The objective of the 2018 EU‐wide stress test is to provide supervisors, banks and other market participants with a common analytical framework to consistently compare and assess the resilience of EU banks to shocks and to challenge the capital position of EU banks. In particular, this exercise is designed to inform the supervisory review and evaluation process (SREP) carried out by competent authorities (CAs).


2018 Stress test results (EBA)

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In this context, the EBA published in November the 2018 EU-wide stress test results, including both aggregate results and granular data for each bank, which will facilitate the consistent comparison and assessment of the resilience of banks to adverse economic shocks. This Technical Note analyses the main 2018 stress test results, focusing on the aggregated results across the EU, as well as on the results of the countries with the highest level of asset volumes within the banking system.

Executive Summary

In November 2018, the EBA published the results of the 2018 EU-wide stress test, designed to be used as an important input into the SREP. In particular, as in previous years, the 2018 EU-wide stress test was conducted as a bottom-up exercise and assuming a static balance sheet. Moreover, this methodology covers all relevant risk areas and, for the first time, considers IFRS 9.

Scope of application

  • Sample: 48 EU banks.
  • The level of consolidation is aligned with that of the CRD IV / CRR framework.
  • The banks should hold a minimum of €30 billion in assets in order to be included within the scope.

Main content

This Technical Note analyses the aggregate results relative to the potential impact on the following aspects:

  • Capital. The phase-in CET1 ratio moves from 14.5% (phased-in) and 14.2% (fully loaded) at the end of 2017, to 10.3% and 10.1% at the end of 2020 respectively under the adverse scenario. The negative impact of IFRS 9’ implementation on the CET1 capital ratio is -20 bps on a fully loaded basis.
  • Leverage ratio (LR). The LR moves from 5.4% (phase-in) and 5.2% (fully-loaded) at the end of 2017 to 4.4% and 4.2% in 2020 respectively under the adverse scenario.
  • RWAs. The total RWAs moves from €8,406 bn in 2017 (restated) to €9,455 bn at the end of 2020 under the adverse scenario.
  • Provisions and coverage ratio. In the EU the provisions increases by 100% between 2017 (restated) and 2020 (adverse scenario); and the coverage ratio decreases between 2017 (restated) and 2020 under the baseline and the adverse scenarios.
  • P&L. Net interest income is impacted significantly due to the credit risk losses arising from the adverse scenario, which are mainly caused by exposures towards counterparties in UK, Italy, France, Spain and Germany.

In addition, this Technical Note includes the individual results for each of the major geographies, i.e. Germany, Spain, France, Italy, and UK.

Download the technical note by clicking here .