Next Generation Balance Sheet Stress Testing_v6

Next generation excel-based stress testing tool for solvency tests (both for single banks and banking systems)

Christian Schmieder, Claus Puhr & Maher Hasan

Origin

This tool has been developed as part of IMF work on (macro) stress testing.

Motivation

Contents

The tool is based on a modular design and consists of three major elements/steps.

Preparation of Stress Test

Input Data

Assumptions and Scenarios

Original Authors

Stress Tests were an important building block of the Financial Sector Assessment Programmes (FSAPs) carried out jointly by the IMF and World Bank since 1999.

An overview of stress tests carried out as part of FSAPs with a focus on IMF work has been provided by Marina Moretti, Stéphanie Stolz and Mark Swinburne (2008).This tool is based on the seminal work on applied stress testing carried out by Martin Čihák (2007).

The main purpose was to further develop the current framework taking into account (i) evolutions in risk management techniques and stress testing concepts (particularly Basel II) and (ii) lessons learnt during the financial crisis. A key goal was to keep the method and the procedure tractable, which is why the tool has been implemented in Excel.

Key New Features &

Agenda

The modular nature of the tool allows it growing with further evolution in techniques, evidence, and best practice in general. The first release of the tool includes a module for solvency tests. This module incorporates the following key innovations: (i) an integration of satellite models into the stress test framework; (ii) a framework to stress test risk-weighted assets (RWAs) for credit risk, market risk, operational risk and Pillar 2 risks; (iii) for credit risk, a formula to determine stressed Risk Weighted Assets (RWAs) conditional on stressed PDs and correlations; (iv) a multi-year stress testing framework (up to five years). In due course, the following additional elements will be added: (v) a module to run liquidity tests that accounts for the lessons learnt during the crisis (and thus offers more granularity and different types of tests) as well as the most recent regulators liquidity risk proposals (Basel III); (vi) a framework to stress test contagion, taking into account correlations; and (vii) stress testing for islamic banks.

Setup & Parameters

The setup and parameter sheet defines the procedural and conceptual setting that is required to run the stress tests (eg the number of banks included in the test). These parameters help both to keep the tests flexible (the stress tester can define specific industry sectors, for example), but also to define calculation rules that allow for more sophisticated tests.

Naturally, the input data are an essential building block for the stress tests. The tool allows to run stress tests based on limited data, but also based on more comprehensive ("nice to have") inputs, accounting for the fact that data availability varies across countries and banks. The scope of input data used for the tests are specified on the setup sheet.

Step 1

Step 2

http://www.imf.org/external/np/fsap/fsap.asp

http://www.imf.org/external/pubs/ft/wp/2008/wp08206.pdf


Contents

Calculation & Results

Calculation

Results

Chart

The following chart illustrates the modular design.

Once finalized, the tool will allow for three different types of stress tests:

Release/VersionTimetable

Solvency Stress Tests


A key building block of stress tests is the definition of assumptions and scenarios. The tool has been designed in a flexible way to allow for various complementary analysis based on different assumptions, which can be composed automatically (by means of drop-down menus and specific fields), unless the stress tester seeks to define scenarios that differ across banks, for example (in which case he/she has to define them manually in the foreseen fields).

The calculation is done "on the fly" (i.e. there is no waiting time), which is a key advantage of the tool, as stress testers usually want and need to reiterate many times in order to arrive at meaningful tests and scenarios. A main target has been to keep the tool tractable, which eases the understanding of the results, and makes the tool different from other best practice tools that take the form of "black boxes".

The results are displayed in different tabs, depending on the actual tests (input data, assumptions/setup, calculation, results).

Eligible modules

Step 3

Concen-tration

ParameterVariable

Setup

Liquidity

ExpertJudgment

Input data

Satellite model

Assumptions(part of “results”)

Resultsummary

Results(incl. balance sheets)

Calculation(solvency)

ContagionConcen-tration

ParameterVariable

Setup

Liquidity

ExpertJudgment

Input data

Satellite model


Resultsummary



Contagion

Liquidity Stress TestsContagion Stress Tests

The tool incorporates an overview on the specificities of the tests for the three areas. Please navigate.

Liquidity Stress TestsContagion Stress Tests

Procedure

Eligible modules

Outline of method


The simplest way to explore the tool is to follow the roadmap. Additional information information is provided for in the working papers. Please navigate.

Go to Roadmap, which will guide you through the tool step-by-step.The working paper related to the first release can be accessed here.


http://www.imf.org/external/pubs/cat/longres.aspx?sk=24798.0

Next generation excel-based stress testing tool for solvency tests (both for single banks and banking systems)

Christian Schmieder, Claus Puhr & Maher Hasan

This tool has been developed as part of IMF work on (macro) stress testing.

The tool is based on a modular design and consists of three major elements/steps.

Preparation of Stress Test


Stress Tests were an important building block of the Financial Sector Assessment Programmes (FSAPs) carried out jointly by the IMF and World Bank since 1999.

An overview of stress tests carried out as part of FSAPs with a focus on IMF work has been provided by Marina Moretti, Stéphanie Stolz and Mark Swinburne (2008).This tool is based on the seminal work on applied stress testing carried out by Martin Čihák (2007).

The main purpose was to further develop the current framework taking into account (i) evolutions in risk management techniques and stress testing concepts (particularly Basel II) and (ii) lessons learnt during the financial crisis. A key goal was to keep the method and the procedure tractable, which is why the tool has been implemented in Excel.

The modular nature of the tool allows it growing with further evolution in techniques, evidence, and best practice in general. The first release of the tool includes a module for solvency tests. This module incorporates the following key innovations: (i) an integration of satellite models into the stress test framework; (ii) a framework to stress test risk-weighted assets (RWAs) for credit risk, market risk, operational risk and Pillar 2 risks; (iii) for credit risk, a formula to determine stressed Risk Weighted Assets (RWAs) conditional on stressed PDs and correlations; (iv) a multi-year stress testing framework (up to five years). In due course, the following additional elements will be added: (v) a module to run liquidity tests that accounts for the lessons learnt during the crisis (and thus offers more granularity and different types of tests) as well as the most recent regulators liquidity risk proposals (Basel III); (vi) a framework to stress test contagion, taking into account correlations; and (vii) stress testing for islamic banks.

The setup and parameter sheet defines the procedural and conceptual setting that is required to run the stress tests (eg the number of banks included in the test). These parameters help both to keep the tests flexible (the stress tester can define specific industry sectors, for example), but also to define calculation rules that allow for

Naturally, the input data are an essential building block for the stress tests. The tool allows to run stress tests based on limited data, but also based on more comprehensive ("nice to have") inputs, accounting for the fact that data availability varies across countries and banks. The scope of input data used for the tests are specified on the

http://www.imf.org/external/np/fsap/fsap.asp



Calculation & Results

The following chart illustrates the modular design.

Once finalized, the tool will allow for three different types of stress tests:

1 2 3 4Oct-10 Apr-11 Aug-11 Oct-11

Yes Yes Yes Yes

A key building block of stress tests is the definition of assumptions and scenarios. The tool has been designed in a flexible way to allow for various complementary analysis based on different assumptions, which can be composed automatically (by means of drop-down menus and specific fields), unless the stress tester seeks to define scenarios that differ across banks, for example (in which case he/she has to define them manually in the foreseen

The calculation is done "on the fly" (i.e. there is no waiting time), which is a key advantage of the tool, as stress testers usually want and need to reiterate many times in order to arrive at meaningful tests and scenarios. A main target has been to keep the tool tractable, which eases the understanding of the results, and makes the tool different from other best practice tools that take the form of "black boxes".

The results are displayed in different tabs, depending on the actual tests (input data, assumptions/setup,

Concen-tration

ParameterVariable

Setup

Liquidity

ExpertJudgment

Input data

Satellite model


Resultsummary



ContagionConcen-tration

ParameterVariable

Setup

Liquidity

ExpertJudgment

Input data

Satellite model


Resultsummary



Contagion

No No Yes (to be published) Yes (to be published)No Planned Planned Planned

The tool incorporates an overview on the specificities of the tests for the three areas. Please navigate.

The simplest way to explore the tool is to follow the roadmap. Additional information information is provided for in the

Go to Roadmap, which will guide you through the tool step-by-step.The working paper related to the first release can be accessed here.

http://www.imf.org/external/pubs/cat/longres.aspx?sk=24798.0

User Guide for the Use of this Stress Testing Template (Road Map)


STEP 0 Choose the Set-up of the Stress Testing Template ('Set-up' tab)Progress

0.1 Set the number of banks Not yet completed0.2 Choose credit loss definition - PD/LGD concept or Loss/Provision concept (depending on the availabl Not yet completed0.3 Define sectors for credit risk analysis (both number and whether to include them) Not yet completed0.4 Define asset classes for the trading and investment portfolios Not yet completed0.5 Define currencies to be used for the FX stress test Not yet completed

0.6 Not yet completed

0.7 Confirm setup by running "Run setup" macro (i.e. push it) Not yet completed

STEP 1 Enter Data for the Banks (Input_Banks sheet)Progress

1.1 Enter Bank names, Reporting Data, Currency, Country of location and whether the data is standal Not yet completed1.2 Choose 3-digit Country Code (essential, if some information is not available on bank level, eg LG Not yet completed1.3 Enter financial statement data (Balance sheet data) Not yet completed

At this point in time, it becomes important to understand the meaning of colors…

SHEET: Input - Banks

Header 1

Header 2

Linked to setup or parameter sheet

Input data (minimum)

Input data (desirable input)

Input data (nice-to-have)

Derived data (e.g. intermediate results)

Final results (e.g. banking system total)

Configuration - set according to requirements

Linked to configuration - do not change

Configuration (tech.) - do not change

1.4 Enter data related to the Statement of Income (P&L) Not yet completed

1.5 Not yet completed1.6 Enter regulatory data Not yet completed1.7 Enter Market based Financial Soundness Indicators (Optional, for information only) Not yet completed1.8 Enter bank-level credit risk related data Not yet completed1.9 Enter market risk related data Not yet completed

1.10 Not yet completed1.11 Check summary of information as a means to validate the data Not yet completed

1.11.1 Check whether best available PD/Loss measure is used (check also for other parameters) Not yet completed1.12 Verify whether data is comprehensive: Are all pull down bars for progress set to "Completed" Not yet completed1.13 Look at descriptive statistics for different banking groups (if applicable) (optional) Not yet completed

STEP 2 Check country level data and add/modify, if necessary ('Input - Country' sheet)Progress

2.1 Verify country-level credit risk parameters; If you have more reliable sources, add and/or modify d see "Input-Country"Not yet completed2.2 Add macroeconomic data (optional) Not yet completed2.3 Please add most recent GDP figure, so that final result can be compared with GDP Not yet completed2.4 Verify whether correct GDP is used to determine the results on the system level (for all years) Not yet completed

Below, a detailed roadmap for the use of the tool is provided, which is meant to (i) guide the stress testers through the tool and (ii) to provide the users with essential background information to make appropriate use of the tool.

Where to find this part?

Comments and Background Information

Number of BanksCredit Loss DefinitionDefine sectorsDefine market risk settingsDefine currencies

Define scope of information to be used (i.e. the one necessary) - minimum, extended, maximum; run specific macro

Define information scope

Confirm setup



Bank Name, Reporting Data etcCountry Code A comprehensive list of the country codes can be found here.Financial Statement Data

… and you may want to use the progress documentation function on the right hand side (column K)

Statement of Income Data

Define the approach used by the banks to calculate RWAs for the different risk types (Basel I or Basel II, in case of partial use approach that covers majority of assets) Basel approach

Regulatory dataMarket IndicatorsCredit Risk Data - Bank levelMarket Risk Data

Enter portfolio level information for credit risk positions as available (optional), define sectors and regions on setup sheet (step 0.3) Credit Risk Data - Portfolio level details

Review data displayed in summary sectionCheck PD/Loss measureStep completed: Progress monitorDescriptive statistics



Verify country-level dataMacroeconomic dataInsert GDPGDP correctly linked to results?

