
1,565
3,129
1,405
1,677
2,527
1,233
63
382
209
74
157
3
345
3,112
139
1,113
347
868
392
233
20
729
39
276
98
149
102
35
29
635
35
132
70
160
94
57
87
142
9
48
19
25
23
8
10
559
487
379
342
325
78
67
53
48
45
132
116
89
80
76
350
304
238
215
204
17
15
12
10
10
10
9
8
7
7
51
44
34
30
29
4
4
3
2
2
7
6
5
5
5
40
34
26
24
22
25
23
17
15
14
57
49
38
34
32
150
130
100
90
85
145
126
97
87
82
40
35
31
29
29
15
13
10
9
8
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6/11/2013; 5:15 AM
All Banks
Interest rate risk data
Total sensitive assets (by time to
repricing)
< 3 months
3-6 months
6-12 months
Total sensitive liabilities (by time to
repricing)
< 3 months
3-6 months
6-12 months
Structure of the bond portfolio
Long-term government bonds
Bond 1
Bond 2
Average duration of bonds held
Liquid assets
Short-term liabilities
o/w demand deposits
other
Exchange rate risk data
Net open position
Net US$ position
Net euro position
Net GBP position
Net positions in other curr.
FX loans
Profits and ROAs over time
Profit (1996-2005 average)
Profit (1996-2005 st. dev.)
St. dev of ROA (1996-2005)

(SB)
Private (DB)
Foreign
(FB)
SB1
SB2
SB3
DB1
DB2
DB3
DB4
DB5
FB1
FB2
FB3
FB4
160,465
76,452
36,145
47,868
18,918
14,699
2,502
1,718
23,678
14,635
1,360
7,684
117,868
47,118
32,283
38,467
2,728
616
704
1,408
8,688
7,883
777
28
7,502
6,199
1,021
282
905
870
35
0
5,338
5,338
0
0
6,472
987
0
5,485
7,741
4,759
1,248
1,734
3,221
2,681
77
464
56,135
15,228
14,751
26,157
25,284
19,384
5,600
300
33,629
10,452
11,444
11,733
2,819
2,054
489
277
162,392
92,228
35,778
34,386
21,675
19,440
1,872
363
14,786
13,640
665
481
125,931
59,148
33,241
33,542
1,030
343
343
343
9,921
9,880
34
7
10,724
9,217
1,495
13
1,234
632
602
0
2,192
2,192
0
0
3,252
2,843
55
354
6,722
6,712
8
2
1,387
1,261
0
126
60,676
20,054
20,187
20,435
22,873
22,873
0
0
39,090
12,938
13,052
13,101
3,291
3,283
2
6
5,280
1,461
3,819
...
9,787
29,914
29,914
0
568
404
164
...
1,983
8,027
8,027
0
1,021
251
770
...
2,054
5,366
5,366
0
3,691
806
2,885
...
5,750
16,521
16,521
0
131
21
110
3.8
381
1,124
1,124
0
85
32
53
3.3
263
982
982
0
352
351
1
1.9
1,339
5,921
5,921
0
16
13
3
2.3
26
137
137
0
112
5
107
4.1
262
638
638
0
407
25
382
4.0
797
2,211
2,211
0
143
143
0
1.9
328
782
782
0
343
65
278
3.7
641
1,598
1,598
0
1,892
299
1,593
3.8
2,992
6,801
6,801
0
780
20
760
4.1
1,230
7,290
7,290
0
921
487
434
3.0
1,371
2,091
2,091
0
98
0
98
4.2
157
339
339
0
218
32
56
17
113
18,542
-90
-153
54
2
8
3,478
53
-3
4
13
40
4,178
255
188
-1
2
66
10,886
11
2
7
2
0
357
-8
-48
11
7
22
557
-93
-108
35
-6
-14
2,564
0
0
0
0
0
137
12
-4
-5
8
13
487
14
7
1
4
2
1,587
5
-6
2
1
8
722
23
-1
6
0
18
1,245
85
88
-4
-8
9
6,245
61
48
-2
8
7
1,987
88
43
0
1
44
2,245
20
9
5
0
6
409
921
1,250
2.3
17
90
1.8
183
214
2.0
721
946
2.9
-10
22
2.7
5
45
2.6
22
23
0.2
8
8
1.2
31
66
3.5
41
30
0.5
40
66
4.0
63
44
0.9
180
52
0.5
420
780
5.5
99
56
1.0
22
58
4.6
...
45
0
25
23
25
32
0
45
22
43
21
0
...
5
0
0
0
12
0
9
0
0
16
32
35
...
33
40
25
27
0
25
82
97
22
21
70
7
...
20
16
19
0
37
20
45
20
33
55
0
15
...
18
20
0
43
20
43
20
12
60
15
18
20
...
23
0
0
22
23
20
23
28
13
26
23
20
...
0
1
35
24
20
12
20
31
32
26
29
20
...
0
20
23
20
0
31
15
33
0
20
20
0
...
20
20
20
18
48
0
20
20
18
5
0
0
...
20
20
0
0
0
0
0
17
16
0
0
20
...
20
19
24
18
20
20
20
20
0
0
20
20
...
Interbank credit data (credit of bank in the row to the bank in the column)
SB1
SB2
SB3
DB1
DB2
DB3
DB4
DB5
FB1
FB2
FB3
FB4
Other data
Gross domestic product
100,000
6 of 20
6/11/2013; 5:15 AM

SB1
SB2
SB3
DB1
DB2
DB3
DB4
DB5
FB1
FB2
FB3
FB4
Foreign
All Banks (SB)
Private (DB)
(FB)
Table A3. Selected Banking Sector Ratios (in percent)
Capital Adequacy
Total capital / RWA (CAR) *
14.9
5.0
18.2
19.0
7.9
8.1
4.3
23.9
0.4
16.7
8.3
27.9
21.4
19.0
12.2
12.0
Asset Quality
NPLs (gross)/ total loans *
16.1
30.4
12.7
10.3
63.7
31.8
25.1
17.9
38.1
5.8
30.1
5.2
9.2
7.9
23.4
22.4
Provisions/NPLs
57.8
56.6
58.5
59.3
51.4
49.7
60.5
23.2
81.9
53.9
36.7
75.6
39.7
73.9
58.8
73.5
(NPLs-provisions)/capital *
68.3
379.8
43.2
34.0
605.9
565.0
295.1
112.0 2,870.5
19.7
474.8
7.3
36.5
18.7
106.2
64.1
FX loans/total loans
33.8
23.8
41.9
35.9
22.4
24.1
23.9
45.1
47.7
41.2
51.5
36.6
57.1
12.7
72.1
64.4
RWA/total assets
54.3
56.9
52.9
53.4
43.3
29.4
65.3
47.2
38.5
66.9
33.5
52.1
54.9
52.6
50.8
59.9
Profitability
ROA (after-tax) *
1.3
-0.3
1.2
2.2
-1.3
-1.8
0.2
-1.3
1.7
0.7
2.1
1.3
1.5
2.8
1.7
1.9
ROE (after-tax) *
16.4
-9.8
12.1
21.4
-36.9
-73.6
7.9
-11.7 1,005.2
6.1
77.0
8.7
12.8
28.4
28.3
25.6
Liquidity
Liquid assets/total assets
14.6
11.0
16.3
15.7
16.0
9.6
10.4
7.9
17.8
16.9
16.2
15.7
21.2
7.2
29.9
19.3
Liquid assets/short-term liabilities*
32.7
24.7
38.3
34.8
33.9
26.8
22.6
19.0
41.1
36.0
41.9
40.1
44.0
16.9
65.6
46.3
Sensitivity to Market Risk
Net FX exposure / capital *
4.0
-17.7
4.4
6.8
14.1
-12.4
-25.8
0.0
491.7
2.6
8.6
3.8
5.1
3.6
31.1
34.3
Other
Z-score ((C/A+ROA/stdev(ROA))
4.2
1.4
5.4
4.3
0.8
0.2
13.5
8.2
0.5
22.8
1.2
16.8
28.9
2.3
8.3
2.0
* Core Financial Soundness Indicator (FSI)
Table A4. Structure of the Financial System (data in percent)

Share in total assets
100.0
Share in total loans
100.0
Share in total deposits
100.0
Share in total capital
100.0
Total assets/GDP
67.3
Table A5. Basic Ratio Analysis: Ratings
Overall
Capital Adequacy
Asset Quality
Provisions/NPLs
RWA/total assets
Profitability
ROA (after-tax) *
ROE (after-tax) *
Liquidity
26.8
26.6
28.3
9.3
18.0
18.8
18.2
18.4
22.4
12.6
54.5
55.2
53.3
68.3
36.6
3.5
2.9
3.7
1.5
2.4
4.1
4.2
4.3
1.2
2.8
19.1
19.5
20.2
6.6
12.9
0.5
0.6
0.5
0.7
0.3
2.2
1.9
2.4
0.0
1.5
7.0
7.0
6.8
9.7
4.7
3.0
2.6
3.2
1.0
2.0
6.1
6.2
5.7
10.9
4.1
21.0
19.9
20.2
30.5
14.1
25.5
28.4
24.9
31.5
17.1
6.8
5.7
7.0
5.2
4.6
1.2
1.2
1.2
1.1
0.8
2.3
3.4
2.2
1.8
3.3
3.3
3.4
3.1
2.9
2.3
2.2
1.9
1.9
1.7
2.3
2.4
1.9
3.6
1.5
1.1
2.7
2.2
2.4
2.2
2.9
4.0
2.2
4.0
2.0
2.7
2.6
1.8
1.9
2.7
2.7
2.1
2.4
1.8
2.2
3.0
4
2
4
2
2
4
3
4
2
2
4
2
4
2
3
3
4
4
3
2
4
1
4
3
2
2
2
1
3
3
4
3
4
3
2
2
1
1
2
3
2
3
2
3
3
2
2
1
1
3
3
2
4
4
3
3
2
3
4
3
2.1
2.1
3.3
3.3
2.3
2.5
1.5
1.4
4
4
4
4
3
3
4
4
2
1
3
3
1
1
2
3
2
2
1
1
2
1
2
1
3.0
3.0
3.2
3.9
3.0
2.4
3.0
2.8
3
3
4
4
3
4
4
4
3
2
3
3
3
2
3
2
2
2
4
4
2
1
3
2
2.2
3.4
1.5
1.8
15.7
19.9
17.1
18.8
13.3
3.1
5.9
1.7
1.2
6.1
8.2
6.2
5.0
1.0
30.0
0.1
30.0
0.1
1.0
0.1
0.1
0.1
1.0
1.0
30.0
1.0
30.0
1.0
1.0
30.0
5.0
30.0
1.0
1.0
30.0
1.0
30.0
1.0
5.0
5.0
30.0
30.0
5.0
1.0
30.0
0.1
30.0
5.0
1.0
1.0
1.0
0.1
5.0
5.0
30.0
5.0
30.0
5.0
1.0
1.0
0.1
0.1
1.0
5.0
1.0
5.0
1.0
5.0
5.0
1.0
1.0
0.1
0.1
5.0
5.0
1.0
30.0
30.0
5.0
5.0
1.0
5.0
30.0
5.0
30.0
30.0
30.0
30.0
5.0
5.0
30.0
30.0
1.0
0.1
5.0
5.0
0.1
0.1
1.0
5.0
1.0
1.0
0.1
0.1
1.0
0.1
1.0
0.1
5.0
5.0
30.0
30.0
5.0
30.0
30.0
30.0
5.0
1.0
5.0
5.0
5.0
1.0
5.0
1.0
1.0
1.0
30.0
30.0
1.0
0.1
5.0
1.0
1.0
1.0
30.0
0.1
30.0
0.1
1.0
0.1
1.0
0.1
30.0
30.0
Table A6. Basic Ratio Analysis: Probability of Default

Overall
Capital Adequacy
Asset Quality
Provisions/NPLs
RWA/total assets
Profitability
ROA (after-tax) *
ROE (after-tax) *
Liquidity
20
40
30
50
10
10
5
25
15
30
0.1
0.2
0.0
FB4
10
30
0.4
FB3
20
0.6
FB2
30
FB1
15
15
0.8
DB5
2
20
1.0
DB4
1
10
1.2
DB3
0
0
25
DB2
5
0
10
10
0
SB3
5
75
25
20
25
DB1
15
50
50
40
50
SB2
25
25
100
60
75
1.4
2.0
1.8
1.6
1.4
1.2
1.0
0.8
0.6
0.4
0.2
0.0
SB1
20
Capital injection (% GDP)
15
FBs
20
8
DBs
Consistency check
SBs
Threshold 1 Threshold 2 Threshold 3 Weight

btwn 4&3
btwn 3&2
btwn 2&1
All
Capital Adequacy
Asset Quality
Provisions/NPLs
RWA/total assets
Profitability
ROA (after-tax) *
ROE (after-tax) *
Liquidity
Liquid assets/short-term liabilities
Net FX exposure / capital * (abs.)
Capital injection (% GDP)
Table B. Assumptions
Basic Ratio Analysis
Thresholds and Weights
100
40
25
30
20
-30
FB4
FB3
FB2
FB1
DB5
-50
3
Baseline
Average rating
After shocks
& contagion
-40
DB4
FBs
DBs
SBs
-15
-20
DB3
After shocks &

contagion
After shocks
-10
DB2
-5
-10
SB3
After shocks
Baseline
10
DB1
20
SB2
10
SB1
Baseline
Capital adequacy ratio (%)
15
All
Credit Risk
Shock 1. "Underprovisioning"
Assumed provisioning rates (%)
Pass loans
1
3
Substandard loans
20
Doubtful loans
50
Loss loans
100
Assumed haircut on collateral (%)
75
Impact on RWA/impact on capital (%)
100
Shock 2. "Proportional increase in NPLs"
Assumed increase in NPLs (%)
25
The increase is proportional to:
existing NPLs (1=yes, 0=no)
1
existing performing loans (1=yes, 0=no)
0
Assumed provisioning of the new NPLs (%)
25
100
Shock 3. "Sectoral shocks to NPLs"
Assumed shocks (% of performing loans in the sector becoming NPLs)
Agriculture
0
Manufacturing
0
Construction
0
Trade
10
Tourism
20
0
Other
0
Assumed provisioning rate (%)
25
Change in RWA/change in capital
100
Shock 4. Large exposures
Number of large exposures becoming NPLs
5
100
Capital adequacy ratio (%)
Probability of failure
Baseline
Basis
Stress
FB4
FB3
FB2
FB1
DB5
SB1
FBs
DBs
SBs
All
DB4
35
30
25
3
1
95
1
3
1
95
1
3
1
95
1
3
1
95
1
Z-score
3
1
95
1
FB4
Stress
15
10 5
15
10
15
10
15
10
15
10
15
10
15
10
3
10
95
1
3
1
95
1
3
1
95
1
3
1
95
1
3
1
95
1
3
1
95
1
3
1
95
1
FB4
15
10
FB3
FB3
15
10
FB2
FB2
15
10
FB1
FB1
15
10
Baseline
5
DB5
DB5
15
10
10
10DB4
DB4
DB3
DB3
DB2
DB2
DB1
SB3
SB3
DB1
SB2
15
15
SB2
20
Baseline
SB1
20
25
20
0
-5
-10
Stress
-15
-20
-25
DB1
95
1
DB2
95
1
95
1
Government bonds illiquid

Government bonds illiquid (%)
100
SB1
SB2
Demand (domestic c.) deposits withdrawn per day (%)
15
Demand (foreign c.) deposits withdrawn per day (%)10
Time (domestic c.) deposits withdrawn per day (%) 2
Time (foreign c.) deposits withdrawn per day (%)
1
SB3
15
10
2
1
DB1
15
10
2
1
DB2
15
10
2
1
2,000
0
-500
-1,000
DB3
15 -1,500
10 -2,000
2
1
FB4
FB3
FB2
FB1
DB5
DB3
DB4
DB1
SB3
DB2
3,000
Basic liquidity test ("proportional withdrawals")
Flight to safety/contagion test
1,500
1,000
DB3
500
DB3
2,500
Liquidity available (B$ million)
100
Maximum
Minimum
Demand (domestic c.) deposits withdrawn per day (%)
25
0
Demand (foreign c.) deposits withdrawn per day (%)15
0
Time (domestic c.) deposits withdrawn per day (%) 10
0
Time (foreign c.) deposits withdrawn per day (%)
5
0
SB1
SB2
SB3
Liquid assets: available in a day (%)
95
95
Other assets: available in a day (%)
1
1
DB2
Premium for state ownership (% total assets

of a privately owned bank would have to be
bigger to enjoy the same safety)
SB2
SB1
-30
1
Day 1
DB4
95
1
SB1
SB2
DB5
FB1
FB2
FB3
95
95
95
95
1
1
1
1
SB3 DB1 DB2 DB3 DB4 DB5 FB1 FB2 FB3
95
1
FB4
FB4 Day 2
95
Day 3
1
Day 4
Day 5
DB4
15
10
2
1
DB5
15
10
2
1
FB1
15
10
2
1
FB2
15
10
2
1
FB3
15
10
2
1
FB4
15
10
2
1
15
10
2
1
Liquidity available (B$ million)
Flight to safety
What measure of safety? (1=total assets,
2=total assets, premium for state ownership,
3=pre-shock rating)
30
Probability of default (%)
Liquidity Stress Test

Liquidity scenario type (1=simple, 2=flight to
safety, 3=gmt default)
Simple
SB1
Demand deposits withdrawn per day (%)
Domestic currency
Foreign currency
Time deposits withdrawn per day (%)
Domestic currency
Foreign currency
Liquid assets: available in a day (%)
Other assets: available in a day (%)
Stress
Scenarios
Which of the credit shocks (2,3,4) is considered for the scenario?
2
Autonomous shock to net interest income
25
Assumed minimum CAR rule (%)
10
Assumed use for capital injection for RWA (%)
0
Which of the liquidity shocks is considered (1=simple,2=complex)
1
Liquidity evaluated after (no. of days)
2
Interbank Contagion
Duration
1.89
4.18
DB3
Exchange Rate Risk

Assumed exchange rate change (%, + ...depreciation) 55
100 percent depreciation leads to x percent of FX loans
becoming NPLs, x=
10.0
Provisioning rate on the additional NPLs
50
DB2
1.5
2 1
SB3
2
2
DB1
Frequency
9
10
SB2
Yield
8
8
Average rating
Settlement Maturity
Coupon
12/31/2005 12/31/2007
12/31/2005 12/31/2010
Average rating
Interest Rate Risk