STEP 3 Add Satellite Models (optional) ('Input - Satellite' sheet)Progress

3.1 Enter Satellite models (Coefficients, Macro Data) Not yet completed

3.2 The important figures to be used for the calculation is the relative change (see example here) Not yet completed


3.4 Enter Labels for Macro Scenarios and Actual Parameters (Light, Medium, Severe) Not yet completed

STEP 4 Verify Parameters ('Parameter' sheet) (Optional, but recommended)Progress

4.1 Verify whether the suggested scenarios are in line with your needs (supposed to be the case) Not yet completed4.2 Define interest rate shock definition - to match with the input data (bank level) Not yet completed4.3 Modify or define additional LGD rule (optional) Not yet completed4.4 Change master rating scale and PDs (optional) Not yet completed4.5 If scaling factor is used (for banks using the standardized approach, but are tested based on the IR Not yet completed4.6 Define hurdle rates according to Basel III schedule (add additional buffer, if applicable) Not yet completed4.6 Define behavioral adjustment of banks in terms of RWAs for Basel III (if applicable) Not yet completed4.7 Verify whether other parameters apply (optional) Not yet completed

STEP 5 Define assumptions and scenarios ('Assumptions')Progress

5.1 Choose follow all 5 steps as listed on assumptions sheet as further outlined below (green fields)Not yet completed

5.2 Input scenarios manually (optional, bank-by-bank definitions -please note: comprehensive step) Not yet completed

Step 5.15.3 Choose number of years Not yet completed

5.4 Do you want to re-scale profit to one year (in case of under-year figures)? Not yet completed

5.5 Set credit risk assumptions (subsequent steps) Not yet completed

5.5.1 Choose sector classification for credit risk Not yet completed

5.5.2 Choose definition (and thereby figures) for RWAs (regulatory or economic - if populated) Not yet completed

5.5.3 Choose whether you want to include name concentration risk Not yet completed

5.6 Choose RWA definition for market risk Not yet completed

5.7 Do you want to include Pillar 2 RWAs? Not yet completed

5.8 Define profit assumptions (subsequent steps) Not yet completed

5.8.1 Do you want to simulate taxes? If yes, please enter percentage Not yet completed

5.8.2 Please define portion of profit to be retained Not yet completed

Step 5.25.9 Set hurdle rates (which are used unless Basel III ratio are chosen) Not yet completed

5.10 Additional buffer above hurdle rate Not yet completed

Step 5.35.11 Choice of scenario > please choose on summary sheet; if "Macro" scenario is chosen, please define next steps Not yet completed

5.12 Specification of macro scenario (subsequent steps) Not yet completed

5.12.1 Please choose whether you want to use proprietary satellite models or Rule of Thumb Not yet completed

5.12.2 If you choose the Rule of Thumb then please select which type of country you want to stress tests Not yet completed

5.12.3 If you choose the Rule of Thumb then please enter change of GDP compared to previous year ea Not yet completed

5.12.4 Not yet completed

Step 5.4


5.14 Please choose PD assumption for each year depending on setting Not yet completed5.15 Please choose LGD assumptions (only applicable if you do not use satellite model!) Not yet completed5.16 Please choose correlation assumption Not yet completed5.17 Please choose whether you want to simulate default of largest counterparts (year 1 only) Not yet completed5.18 Please choose credit growth assumptions (only applicable if you do not use satellite model!) Not yet completed5.19 Define increase in RWAs for market risk (either expert-based or based on economic capital model Not yet completed5.20 Define stress in FX rates (uniform) (optional) or define them manually on the assumptions sheet Not yet completed5.21 Choose interest rate stress scenario (as defined on parameter sheet and input data sheet) and lev Not yet completed5.22 Define scenario for asset price shock Not yet completed5.23 Choose whether you want to include the hold-to-maturity (HTM) portfolios Not yet completed5.24 Define increase in RWAs for Operational Risk Not yet completed5.25 Define changes in RWAs for other Pillar 1 and 2 risks (if available) Not yet completed5.26 Please choose assumption for net interest income (only applicable if you do not use satellite mode Not yet completed5.27 Please choose assumption for net commission and fee income (only applicable if you do not use sa Not yet completed5.28 Please choose assumption for trading income (only applicable if you do not use satellite model!) Not yet completed5.29 Please choose assumption for other income components (default category) Not yet completed

Step 5.55.30 Please go through various validation steps before checking the results Not yet completed

Step 6 Run Scenario Analysis ('Summary', 'Summary_BxB')Progress

6.1 Run scenario analysis by choosing the scenario Not yet completed6.2 If you apply a macro scenario, please choose the severity Not yet completed6.3 Please decide whether you want to simulate Basel III effects Not yet completed6.4 Please decide which type of test you want to apply for credit risk (StA or (Q)IRB) Not yet completed6.5 Do you want to apply a scaling factor? (in case of QIRB approach)? Not yet completed



Enter Satellite ModelsRelevant figures

To figure out how the satellite models are build into the framework go to "Formulas > Trace Precedents/Dependents"

Enter Macro Scenarios



Verify scenario definitions Define interest rate shock scenariosVerify LGD rule (to link LGDs to stressed PDs based on a formula)Verify master rating scale Verify information for scaling factorsBasel III hurdle rates (Optional)RWAs under Basel III (Optional)Verify parameters



Set test assumptions

Add manual scenarios (optional)

Number of yearsUnder-year adjustment of inputs?

Credit risk sectorsRWA definition CRName concentration (yes/no)RWA definition MRPillar 2 RWAs?

Tax assumptionRetained Profit

Hurdle RatesAdditional buffer

SatM or RuleofThumbChoose country typeGDP assumption (RoT)

If you have choosen satellite models please choose the models you want to use and apply them correctly (see step 3.1-3.4)

Configure Satellite Models

Please choose PD assumptions - Increase of PD/Rating downgrade (only applicable if you do not use satellite model!)

PD assumption - General

PD assumption - SpecificLGD assumptionCorrelation assumptionDefault of largest counterpartsCredit growthSet RWAs for market risk under stressFX ratesInterest rate stressAsset price shockInclude HTM portfolios?RWA for Operational riskRWAs P1/2NIICFITrading incomeOther income

Validation



Choose scenarioMacro scenario severityBasel III?StA or QIRB?Scaling factor?


6.7 You can review the BxB results for each bank on the Y[x]_BxB sheets Not yet completed6.8 You can also run sensitivity analysis for specific risks Not yet completed

Please run various scenarios by changing the assumptions and check the outcome, including on a bank-by-bank basis

BxB results

BxB results for each yearSensitivity analysis

Overview on Solvency Stress Test Framework

Authors Christian Schmieder (IMF), Claus Puhr (ECB/OeNB) & Maher Hasan (IMF)

Link to Working Paper

Below, it is shown how the tests for the different risk types affect the numerator and denominator of capital adequacy.

Risk Type Type of Test

Credit Risk

Credit Losses (-)

Credit Losses (-)

Market Risk

FX Risk (simple)

Operational Risk

Simple

Sophisticated

Other Risk n.a. (as typically low)

Key New Features

Solvency Stress Tests - Outline

Below, it is outlined how the solvency tests are designed, which is meant as general guidance for the users to use this tool. Additional information is available in the working paper.

The solvency stress tests assess the solvency of banks, based on the status quo at time t, and simulate post-shock capital adequacy at time t+1 , i.e. the situation after one year (as well as t+2, t+3, t+4 and t+5, in case the stress tester seeks to assess longer time horizons). The post-shock Capital Adequacy Ratio (CAR) of a bank i and time t+1 reflect the impact of (i) losses (net of provisions and profits) and (ii) the increase in Risk-Weighted Assets (RWAs) after the shock (delta RWAs) as shown below. Taking into account for the increase in RWAs (i.e. the denominator) is one of the key elements of this tool.

Effect on capital (including gross profit)

"Traditional" (Basel I type/ Standardized

Approach)

Economic Stress Test (IRB, economic capital

model)

Simulation of effect of FX & IR shock on earnings (-), Simulation of losses in trading & investment

portfolios (-)

Interest Rate Risk (simple)

Asset price risk (simple)

Various market risk types in banking and trading book (more

sophisticated)

Simulation of effect of FX & IR shock on earnings

and capital (-), Simulation of losses in

trading investment portfolio (-)

n.a. (Losses in "normal" times typically low)

n.a. (Losses in "normal" times typically low)

Other risk types subject to Pillar 1 and

2

1t

1tt1t RWA_Stress

sProfit/LosforeStressCapital_bestion_StresCapitaliza

Other elements Type of Test

Credit Growth

Income

Multi-year tests

Glossary

Below, the most important notions and their meaning is explained and documented.

CAR Capital Adequacy Ratio

CCFEAD Exposure at Default

HHI

IRB Internal Rating Based (IRB) approach of Basel II for Credit Risk

LGD Loss Given Default

LLP Loan Loss ProvisionsNPL Non-performing loansPD One-year Probability of Default

RWA Risk-Weighted AssetsCDS Credit Default Swap

KMV-EDF KMV Expected Default Frequency, ie a PD estimated by Moody's KMV

Solvency Stress Tests - Outline

Effect on capital (including gross profit)

Simulation of development

Increase in net interest income (+)


Level of profit/losses (-), depending on scenarios

and assumptions

Portion of profits retained


Level of profit and capital (+)

Simulation for up to 5 years

all elements outlined above

Credit Conversion Factor on a one-year basis; It denotes the portion of undrawn credit that will be drawn during the next year (on average) (eg for credit lines, credit cards, etc.)

The Herfindahl-Hirshman-Index (HHI) denotes the sum of the squared portions of single exposures on the total portfolio exposure.

Overview on Solvency Stress Test Framework

Christian Schmieder (IMF), Claus Puhr (ECB/OeNB) & Maher Hasan (IMF)

Link to Working Paper

Below, it is shown how the tests for the different risk types affect the numerator and denominator of capital adequacy.

Effect on RWAsLink to assumptions

Lost exposure (-)

n.a.

Increase in VaR (+)

Increase in VaR (+)

are designed, which is meant as general guidance for the users to use this tool. Additional information is available in

The solvency stress tests assess the solvency of banks, based on the status quo at time t, and simulate post-shock capital adequacy at time t+1 , i.e. the situation after one year (as well as t+2, t+3, t+4 and t+5, in case the stress tester seeks to assess longer time horizons). The post-shock Capital Adequacy Ratio (CAR) of a bank i and time t+1 reflect the impact of (i) losses (net of provisions and profits) and (ii) the increase in Risk-Weighted Assets (RWAs) after the shock (delta RWAs) as shown below. Taking into account for the increase in RWAs (i.e. the denominator) is one of the key elements of this tool.

Link to parameters (if applicable)

Lost exposure (-), Increase of Riskiness of Performing Portfolio (+)

Link to Assumptions Link to parameters

Increase in FX denominated assets (+)

Link to Assumptions

Link to Assumptions

Increase in equity price risk, credit spread risk (+)

Link to Assumptions

Increase in Value at Risk (VaR) (+)

Link to Assumptions

RWAs depend on Profit (counterintuitive for

stress tests)Link to Assumptions

Link to Assumptions

Link to Assumptions

1t

1tt1t RWA_Stress

sProfit/LosforeStressCapital_bestion_StresCapitaliza

Effect on RWAs

n.a.

n.a.

Below, the most important notions and their meaning is explained and documented.

Capital Adequacy Ratio

Exposure at Default

Internal Rating Based (IRB) approach of Basel II for Credit Risk

Loss Given Default

Loan Loss ProvisionsNon-performing loansOne-year Probability of DefaultRisk-Weighted AssetsCredit Default SwapKMV Expected Default Frequency, ie a PD estimated by Moody's KMV

Increase of total portfolio risk (+)

Link to Assumptions

Link to Assumptions

Link to Assumptions

all elements outlined above Link to Assumptions

Credit Conversion Factor on a one-year basis; It denotes the portion of undrawn credit that will be drawn during the next year (on average) (eg for credit lines, credit cards, etc.)

The Herfindahl-Hirshman-Index (HHI) denotes the sum of the squared portions of single exposures on the

Country level credit risk data

LGDs by country

Average 63.62 Median 68.85 Min 7.30

Regional Average (lack of data) Max 100.00

Region Country ISO-Code Year

2 Afghanistan AFG 2010 67.7 n.a. n.a.2 Albania ALB 2010 67.7 n.a. n.a.4 Algeria DZA 2010 58.3 41.7 2.56 Angola AGO 2010 91.6 8.4 6.23 ATG 2010 63.3 36.7 33 Argentina ARG 2010 67.2 32.8 2.82 Armenia ARM 2010 59.4 40.6 1.95 Australia AUS 2010 18.2 81.8 15 Austria AUT 2010 26.9 73.1 1.12 Azerbaijan AZE 2010 71.2 28.8 2.73 BHS 2010 45.3 54.7 54 Bahrain BHR 2010 35.8 64.2 2.51 Bangladesh BGD 2010 74.2 25.8 42 Belarus BLR 2010 72.0 28.0 5.85 Belgium BEL 2010 12.4 87.6 0.93 Belize BLZ 2010 36.4 63.6 16 Benin BEN 2010 79.8 20.2 41 Bhutan BTN 2010 71.7 n.a. n.a.3 Bolivia BOL 2010 60.7 39.3 1.82 BIH 2010 65.3 34.7 3.36 Botswana BWA 2010 36.3 63.7 1.73 Brazil BRA 2010 82.9 17.1 45 BRN 2010 52.8 47.2 2.52 Bulgaria BGR 2010 69.0 31.0 3.36 BFA 2010 73.2 26.8 46 Burundi BDI 2010 77.2 n.a. n.a.1 Cambodia KHM 2010 71.7 n.a. n.a.6 Cameroon CMR 2010 86.4 13.6 3.25 Canada CAN 2010 8.8 91.2 0.86 Cape Verde CPV 2010 77.2 n.a. n.a.6 CAF 2010 100.0 0.0 4.86 Chad TCD 2010 77.2 n.a. n.a.3 Chile CHL 2010 71.8 28.2 4.51 China CHN 2010 63.6 36.4 1.73 Colombia COL 2010 37.6 62.4 36 Comoros COM 2010 77.2 n.a. n.a.6 COD 2010 98.9 1.1 5.26 COG 2010 82.2 17.8 3

Source: World Bank database based on Djankov/Hart/McLiesh & Shleifer (2008), JoPE

LGD (actual or

proxy, percent)

Recovery rate (cents

on the dollar)

Time (years)

Antigua and Barbuda

Bahamas, the

Bosnia and Herzegovina

Brunei Darussalam

Burkina Faso

Central African Republic

Congo, Dem. Rep.Congo, Rep.

http://www.doingbusiness.org/data/exploretopics/closing-a-business

C3

cschmieder: Caveat: LGDs are based on the simulation of a default of the same firm (a hotel), i.e. do not take into account potential differences in the level of credit mitigation (collateral type and level) and other factors;

3 Costa Rica CRI 2010 78.8 21.2 3.56 Cote d'Ivoire CIV 2010 67.2 32.8 2.22 Croatia HRV 2010 71.3 28.7 3.12 Cyprus CYP 2010 29.6 70.4 1.55 CZE 2010 44.1 55.9 6.55 Denmark DNK 2010 10.6 89.4 1.16 Djibouti DJI 2010 84.4 15.6 53 Dominica DMA 2010 67.2 n.a. n.a.3 DOM 2010 90.9 9.1 3.53 Ecuador ECU 2010 83.0 17.0 5.34 Egypt EGY 2010 82.6 17.4 4.23 El Salvador SLV 2010 70.8 29.2 46 GNQ 2010 77.2 n.a. n.a.6 Eritrea ERI 2010 77.2 n.a. n.a.2 Estonia EST 2010 64.5 35.5 36 Ethiopia ETH 2010 68.7 31.3 31 Fiji FJI 2010 79.5 20.5 1.85 Finland FIN 2010 10.6 89.4 0.95 France FRA 2010 54.8 45.2 1.96 Gabon GAB 2010 84.8 15.2 56 Gambia GMB 2010 80.2 19.8 32 Georgia GEO 2010 74.9 25.1 3.35 Germany DEU 2010 46.9 53.1 1.26 Ghana GHA 2010 76.3 23.7 1.95 Greece GRC 2010 56.8 43.2 23 Grenada GRD 2010 67.2 n.a. n.a.3 Guatemala GTM 2010 72.5 27.5 36 Guinea GIN 2010 80.6 19.4 3.86 GNB 2010 77.2 n.a. n.a.3 Guyana GUY 2010 82.4 17.6 33 Haiti HTI 2010 93.3 6.7 5.73 Honduras HND 2010 80.1 19.9 3.85 Hong Kong HKG 2010 18.8 81.2 1.12 Hungary HUN 2010 62.1 37.9 25 Iceland ISL 2010 21.5 78.5 11 India IND 2010 83.7 16.3 71 Indonesia IDN 2010 86.8 13.2 5.54 IRN 2010 76.9 23.1 4.54 Iraq IRQ 2010 65.8 n.a. n.a.5 Ireland IRL 2010 12.6 87.4 0.45 Israel ISR 2010 50.9 49.1 45 Italy ITA 2010 42.0 58.0 1.83 Jamaica JAM 2010 34.9 65.1 1.15 Japan JPN 2010 7.3 92.7 0.64 Jordan JOR 2010 73.1 26.9 4.32 Kazakhstan KAZ 2010 56.7 43.3 1.56 Kenya KEN 2010 70.2 29.8 4.51 Kiribati KIR 2010 71.7 n.a. n.a.5 KOR 2010 18.3 81.7 1.52 Kosovo n.a. 2010 42.6 57.4 24 Kuwait KWT 2010 62.1 37.9 4.22 KGZ 2010 84.7 15.3 41 Lao PDR LAO 2010 71.7 n.a. n.a.

Czech Republic

Dominican Republic

Equatorial Guinea

Guinea-Bissau

Iran, Islamic Republic of

Korea, Republic

Kyrgyz Republic

2 Latvia LVA 2010 68.1 31.9 34 Lebanon LBN 2010 80.2 19.8 46 Lesotho LSO 2010 63.6 36.4 2.66 Liberia LBR 2010 91.6 8.4 32 Lithuania LTU 2010 50.4 49.6 1.55 Luxembourg LUX 2010 56.3 43.7 22 MKD 2010 79.3 20.7 2.96 Madagascar MDG 2010 77.2 n.a. n.a.6 Malawi MWI 2010 82.1 17.9 2.61 Malaysia MYS 2010 60.2 39.8 2.31 Maldives MDV 2010 75.4 24.6 6.76 Mali MLI 2010 82.1 17.9 3.65 Malta MSA 2010 31.6 n.a. n.a.1 MHL 2010 82.1 17.9 26 Mauritania MRT 2010 89.7 10.3 86 Mauritius MUS 2010 64.9 35.1 1.73 Mexico MEX 2010 33.3 66.7 1.81 FSM 2010 96.8 3.2 5.32 Moldova MDA 2010 71.8 28.2 2.82 Mongolia MNG 2010 80.0 20.0 42 Montenegro MNE 2010 56.6 43.4 24 Morocco MAR 2010 61.6 38.4 1.86 MOZ 2010 82.3 17.7 56 Namibia NAM 2010 58.5 41.5 1.51 Nepal NPL 2010 75.5 24.5 55 Netherlands NLD 2010 18.1 81.9 1.15 NZL 2010 20.9 79.1 1.33 Nicaragua NIC 2010 66.3 33.7 2.26 Niger NER 2010 84.0 16.0 56 Nigeria NGA 2010 73.2 26.8 25 Norway NOR 2010 9.1 90.9 0.94 Oman OMN 2010 65.1 34.9 41 Pakistan PAK 2010 63.5 36.5 2.81 Palau PLW 2010 62.1 37.9 13 Panama PAN 2010 67.6 32.4 2.51 PNG 2010 76.1 23.9 33 Paraguay PRY 2010 83.9 16.1 3.93 Peru PER 2010 72.8 27.2 3.11 Philippines PHL 2010 95.5 4.5 5.72 Poland POL 2010 68.7 31.3 35 Portugal PRT 2010 27.4 72.6 23 Puerto Rico PRI 2010 35.3 64.7 3.84 Qatar QAT 2010 47.0 53.0 2.82 Romania ROU 2010 74.3 25.7 3.32 Russia RUS 2010 74.7 25.3 3.86 Rwanda RWA 2010 77.2 n.a. n.a.1 Samoa WSM 2010 85.4 14.6 2.56 STP 2010 77.2 n.a. n.a.4 SAU 2010 63.2 36.8 1.56 Senegal SEN 2010 68.0 32.0 32 Serbia SRB 2010 70.5 29.5 2.76 Seychelles SYC 2010 77.2 n.a. n.a.6 SLE 2010 91.6 8.4 2.6

Macedonia, FYR

Marshall Islands

Micronesia, Fed. Sts.

Mozambique

New Zealand

Papua New Guinea

Sao Tome and PrincipeSaudi Arabia

Sierra Leone

5 Singapore SGP 2010 8.7 91.3 0.85 SVK 2010 44.7 55.3 45 Slovenia SVN 2010 49.1 50.9 21 SLB 2010 76.6 23.4 16 South Africa ZAF 2010 65.6 34.4 25 Spain ESP 2010 23.7 76.3 11 Sri Lanka LKA 2010 53.0 47.0 1.73 KNA 2010 67.2 n.a. n.a.3 St. Lucia LCA 2010 58.5 41.5 23 VCT 2010 67.2 n.a. n.a.6 Sudan SDN 2010 77.2 n.a. n.a.3 Suriname SUR 2010 91.3 8.7 56 Swaziland SWZ 2010 62.4 37.6 25 Sweden SWE 2010 22.7 77.3 25 Switzerland CHE 2010 52.5 47.5 34 SYR 2010 72.6 27.4 4.11 Taiwan TWN 2010 17.8 82.2 1.92 Tajikistan TJK 2010 62.6 37.4 36 Tanzania TZA 2010 78.1 21.9 31 Thailand THA 2010 56.5 43.5 2.71 TLS 2010 71.7 n.a. n.a.6 Togo TGO 2010 69.4 30.6 31 Tonga TON 2010 74.7 25.3 2.73 TTO 2010 67.2 n.a. n.a.4 Tunisia TUN 2010 48.3 51.7 1.32 Turkey TUR 2010 78.9 21.1 3.36 Uganda UGA 2010 60.3 39.7 2.22 Ukraine UKR 2010 92.1 7.9 2.94 ARE 2010 88.8 11.2 5.15 GBR 2010 11.4 88.6 15 USA 2010 18.5 81.5 1.53 Uruguay URY 2010 60.3 39.7 2.12 Uzbekistan UZB 2010 77.8 22.2 41 Vanuatu VUT 2010 57.3 42.7 2.63 Venezuela VEN 2010 94.1 5.9 41 Vietnam VNM 2010 81.4 18.6 54 n.a. 2010 65.8 n.a. n.a.4 Yemen YEM 2010 71.4 28.6 36 Zambia ZMB 2010 72.8 27.2 2.76 Zimbabwe ZWE 2010 99.8 0.2 3.3

1 Asia (East) & Pacific 2010 71.7 28.3 2.72 Emerging Europe, Central 2010 67.7 32.3 2.93 Latin America & Caribbea 2010 67.2 32.8 3.34 Middle East & North Africa 2010 65.8 34.2 3.55 Advanced Countries 2010 28.3 71.7 1.71 South Asia 2010 71.7 28.3 4.56 Sub-Saharan Africa 2010 77.2 22.8 3.4

Country level Macroeconomic Data

Slovak Republic

Solomon Islands

St. Kitts and NevisSt. Vincent and the Grenadines

Syrian Arab Republic

Timor-Leste (East Timor)

Trinidad and Tobago

United Arab EmiratesUnited KingdomUnited States

West Bank and Gaza

1989 1990 1991 1992 1993percentage Real GDP change (year-on-year)

Real GDP change of major trading partners (yoy-figures)percentage USpercentage EUpercentage Japanpercentage China percentage Otheractual figure Nominal GDPactual figure Non-oil GDP (for oil-exporters only)percentage Current Account (% of GDP)percentage Fiscal balance (% of GDP)percentage Government Debt (% of GDP)percentage Government Expenditure (change vs. previous year)

of which:Current SpendingCapital Spending

percentage Real export growth (%, in constant prices)percentage Short-term interest rates (Interbank market/T-bills)percentage Long-term interest rates (government bonds)percentage Unemployment Ratepercentage Inflation (CPI, ie compared to same quarter the year before)actual figure Oil price (USD, quarterly average)actual figure Oil revenues (USD) (for oil exporters only)actual figure Real effective exchange rate (REER)percentage Annual change credit-to-GDPpercentage Annual change credit-to-non-oil-GDP (for oil-exporters only)percentage Corporate Credit/GDP (current level)percentage Household Credit/GDP (current level)actual figure Development of Commercial Real Estate Prices (Index)

contribution (percentage

)contribution (percentage

)

Non-Performing Loans (NPLs) (Country-level, Percent)

Average 8.58Median 7.20Min 0.20Max 31.00

Regional Average (lack of data)

Country 1999 2000 2001 2002 2003 2004

Afghanistan 6.5 Albania 4.2Algeria 14.0 Angola 12.6

5.6 Argentina 10.7Armenia 2.1Australia 0.2Austria 2.7Azerbaijan 6.5

5.6 Bahrain 14.0 Bangladesh 17.5Belarus 2.8Belgium 2.3Belize 5.6 Benin 12.6 Bhutan 11.0 Bolivia 14.0

6.1Botswana 12.6 Brazil 2.9

2.4 Bulgaria 2.0

12.6 Burundi 12.6 Cambodia 11.0 Cameroon 12.6 Canada 0.7Cape Verde 12.6

12.6 Chad 12.6 Chile 1.2China 13.2Colombia 3.3Comoros 12.6

12.6 12.6

Source: IMF, Global Financial Stability Report (GFSR), Table 24

Antigua and Barbuda

Bahamas, the


Brunei Darussalam

Burkina Faso



http://www.imf.org/external/pubs/ft/GFSR/index.htm

Costa Rica 2.0Cote d'Ivoire 12.6 Croatia 7.5Cyprus 6.5

4.0Denmark 0.7Djibouti 12.6 Dominica 5.6

7.3Ecuador 6.4Egypt 23.6El Salvador 2.3

12.6 Eritrea 12.6 Estonia 0.3Ethiopia 12.6 Fiji 11.0 Finland 0.4France 4.2Gabon 16.0Gambia 12.6 Georgia 2.0Germany 4.9Ghana 16.3Greece 7.0Grenada 5.6 Guatemala 7.1Guinea 12.6

12.6 Guyana 5.6 Haiti 5.6 Honduras 5.6 Hong Kong 2.4 Hungary 1.8Iceland 0.9India 7.2Indonesia 4.5

14.0 Iraq 14.0 Ireland 0.8Israel 2.5Italy 6.6Jamaica 5.6 Japan 2.9Jordan 10.3Kazakhstan …Kenya 29.3Kiribati 11.0

1.9Kosovo 6.5 Kuwait 5.3

6.5 Lao PDR 11.0

Czech Republic

Dominican Republic

Equatorial Guinea

Guinea-Bissau


Korea, Republic

Kyrgyz Republic

Latvia 1.1Lebanon 17.7Lesotho 1.0Liberia 12.6 Lithuania 2.2Luxembourg 0.3

17.0Madagascar 12.6 Malawi 12.6 Malaysia 11.7Maldives 11.0 Mali 12.6 Malta 6.5

11.0 Mauritania 12.6 Mauritius 12.6 Mexico 2.5

11.0 Moldova 6.9Mongolia 6.5 Montenegro 5.2Morocco 19.4

6.4Namibia 2.4Nepal 11.0 Netherlands 1.5

2.4 Nicaragua 5.6 Niger 12.6 Nigeria 21.6Norway 1.0Oman 11.0Pakistan 11.6Palau 11.0 Panama 1.8

11.0 Paraguay 10.8Peru 9.5Philippines 12.6Poland 14.9Portugal 2.0Puerto Rico 5.6 Qatar 14.0 Romania 8.1Russia 3.8Rwanda 31.0Samoa 11.0