Parameters of bonds
Bond 1
Bond 2
Nominal interest rate: assumed change
(percentage points)
2,000
1,000
Day 1
0
SB1
SB2
SB3
DB1
DB4
DB5
FB1
FB2
FB3
FB4
Day 2
-1,000
Day 3
-2,000
Day 4
Day 5
-3,000
-4,000
-5,000
Table C. Credit Risk Stress (based on end-2005 data; all numbers are in B$ millions, ratios are in percent)
Foreign
SB1
SB2
All Banks
(SB)
Private (DB)
(FB)
Table C1. Asset Quality
Total loans (gross)
54,915
14,627
9,981
30,306
1,592
Performing loans
51,195
12,700
9,455
29,040
1,099
Pass loans
47,837
11,850
8,794
27,193
970
3,358
850
662
1,846
129
Non performing loans (NPLs)
8,822
4,443
1,268
3,111
1,014
Substandard loans
1,907
281
426
1,200
111
Doubtful loans
1,946
512
490
944
456
Loss loans
4,969
3,651
351
967
447
Reported data on collateral
Substandard loans
747
259
128
360
102
Doubtful loans
994
564
147
283
512
Loss loans
3,760
3,365
105
290
412
Provisions held
5,102
2,516
742
1,845
521
Regulatory capital
5,444
508
1,217
3,720
81
Risk-weighted assets (RWA)
36,503
10,246
6,678
19,579
1,030
Capital adequacy ratio (CAR) pre-shock
14.9
5.0
18.2
19.0
7.9
NPLs (gross)/total loans (gross)
16.1
30.4
12.7
10.3
63.7
(NPLs-provisions)/capital
68.3
379.8
43.2
34.0
605.9
Table C2. Credit Risk Stress Test
Shock 1. "Underprovisioning"
Assumed provisioning rates (%)
Pass loans
Substandard loans
Doubtful loans
Loss loans
Assumed haircut on collateral (%)
Collateral value after the haircut:
Substandard loans
Doubtful loans
Loss loans
Provisions needed
Provisions held
Provisions to be made
Capital post-shock
RWA post-shock
Capital adequacy post-shock
Capital adequacy change
SB3
DB1
DB2
DB3
DB4
DB5
FB1
FB2
FB3
FB4
2,315
1,945
1,628
316
736
54
56
626
10,721
9,656
9,251
405
2,693
115
0
2,578
304
262
240
22
54
54
0
0
1,021
950
611
340
389
19
80
290
3,855
3,751
3,635
116
225
0
225
0
1,402
1,135
955
181
421
352
69
0
3,400
3,357
3,354
3
177
1
115
61
10,937
10,331
9,584
747
1,006
721
282
3
15,622
15,301
15,284
17
1,233
214
262
757
3,112
2,811
1,853
958
729
244
322
163
635
597
473
125
142
21
78
44
50
52
577
366
66
809
8.1
31.8
565.0
106
0
2,376
1,629
361
8,406
4.3
25.1
295.1
16
0
0
13
37
156
23.9
17.9
112.0
6
24
87
319
2
568
0.4
38.1
2,870.5
0
68
0
121
527
3,148
16.7
5.8
19.7
106
21
0
155
56
676
8.3
30.1
474.8
0
35
18
134
594
2,129
27.9
5.2
7.3
216
85
1
400
1,663
7,755
21.4
9.2
36.5
64
79
227
912
1,715
9,008
19.0
7.9
18.7
73
97
49
428
283
2,328
12.2
23.4
106.2
6
23
13
105
59
488
12.0
22.4
64.1
1
3
20
50
100
75
187
249
940
5,801
5,102
808
4,636
100
35,695
13.0
-1.9
65
141
841
3,182
2,516
667
-159
32
37
26
738
742
39
1,178
90
71
73
1,881
1,845
102
3,617
26
128
103
538
521
18
64
13
13
144
537
366
172
-106
27
0
594
2,106
1,629
477
-117
4
0
0
13
13
1
37
1
6
22
325
319
6
-4
0
17
0
144
121
23
504
26
5
0
112
155
0
56
0
9
5
143
134
10
585
54
21
0
385
400
0
1,663
16
20
57
1,014
912
102
1,612
18
24
12
392
428
0
283
2
6
3
89
105
0
59
9,579
-1.7
-6.6
6,639
17.7
-0.5
19,477
18.6
-0.4
1,013
6.3
-1.6
638
-16.6
-24.7
7,929
-1.5
-5.8
156
23.6
-0.3
561
-0.7
-1.1
3,126
16.1
-0.6
676
8.3
0.0
2,120
27.6
-0.3
7,755
21.4
0.0
8,906
18.1
-0.9
2,328
12.2
0.0
488
12.0
0.0
317
778
253
184
673
14
97
56
105
44
252
308
182
36
79
1,099
194
3,423
63
0
46
-152
168
-285
3
33
24
-28
14
490
26
30
11
574
63
1,600
77
1,535
46
238
9
50
6,560
16.8
-1.0
-1.5
19,282
17.8
-0.8
-1.2
949
0.0
-6.3
-7.9
592
-25.7
-9.1
-33.8
7,760
-3.7
-2.2
-8.0
152
21.9
-1.7
-2.0
537
-5.3
-4.6
-5.7
3,112
15.8
-0.4
-1.0
650
4.6
-3.7
-3.7
2,109
27.2
-0.4
-0.7
7,692
20.8
-0.6
-0.6
8,829
17.4
-0.7
-1.6
2,282
10.4
-1.8
-1.8
479
10.4
-1.6
-1.6
1,584
16
52
3,889
13
52
1,267
80
46
920
40
45
3,367
31
53
68
22
24
487
48
71
282
7
48
527
38
34
221
7
66
1,258
12
37
1,542
10
64
911
29
52
178
28
64
Shock 2. "Proportional increase in NPLs"

Assumed increase in NPLs (%)
25
The increase is proportional to:
existing NPLs (1=yes, 0=no)
1
existing performing loans (1=yes, 0=no)
0
Additional NPLs
2,206
1,111
Assumed provisioning of the additional NPLs (%)
25
Additional provisions
551
278
Capital post-shock
4,085
-437
100
RWA post-shock
35,143
9,301
Capital adequacy post-shock
11.6
-4.7
Capital adequacy change
-1.4
-3.0
Capital adequacy overall change (provisioning and increase
-3.3
in NPLs)-9.7
Memo items:
Post-shock NPLs
11,028
5,554
Post-shock NPL/total loan ratio
20
38
Post-shock provisions/NPLs
51
50
Table C. Credit Risk Stress (based on end-2005 data; all numbers are in B$ millions, ratios are in percent)
Foreign
SB1
All Banks
(SB)
Private (DB)
(FB)
Shock 3. "Sectoral shocks to NPLs"
Structure of lending (in B$ million)
Total loans
54,915
14,627
Agriculture
2,127
816
Manufacturing
19,305
6,162
Construction
5,708
1,608
Trade
11,620
2,829
Tourism
5,725
1,559
5,078
762
Other
5,351
892
Nonperforming loans (in B$ million)
8,822
4,443
Agriculture
503
276
Manufacturing
3,330
1,827
Construction
1,257
581
Trade
1,260
750
Tourism
1,145
544
267
139
Other
1,061
327
Performing loans (in B$ million)
46,093
10,184
Agriculture
1,624
540
Manufacturing
15,976
4,335
Construction
4,451
1,027
Trade
10,360
2,079
Tourism
4,580
1,015
4,811
623
Other
4,291
566
Structure of lending (in percent of total loans)
100
100
Agriculture
4
6
Manufacturing
35
42
Construction
10
11
Trade
21
19
Tourism
10
11
9
5
Other
10
6
Structure of nonperformance (NPLs to total loans by sectors)
16
30
Agriculture
24
34
Manufacturing
17
30
Construction
22
36
Trade
11
27
Tourism
20
35
5
18
Other
20
37
Assumed shocks (% of performing loans in the sector becoming NPLs)
Agriculture
0
Manufacturing
0
Construction
0
Trade
10
Tourism
20
0
Other
0
New NPLs (from the affected sectors)
1,952
25
Impact on capital
-488
Capital (post-shock)
4,148
Change in RWA/change in capital
100
RWA (post-shock)
35,207
CAR (post-shock)
11.8
CAR (change)
-1.2
CAR (overall change, including the underprovisioning)
-3.1
Shock 4. Large exposures
Number of large exposures becoming NPLs
Additional provisions
Capital (post-shock)
5
100
2,094
2,542
SB2
9,981
336
3,498
1,009
2,304
1,187
795
852
1,268
65
460
183
169
179
55
157
8,714
270
3,038
826
2,136
1,008
740
695
100
3
35
10
23
12
8
9
13
19
13
18
7
15
7
18
30,306
976
9,645
3,091
6,487
2,979
3,521
3,607
3,111
161
1,043
493
342
422
73
577
27,195
814
8,602
2,598
6,145
2,557
3,448
3,030
100
3
32
10
21
10
12
12
10
17
11
16
5
14
2
16
1,592
81
892
173
116
153
0
177
1,014
53
479
132
164
121
0
66
578
29
413
41
-48
32
0
111
100
5
56
11
7
10
0
11
64
65
54
76
141
79
0
37
SB3
DB1
DB2
2,315
25
380
253
431
479
153
594
736
9
118
92
110
164
36
208
1,579
16
262
161
321
315
117
386
100
1
16
11
19
21
7
26
32
36
31
36
25
34
23
35
10,721
709
4,890
1,182
2,282
927
609
122
2,693
214
1,230
357
476
260
103
53
8,027
495
3,660
825
1,806
667
506
69
100
7
46
11
21
9
6
1
25
30
25
30
21
28
17
43
304
15
71
29
56
54
0
79
54
4
14
7
8
12
0
10
250
11
57
22
48
42
0
69
100
5
23
10
18
18
0
26
18
25
19
25
14
23
0
13
DB3
DB4
1,021
13
268
115
321
151
118
35
389
5
116
49
86
54
29
51
631
8
152
66
235
97
89
-16
100
1
26
11
31
15
12
3
38
38
43
42
27
36
25
146
3,855
73
1,422
365
1,021
428
282
265
225
8
81
41
2
39
0
54
3,629
65
1,341
324
1,019
389
282
210
100
2
37
9
26
11
7
7
6
11
6
11
0
9
0
21
DB5
FB1
1,402
106
543
177
293
124
114
45
421
35
190
52
73
39
26
7
980
71
353
125
220
85
88
38
100
8
39
13
21
9
8
3
30
33
35
29
25
31
23
16
3,400
129
1,195
323
613
430
281
429
177
14
59
34
0
35
0
35
3,223
116
1,136
289
613
395
281
393
100
4
35
9
18
13
8
13
5
10
5
10
0
8
0
8
FB2
10,937
333
3,550
1,109
2,330
1,088
1,554
973
1,006
50
337
167
93
139
28
193
9,931
283
3,213
943
2,237
949
1,526
780
100
3
32
10
21
10
14
9
9
15
9
15
4
13
2
20
FB3
FB4
15,622
469
4,850
1,565
3,129
1,405
1,677
2,527
1,233
63
382
209
74
157
3
345
14,389
407
4,468
1,355
3,055
1,248
1,674
2,182
100
3
31
10
20
9
11
16
8
13
8
13
2
11
0
14
3,112
139
1,113
347
868
392
233
20
729
39
276
98
149
102
35
29
2,383
100
837
249
718
290
198
-9
100
4
36
11
28
13
7
1
23
28
25
28
17
26
15
146
635
35
132
70
160
94
57
87
142
9
48
19
25
23
8
10
493
25
84
51
135
71
49
77
100
5
21
11
25
15
9
14
22
27
36
27
16
25
14
11
411
415
1,126
95
314
13
43
180
39
140
413
555
130
28
-103
-262
-104
1,074
-281
3,336
0
63
-24
-130
-79
-195
-3
33
-11
-15
-45
459
-10
46
-35
550
-103
1,560
-139
1,473
-32
251
-7
52
9,476
-2.8
-1.1
-7.7
6,535
16.4
-1.3
-1.8
19,195
17.4
-1.2
-1.6
1,012
6.2
0.0
-1.7
614
-21.1
-4.5
-29.2
7,850
-2.5
-1.0
-6.8
152
22.0
-1.7
-1.9
551
-2.7
-2.0
-3.1
3,081
14.9
-1.2
-1.8
667
7.0
-1.3
-1.3
2,085
26.4
-1.2
-1.5
7,652
20.4
-1.1
-1.1
8,767
16.8
-1.3
-2.2
2,295
10.9
-1.2
-1.2
481
10.8
-1.3
-1.3
291
-450
492
686
1,311
2,307
64
0
40
-146
187
-304
15
22
27
-31
147
357
94
-38
209
376
555
1,108
537
1,075
164
119
54
4
Table D. Interest Rate Risk Stress Test (end-2005 data in B$ millions; ratios in percent)
Foreign
All Banks
(SB)
Private (DB)
(FB)
Table D1. Maturity buckets
Gap
< 3 months
3-6 months
6-12 months
Cummulative gap
< 3 months
<6 months
<12 months
SB1
SB2
SB3
DB1
DB2
DB3
DB4
DB5
FB1
FB2
FB3
FB4
-15,777
367
13,482
-4,741
630
1,355
995
695
7,202
-12,030
-958
4,925
273
361
1,065
-1,996
743
21
-3,018
-474
269
239
-567
0
3,146
0
0
-1,856
-55
5,132
-1,953
1,240
1,733
1,419
77
338
-4,826
-5,436
5,721
-3,489
5,600
300
-2,486
-1,608
-1,367
-1,229
487
271
-15,777
-15,409
-1,927
-4,741
-4,111
-2,757
995
1,689
8,892
-12,030
-12,988
-8,063
273
634
1,698
-1,996
-1,253
-1,232
-3,018
-3,492
-3,222
239
-328
-328
3,146
3,146
3,146
-1,856
-1,911
3,220
-1,953
-713
1,019
1,419
1,496
1,834
-4,826
-10,262
-4,541
-3,489
2,111
2,411
-2,486
-4,094
-5,461
-1,229
-742
-471
Table D2. Interest Rate Stress Test