12.6 2.8

Senegal 12.6Serbia 6.5 Seychelles 12.6

16.5

Macedonia, FYR

Marshall Islands


Mozambique

New Zealand

Papua New Guinea


Sierra Leone

Singapore 5.02.6

Slovenia 3.0 11.0

South Africa 1.8Spain 0.8Sri Lanka 11.0

5.6 St. Lucia 5.6

5.6 Sudan 12.6 Suriname 5.6 Swaziland 7.2Sweden 1.1Switzerland 0.9

14.0 Taiwan 11.0 Tajikistan 6.5 Tanzania 12.6 Thailand 11.9

11.0 Togo 12.6 Tonga 11.0

5.6 Tunisia 23.6Turkey 6.5Uganda 2.2Ukraine 30.0

12.51.90.8

Uruguay 4.7Uzbekistan 6.5 Vanuatu 11.0 Venezuela 2.8Vietnam 11.0

14.0 Yemen 14.0 Zambia 12.6 Zimbabwe 12.6

1 10.95 2 6.55 3 5.58 4 14.02 5 2.41 1 South Asia 10.95 6 12.64

Slovak Republic

Solomon Islands




Trinidad and Tobago


West Bank and Gaza

Asia (East) & PacificEmerging Europe, Central Asia

Latin America & Caribbean/Western Hemisphere

Middle East & North AfricaAdvanced CountriesSub-Saharan Africa

1994 1995 1996 1997 1998 1999 2000 2001

7.35 6.15 5.48 5.14 7.025.63 4.35 4.02 5.30 5.390.20 0.10 0.19 0.47 0.40

29.00 26.85 31.70 19.10 61.20


2005 2006 2007 2008 2009 2010 2011 2012

4.9 4.1 3.5 5.3 11.8 13.2 2.3 3.1 3.4 6.6 10.5 12.0

11.9 9.3 7.8 6.6 7.3 6.6 12.2 10.6 9.5 8.0 8.9 9.5 4.0 3.0 2.6 2.4 2.9 3.5

5.2 3.4 2.7 2.7 3.1 n.a.1.9 2.5 2.4 4.4 4.8 5.00.2 0.2 0.2 0.8 1.2 1.22.6 2.7 2.2 2.0 2.3 n.a.

4.9 4.1 3.5 5.3 11.8 13.2 4.0 3.0 2.6 2.4 2.9 3.5 11.9 9.3 7.8 6.6 7.3 6.6

13.2 12.8 14.5 11.2 n.a. n.a.3.1 2.8 1.9 1.7 4.2 4.92.0 1.7 1.1 1.7 2.7 n.a.

4.0 3.0 2.6 2.4 2.9 3.5 12.2 10.6 9.5 8.0 8.9 9.5 9.0 7.6 7.0 6.0 5.2 7.2

11.3 8.7 5.6 4.3 3.9 n.a.5.3 4.0 3.0 3.1 5.9 9.2

n.a. n.a. n.a. n.a. n.a. n.a.3.5 3.5 3.0 3.1 4.5 n.a.

2.1 1.7 1.5 2.0 5.4 4.6 2.2 2.2 2.1 2.5 6.4 10.6

12.2 10.6 9.5 8.0 8.9 9.5 12.2 10.6 9.5 8.0 8.9 9.5 9.0 7.6 7.0 6.0 5.2 7.2 12.2 10.6 9.5 8.0 8.9 9.5

0.5 0.4 0.7 1.1 1.3 1.3 12.2 10.6 9.5 8.0 8.9 9.5 12.2 10.6 9.5 8.0 8.9 9.5 12.2 10.6 9.5 8.0 8.9 9.5

0.9 0.7 0.8 1.0 1.4 n.a.n.a. n.a. n.a. n.a. n.a. n.a.2.7 2.6 3.3 4.0 4.6 n.a.

12.2 10.6 9.5 8.0 8.9 9.5 12.2 10.6 9.5 8.0 8.9 9.5 12.2 10.6 9.5 8.0 8.9 9.5

1.5 1.5 1.2 1.5 2.0 n.a. 12.2 10.6 9.5 8.0 8.9 9.5

6.2 5.2 4.8 4.9 7.8 8.8 4.9 4.1 3.5 5.3 11.8 13.2

3.9 3.7 2.8 2.8 4.6 5.70.4 0.3 0.3 n.a. n.a. n.a.

12.2 10.6 9.5 8.0 8.9 9.5 4.0 3.0 2.6 2.4 2.9 3.5

5.9 4.5 4.0 3.5 4.0 n.a.4.9 3.3 2.9 2.5 3.5 n.a.

26.5 18.2 19.3 14.8 13.4 n.a.1.9 1.9 2.1 2.8 4.4 n.a.

12.2 10.6 9.5 8.0 8.9 9.5 12.2 10.6 9.5 8.0 8.9 9.5

0.2 0.2 0.4 1.9 5.2 5.6 12.2 10.6 9.5 8.0 8.9 9.5 9.0 7.6 7.0 6.0 5.2 7.2

0.3 0.3 0.3 0.5 0.7 0.83.5 3.0 2.7 2.8 3.6 n.a.

14.1 10.7 7.6 8.5 9.8 n.a. 12.2 10.6 9.5 8.0 8.9 9.5

1.2 0.8 0.8 4.1 6.3 7.04.0 3.4 2.6 2.9 3.2 n.a.

13.0 7.9 6.4 7.7 16.2 18.96.3 5.4 4.5 5.0 7.7 9.0

4.0 3.0 2.6 2.4 2.9 3.5 4.2 4.6 5.8 2.4 2.7 n.a.

12.2 10.6 9.5 8.0 8.9 9.5 12.2 10.6 9.5 8.0 8.9 9.5 4.0 3.0 2.6 2.4 2.9 3.5 4.0 3.0 2.6 2.4 2.9 3.5 4.0 3.0 2.6 2.4 2.9 3.5 2.1 1.7 1.5 2.0 5.4 4.6

2.3 2.6 2.3 3.0 6.7 9.31.1 0.8 n.a. n.a. 61.2 n.a.5.2 3.3 2.5 2.3 2.3 n.a.7.4 6.0 4.1 3.2 3.3 n.a.

11.9 9.3 7.8 6.6 7.3 6.6 11.9 9.3 7.8 6.6 7.3 6.6

0.7 0.7 0.8 2.6 9.0 12.92.3 1.9 1.4 1.5 1.5 n.a.5.3 4.9 4.6 4.9 7.0 7.6

4.0 3.0 2.6 2.4 2.9 3.5 1.8 1.5 1.4 1.6 1.7 n.a.6.6 4.3 4.1 4.2 6.7 n.a.

n.a. n.a. n.a. 5.1 21.2 26.925.6 21.3 10.9 9.0 7.9 7.8

9.0 7.6 7.0 6.0 5.2 7.2 n.a. n.a. n.a. n.a. n.a. n.a.

4.9 4.1 3.5 5.3 11.8 13.2 4.1 3.9 3.2 5.3 9.7 n.a.

4.9 4.1 3.5 5.3 11.8 13.2 9.0 7.6 7.0 6.0 5.2 7.2

0.7 0.5 0.8 3.6 16.4 19.416.4 13.5 10.1 7.5 6.0 5.4

3.0 3.0 3.0 4.0 4.0 n.a. 12.2 10.6 9.5 8.0 8.9 9.5

0.6 1.0 1.0 4.6 19.3 19.10.2 0.1 0.2 1.0 1.3 0.5

15.0 11.2 7.5 6.7 8.9 10.4 12.2 10.6 9.5 8.0 8.9 9.5 12.2 10.6 9.5 8.0 8.9 9.5

9.6 8.5 6.5 4.8 3.7 3.5 9.0 7.6 7.0 6.0 5.2 7.2 12.2 10.6 9.5 8.0 8.9 9.5

3.9 2.8 1.8 1.7 2.4 n.a. 9.0 7.6 7.0 6.0 5.2 7.2 12.2 10.6 9.5 8.0 8.9 9.5 12.2 10.6 9.5 8.0 8.9 9.5

1.8 2.0 2.7 3.2 3.4 n.a. 9.0 7.6 7.0 6.0 5.2 7.2

5.3 4.4 3.7 5.2 16.3 14.8 4.9 4.1 3.5 5.3 11.8 13.2

5.3 2.9 3.2 7.2 13.5 14.915.7 10.9 7.9 6.0 5.5 5.2

3.5 3.1 2.6 1.9 1.8 1.82.3 2.6 2.8 3.1 2.7 n.a.

9.0 7.6 7.0 6.0 5.2 7.2 1.2 0.8 n.a. 1.7 3.2 2.6

2.1 1.7 1.5 2.0 5.4 4.6 4.0 3.0 2.6 2.4 2.9 3.5 12.2 10.6 9.5 8.0 8.9 9.5

18.1 8.8 8.4 6.3 6.6 n.a.0.7 0.6 0.5 0.8 1.5 n.a.7.0 4.9 3.2 2.1 3.5 3.38.3 6.9 7.6 10.5 12.2 13.1

9.0 7.6 7.0 6.0 5.2 7.2 1.8 1.5 1.4 1.7 1.4 n.a.

9.0 7.6 7.0 6.0 5.2 7.2 6.6 3.3 1.3 1.2 1.7 n.a.6.3 4.1 2.7 2.2 2.7 n.a.

10.0 7.5 5.8 4.5 4.1 n.a.11.0 7.4 5.2 4.5 8.0 8.8

1.5 1.3 1.5 2.0 3.2 3.3 4.0 3.0 2.6 2.4 2.9 3.5 11.9 9.3 7.8 6.6 7.3 6.6

2.6 2.8 4.0 6.5 15.3 17.52.6 2.4 2.5 3.6 9.7 8.8

29.0 25.0 18.1 12.6 13.1 12.5 9.0 7.6 7.0 6.0 5.2 7.2 12.2 10.6 9.5 8.0 8.9 9.5

1.9 2.0 2.1 1.4 3.3 n.a.11.9 16.8 18.6 19.1 18.7 n.a.

4.9 4.1 3.5 5.3 11.8 13.2 12.2 10.6 9.5 8.0 8.9 9.5

26.8 26.8 31.7 17.9 16.5 16.0

3.8 2.8 1.5 1.7 2.3 n.a.5.0 3.2 2.5 2.5 5.3 5.82.5 2.5 1.8 1.8 2.3 2.5

9.0 7.6 7.0 6.0 5.2 7.2 1.5 1.1 1.4 3.9 5.9 5.90.8 0.7 0.9 3.4 5.1 5.7

9.0 7.6 7.0 6.0 5.2 7.2 4.0 3.0 2.6 2.4 2.9 3.5 4.0 3.0 2.6 2.4 2.9 3.5 4.0 3.0 2.6 2.4 2.9 3.5 12.2 10.6 9.5 8.0 8.9 9.5 4.0 3.0 2.6 2.4 2.9 3.5

7.0 7.7 7.5 7.6 8.1 n.a.0.8 0.8 0.6 1.0 2.0 n.a.0.5 0.3 0.3 0.5 0.4 n.a.

11.9 9.3 7.8 6.6 7.3 6.6 9.0 7.6 7.0 6.0 5.2 7.2 4.9 4.1 3.5 5.3 11.8 13.2 12.2 10.6 9.5 8.0 8.9 9.5

9.1 8.1 7.9 5.7 5.3 5.0 9.0 7.6 7.0 6.0 5.2 7.2 12.2 10.6 9.5 8.0 8.9 9.5 9.0 7.6 7.0 6.0 5.2 7.2 4.0 3.0 2.6 2.4 2.9 3.5

20.9 19.3 17.6 15.5 13.2 13.25.0 3.9 3.6 3.8 5.6 4.92.3 2.9 4.1 2.2 4.2 3.7

19.6 17.8 13.2 17.4 40.2 41.68.3 6.3 2.9 2.5 4.8 5.81.0 0.9 0.9 1.6 3.5 n.a.0.7 0.8 1.4 2.9 5.4 5.53.6 1.9 1.1 1.0 1.0 n.a.

4.9 4.1 3.5 5.3 11.8 13.2 9.0 7.6 7.0 6.0 5.2 7.2

1.2 1.1 1.2 1.9 2.6 n.a. 9.0 7.6 7.0 6.0 5.2 7.2 11.9 9.3 7.8 6.6 7.3 6.6 11.9 9.3 7.8 6.6 7.3 6.6 12.2 10.6 9.5 8.0 8.9 9.5 12.2 10.6 9.5 8.0 8.9 9.5

8.97 7.58 6.98 6.03 5.15 7.19 Figures for Developing Asia 4.87 4.08 3.47 5.32 11.79 13.20 3.96 3.03 2.60 2.43 2.93 3.54 11.93 9.26 7.82 6.58 7.34 6.58 2.06 1.73 1.52 2.03 5.39 4.59 8.97 7.58 6.98 6.03 5.15 7.19 Figures for Developing Asia 12.17 10.60 9.47 7.98 8.89 9.51

2002 2003 2004 2005 2006 2007 2008 20093.0%

### ###

Bank Provisions to Non-Performing Loans (Percent)

AverageMedianMinMax

2013 2014 Average Country 1999 2000 2001

7.0 AFG6.0 ALB

9.1 DZA 10.2 AGO 3.4 ATG

4.6 ARG3.3 ARM0.6 AUS2.4 AUT

7.0 AZE 3.4 BHS 9.1 BHR

13.8 BGD3.1 BLR1.9 BEL

3.4 BLZ 10.2 BEN 7.5 BTN

8.0 BOL5.2 BIH

12.6 BWA3.4 BRA

2.8 BRN4.0 BGR

10.2 BFA 10.2 BDI 7.5 KHM 10.2 CMR

0.9 CAN 10.2 CPV 10.2 CAF 10.2 TCD

1.0 CHL13.2 CHN

3.4 COL 10.2 COM 10.2 COD 10.2 COG



1.6 CRI 10.2 CIV

6.5 HRV 7.0 CYP

3.9 CZE0.4 DNK

10.2 DJI 3.4 DMA

4.9 DOM3.9 ECU

19.3 EGY2.6 SLV

10.2 GNQ 10.2 ERI

2.0 EST 10.2 ETH 7.5 FJI

0.5 FIN3.3 FRA

11.1 GAB 10.2 GMB

3.2 GEO3.5 DEU

12.3 GHA6.4 GRC

3.4 GRD4.5 GTM

10.2 GIN 10.2 GNB 3.4 GUY 3.4 HTI 3.4 HND

2.8 HKG4.0 HUN

16.0 ISL3.8 IND4.7 IDN

9.1 IRN 9.1 IRQ

3.9 IRL1.9 ISR5.8 ITA

3.4 JAM1.8 JPN6.0 JOR

17.7 KAZ16.0 KEN

7.5 KIR1.9 KOR7.0 n.a.5.3 KWT

7.0 KGZ 7.5 LAO

6.1 LVA10.9 LBN

3.0 LSO 10.2 LBR

6.8 LTU0.5 LUX

11.0 MKD 10.2 MDG 10.2 MWI

6.9 MYS 7.5 MDV 10.2 MLI

3.2 MSA 7.5 MHL 10.2 MRT 10.2 MUS

2.6 MEX 7.5 FSM

8.1 MDA 7.0 MNG

7.4 MNE10.1 MAR

3.0 MOZ2.7 NAM

7.5 NPL1.8 NLD

2.8 NZL 3.4 NIC 10.2 NER

11.6 NGA0.9 NOR5.0 OMN

10.0 PAK 7.5 PLW

1.6 PAN 7.5 PNG

4.1 PRY4.6 PER7.4 PHL8.5 POL2.1 PRT

3.4 PRI 9.1 QAT

8.1 ROU4.8 RUS

20.2 RWA 7.5 WSM 10.2 STP

2.3 SAU16.3 SEN

7.0 SRB 10.2 SYC

21.8 SLE

2.8 SGP3.8 SVK2.3 SVN

7.5 SLB3.1 ZAF2.5 ESP

7.5 LKA 3.4 KNA 3.4 LCA 3.4 VCT 10.2 SDN 3.4 SUR

7.5 SWZ1.0 SWE0.5 CHE

9.1 SYR7.5 TWN

7.0 TJK 10.2 TZA

7.6 THA 7.5 TLS 10.2 TGO 7.5 TON 3.4 TTO

17.6 TUN4.8 TUR3.1 UGA

25.7 UKR6.2 ARE1.6 GBR2.5 USA2.2 URY

7.0 UZB 7.5 VUT

1.8 VEN 7.5 VNM 9.1 n.a. 9.1 YEM 10.2 ZMB 10.2 ZWE

Figures for Developing Asia 12345

Figures for Developing Asia 1 South Asia6




2010 2011 2012 2013 2014 2015 2016 20173.0% 3.0% 3.0% 3.0% 3.0% 3.0% 3.0% 3.0%

### ### ### ### ### ### ### ###

Bank Provisions to Non-Performing Loans (Percent)

86.89 91.72 96.42 97.27 97.94 92.7375.89 80.46 79.34 74.35 84.64 74.8814.20 10.30 23.10 26.30 20.33 22.50

322.14 255.51 410.60 666.00 806.80 685.40


2002 2003 2004 2005 2006 2007 2008 2009

81.6 90.1 89.0 85.3 84.6 74.9 67.0 59.7 56.3 47.2 42.8 51.2 79.3 88.5 90.7 86.0 90.6 79.0 75.9 80.5 79.3 70.8 76.5 67.4 129.0 140.1 159.5 176.1 179.9 163.7 102.9 124.5 129.9 129.6 131.4 123.0 77.0 70.7 64.3 66.6 38.2 46.7 182.9 203.0 202.5 181.8 74.8 68.0 70.8 71.5 75.6 76.4 62.4 64.4 81.6 90.1 89.0 85.3 84.6 74.9 129.0 140.1 159.5 176.1 179.9 163.7 79.3 88.5 90.7 86.0 90.6 79.0 26.8 28.3 45.2 43.0 50.1 … 32.4 48.4 51.3 61.5 70.0 58.6 54.2 51.6 50.8 48.0 67.0 57.0 129.0 140.1 159.5 176.1 179.9 163.7 75.9 80.5 79.3 70.8 76.5 67.4 62.3 58.4 65.4 71.8 85.0 106.2 84.2 85.9 106.5 132.4 153.7 161.5 44.6 40.1 39.6 37.2 37.9 36.3 75.9 80.5 79.3 70.8 76.5 67.4 214.5 179.8 179.9 181.9 189.0 156.0 92.9 91.0 93.2 91.4 69.4 62.1 138.0 131.4 109.9 100.4 109.0 78.3 75.9 80.5 79.3 70.8 76.5 67.4 75.9 80.5 79.3 70.8 76.5 67.4 62.3 58.4 65.4 71.8 85.0 106.2 75.9 80.5 79.3 70.8 76.5 67.4 47.7 49.3 55.3 42.1 34.7 59.1 75.9 80.5 79.3 70.8 76.5 67.4 75.9 80.5 79.3 70.8 76.5 67.4 75.9 80.5 79.3 70.8 76.5 67.4 165.5 177.6 198.5 210.2 179.9 185.5 14.2 24.8 34.3 39.2 116.4 155.0 149.7 166.9 153.6 132.6 120.5 122.5 75.9 80.5 79.3 70.8 76.5 67.4 75.9 80.5 79.3 70.8 76.5 67.4 75.9 80.5 79.3 70.8 76.5 67.4



122.6 153.0 162.2 180.5 121.6 93.5 75.9 80.5 79.3 70.8 76.5 67.4 62.3 60.0 56.8 54.4 48.7 47.6 81.6 90.1 89.0 85.3 84.6 74.9 71.2 64.5 61.5 70.4 67.5 59.2 66.0 75.7 … … … … 75.9 80.5 79.3 70.8 76.5 67.4 129.0 140.1 159.5 176.1 179.9 163.7 110.8 127.6 144.7 134.5 133.1 114.7 119.0 143.7 182.7 199.8 215.9 172.3 60.2 51.0 76.2 74.6 92.1 94.5 132.3 126.7 116.4 120.0 110.4 99.0 75.9 80.5 79.3 70.8 76.5 67.4 75.9 80.5 79.3 70.8 76.5 67.4

… 235.4 213.6 110.9 57.2 83.5 75.9 80.5 79.3 70.8 76.5 67.4 62.3 58.4 65.4 71.8 85.0 106.2 78.5 85.8 … … … …

… … 170.0 158.3 131.0 … 53.6 55.5 57.4 59.8 61.4 63.2 75.9 80.5 79.3 70.8 76.5 67.4 199.4 172.6 158.1 154.4 146.3 141.9

… 49.1 50.0 51.3 50.0 50.0 75.9 80.5 79.3 70.8 76.5 67.4 51.4 61.9 61.8 53.4 48.9 41.9 129.0 140.1 159.5 176.1 179.9 163.7

… 43.2 39.6 42.7 73.2 76.5 75.9 80.5 79.3 70.8 76.5 67.4 75.9 80.5 79.3 70.8 76.5 67.4 129.0 140.1 159.5 176.1 179.9 163.7 129.0 140.1 159.5 176.1 179.9 163.7 129.0 140.1 159.5 176.1 179.9 163.7 67.0 64.8 67.6 78.4 71.5 68.3 83.5 65.1 57.1 64.8 58.9 51.2 80.9 112.9 99.6 84.1 … … 56.6 60.3 58.9 56.1 52.6 … 137.4 60.6 84.7 104.5 118.6 127.4 79.3 88.5 90.7 86.0 90.6 79.0 79.3 88.5 90.7 86.0 90.6 79.0 92.7 75.1 56.7 49.1 47.2 37.7 92.9 91.0 93.2 91.4 69.4 62.1

… … 46.0 49.4 46.1 … 129.0 140.1 159.5 176.1 179.9 163.7 31.2 28.1 28.8 26.4 20.3 22.5 63.8 78.4 79.6 67.8 63.4 48.9

… … … … 215.3 178.0 102.9 115.6 115.6 … … … 62.3 58.4 65.4 71.8 85.0 106.2 104.5 131.4 175.2 205.2 146.3 125.2 81.6 90.1 89.0 85.3 84.6 74.9 82.5 107.2 95.8 92.0 84.7 … 81.6 90.1 89.0 85.3 84.6 74.9 62.3 58.4 65.4 71.8 85.0 106.2

99.1 98.8 116.6 129.8 61.3 57.4 46.1 50.2 54.4 56.9 61.3 63.8

… 167.0 125.0 115.0 118.0 113.0 75.9 80.5 79.3 70.8 76.5 67.4 81.6 90.1 89.0 85.3 84.6 74.9 92.9 91.0 93.2 91.4 69.4 62.1 95.5 95.8 100.8 117.0 120.3 97.6 75.9 80.5 79.3 70.8 76.5 67.4 75.9 80.5 79.3 70.8 76.5 67.4 55.0 59.1 64.6 77.3 89.0 93.3 62.3 58.4 65.4 71.8 85.0 106.2 75.9 80.5 79.3 70.8 76.5 67.4 92.9 91.0 93.2 91.4 69.4 62.1 62.3 58.4 65.4 71.8 85.0 106.2 75.9 80.5 79.3 70.8 76.5 67.4 75.9 80.5 79.3 70.8 76.5 67.4 201.4 241.3 210.0 168.9 161.2 163.8 62.3 58.4 65.4 71.8 85.0 106.2 85.4 98.9 117.3 113.8 94.2 52.5 81.6 90.1 89.0 85.3 84.6 74.9 77.3 67.4 78.8 73.6 55.6 60.5 59.3 67.1 71.2 75.2 75.3 74.1 75.9 80.5 79.3 70.8 76.5 67.4 95.2 85.3 90.3 77.2 64.7 62.8 62.3 58.4 65.4 71.8 85.0 106.2 69.2 65.5 56.0 … … … 92.9 91.0 93.2 91.4 69.4 62.1 129.0 140.1 159.5 176.1 179.9 163.7 75.9 80.5 79.3 70.8 76.5 67.4 96.2 81.0 59.5 … … … 124.7 109.3 74.2 67.0 53.5 60.3 87.1 97.4 109.6 111.8 127.3 113.8 70.4 76.7 77.8 86.1 69.6 71.0 62.3 58.4 65.4 71.8 85.0 106.2 149.4 116.2 128.5 132.9 104.9 116.9 62.3 58.4 65.4 71.8 85.0 106.2 54.6 57.7 59.1 78.2 77.7 78.3 68.7 80.3 100.3 131.4 151.4 135.3 58.0 73.8 75.0 81.5 86.0 84.2 61.3 61.6 57.8 … 61.3 50.2 83.4 79.0 80.5 74.1 66.5 72.7 129.0 140.1 159.5 176.1 179.9 163.7 79.3 88.5 90.7 86.0 90.6 79.0 16.1 45.6 51.4 61.6 60.3 47.9 139.5 156.3 159.3 144.0 118.4 91.0 55.1 48.8 83.5 67.0 66.3 65.9 62.3 58.4 65.4 71.8 85.0 106.2 75.9 80.5 79.3 70.8 76.5 67.4 175.4 202.8 182.3 142.9 153.3 … 75.7 75.4 52.0 53.8 51.5 50.5

… … … … 187.8 152.9 75.9 80.5 79.3 70.8 76.5 67.4 43.1 10.3 59.7 44.5 54.4 35.8

73.6 78.7 89.5 115.6 109.1 91.0 86.4 84.0 101.7 93.3 91.4 76.1 80.1 80.6 84.3 86.4 79.3 76.4 62.3 58.4 65.4 71.8 85.0 106.2 61.3 64.3 … … … … 322.1 255.5 272.2 214.6 70.8 58.3 62.3 58.4 65.4 71.8 85.0 106.2 129.0 140.1 159.5 176.1 179.9 163.7 129.0 140.1 159.5 176.1 179.9 163.7 129.0 140.1 159.5 176.1 179.9 163.7 75.9 80.5 79.3 70.8 76.5 67.4 129.0 140.1 159.5 176.1 179.9 163.7 78.0 78.0 76.0 77.0 75.0 76.3 70.6 73.6 58.0 60.4 47.1 51.3 90.9 116.0 122.6 124.0 78.1 100.0 79.3 88.5 90.7 86.0 90.6 79.0 62.3 58.4 65.4 71.8 85.0 106.2 81.6 90.1 89.0 85.3 84.6 74.9 75.9 80.5 79.3 70.8 76.5 67.4 79.8 83.7 82.7 86.5 97.9 … 62.3 58.4 65.4 71.8 85.0 106.2 75.9 80.5 79.3 70.8 76.5 67.4 62.3 58.4 65.4 71.8 85.0 106.2 129.0 140.1 159.5 176.1 179.9 163.7 45.1 46.8 49.0 53.2 56.8 … 88.1 88.7 89.7 86.8 79.8 82.0 97.8 103.8 74.4 71.8 120.3 71.9 21.1 25.0 23.1 26.3 29.6 32.3 94.6 95.7 98.2 100.0 101.5 79.0 61.5 54.0 54.6 … 38.1 30.1 168.0 154.8 134.8 91.7 75.3 60.1