Nominal interest rate: assumed change
(percentage points)
Net interest income impact
<12 months
Capital after-shock
CAR after-shock (percent)
Change in CAR after-shock (pct points)
-29
5,415
14.8
-0.1
-41
466
4.6
-0.4
133
1,350
20.2
2.0
-121
3,599
18.4
-0.6
25
107
10.4
2.5
-18
47
5.8
-2.3
-48
312
3.7
-0.6
-5
32
20.7
-3.2
47
50
8.7
8.3
48
575
18.3
1.5
15
71
10.6
2.3
28
622
29.2
1.3
-68
1,595
20.6
-0.9
36
1,751
19.4
0.4
-82
201
8.6
-3.5
-7
52
10.6
-1.4
Repricing impact
Change in the value of the bond portfolio
Capital after-shock
CAR after-shock (percent)
Change in CAR after-shock (pct points)
-281
5,135
14.1
-0.8
-22
444
4.3
-0.2
-55
1,295
19.4
-0.8
-204
3,395
17.3
-1.0
-7
99
9.6
-0.7
-4
43
5.3
-0.5
-10
302
3.6
-0.1
-1
32
20.4
-0.4
-7
43
7.5
-1.2
-25
550
17.5
-0.8
-4
67
10.0
-0.6
-19
603
28.3
-0.9
-108
1,487
19.2
-1.4
-48
1,703
18.9
-0.5
-41
160
6.9
-1.8
-6
46
9.3
-1.3
-0.8
-0.6
1.2
-1.7
1.7
-2.8
-0.7
-3.5
7.1
0.8
1.7
0.4
-2.3
-0.1
-5.3
-2.7
Overall change in CAR (NII and repricing impact)
1.5
Table E. Foreign Exchange Risk Stress Test (based on end-2005 data; all numbers are in B$ millions, ratios are in percent)
Foreign
SB1
SB2
SB3
All Banks
(SB)
Private (DB) (FB)
Table E1. Direct Foreign Exchange Risk
Net open foreign exchange position
218
Assumed exchange rate change (%, + ...depreciation) 55
Impact on capital
120
Post-shock capital
5,564
Post-shock CAR (%)
15.2
Change in CAR (percentage points)
0.3
Table E2. Indirect Foreign Exchange Risk

Foreign exchange loans
18,542
100 percent depreciation leads to x percent of FX loans
becoming NPLs, x=
10
Increase in NPLs
1,020
Provisioning rate on the additional NPLs
50
New provisions
510
Post-shock capital
5,054
Post-shock CAR (%)
13.8
Change in CAR (percentage points)
-1.4
Overall change in CAR (percentage points)
-1.1
DB1
DB2
DB3
DB4
DB5
FB1
FB2
FB3
FB4
-90
53
255
11
-8
-93
12
14
23
85
61
88
20
-49
458
4.5
-0.5
29
1,246
18.7
0.4
140
3,860
19.7
0.7
6
88
8.5
0.6
-4
61
7.5
-0.6
-51
309
3.7
-0.6
0
37
23.9
0.0
7
9
1.6
1.2
8
534
17.0
0.2
3
59
8.7
0.4
12
607
28.5
0.6
47
1,710
22.0
0.6
34
1,748
19.4
0.4
48
332
14.3
2.1
11
70
14.3
2.3
3,478
4,178
10,886
357
557
2,564
137
487
1,587
722
1,245
6,245
1,987
2,245
409
191
230
599
20
31
141
27
87
40
68
343
109
123
22
96
363
3.5
-0.9
115
1,131
16.9
-1.7
299
3,560
18.2
-1.5
10
78
7.6
-1.0
15
46
5.7
-1.9
71
239
2.8
-0.8
4
34
21.5
-2.4
13
-4
-0.8
-2.4
44
491
15.6
-1.4
20
39
5.8
-2.9
34
573
26.9
-1.6
172
1,538
19.8
-2.2
55
1,694
18.8
-0.6
62
270
11.6
-2.7
11
59
12.0
-2.3
-1.4
-1.3
-0.8
-0.3
-2.4
-1.4
-2.4
-1.2
-1.1
-2.5
-1.0
-1.6
-0.2
-0.6
0.0
Table F. Interbank Stress Test (based on end-2005 data; all numbers are in B$ millions, ratios are in percent)
Net credit of bank in the
column to the bank in the All
SB All
DB All FB All
SB1 SB2
SB3 DB1 DB2 DB3 DB4
DB5 FB1
FB2 FB3 FB4
row
Table F1. Matrix of net interbank credit (with negative figures indicating net borrowers)
All
...
...
...
...
111
-374
314
53
75
5
-1
233
19 -112 -285
-38
SB All
...
...
158
0
13
-75
62
40
25
37
-7
63
-33
-38 -140
2
DB All
...
-158
...
-207
4
-221
59
-36
-36
-22
-13
107
-8
-54 -125
-20
FB All
...
0
207
...
94
-78
193
49
86
-10
19
63
60
-20
-20
-20
SB1
-111
-13
-4
-94
...
-45
32
-4
10
-13
-9
12
-45
-4
-43
-2
SB2
374
75
221
78
45
...
30
70
55
60
16
20
22
48
0
8
SB3
-314
-62
-59
-193
-32
-30
...
-26
-40
-10
-14
31
-10
-82
-97
-4
DB1
-53
-40
36
-49
4
-70
26
...
-5
2
7
32
-4
0
-45
0
DB2
-75
-25
36
-86
-10
-55
40
5
...
2
3
26
-43
0
-43
0
DB3
-5
-37
22
10
13
-60
10
-2
-2
...
-3
29
20
-4
-6
0
DB4
1
7
13
-19
9
-16
14
-7
-3
3
...
20
19
-30
-8
0
DB5
-233
-63
-107
-63
-12
-20
-31
-32
-26
-29
-20
...
0
-20
-23
-20
FB1
-19
33
8
-60
45
-22
10
4
43
-20
-19
0
...
-20
-20
-20
FB2
112
38
54
20
4
-48
82
0
0
4
30
20
20
...
0
0
FB3
285
140
125
20
43
0
97
45
43
6
8
23
20
0
...
0
FB4
38
-2
20
20
2
-8
4
0
0
0
0
20
20
0
0
...
Matrix of net interbank exposures (stripped down to show only net creditors; all others have zero exposure)
Net exposure of bank in
the column to the bank in All
SB All
DB All FB All
SB1 SB2
SB3 DB1 DB2 DB3 DB4
DB5 FB1
FB2 FB3 FB4
the row
SB1
...
...
...
...
...
32
10
12
SB2
...
...
...
...
45
...
30
70
55
60
16
20
22
48
8
SB3
...
...
...
...
...
31
DB1
...
...
...
...
4
26
...
2
7
32
DB2
...
...
...
...
40
5
...
2
3
26
DB3
...
...
...
...
13
10
...
29
20
DB4
...
...
...
...
9
14
3
...
20
19
DB5
...
...
...
...
...
FB1
...
...
...
...
45
10
4
43
...
FB2
...
...
...
...
4
82
4
30
20
20
...
FB3
...
...
...
...
43
97
45
43
6
8
23
20
...
FB4
...
...
...
...
2
4
20
20
...
Capital (original, before any shocks)
5,444
RWA (original, before any shocks)36,503
CAR (original, before any shocks) 14.9
Impact on RWA/impact on capital (%)20
508
10,246
5.0
1,217
6,678
18.2
3,720
81
19,579 1,030
19.0
7.9
66
361
809 8,406
8.1
4.3
37
156
23.9
2
527
568 3,148
0.4 16.7
56
594
676 2,129
8.3 27.9
1,663 1,715
283
7,755 9,008 2,328
21.4 19.0 12.2
59
488
12.0
Table F2. Pure interbank contagion
Q: What happens to the capital of the bank in the column if the bank in the row fails to repay the interbank loan?
First iteration
Capital after the first iteration
SB1
...
...
...
...
...
66
329
37
-8
527
SB2
...
...
...
...
36
...
331
-33
-53
467
SB3
...
...
...
...
81
66
...
37
2
527
DB1
...
...
...
...
77
66
335
...
2
525
DB2
...
...
...
...
81
66
321
32
...
525
DB3
...
...
...
...
68
66
351
37
2
...
DB4
...
...
...
...
72
66
347
37
2
524
DB5
...
...
...
...
81
66
361
37
2
527
FB1
...
...
...
...
36
66
351
33
-41
527
FB2
...
...
...
...
77
66
279
37
2
523
FB3
...
...
...
...
38
66
264
-8
-41
521
FB4
...
...
...
...
79
66
357
37
2
527
Q: For which banks will you need to run the second iteration?
Failed as result of the first iteration?...
...
...
...
SB1
...
...
...
...
0
0
0
1
0
SB2
...
...
...
...
0
0
1
1
0
SB3
...
...
...
...
0
0
0
0
0
DB1
...
...
...
...
0
0
0
0
0
DB2
...
...
...
...
0
0
0
0
0
DB3
...
...
...
...
0
0
0
0
0
DB4
...
...
...
...
0
0
0
0
0
0
DB5
...
...
...
...
0
0
0
0
0
0
FB1
...
...
...
...
0
0
0
0
1
0
FB2
...
...
...
...
0
0
0
0
0
0
FB3
...
...
...
...
0
0
0
1
1
0
FB4
...
...
...
...
0
0
0
0
0
0
Source of risk for the second iteration?
SB1
...
...
...
...
0
0
0
0
0
SB2
...
...
...
...
0
0
0
0
0
SB3
...
...
...
...
0
0
0
0
0
DB1
...
...
...
...
0
1
0
0
0
DB2
...
...
...
...
1
1
0
0
0
DB3
...
...
...
...
0
0
0
0
0
DB4
...
...
...
...
0
0
0
0
0
0
DB5
...
...
...
...
0
0
0
0
0
0
FB1
...
...
...
...
0
0
0
0
0
0
FB2
...
...
...
...
0
0
0
0
0
0
FB3
...
...
...
...
0
0
0
0
0
0
FB4
...
...
...
...
0
0
0
0
0
0
56
40
56
49
53
56
...
56
56
26
48
56
582
574
563
562
568
565
574
...
594
574
571
574
1663
1641
1663
1663
1663
1643
1644
1663
...
1643
1643
1643
1715
1667
1715
1715
1715
1715
1715
1715
1715
...
1715
1715
283
283
283
283
283
283
283
283
283
283
...
283
59
51
59
59
59
59
59
59
59
59
59
...
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
1
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
1
1
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Second iteration
Capital after the second iteration
SB1
...
...
...
SB2
...
...
...
SB3
...
...
...
DB1
...
...
...
DB2
...
...
...
DB3
...
...
...
DB4
...
...
...
DB5
...
...
...
FB1
...
...
...
FB2
...
...
...
FB3
...
...
...
FB4
...
...
...
Difference between the first and the second iteration
SB1
...
...
SB2
...
...
SB3
...
...
DB1
...
...
DB2
...
...
DB3
...
...
DB4
...
...
DB5
...
...
FB1
...
...
FB2
...
...
FB3
...
...
FB4
...
...
Q: For which banks will you need to run the third iteration?
Failed as result of the second iteration?
...
...
...
SB1
...
...
...
SB2
...
...
...
SB3
...
...
...
DB1
...
...
...
DB2
...
...
...
DB3
...
...
...
DB4
...
...
...
DB5
...
...
...
FB1
...
...
...
FB2
...
...
...
FB3
...
...
...
FB4
...
...
...
Post-contagion capital
SB1
SB2
SB3
DB1
DB2
DB3
DB4
DB5
FB1
FB2
FB3
FB4
5233
4858
5053
5336
5366
4845
5323
4850
3603
3570
4729
5339
354
297
147
478
468
485
485
508
413
422
298
502
1159
919
1186
1139
1179
661
1138
623
1134
1163
1015
1197
...
...
...
...
...
...
...
...
...
...
...
...
32
81
77
81
68
72
81
36
77
34
79
66
289
265
32
-38
37
-8
-53
2
2
525
463
527
525
525
53
30
56
49
53
56
556
516
563
562
568
565
574
1663
1641
1663
1663
1663
1643
1644
1663
1715
1667
1715
1715
1715
1715
1715
1715
1715
283
283
283
283
283
283
283
283
283
283
59
51
59
59
59
59
59
59
59
59
59
66
66
66
66
66
66
66
66
66
66
335
321
351
347
361
311
279
198
357
32
37
37
37
28
37
-13
37
2
2
2
-41
2
-41
2
524
527
525
523
517
527
56
53
26
38
56
568
574
513
574
1643
1643
1643
1715
1715
283
...
...
...
...
...
...
...
...
...
...
...
...
...
-4
0
0
0
0
0
0
0
0
-4
0
0
...
0
0
0
0
0
0
0
0
0
0
-40
-66
...
0
0
0
0
0
-40
0
-66
0
-5
-5
0
...
0
0
0
0
-5
0
-5
0
0
0
0
0
...
0
0
0
0
0
0
0
-2
-4
0
0
0
...
0
0
-2
0
-4
0
-3
-10
0
0
0
0
...
0
-3
0
-10
0
-26
-58
0
0
0
0
0
...
-26
0
-58
0
0
0
0
0
0
0
0
0
...
0
0
0
0
0
0
0
0
0
0
0
0
...
0
0
0
0
0
0
0
0
0
0
0
0
...
0
0
0
0
0
0
0
0
0
0
0
0
...
...
...
...
...
...
...
...
...
...
...
...
...
...
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
3720
3642
3720
3720
3720
3700
3701
3720
2057
1985
3416
3641
0
32
81
77
81
68
72
81
36
77
34
79
66
0
66
66
66
66
66
66
66
66
66
66
289
265
0
335
321
351
347
361
311
279
198
357
32
-38
37
0
32
37
37
37
28
37
-13
37
-8
-53
2
2
0
2
2
2
-41
2
-41
2
525
463
527
525
525
0
524
527
525
523
517
527
53
30
56
49
53
56
0
56
53
26
38
56
556
516
563
562
568
565
574
0
568
574
513
574
1663
1641
1663
1663
1663
1643
1644
1663
0
1643
1643
1643
1715
1667
1715
1715
1715
1715
1715
1715
1715
0
1715
1715
283
283
283
283
283
283
283
283
283
283
0
283
59
51
59
59
59
59
59
59
59
59
59
0
Post-contagion CAR
SB1
SB2
SB3
DB1
DB2
DB3
DB4
DB5
FB1
FB2
FB3
FB4
14.3
13.3
13.8
14.6
14.7
13.2
14.6
13.2
9.8
9.7
12.9
14.6
3.4
2.9
1.4
4.7
4.6
4.7
4.7
5.0
4.0
4.1
2.9
4.9
17.3
13.6
17.7
17.0
17.6
9.7
17.0
9.2
16.9
17.4
15.1
17.9
19.0
18.6
19.0
19.0
19.0
18.9
18.9
19.0
10.3
10.0
17.4
18.6
0.0
3.1
7.9
7.5
7.9
6.6
7.0
7.9
3.5
7.5
3.3
7.7
8.1
0.0
8.1
8.1
8.1
8.1
8.1
8.1
8.1
8.1
8.1
8.1
3.4
3.1
0.0
4.0
3.8
4.2
4.1
4.3
3.7
3.3
2.3
4.2
20.5
-22.0
23.9
0.0
20.5
23.9
23.9
23.9
17.9
23.9
-7.7
23.9
-1.3
-9.1
0.4
0.4
0.0
0.4
0.4
0.4
-7.0
0.4
-7.0
0.4
16.7
14.6
16.7
16.7
16.7
0.0
16.6
16.7
16.7
16.6
16.4
16.7
7.8
4.4
8.3
7.3
7.8
8.3
0.0
8.3
7.8
3.8
5.6
8.3
26.0
24.1
26.4
26.3
26.6
26.5
26.9
0.0
26.6
26.9
23.9
26.9
21.4
21.1
21.4
21.4
21.4
21.2
21.2
21.4
0.0
21.2
21.2
21.2
19.0
18.5
19.0
19.0
19.0
19.0
19.0
19.0
19.0
0.0
19.0
19.0
12.2
12.2
12.2
12.2
12.2
12.2
12.2
12.2
12.2
12.2
0.0
12.2
Table F3. "Macro" interbank contagion test