… 220.8 410.6 666.0 806.8 685.4 81.6 90.1 89.0 85.3 84.6 74.9 62.3 58.4 65.4 71.8 85.0 106.2 130.2 196.3 229.1 175.7 148.0 135.7 62.3 58.4 65.4 71.8 85.0 106.2 79.3 88.5 90.7 86.0 90.6 79.0 79.3 88.5 90.7 86.0 90.6 79.0 75.9 80.5 79.3 70.8 76.5 67.4 75.9 80.5 79.3 70.8 76.5 67.4

62.27 58.42 65.40 71.78 85.02 106.18 81.62 90.09 88.99 85.31 84.64 74.88 128.98 140.09 159.46 176.08 179.92 163.74 79.34 88.51 90.69 86.04 90.63 79.02 92.90 91.03 93.20 91.37 69.40 62.08 62.27 58.42 65.40 71.78 85.02 106.18 75.89 80.46 79.34 70.76 76.45 67.43

2018 2019 20203.0% 3.0% 3.0%

### ### ###

AverageMedianMinMax

2010 2011 2012 2013 2014 Average Country

84.3 Afghanistan

54.1 Albania 85.7 Algeria 75.1 Angola 158.0 123.6 Argentina

60.6 Armenia

152.2 Australia

70.2 Austria 84.3 Azerbaijan 158.0 85.7 Bahrain

38.7 Bangladesh

53.7 Belarus

54.8 Belgium 158.0 Belize 75.1 Benin 74.8 Bhutan

120.7 Bolivia

39.3 75.1 Botswana

183.5 Brazil 83.3 111.2 Bulgaria 75.1 75.1 Burundi 74.8 Cambodia 75.1 Cameroon

48.0 Canada 75.1 Cape Verde 75.1 75.1 Chad

186.2 Chile

64.0 China

141.0 Colombia 75.1 Comoros 75.1 75.1

Antigua and Barbuda

Bahamas, the


Brunei Darussalam

Burkina Faso



138.9 Costa Rica 75.1 Cote d'Ivoire

55.0 Croatia 84.3 Cyprus

65.7 70.8 Denmark 75.1 Djibouti 158.0 Dominica

127.5 172.2 Ecuador

74.8 Egypt

117.5 El Salvador 75.1 75.1 Eritrea

140.1 Estonia 75.1 Ethiopia 74.8 Fiji

82.2 Finland

153.1 France

58.5 Gabon 75.1 Gambia

162.1 Georgia

50.1 Germany 75.1 Ghana

53.2 Greece 158.0 Grenada

55.0 Guatemala 75.1 Guinea 75.1 158.0 Guyana 158.0 Haiti 158.0 Honduras

69.6 Hong Kong

63.4 Hungary

94.4 Iceland

56.9 India

105.5 Indonesia 85.7 85.7 Iraq

59.8 Ireland 83.3 Israel

47.2 Italy 158.0 Jamaica

26.2 Japan

67.0 Jordan

196.7 Kazakhstan

111.4 Kenya 74.8 Kiribati

148.0 84.3 Kosovo

92.4 Kuwait 84.3 74.8 Lao PDR

Czech Republic

Dominican Republic

Equatorial Guinea

Guinea-Bissau


Korea, Republic

Kyrgyz Republic

93.8 Latvia

55.4 Lebanon

127.6 Lesotho 75.1 Liberia 84.3 Lithuania 83.3 Luxembourg

104.5 75.1 Madagascar 75.1 Malawi

73.1 Malaysia 74.8 Maldives 75.1 Mali 83.3 Malta 74.8 75.1 Mauritania 75.1 Mauritius

191.1 Mexico 74.8 93.7 Moldova 84.3 Mongolia

68.9 Montenegro

70.4 Morocco 75.1 79.3 Namibia 74.8 Nepal

63.6 Netherlands 83.3 158.0 Nicaragua 75.1 Niger

78.9 Nigeria

81.5 Norway

107.8 Oman

75.3 Pakistan 74.8 Palau

124.8 Panama 74.8 67.6 Paraguay

111.2 Peru

76.4 Philippines

58.4 Poland

76.0 Portugal 158.0 Puerto Rico 85.7 Qatar

47.2 Romania

134.8 Russia

64.4 Rwanda 74.8 Samoa 75.1 171.3 59.8 Senegal

170.4 Serbia 75.1 Seychelles

41.3

Macedonia, FYR

Marshall Islands


Mozambique

New Zealand

Papua New Guinea


Sierra Leone

92.9 Singapore

88.8 81.2 Slovenia 74.8 62.8 South Africa

198.9 Spain 74.8 Sri Lanka 158.0 158.0 St. Lucia 158.0 75.1 Sudan 158.0 Suriname

76.7 Swaziland

60.2 Sweden

105.3 Switzerland 85.7 74.8 Taiwan 84.3 Tajikistan 75.1 Tanzania

86.1 Thailand 74.8 75.1 Togo 74.8 Tonga 158.0 50.2 Tunisia

85.8 Turkey

90.0 Uganda

26.2 Ukraine

94.8 47.7 114.1 557.9 Uruguay 84.3 Uzbekistan 74.8 Vanuatu

169.2 Venezuela 74.8 Vietnam 85.7 85.7 Yemen 75.1 Zambia 75.1 Zimbabwe

Figures for Developing Asia 12345

Figures for Developing Asia 1 South Asia6

Slovak Republic

Solomon Islands




Trinidad and Tobago


West Bank and Gaza




Bank Regulatory Capital to Risk-weighted Assets (Percent)

16.13 15.92 15.8115.90 15.57 15.05-4.72 2.53 4.9438.10 35.70 36.00


1999 2000 2001 2002 2003 2004 2005 2006

21.0 19.5 18.721.6 18.6 18.115.8 17.0 18.118.2 17.9 17.615.9 15.6 15.114.0 15.3 16.832.3 33.7 34.910.5 10.4 10.412.4 11.8 13.221.0 19.5 18.715.9 15.6 15.115.8 17.0 18.16.9 7.3 5.1

25.2 26.7 24.413.0 11.5 11.915.9 15.6 15.118.2 17.9 17.611.3 12.2 12.714.9 14.7 13.318.7 17.8 17.718.2 17.9 17.618.6 17.9 18.913.3 12.8 12.816.6 15.3 14.518.2 17.9 17.618.2 17.9 17.611.3 12.2 12.718.2 17.9 17.613.3 12.9 12.518.2 17.9 17.618.2 17.9 17.618.2 17.9 17.613.6 13.0 12.5-4.7 2.5 4.914.2 14.7 13.118.2 17.9 17.618.2 17.9 17.618.2 17.9 17.6



19.1 20.6 18.818.2 17.9 17.616.0 15.2 14.421.0 19.5 18.712.5 11.9 11.513.4 13.2 13.818.2 17.9 17.615.9 15.6 15.112.9 12.5 12.412.0 11.6 12.011.4 13.7 14.713.4 13.5 13.818.2 17.9 17.618.2 17.9 17.611.5 10.7 10.818.2 17.9 17.611.3 12.2 12.719.1 17.2 15.111.5 11.3 10.922.3 19.8 17.818.2 17.9 17.636.0 31.0 36.012.4 12.2 12.513.9 16.2 15.812.8 13.2 12.215.9 15.6 15.114.5 13.7 13.618.2 17.9 17.618.2 17.9 17.615.9 15.6 15.115.9 15.6 15.115.9 15.6 15.115.4 14.8 14.912.4 11.6 11.012.8 12.8 15.112.9 12.8 12.319.4 19.3 21.315.8 17.0 18.115.8 17.0 18.112.6 12.0 10.910.8 10.7 10.811.6 10.6 10.715.9 15.6 15.111.6 12.2 13.117.8 17.6 21.415.3 14.9 14.816.6 16.4 16.511.3 12.2 12.712.1 13.0 12.821.0 19.5 18.717.3 21.3 21.821.0 19.5 18.711.3 12.2 12.7

11.7 10.1 10.221.2 22.9 25.022.0 25.0 19.018.2 17.9 17.612.4 10.3 10.817.5 15.5 15.323.0 21.3 18.318.2 17.9 17.618.2 17.9 17.614.4 13.7 13.511.3 12.2 12.718.2 17.9 17.621.3 20.4 22.011.3 12.2 12.718.2 17.9 17.618.2 17.9 17.614.1 14.3 16.111.3 12.2 12.731.4 27.2 27.921.0 19.5 18.731.3 27.8 21.310.5 11.5 12.318.7 16.0 12.515.4 14.6 14.211.3 12.2 12.712.3 12.6 11.913.3 12.8 12.815.9 15.6 15.118.2 17.9 17.614.7 17.8 22.612.2 11.9 11.217.6 18.5 17.210.5 11.3 12.711.3 12.2 12.717.6 16.8 15.811.3 12.2 12.720.5 20.4 20.114.0 12.0 12.518.4 17.6 18.115.4 14.5 13.210.4 11.3 10.915.9 15.6 15.115.8 17.0 18.120.6 21.1 18.117.0 16.0 14.914.0 14.0 13.711.3 12.2 12.718.2 17.9 17.617.8 17.8 21.911.9 11.1 13.127.9 26.0 24.718.2 17.9 17.638.1 35.7 33.3

16.2 15.8 15.418.7 14.8 13.011.8 10.5 11.011.3 12.2 12.714.0 12.3 12.111.0 11.0 11.211.3 12.2 12.715.9 15.6 15.115.9 15.6 15.115.9 15.6 15.118.2 17.9 17.615.9 15.6 15.114.0 15.0 20.010.1 10.1 10.012.6 12.4 13.415.8 17.0 18.111.3 12.2 12.721.0 19.5 18.718.2 17.9 17.612.4 13.2 13.611.3 12.2 12.718.2 17.9 17.611.3 12.2 12.715.9 15.6 15.111.6 12.4 11.828.2 23.7 21.920.5 18.3 18.016.8 15.0 14.216.9 17.0 16.712.7 12.8 12.913.2 12.9 13.021.7 22.7 16.921.0 19.5 18.711.3 12.2 12.719.2 15.5 14.311.3 12.2 12.715.8 17.0 18.115.8 17.0 18.118.2 17.9 17.618.2 17.9 17.6

11.3 12.2 12.7 21.0 19.5 18.7 15.9 15.6 15.1 15.8 17.0 18.1 13.3 12.8 12.8 11.3 12.2 12.7 18.2 17.9 17.6

- 5.0 10.0 15.0 20.0 25.0 30.0 0.05.0

10.015.020.025.030.035.040.0

f(x) = 0.180300540726522 x + 14.5500999863742R² = 0.0410386052576526

C o lu mn B M

Lin ear (C o lu mn B M)

P o lyn o mial (C o lu mn B M)

15.27 15.46 16.2714.53 14.66 15.47

7.40 9.40 -9.1035.00 43.50 36.20


2007 2008 2009 2010 2011 2012 2013 2014

17.5 17.1 16.917.1 17.2 16.715.5 14.2 15.517.7 18.5 19.314.5 14.7 15.516.9 16.8 18.630.1 27.1 28.310.2 11.4 11.712.7 12.9 14.317.5 17.1 16.914.5 14.7 15.515.5 14.2 15.57.4 10.1 …

19.3 21.8 19.011.2 16.2 16.314.5 14.7 15.517.7 18.5 19.312.9 13.3 14.112.6 13.7 13.317.1 16.3 16.417.7 18.5 19.318.7 18.3 18.212.3 12.5 13.613.8 14.9 17.317.7 18.5 19.317.7 18.5 19.312.9 13.3 14.117.7 18.5 19.312.1 12.2 14.517.7 18.5 19.317.7 18.5 19.317.7 18.5 19.312.2 12.5 14.38.4 12.0 10.0

13.6 13.4 15.117.7 18.5 19.317.7 18.5 19.317.7 18.5 19.3

16.1 15.1 14.117.7 18.5 19.316.9 15.4 16.217.5 17.1 16.911.6 12.3 13.712.3 … …17.7 18.5 19.314.5 14.7 15.513.0 13.4 14.512.5 13.0 13.914.8 14.7 15.313.8 15.1 16.517.7 18.5 19.317.7 18.5 19.310.8 13.3 15.717.7 18.5 19.312.9 13.3 14.115.4 13.5 …10.2 … …14.3 19.4 …17.7 18.5 19.330.0 24.0 26.612.9 13.6 …14.8 13.8 15.611.2 9.4 11.714.5 14.7 15.513.8 13.5 14.817.7 18.5 19.317.7 18.5 19.314.5 14.7 15.514.5 14.7 15.514.5 14.7 15.513.4 14.8 16.610.4 11.1 13.112.1 … …12.3 13.0 13.219.3 16.8 17.515.5 14.2 15.515.5 14.2 15.510.7 10.6 10.611.0 11.1 12.610.4 10.8 …14.5 14.7 15.512.3 12.4 14.320.8 18.4 19.314.2 14.9 -9.118.0 18.9 19.912.9 13.3 14.112.3 12.3 14.217.5 17.1 16.918.5 16.0 …17.5 17.1 16.912.9 13.3 14.1

11.1 11.8 14.612.5 12.1 12.414.0 12.0 15.017.7 18.5 19.310.9 12.9 14.214.3 15.4 17.517.0 16.2 16.517.7 18.5 19.317.7 18.5 19.313.2 12.7 14.612.9 13.3 14.117.7 18.5 19.321.0 17.7 …12.9 13.3 14.117.7 18.5 19.317.7 18.5 19.315.9 15.3 15.912.9 13.3 14.129.1 32.2 32.717.5 17.1 16.917.1 15.0 12.910.6 11.2 11.714.2 13.9 …15.7 15.5 16.412.9 13.3 14.113.2 11.9 13.312.3 12.5 13.614.5 14.7 15.517.7 18.5 19.321.0 21.9 21.511.7 11.2 12.115.8 14.7 15.512.3 12.3 14.112.9 13.3 14.113.6 14.4 15.912.9 13.3 14.116.8 18.2 16.812.1 11.9 13.315.7 15.5 15.312.0 10.8 13.110.4 9.4 10.314.5 14.7 15.515.5 14.2 15.513.8 13.8 13.715.5 16.8 20.916.6 15.9 20.512.9 13.3 14.117.7 18.5 19.320.6 16.0 …13.6 13.9 15.927.9 21.9 21.217.7 18.5 19.335.0 43.5 36.2

13.5 14.7 16.512.8 11.1 12.311.2 11.7 11.612.9 13.3 14.112.8 13.0 13.610.6 11.3 11.712.9 13.3 14.114.5 14.7 15.514.5 14.7 15.514.5 14.7 15.517.7 18.5 19.314.5 14.7 15.521.0 18.0 17.19.8 10.2 12.7

12.1 14.8 16.915.5 14.2 15.512.9 13.3 14.117.5 17.1 16.917.7 18.5 19.314.8 13.8 …12.9 13.3 14.117.7 18.5 19.312.9 13.3 14.114.5 14.7 15.511.6 11.7 …18.9 18.0 20.419.5 20.7 21.113.9 14.0 15.614.4 13.3 18.612.6 12.9 13.312.8 12.8 14.217.8 16.7 17.017.5 17.1 16.912.9 13.3 14.112.9 13.4 15.012.9 13.3 14.115.5 14.2 15.515.5 14.2 15.517.7 18.5 19.317.7 18.5 19.3

12.9 13.3 14.1 Figures for Developing Asia 17.5 17.1 16.9 14.5 14.7 15.5 15.5 14.2 15.5 12.3 12.5 13.6 12.9 13.3 14.1 Figures for Developing Asia 17.7 18.5 19.3

- 5.0 10.0 15.0 20.0 25.0 30.0 0.05.0

10.015.020.025.030.035.040.0

f(x) = 0.180300540726522 x + 14.5500999863742R² = 0.0410386052576526

C o lu mn B M

Lin ear (C o lu mn B M)

P o lyn o mial (C o lu mn B M)

Bank Return on Assets (Percent)

AverageMedianMinMax

Average Country 1999 2000 2001 2002 2003

18.4 Afghanistan18.2 Albania16.0 Algeria18.2 Angola15.216.4 Argentina31.1 Armenia10.8 Australia12.9 Austria18.4 Azerbaijan15.216.0 Bahrain7.4 Bangladesh

22.7 Belarus13.4 Belgium15.2 Belize18.2 Benin12.7 Bhutan13.7 Bolivia17.418.2 Botswana18.4 Brazil12.915.4 Bulgaria18.218.2 Burundi12.7 Cambodia18.2 Cameroon12.9 Canada18.2 Cape Verde18.218.2 Chad13.0 Chile5.5 China

14.0 Colombia18.2 Comoros18.218.2


Antigua and Barbuda

Bahamas, the


Brunei Darussalam

Burkina Faso




17.3 Costa Rica18.2 Cote d'Ivoire15.7 Croatia18.4 Cyprus12.313.2 Denmark18.2 Djibouti15.2 Dominica13.112.5 Ecuador14.1 Egypt14.4 El Salvador18.218.2 Eritrea12.1 Estonia18.2 Ethiopia12.7 Fiji16.1 Finland11.0 France18.7 Gabon18.2 Gambia30.6 Georgia12.7 Germany15.0 Ghana11.8 Greece15.2 Grenada14.0 Guatemala18.2 Guinea18.215.2 Guyana15.2 Haiti15.2 Honduras15.0 Hong Kong11.6 Hungary13.2 Iceland12.8 India18.9 Indonesia16.016.0 Iraq11.2 Ireland11.2 Israel10.8 Italy15.2 Jamaica12.7 Japan19.2 Jordan10.8 Kazakhstan17.7 Kenya12.7 Kiribati12.818.4 Kosovo19.0 Kuwait18.412.7 Lao PDR

Czech Republic

Dominican Republic

Equatorial Guinea

Guinea-Bissau


Korea, Republic

Kyrgyz Republic

11.6 Latvia17.7 Lebanon17.8 Lesotho18.2 Liberia11.9 Lithuania15.9 Luxembourg18.718.2 Madagascar18.2 Malawi13.7 Malaysia12.7 Maldives18.2 Mali20.5 Malta12.718.2 Mauritania18.2 Mauritius15.3 Mexico12.730.1 Moldova18.4 Mongolia20.9 Montenegro11.3 Morocco15.115.3 Namibia12.7 Nepal12.5 Netherlands12.915.2 Nicaragua18.2 Niger19.9 Nigeria11.7 Norway16.6 Oman12.2 Pakistan12.7 Palau15.7 Panama12.718.8 Paraguay12.6 Peru16.8 Philippines13.2 Poland10.5 Portugal15.2 Puerto Rico16.0 Qatar16.9 Romania16.9 Russia15.8 Rwanda12.7 Samoa18.218.813.3 Senegal24.9 Serbia18.2 Seychelles37.0

Macedonia, FYR

Marshall Islands


Mozambique

New Zealand

Papua New Guinea


Sierra Leone

15.4 Singapore13.811.3 Slovenia12.713.0 South Africa11.1 Spain12.7 Sri Lanka15.215.2 St. Lucia15.218.2 Sudan15.2 Suriname17.5 Swaziland10.5 Sweden13.7 Switzerland16.012.7 Taiwan18.4 Tajikistan18.2 Tanzania13.6 Thailand12.718.2 Togo12.7 Tonga15.211.8 Tunisia21.9 Turkey19.7 Uganda14.9 Ukraine16.212.913.118.8 Uruguay18.4 Uzbekistan12.7 Vanuatu15.1 Venezuela12.7 Vietnam16.016.0 Yemen18.2 Zambia18.2 Zimbabwe

123451 South Asia6

Slovak Republic

Solomon Islands




Trinidad and Tobago


West Bank and Gaza




1.81 1.84 1.89 1.82 1.67 1.101.55 1.76 1.89 1.87 1.66 1.34

-1.20 0.37 -1.20 0.10 -2.60 -23.509.90 8.10 5.84 3.91 4.20 4.00


2004 2005 2006 2007 2008 2009 2010 2011

1.55 1.76 1.93 1.96 1.13 -1.421.28 1.40 1.36 1.60 0.91 0.16

1.36 1.76 1.89 1.80 1.66 1.533.30 2.75 2.77 2.53 2.93 2.361.59 1.95 2.13 2.05 1.91 1.70

-0.45 0.87 1.90 1.50 1.60 2.403.23 3.08 3.57 2.90 3.10 0.701.10 1.00 1.00 1.00 0.70 0.600.60 0.60 0.70 0.80 0.10 0.40

1.55 1.76 1.93 1.96 1.13 -1.421.59 1.95 2.13 2.05 1.91 1.701.36 1.76 1.89 1.80 1.66 1.53

-0.50 0.60 -1.20 0.90 1.30 …1.45 1.25 1.70 1.70 1.40 1.200.50 0.50 0.70 0.40 -1.30 -0.30

1.59 1.95 2.13 2.05 1.91 1.703.30 2.75 2.77 2.53 2.93 2.361.11 1.29 1.06 1.24 1.21 1.33

-0.10 0.70 1.30 1.86 1.73 1.610.69 0.69 0.90 0.87 0.40 0.21

3.30 2.75 2.77 2.53 2.93 2.362.18 2.93 2.70 2.85 1.50 1.22

0.89 0.96 1.01 0.91 0.34 0.482.10 2.00 2.21 2.40 2.10 1.20

3.30 2.75 2.77 2.53 2.93 2.363.30 2.75 2.77 2.53 2.93 2.361.11 1.29 1.06 1.24 1.21 1.333.30 2.75 2.77 2.53 2.93 2.36

0.79 0.67 0.87 0.80 0.43 0.383.30 2.75 2.77 2.53 2.93 2.363.30 2.75 2.77 2.53 2.93 2.363.30 2.75 2.77 2.53 2.93 2.36

1.24 1.20 1.20 1.08 1.20 1.210.46 0.58 0.90 0.90 1.00 n.a.2.73 2.70 2.45 2.35 2.43 2.50

3.30 2.75 2.77 2.53 2.93 2.363.30 2.75 2.77 2.53 2.93 2.363.30 2.75 2.77 2.53 2.93 2.36

2.00 2.50 2.50 1.51 1.80 1.403.30 2.75 2.77 2.53 2.93 2.36

1.68 1.65 1.50 1.59 1.61 1.301.55 1.76 1.93 1.96 1.13 -1.42

1.26 1.39 1.23 1.33 1.16 1.311.23 1.27 1.31 1.02 … …

3.30 2.75 2.77 2.53 2.93 2.361.59 1.95 2.13 2.05 1.91 1.70

1.77 1.89 2.54 2.61 2.73 2.301.21 1.50 2.01 2.04 1.72 1.340.50 0.60 0.80 0.90 0.80 …1.02 1.18 1.50 1.19 1.00 0.50

3.30 2.75 2.77 2.53 2.93 2.363.30 2.75 2.77 2.53 2.93 2.36

2.13 1.96 1.70 2.59 0.27 -5.843.30 2.75 2.77 2.53 2.93 2.361.11 1.29 1.06 1.24 1.21 1.33

0.80 0.90 1.00 1.20 0.80 …0.50 0.56 0.63 0.38 -0.04 …2.80 2.60 2.50 2.70 1.80 …

3.30 2.75 2.77 2.53 2.93 2.361.88 3.03 2.73 1.88 -2.60 -1.150.14 0.44 0.36 0.25 -0.30 …5.80 4.60 4.80 3.70 3.20 3.200.40 0.90 0.80 0.98 0.20 0.20

1.59 1.95 2.13 2.05 1.91 1.701.30 1.60 1.20 1.50 1.68 1.91

3.30 2.75 2.77 2.53 2.93 2.363.30 2.75 2.77 2.53 2.93 2.361.59 1.95 2.13 2.05 1.91 1.701.59 1.95 2.13 2.05 1.91 1.701.59 1.95 2.13 2.05 1.91 1.70

1.70 1.70 1.80 1.90 1.80 1.601.30 1.40 1.50 1.20 0.80 1.101.80 2.30 2.60 1.50 … …0.80 0.90 0.70 0.90 1.00 1.023.41 2.46 2.60 2.80 2.30 2.60

1.36 1.76 1.89 1.80 1.66 1.531.36 1.76 1.89 1.80 1.66 1.53

1.10 0.80 0.80 0.70 … …0.98 1.11 1.04 1.22 0.00 0.200.65 0.66 0.81 0.80 0.30 …

1.59 1.95 2.13 2.05 1.91 1.700.20 0.50 0.40 0.20 -0.20 …1.10 2.00 1.70 1.60 1.40 1.201.20 1.60 1.40 2.60 0.20 -23.502.10 2.40 2.80 3.00 2.80 3.00

1.11 1.29 1.06 1.24 1.21 1.330.85 1.30 1.10 1.10 0.47 …

1.55 1.76 1.93 1.96 1.13 -1.422.50 3.00 3.20 3.40 3.20 …

1.55 1.76 1.93 1.96 1.13 -1.421.11 1.29 1.06 1.24 1.21 1.33

1.70 2.12 2.05 2.00 0.30 -3.510.65 0.73 0.85 1.02 1.12 1.033.00 2.00 2.00 2.60 3.00 4.00

3.30 2.75 2.77 2.53 2.93 2.361.20 1.00 1.30 1.70 1.00 -4.200.70 0.70 0.90 0.80 0.20 0.600.60 1.20 1.80 1.80 1.40 0.71

3.30 2.75 2.77 2.53 2.93 2.363.30 2.75 2.77 2.53 2.93 2.36

1.40 1.40 1.30 1.50 1.50 1.201.11 1.29 1.06 1.24 1.21 1.333.30 2.75 2.77 2.53 2.93 2.36

1.40 1.40 1.30 1.00 0.70 …1.11 1.29 1.06 1.24 1.21 1.333.30 2.75 2.77 2.53 2.93 2.363.30 2.75 2.77 2.53 2.93 2.36