Q: What happens to the capital of the bank in the column if the banking system is weakened by the macroeconomic shock in the "Scenarios" sheet?
Capital (after the macroshocks) 3,385
-645
1,091
2,939
15
-195 -465
24
5
478
24
560 1,299 1,502
101
RWA (after the macroshocks)
35,143
9,301
6,560
19,282
949
592 7,760
152
537 3,112
650 2,109 7,692 8,829 2,282
CAR (after the macroshocks)
9.6
-6.9
16.6
15.2
1.6
-32.9
-6.0 15.8
1.0 15.4
3.7 26.6
16.9 17.0
4.4
Failure?
0
1
1
0
0
0
0
0
0
0
0
Impact on RWA/impact on capital (%)20
First iteration
Capital after the first iteration 2980
-720
839
2861
-30
-195 -495
-46
-50
418
8
509
1277 1454
101
RWA after the first iteration 35062
9286
6509
19267
940
592 7,754
138
526 3,100
647 2,098 7,688 8,819 2,282
CAR after the first iteration
8.5
-7.8
12.9
14.8
-3.2
-32.9
-6.4 -33.2
-9.4 13.5
1.2 24.3
16.6 16.5
4.4
Q: For which banks will you need to run a second iteration?
New failures in the first iteration?
1
0
0
1
1
0
0
0
0
0
0
Second iteration
Capital after the second iteration
2779
-822
740
2861
-34
-195 -593
-51
-60
414
-2
439 1,277 1,454
101
RWA after the second iteration
35022
9266
6490
19267
939
592 7,735
137
524 3,099
645 2,084 7,688 8,819 2,282
CAR after the second iteration 7.9
-8.9
11.4
14.8
-3.6
-32.9
-7.7 -37.1 -11.4 13.4
-0.3 21.1
16.6 16.5
4.4
Q: For which banks will you need to run a third iteration?
0
0
0
0
0
0
1
0
0
0
0
Third iteration
Capital after the third iteration2578
-924
641
2861
-38
-195 -691
-56
-70
410
-12
369 1,277 1,454
101
RWA after the third iteration 34982
9245
6470
19267
939
592 7,715
136
522 3,098
643 2,070 7,688 8,819 2,282
CAR after the third iteration
7.4
-10.0
9.9
14.8
-4.1
-32.9
-9.0 -41.0 -13.3 13.2
-1.9 17.8
16.6 16.5
4.4
Q: For which banks will you need to run a fourth iteration?
0
0
0
0
0
0
0
0
0
0
0
12.0
10.4
12.0
12.0
12.0
12.0
12.0
12.0
12.0
12.0
12.0
0.0
37
479
7.6
0
29
478
6.0
0
29
478
6.0
0
29
478
6.0
0
Table G. Liquidity stress test (based on end-2005 data; all numbers are in B$ millions, ratios are in percent)
All
State
Domes Foreign SB1
SB2
SB3
DB1
DB2
DB3
DB4
DB5
FB1
FB2
FB3
FB4
Banks
Owned tic
(FB)
Table G1. Simple liquidity test (run on all banks, fire-sale of assets)
Demand deposits (domestic currency) 11,573
5,336
2,701
3,537
899
884
3,553
55
319
1,415
305
607
1,768
1,166
565
37
Withdrawn per day (%)
15
15
15
15
15
15
15
15
15
15
15
15
Demand deposits (foreign currency)
18,341
2,691
2,665 12,984
225
98
2,368
82
319
796
477
991
5,033
6,124 1,526
302
10
10
10
10
10
10
10
10
10
10
10
10
Time deposits (domestic currency)
13,427
6,670
2,778
3,979
952
1,501
4,218
66
426
1,200
461
625
1,527
1,704
685
62
3
3
3
3
3
3
3
3
3
3
3
3
Time deposits (foreign currency)
18,478
2,800
3,258 12,420
223
205
2,372
91
409
767
722
1,270
4,129
6,412 1,524
354
1
1
1
1
1
1
1
1
1
1
1
1
Liquid assets
9,787
1,983
2,054
5,750
381
263
1,339
26
262
797
328
641
2,992
1,230 1,371
157
Available per day (%)
95
95
95
95
95
95
95
95
95
95
95
95
Non-liquid assets
57,477 16,022 10,565 30,889
2,000
2,490 11,533
305
1,213
3,908
1,693
3,446 11,129 15,891 3,212
657
1
1
1
1
1
1
1
1
1
1
1
1
Day #
1
Demand deposits (domestic)
9,837
4,535
2,296
3,006
764
751
3,020
47
271
1,203
259
516
1,503
991
480
32
Demand deposits (foreign)
16,507
2,422
2,398 11,686
202
88
2,132
74
287
716
429
892
4,529
5,511 1,374
272
Time deposits (domestic)
13,025
6,470
2,695
3,860
923
1,456
4,091
64
413
1,164
448
607
1,481
1,653
664
61
Time deposits (foreign)
18,293
2,772
3,226 12,295
221
203
2,349
90
405
760
714
1,257
4,088
6,348 1,509
351
New cash outflow (during day 1)
4,158
1,298
788
2,072
188
189
920
19
97
336
115
222
856
903
273
41
Liquid assets (after day 1)
489
99
103
288
19
13
67
1
13
40
16
32
150
62
69
8
Non-liquid assets (after day 1)
56,902 15,862 10,460 30,580
1,980
2,465 11,417
302
1,201
3,869
1,676
3,412 11,017 15,732 3,180
651
New cash inflow (during day 1)
9,872
2,044
2,057
5,771
382
275
1,387
28
261
796
329
643
2,954
1,327 1,335
156
Net cash inflow since beginning of run5,715
746
1,269
3,699
194
85
467
8
164
461
214
422
2,098
425 1,061
115
Liquid? (1=yes, 0=no)
12
3
5
4
1
1
1
1
1
1
1
1
1
1
1
1
2
8,362
3,855
1,952
2,555
650
639
2,567
40
230
1,022
220
439
1,278
843
408
27
14,856
2,180
2,159 10,517
182
80
1,918
67
258
645
386
803
4,077
4,960 1,236
244
12,634
6,276
2,614
3,744
896
1,412
3,968
62
400
1,129
434
588
1,437
1,604
644
59
18,110
2,745
3,193 12,173
219
201
2,325
89
401
752
707
1,244
4,047
6,284 1,494
347
3,700
1,144
697
1,858
165
167
812
17
86
295
102
197
764
813
244
37
24
5
5
14
1
1
3
0
1
2
1
2
7
3
3
0
56,333 15,703 10,355 30,275
1,960
2,440 11,303
299
1,189
3,830
1,659
3,378 10,907 15,575 3,148
644
1,034
253
202
579
38
37
178
4
24
77
32
65
252
216
97
14
-145
774
2,420
67
-45
-167
-5
103
243
144
289
1,587
-172
914
91
8
1
4
3
1
0
0
0
1
1
1
1
1
0
1
1
3
7,107
3,277
1,659
2,172
552
543
2,182
34
196
869
187
373
1,086
716
347
23
13,370
1,962
1,943
9,466
164
72
1,727
60
233
580
348
722
3,669
4,464 1,113
220
12,255
6,088
2,535
3,632
869
1,370
3,849
60
388
1,095
421
571
1,394
1,556
625
57
17,929
2,717
3,161 12,051
217
199
2,302
88
397
744
700
1,232
4,007
6,222 1,479
344
3,300
1,012
619
1,669
145
148
719
15
76
259
92
176
683
733
219
34
1
0
0
1
0
0
0
0
0
0
0
0
0
0
0
0
55,770 15,546 10,252 29,972
1,940
2,416 11,190
296
1,177
3,792
1,643
3,344 10,798 15,419 3,117
638
587
162
108
316
21
25
116
3
13
40
17
35
116
159
35
7
Net cash inflow since beginning of run 335
-995
264
1,067
-57
-168
-770
-17
39
24
70
148
1,020
-747
730
64
7
0
4
3
0
0
0
0
1
1
1
1
1
0
1
1
4
6,041
2,785
1,410
1,846
469
461
1,854
29
167
739
159
317
923
609
295
19
12,033
1,766
1,748
8,519
147
64
1,554
54
209
522
313
650
3,302
4,018 1,001
198
11,887
5,905
2,459
3,523
843
1,329
3,734
58
377
1,062
408
554
1,352
1,509
606
55
17,750
2,690
3,130 11,930
215
197
2,279
87
393
737
693
1,220
3,967
6,159 1,464
340
2,950
898
551
1,502
127
132
638
14
68
229
83
158
612
663
197
31
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
55,212 15,391 10,149 29,672
1,921
2,392 11,078
293
1,165
3,754
1,626
3,310 10,690 15,265 3,085
632
559
156
103
300
19
24
112
3
12
38
16
34
108
154
31
6
Net cash inflow since beginning of run-2,056 -1,737
-184
-134
-165
-275 -1,296
-28
-17
-167
4
24
517 -1,255
564
40
5
0
2
3
0
0
0
0
0
0
1
1
1
0
1
1
5
5,135
2,367
1,198
1,569
399
392
1,576
24
142
628
135
269
785
518
251
17
10,830
1,589
1,574
7,667
133
58
1,399
49
188
470
282
585
2,972
3,616
901
178
11,531
5,728
2,386
3,417
818
1,289
3,622
57
365
1,030
396
537
1,312
1,464
588
54
17,573
2,663
3,099 11,811
212
195
2,256
86
389
730
686
1,207
3,927
6,098 1,449
337
2,644
798
491
1,354
113
117
568
12
61
202
74
141
549
600
177
28
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
54,660 15,237 10,047 29,375
1,902
2,368 10,967
290
1,153
3,717
1,610
3,277 10,583 15,112 3,055
625
552
154
102
297
19
24
111
3
12
38
16
33
107
153
31
6
Net cash inflow since beginning of run-4,147 -2,382
-574 -1,192
-259
-369 -1,754
-37
-67
-332
-55
-84
75 -1,703
418
19
3
0
0
3
0
0
0
0
0
0
0
0
1
0
1
1
Table G2. Flight to safety/contagion liquidity test, government bonds illiquid

What measure of safety? (1=total
assets, 2=total assets, premium for
state ownership, 3=pre-shock
rating)
Premium for state ownership (%

total assets of a privately owned
bank would have to be bigger to
enjoy the same safety)
100
Total (pre-shock) assets
67,264
Adjusted for state ownership premium85,269
Pre-shock rating
2.3
"Index of safety" (100=max, 0=min)
Demand deposits (domestic currency) 11,573
Demand deposits (foreign currency)
18,341
Time deposits (domestic currency)
13,427
Time deposits (foreign currency)
18,478
Liquid assets (with government bonds) 9,787
Government bonds (% illiquid)
Liquid assets (without illiquid bonds)
4,507
Non-liquid assets
57,477
Day #
1
10,021
16,397
12,713
17,848
4,842
225
56,902
10,136
11
2
8,752
14,701
12,051
17,244
4,230
11
56,333
783
10
3
7,709
13,221
11,438
16,666
3,714
1
55,770
574
Net cash inflow since beginning of run-1,292
9
4
6,848
11,926
10,870
16,112
3,278
0
55,212
558
9
5
6,132
10,793
10,343
15,582
2,907
0
54,660
552
9
18,005 12,619
36,010 12,619
3.4
2.2
36,639
36,639
1.8
2,381
4,761
3.3
12.2
899
3
225
2
952
1
223
1
381
100
250
95
2,000
1
2,753
5,506
3.3
14.4
884
4
98
2
1,501
1
205
1
263
12,872
25,743
3.4
74.7
3,553
19
2,368
11
4,218
7
2,372
4
1,339
331
331
3.1
0.0
55
0
82
0
66
0
91
0
26
1,475
1,475
2.9
6.8
319
2
319
1
426
1
409
0
262
4,705
4,705
2.3
26.1
1,415
7
796
4
1,200
3
767
1
797
2,021
2,021
2.2
10.1
305
3
477
2
461
1
722
1
328
4,087
4,087
1.9
22.4
607
6
991
3
625
2
1,270
1
641
14,121
14,121
1.9
82.1
1,768
21
5,033
12
1,527
8
4,129
4
2,992
17,121
17,121
1.7
100.0
1,166
25
6,124
15
1,704
10
6,412
5
1,230
4,583
4,583
2.3
25.3
565
6
1,526
4
685
3
1,524
1
1,371
814
814
2.4
2.9
37
1
302
0
62
0
354
0
157
178
95
2,490
1
987
95
11,533
1
10
95
305
1
150
95
1,213
1
390
95
3,908
1
185
95
1,693
1
298
95
3,446
1
1,100
95
11,129
1
450
95
15,891
1
450
95
3,212
1
59
95
657
1
5,336
2,701
3,537
2,691
2,665
12,984
6,670
2,778
3,979
2,800
3,258
12,420
1,983
2,054
5,750
1,415
1,033
2,059
16,022 10,565
30,889
4,613
2,562
2,420
2,590
6,322
2,725
2,709
3,229
1,434
296
71
52
15,862 10,460
2,072
2,108
639
1,812
3
5
2,846
11,387
3,666
11,910
3,112
103
30,580
5,956
2,844
3
872
221
940
222
45
13
1,980
388
344
1
852
96
1,479
203
57
9
2,465
279
222
1
2,889
2,103
3,903
2,284
1,332
49
11,417
1,405
73
1
55
82
66
91
0
1
302
29
29
1
314
316
423
407
13
8
1,201
267
254
1
1,323
765
1,169
757
165
20
3,869
817
652
1
297
470
457
718
23
9
1,676
336
313
1
573
958
611
1,255
95
15
3,412
661
565
1
1,405
4,413
1,402
3,960
1,278
55
11,017
3,048
1,770
1
875
5,205
1,534
6,091
1,701
23
15,732
1,366
-335
0
529
1,468
667
1,505
130
23
3,180
1,381
1,250
1
37
300
62
354
2
3
651
161
158
1
4,016
2,431
2,178
2,518
5,998
2,674
2,621
3,200
1,251
284
4
3
15,703 10,355
226
154
-387
1,682
2
5
2,305
10,005
3,380
11,423
2,695
5
30,275
404
553
3
845
217
929
221
43
1
1,960
32
332
1
821
94
1,458
202
56
0
2,440
33
199
1
2,350
1,867
3,611
2,198
1,152
2
11,303
161
-918
0
55
82
66
91
0
0
299
3
32
1
308
313
420
406
13
0
1,189
19
260
1
1,237
735
1,138
747
156
1
3,830
57
553
1
290
463
452
714
23
0
1,659
26
315
1
541
925
598
1,241
92
1
3,378
48
522
1
1,117
3,869
1,287
3,797
1,110
3
10,907
162
823
1
656
4,424
1,381
5,787
1,457
1
15,575
179
-1,614
0
495
1,413
650
1,486
125
1
3,148
53
1,178
1
37
299
62
353
2
0
644
9
165
1
3,522
2,307
1,963
2,448
5,696
2,623
2,536
3,171
1,096
272
0
0
15,546 10,252
160
106
-1,323
1,515
2
5
1,880
8,810
3,120
10,958
2,345
0
29,972
308
-1,485
2
819
213
918
219
42
0
1,940
20
310
1
792
92
1,437
200
54
0
2,416
25
170
1
1,911
1,658
3,341
2,116
1,000
0
11,190
115
-1,803
0
55
82
66
91
0
0
296
3
35
1
303
309
417
405
13
0
1,177
12
260
1
1,156
706
1,109
738
149
0
3,792
39
443
1
283
456
448
711
22
0
1,643
17
310
1
511
894
584
1,227
89
0
3,344
34
467
1
887
3,392
1,181
3,641
968
0
10,798
112
-33
0
492
3,761
1,243
5,498
1,255
0
15,419
157
-2,712
0
464
1,359
634
1,467
120
0
3,117
33
1,090
1
36
298
62
353
2
0
638
7
170
1
3,112
2,191
1,771
2,380
5,414
2,574
2,454
3,143
965
261
0
0
15,391 10,149
156
103
-2,132
1,357
2
5
1,545
7,775
2,882
10,515
2,051
0
29,672
300
-3,235
2
794
209
906
218
41
0
1,921
19
288
1
763
90
1,416
199
53
0
2,392
24
142
1
1,554
1,472
3,092
2,037
871
0
11,078
112
-2,562
0
55
82
66
91
0
0
293
3
38
1
298
306
414
403
13
0
1,165
12
259
1
1,081
679
1,080
728
141
0
3,754
38
340
1
275
449
443
707
22
0
1,626
16
304
1
482
864
571
1,214
85
0
3,310
33
416
1
705
2,975
1,084
3,492
847
0
10,690
108
-772
0
369
3,197
1,118
5,223
1,086
0
15,265
154
-3,644
0
435
1,307
618
1,448
116
0
3,085
31
1,006
1
36
297
62
352
2
0
632
6
174
1
2,770
2,082
1,600
2,315
5,152
2,526
2,375
3,115
854
251
0
0
15,237 10,047
154
101
-2,832
1,207
2
5
1,280
6,878
2,665
10,091
1,802
0
29,375
297
-4,741
2
770
205
895
217
40
0
1,902
19
267
1
736
88
1,396
197
51
0
2,368
24
114
1
1,264
1,307
2,861
1,961
762
0
10,967
111
-3,213
0
55
82
66
91
0
0
290
3
41
1
293
303
411
402
12
0
1,153
12
258
1
1,010
652
1,052
719
135
0
3,717
38
243
1
268
442
439
704
22
0
1,610
16
299
1
455
835
558
1,200
82
0
3,277
33
366
1
560
2,608
995
3,348
744
0
10,583
107
-1,408
0
277
2,717
1,006
4,962
945
0
15,112
153
-4,436
0
407
1,258
602
1,430
111
0
3,055
31
926
1
36
295
62
352
2
0
625
6
178
1
Table H. Scenario Results (based on end-2005 data; all numbers are in B$ millions, ratios are in percent)
Scenario parameters (summary, in %)
Credit risk type
Additional provisions (as % of existing)
Increase in interest rates
Proportional
11
1.5
All
Table H1. Summary of Results

Solvency
Pre-shock CAR
Impact of (percentage points of the original RWA)
Increase in provisioning
Increase in NPLs
Exchange rate change (+ depreciation, - appreciation)
Post-shock CAR
Change in CAR (all fundamental shocks)
Impact of interbank contagion
Post-contagion CAR
Liquidity
Pre-shock
Post-shock
Liquid assets/short-term liabilities
Pre-shock
Post-shock

55
Liquidity scenario type (simple/complex):
Simple
Evaluated after (days):
2
SBs
DBs
FBs
SB1
SB2
SB3
DB1
DB2
DB3
DB4
DB5
FB1
FB2
FB3
FB4
14.9
5.0
18.2
19.0
7.9
8.1
4.3
23.9
0.4
16.7
8.3
27.9
21.4
19.0
12.2
12.0
-2.2
-1.5
-0.8
-1.1
9.3
-5.6
-1.7
7.9
-6.5
-2.7
-0.6
-1.4
-6.3
-11.2
-1.9
-8.9
-0.6
-1.2
1.2
-1.3
16.3
-1.9
-5.2
11.4
-0.5
-1.0
-1.7
-0.8
15.0
-4.0
-0.4
14.8
-1.7
-6.2
1.7
-0.3
1.4
-6.5
-5.2
-3.6
-21.2
-5.7
-2.8
-2.4
-24.0
-32.1
0.0
-32.9
-5.7
-2.0
-0.7
-1.4
-5.5
-9.8
-1.7
-7.7
-0.3
-2.2
-3.5
-2.4
15.4
-8.4
-52.9
-37.1
-1.1
-4.3
7.1
-1.2
0.9
0.5
-12.4
-11.4
-0.7
-0.4
0.8
-1.1
15.2
-1.6
-2.0
13.4
0.0
-3.9
1.7
-2.5
3.5
-4.8
-4.0
-0.3
-0.4
-0.5
0.4
-1.0
26.3
-1.6
-5.5
21.1
0.0
-0.8
-2.3
-1.6
16.7
-4.7
-0.3
16.6
-1.1
-0.9
-0.1
-0.2
16.7
-2.4
-0.5
16.5
0.0
-2.0
-5.3
-0.6
4.4
-7.8
0.0
4.4
0.0
-1.8
-2.7
0.0
7.5
-4.6
-1.6
6.0
14.6
4.7
11.0
-0.8
16.3
6.2
15.7
6.8
16.0
2.9
9.6
-1.8
10.4
-1.4
7.9
-1.4
17.8
7.0
16.9
5.3
16.2
7.3
15.7
7.2
21.2
11.6
7.2
-1.0
29.9
20.8
19.3
11.6
32.7
13.2
24.7
-2.3
38.3
19.0
34.8
18.6
33.9
8.2
26.8
-6.1
22.6
-3.7
19.0
-4.2
41.1
21.2
36.0
14.7
41.9
23.9
40.1
23.4
44.0
29.8
16.9
-2.9
65.6
55.8
46.3
33.8
921
2.5
25
-962
-41
-0.1
7.8
-0.1
-1.2
17
0.2
183
2.7
721
3.7
-10
-1.0
5
0.6
22
0.3
8
5.1
31
5.5
41
1.3
40
5.9
63
3.0
180
2.3
420
4.7
99
4.3
22
4.5
-278
-261
-2.5
-11.4
-1.5
40.4
-165
18
0.3
11.7
0.1
1.6
-519
202
1.0
15.9
0.6
6.9
-36
-46
-4.4
-8.1
-2.0
-310.2
-43
-38
-4.7
-37.6
-1.5
19.5
-199
-177
-2.1
-9.8
-1.5
38.1
-5
3
1.7
-35.4
0.8
11.0
-22
9
1.5
-9.9
0.6
162.6
-59
-18
-0.6
12.8
-0.4
-3.8
-26
14
2.1
1.8
0.7
59.8
-53
10
0.5
21.6
0.3
1.8
-173
7
0.1
16.7
0.1
0.6
-266
154
1.7
18.2
0.9
10.2
-67
32
1.4
5.8
0.7
31.6
-13
9
1.9
7.8
1.1
24.8
Pre-shock capital
5,444
Impact of:
-808
Increase in NPLs
-551
-310
Exchange rate change (+ depreciation, - appreciation) -390
Post-shock capital
3,385
508
1,217
3,720
81
66
361
37
527
56
594
1,663
1,715
283
59
-667
-278
-63
-145
-645
-39
-79
78
-86
1,091
-102
-194
-325
-159
2,939
-18
-63
18
-4
15
-172
-46
-23
-20
-195
-477
-168
-58
-122
-465
-1
-3
-5
-4
24
-6
-24
40
-7
5
-23
-14
24
-36
478
0
-26
11
-17
24
-10
-11
8
-22
560
0
-63
-176
-125
1,299
-102
-77
-12
-21
1,502
0
-46
-123
-13
101
0
-9
-13
0
37
36,503
10,246
6,678
19,579
1,030
809
8,406
156
568
3,148
676
2,129
7,755
9,008
2,328
488
-808
-551
35,143
67,264
65,205
3,073
23,218
-667
-278
9,301
18,005
16,853
-140
6,035
-39
-79
6,560
12,619
12,494
779
4,110
-102
-194
19,282
36,639
35,859
2,434
13,073
-18
-63
949
2,381
2,314
68
832
-172
-46
592
2,753
2,493
-44
718
-477
-168
7,760
12,872
12,046
-164
4,485
-1
-3
152
331
318
-4
106
-6
-24
537
1,475
1,478
104
489
-23
-14
3,112
4,705
4,656
245
1,667
0
-26
650
2,021
1,989
145
607
-10
-11
2,109
4,087
4,053
291
1,241
0
-63
7,692
14,121
13,757
1,594
5,354
-102
-77
8,829
17,121
16,909
-169
5,803
0
-46
2,282
4,583
4,401
917
1,644
0
-9
479
814
792
92
271
Assumed minimum CAR rule (%)

10
Assumed use for capital injection for RWA (%)
0
Capital needed to satisfy the minimum CAR rule for all banks
3,514
Capital injection needed (B$ million)
1,803
Capital injection needed (% of GDP)
1.8
930
1,575
1.6
656
90
0.1
1,928
138
0.1
95
80
0.1
59
254
0.3
776
1,241
1.2
15
0
0.0
54
48
0.0
311
0
0.0
65
41
0.0
211
0
0.0
769
0
0.0
883
0
0.0
228
127
0.1
48
11
0.0
Memo items:
Profits (10-year average)
Profits (10-year average)/pre-shock RWA
Autonomous shock to net interest income
Impact of the autonomous shock on profits
Profit "buffer"
Profit "buffer"/pre-shock RWA
Post-shock CAR (if profits used for defence)
Post-shock ROA (if profits used for defence)
Post-shock ROE (if profits used for defence)
Pre-shock RWA
Impact of:
Increase in NPLs
Post-shock RWA
Pre-shock assets
Post-shock assets
Post-shock liquid assets
Post-shock short-term liabilities
Table H. Scenario Results (based on end-2005 data; all numbers are in B$ millions, ratios are in percent)
Scenario parameters (summary, in %)
Credit risk type
Additional provisions (as % of existing)
Table H2. Post-Shock Banking Ratios
Capital Adequacy
Asset Quality
Provisions/NPLs
RWA/total assets
Profitability
ROA (after-tax) *
ROE (after-tax) *
Liquidity
Other
Z-score ((C/A+ROA/stdev(ROA))
Table H3. Post-Shock Ratings
Overall
Change from pre-shock rating
Capital Adequacy
Asset Quality
Provisions/NPLs
RWA/total assets
Profitability
ROA (after-tax) *
ROE (after-tax) *
Liquidity
Table H4. Post-shock probability of default
Overall
Change from pre-shock probability
Capital Adequacy
Asset Quality
Provisions/NPLs
RWA/total assets
Profitability
ROA (after-tax) *
ROE (after-tax) *
Liquidity
Proportional
11
1.5

55
Liquidity scenario type (simple/complex):
Simple
Evaluated after (days):
2
7.8
-11.4
11.7
15.9
-8.1
-37.6
-9.8
-35.4
-9.9
12.8
1.8
21.6
16.7
18.2
5.8
7.8
20.1
51.3
98.7
33.8
53.9
38.0
50.3
544.0
23.8
55.2
15.9
51.8
62.7
41.9
52.5
12.8
52.4
49.7
35.9
53.8
79.6
46.1
839.5
22.4
41.0
39.8
44.8
775.6
24.1
23.7
31.4
53.4
435.2
23.9
64.4
22.3
23.5
139.4
45.1
47.9
47.7
70.5
5,849.6
47.7
36.3
7.3
48.1
27.7
41.2
66.8
37.6
34.4
615.5
51.5
32.7
6.5
65.5
12.8
36.6
52.0
11.5
36.8
47.8
57.1
55.9
9.9
64.2
32.2
12.7
52.2
29.3
52.0
154.4
72.1
51.9
28.0
63.8
109.5
64.4
60.5
-0.1
-1.2
-1.5
40.4
0.1
1.6
0.6
6.9
-2.0
-310.2
-1.5
19.5
-1.5
38.1
0.8
11.0
0.6
162.6
-0.4
-3.8
0.7
59.8
0.3
1.8
0.1
0.6
0.9
10.2
0.7
31.6
1.1
24.8
4.7
13.2
-0.8
-2.3
6.2
19.0
6.8
18.6
2.9
8.2
-1.8
-6.1
-1.4
-3.7
-1.4
-4.2
7.0
21.2
5.3
14.7
7.3
23.9
7.2
23.4
11.6
29.8
-1.0
-2.9
20.8
55.8
11.6
33.8
4.0
-17.7
4.4
6.8
14.1
-12.4
-25.8
0.0
491.7
2.6
8.6
3.8
5.1
3.6
31.1
34.3
...
...
...
...
-0.5
-3.6
-23.8
6.9
0.3
19.0
0.5
15.0
20.7
1.8
3.2
1.2
2.7
0.4
3.4
0.0
2.9
0.7
2.4
0.5
3.7
0.4
3.4
0.1
3.4
0.0
3.3
0.2
3.3
0.5
3.1
0.8
3.2
1.0
2.4
0.5
2.5
0.6
2.2
0.6
2.7
0.4
2.9
0.5
2.2
4.0
2.3
1.3
2.8
2.4
2.7
2.2
2.8
4.0
2.3
4.0
2.0
2.6
2.6
2.6
2.3
2.7
2.7
2.3
2.4
2.3
2.2
3.0
4
3
4
2
2
4
3
4
2
1
4
2
4
2
3
3
4
4
3
2
4
2
4
3
2
2
3
2
3
3
4
3
4
3
2
2
2
1
2
3
2
3
2
3
3
2
2
2
1
3
4
2
4
4
3
4
2
4
4
3
3.3
2.2
4.0
1.6
3.4
2.8
3.0
2.2
4
4
4
2
4
1
3
2
3
1
4
4
3
1
3
3
3
3
3
2
3
1
2
1
3.6
3.8
4.0
4.0
4.0
4.0
3.3
3.6
4
4
4
4
4
4
4
4
4
4
4
4
4
4
4
4
3
4
4
4
2
1
3
3
2.1
3.3
1.5
1.8
25.7
10.0
21.3
1.4
22.6
5.5
16.7
-2.1
19.3
6.0
15.9
12.8
17.8
11.9
7.7
6.0
5.7
4.5
7.1
1.0
10.9
2.7
11.2
5.0
30.0
30.0
30.0
30.0
30.0
1.0
30.0
0.1
0.1
0.1
5.0
5.0
30.0
5.0
30.0
1.0
1.0
30.0
5.0
30.0
1.0
0.1
30.0
1.0
30.0
1.0
5.0
5.0
30.0
30.0
5.0
1.0
30.0
1.0
30.0
5.0
1.0
1.0
5.0
1.0
5.0
5.0
30.0
5.0
30.0
5.0
1.0
1.0
1.0
0.1
1.0
5.0
1.0
5.0
1.0
5.0
5.0
1.0
1.0
1.0
0.1
5.0
30.0
1.0
30.0
30.0
5.0
30.0
1.0
30.0
30.0
5.0
30.0
30.0
30.0
1.0
30.0
0.1
5.0
1.0
5.0
0.1
30.0
30.0
5.0
0.1
5.0
5.0
5.0
5.0
5.0
1.0
5.0
0.1
1.0
0.1
30.0
30.0
30.0
30.0
30.0
30.0
30.0
30.0
30.0
30.0
30.0
30.0
30.0
30.0
30.0
30.0
5.0
30.0
30.0
30.0
1.0
0.1
5.0
5.0
1.0
0.1
30.0
0.1
30.0
0.1
1.0
0.1
1.0
0.1
30.0
30.0

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TP 4 - Entrenamiento

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STRESS TESTER 2.

0: A HANDS-ON STRESS TESTING EXERCISE TOOL

Table A. Bankistan: Reported Data, end-2005 (In B$ millions; ratios in percent)

State Owned Domestic

Table A1. Balance sheet and income

Net income ("after-tax profit")

Table A2. Other input data

Table A. Bankistan: Reported Data, end-2005 (In B$ millions; ratios in percent)

State Owned Domestic

Table A. Bankistan: Reported Data, end-2005 (In B$ millions; ratios in percent)

State Owned Domestic

Table A. Bankistan: Reported Data, end-2005 (In B$ millions; ratios in percent)

Table A4. Structure of the Financial System (data in percent)

Table A6. Basic Ratio Analysis: Probability of Default

Capital injection (% GDP)

Threshold 1 Threshold 2 Threshold 3 Weight

Capital injection (% GDP)

After shocks &

Capital adequacy ratio (%)

Capital adequacy ratio (%)

Government bonds illiquid

Flight to safety/contagion test

Premium for state ownership (% total assets

Liquidity available (B$ million)

Probability of default (%)

Liquidity Stress Test

Exchange Rate Risk

Interest Rate Risk

Shock 2. "Proportional increase in NPLs"

Table D2. Interest Rate Stress Test

Overall change in CAR (NII and repricing impact)

Table E2. Indirect Foreign Exchange Risk

Table F3. "Macro" interbank contagion test

Table G2. Flight to safety/contagion liquidity test, government bonds illiquid

Premium for state ownership (%

Table H1. Summary of Results

Exchange rate change (+ depreciation, - appreciation)

Assumed minimum CAR rule (%)

Exchange rate change (+ depreciation, - appreciation)

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