2.13 3.19 3.51 2.74 1.46 1.241.11 1.29 1.06 1.24 1.21 1.33

3.72 3.20 3.40 3.91 3.49 0.201.55 1.76 1.93 1.96 1.13 -1.42

-0.29 0.81 1.07 0.72 -0.62 -0.880.80 0.50 1.30 1.50 1.20 1.301.43 1.81 3.51 1.90 3.50 …2.10 3.50 1.50 3.50 4.20 3.00

1.11 1.29 1.06 1.24 1.21 1.330.43 0.37 0.39 0.62 -0.40 -0.04

0.89 0.96 1.01 0.91 0.34 0.481.59 1.95 2.13 2.05 1.91 1.703.30 2.75 2.77 2.53 2.93 2.36

3.10 0.90 1.60 2.10 3.95 1.840.90 1.00 0.90 0.80 0.50 0.601.70 2.30 2.30 2.10 1.70 2.201.20 1.89 2.08 1.50 0.80 0.90

1.11 1.29 1.06 1.24 1.21 1.331.80 2.13 1.70 2.03 2.25 1.48

1.11 1.29 1.06 1.24 1.21 1.331.70 2.10 3.33 3.11 3.50 2.691.20 2.20 2.20 2.52 2.56 2.250.90 1.10 1.30 1.30 0.80 1.201.40 1.60 1.69 1.67 1.60 1.200.80 0.90 1.10 1.00 0.20 0.40

1.59 1.95 2.13 2.05 1.91 1.701.36 1.76 1.89 1.80 1.66 1.53

2.50 1.90 1.70 1.30 1.60 0.302.85 3.18 3.30 3.00 1.80 0.701.80 0.90 2.40 1.50 2.40 1.00

1.11 1.29 1.06 1.24 1.21 1.333.30 2.75 2.77 2.53 2.93 2.36

2.40 3.40 4.00 2.80 2.30 1.951.80 1.60 1.60 1.60 1.40 …-1.20 1.10 1.70 1.70 2.10 1.00

3.30 2.75 2.77 2.53 2.93 2.369.90 8.10 5.84 3.10 2.20 1.00

1.15 1.15 1.40 1.30 1.00 1.101.20 1.20 1.30 1.00 0.96 0.661.10 1.00 1.30 1.40 0.70 0.50

1.11 1.29 1.06 1.24 1.21 1.331.30 1.20 1.40 1.37 2.10 0.960.83 0.90 1.03 1.05 0.74 0.71

1.11 1.29 1.06 1.24 1.21 1.331.59 1.95 2.13 2.05 1.91 1.701.59 1.95 2.13 2.05 1.91 1.701.59 1.95 2.13 2.05 1.91 1.703.30 2.75 2.77 2.53 2.93 2.361.59 1.95 2.13 2.05 1.91 1.70

3.50 2.70 2.90 1.90 4.00 2.400.70 0.68 0.82 0.80 0.62 …0.78 0.93 0.90 0.70 0.28 0.20

1.36 1.76 1.89 1.80 1.66 1.531.11 1.29 1.06 1.24 1.21 1.331.55 1.76 1.93 1.96 1.13 -1.423.30 2.75 2.77 2.53 2.93 2.36

1.21 1.36 0.77 0.10 1.00 …1.11 1.29 1.06 1.24 1.21 1.333.30 2.75 2.77 2.53 2.93 2.361.11 1.29 1.06 1.24 1.21 1.331.59 1.95 2.13 2.05 1.91 1.70

0.50 0.60 0.70 0.90 1.00 …2.11 1.47 2.27 2.55 1.83 2.554.25 3.40 3.10 3.86 3.50 3.201.10 1.30 1.60 1.50 1.03 -3.192.10 2.70 2.20 2.00 2.20 1.500.70 0.80 0.50 0.40 -0.40 -0.101.28 1.28 1.28 0.81 0.04 0.10-0.10 0.80 1.00 1.30 1.00 1.30

1.55 1.76 1.93 1.96 1.13 -1.421.11 1.29 1.06 1.24 1.21 1.33

5.89 3.65 2.97 2.55 2.47 1.861.11 1.29 1.06 1.24 1.21 1.331.36 1.76 1.89 1.80 1.66 1.531.36 1.76 1.89 1.80 1.66 1.533.30 2.75 2.77 2.53 2.93 2.363.30 2.75 2.77 2.53 2.93 2.36

1.11 1.29 1.06 1.24 1.21 1.33 1.55 1.76 1.93 1.96 1.13 - 1.42 1.59 1.95 2.13 2.05 1.91 1.70 1.36 1.76 1.89 1.80 1.66 1.53 0.89 0.96 1.01 0.91 0.34 0.48 1.11 1.29 1.06 1.24 1.21 1.33 3.30 2.75 2.77 2.53 2.93 2.36

2012 2013 2014 Average

1.151.12

1.672.771.89

1.302.760.900.53

1.151.891.67

0.221.450.08

1.892.771.21

1.180.63

2.772.23

0.762.00

2.772.771.212.77

0.662.772.772.77

1.190.772.53

2.772.772.77

1.952.77

1.551.15

1.281.21

2.771.89

2.311.640.721.07

2.772.77

0.472.771.21

0.940.412.48

2.770.960.184.220.58

1.891.53

2.772.771.891.891.89

1.751.222.050.892.70

1.671.67

0.850.760.64

1.890.221.50-2.752.68

1.210.96

1.153.06

1.151.21

0.780.902.77

2.770.330.651.25

2.772.77

1.381.212.77

1.161.212.772.77

2.381.21

2.991.15

0.141.102.432.97

1.210.23

0.761.892.77

2.250.782.051.39

1.211.90

1.212.742.161.101.530.73

1.891.67

1.552.471.67

1.212.77

2.811.601.07

2.775.02

1.181.051.00

1.211.390.88

1.211.891.891.892.771.89

2.900.720.63

1.671.211.152.77

0.891.212.771.211.89

0.742.133.550.562.120.320.800.88

1.151.21

3.231.211.671.672.772.77

Figures for developing Asia

Figures for developing Asia

Satellite Models to link scenarios to macroeconomic conditions

VariableCoefficients

Constant

2.34220 0.78190 -0.38050

Macroeconomic Variables (Reference scenario, eg Baseline or previous year)

Year NPLs (t-1) Real GDP (%) Not Assigned

2009 3.00000 3.50000

Scenarios Year 1

Baseline 3.00000 2.50000

Moderate Macro S 3.00000 1.50000

Medium Macro Str 3.00000 0.50000

Severe Macro Str 3.00000 -1.00000

Scenarios Year 2

Baseline 3.73665 2.00000

4.11715 1.00000

4.49765 0.00000

5.06840 -2.00000

Scenarios Year 3

Baseline 4.50289 3.00000

5.18090 2.00000

5.85891 2.00000

7.06618 0.00000

Scenarios Year 4

Baseline 4.72151 3.50000

5.63215 3.00000

6.16228 3.00000

7.86725 1.50000

Country Level NPLs/PDs

Coefficient NPLs (t-1)

Coefficient Real GDP (%)

Coefficient Not Assigned

Moderate Macro Stress

Medium Macro Stress

Severe Macro Stress


Medium Macro Stress

Severe Macro Stress


Medium Macro Stress

Severe Macro Stress

Scenarios Year 5

Baseline 4.70220 4.00000

5.60447 4.00000

6.01899 4.00000

7.92285 3.00000

Variable Credit GrowthCoefficients

Constant15.31000 -0.99560 1.15530

Macroeconomic Variables (Previous year before stress)Year NPLs GDP Growth Not Assigned2009 3.00000 3.50000

Scenarios Year 1

Baseline 3.73665 2.50000

4.11715 1.50000

4.49765 0.50000

5.06840 -1.00000

Scenarios Year 2

Baseline 4.50289 2.00000

5.18090 1.00000

5.85891 0.00000

7.06618 -2.00000

Scenarios Year 3

Baseline 4.72151 3.00000

5.63215 2.00000

6.16228 2.00000

7.86725 0.00000

Scenarios Year 4

Baseline 4.70220 3.50000

5.60447 3.00000


Medium Macro Stress

Severe Macro Stress

Coefficient NPLs

Coefficient GDP Growth



Medium Macro Stress

Severe Macro Stress


Medium Macro Stress

Severe Macro Stress


Medium Macro Stress

Severe Macro Stress


Scenarios Year 4

6.01899 3.00000

7.92285 1.50000

Scenarios Year 5

Baseline 4.49685 4.00000

5.20234 4.00000

5.52645 4.00000

7.39558 3.00000

VariableCoefficients

Constant1.57000 0.13000 0.07500 -0.09700

Macroeconomic Variables (Reference scenario, eg Baseline or previous year)Year Profit (t-1) GDP Growth NPL (t-1)2009 1.77000 3.50000 3.00000

Scenarios Year 1

Baseline 1.77000 2.50000 3.00000

1.77000 1.50000 3.00000

1.77000 0.50000 3.00000

1.77000 -1.00000 3.00000

Scenarios Year 2

Baseline 1.69660 2.00000 3.73665

1.62160 1.00000 4.11715

1.54660 0.00000 4.49765

1.43410 -2.00000 5.06840

Scenarios Year 3

Baseline 1.57810 3.00000 4.50289

1.45644 2.00000 5.18090

1.33479 2.00000 5.85891

1.11480 0.00000 7.06618

Medium Macro Stress

Severe Macro Stress


Medium Macro Stress

Severe Macro Stress

Country Level Profit (ROA) Please use with caution, as the link between macroeconomy and profit is not

straightforward.

Coefficient Profit (t-1)

Coefficient GDP Growth

Coefficient NPL (t-1)


Medium Macro Stress

Severe Macro Stress


Medium Macro Stress

Severe Macro Stress


Medium Macro Stress

Severe Macro Stress

Scenarios Year 4

Baseline 1.56337 3.50000 4.72151

1.40679 3.00000 5.63215

1.32521 3.00000 6.16228

1.02950 1.50000 7.86725

Scenarios Year 5

Baseline 1.57775 4.00000 4.70220

1.43156 4.00000 5.60447

1.36954 4.00000 6.01899

1.05321 3.00000 7.92285

Additional potential models, e.g.Industry Sector level regressions (and/or other regional regressions)Bank level regressions


Medium Macro Stress

Severe Macro Stress


Medium Macro Stress

Severe Macro Stress

Satellite Models to link scenarios to macroeconomic conditions Rule of Thumb

Coefficients Baseline

Macroeconomic Variables (Reference scenario, eg Baseline or previous year) Country Level NPLs/PDs

Not Assigned Not Assigned Model Actual3.36 2.12

3.74 11.3%

4.12 22.7%

4.50 34.0%

5.07 51.0%

4.50 20.5%

5.18 25.8%

5.86 30.3%

7.07 39.4%

4.72 4.9%

5.63 8.7%

6.16 5.2%

7.87 11.3%

4.70 -0.4%

5.60 -0.5%

6.02 -2.3%

7.92 0.7%

Please enter GDP path or link it to Satellite Model inputs (




Medium Macro Stress

Severe Macro Stress

4.50 -4.4%

5.20 -7.2%

5.53 -8.2%

7.40 -6.7%

Coefficients

Macroeconomic Variables (Previous year before stress) Credit GrowthNot Assigned Not Assigned Model Actual

16.37

14.48 -11.5%

12.94 -20.9%

11.41 -30.3%

9.11 -44.3%

13.14 -9.3%

11.31 -12.6%

9.48 -16.9%

5.96 -34.5%

14.08 7.1%

12.01 6.2%

11.49 21.2%

7.48 25.4%

14.67 4.2%

13.20 9.8%



12.78 11.3%

9.15 22.4%

15.45 5.3%

14.75 11.8%

14.43 12.9%

11.41 24.7%

Macroeconomic Variables (Reference scenario, eg Baseline or previous year) Country Level Profit (ROA)Not Assigned Not Assigned Model Actual

1.77 0.35

1.70 -4.2%

1.62 -8.5%

1.55 -12.7%

1.43 -19.1%

1.58 -10.9%

1.46 -17.8%

1.33 -24.7%

1.11 -37.1%

1.56 -11.8%

1.41 -20.6%

1.33 -25.2%

1.03 -41.9%

Please use with caution, as the link between macroeconomy and profit is not



1.58 -10.9%

1.43 -19.2%

1.37 -22.7%

1.05 -40.6%

1.62 -8.6%

1.51 -14.6%

1.46 -17.4%

1.16 -34.3%

Additional potential models, e.g.Industry Sector level regressions (and/or other regional regressions)

Rule of Thumb

2010 2011 2012 2013 2014 2015

3.0% 6.0% 8.0% 10.0% 8.0% 6.0%

3.0% 1.5% 1.0% 2.0% 3.0% 4.0%

3.0% 0.5% 0.0% 2.0% 3.0% 4.0%

3.0% -1.0% -2.0% 0.0% 1.5% 3.0%

Please enter GDP path or link it to Satellite Model inputs (units as shown below!)

Bank Total Bank 1Year 2010 2010Month 12 12Figures in 1,000,000 1,000,000Currency USDConversion Rate to USD 1.00 1.00Country (3-Digit ISO Code) USAConsolidated (="True"), Standalone (="False") TrueBank Type Private

Financial Statements/Balance Sheet Total Bank 1

Total Assets 56,063 11,822

Total Loans and advances (net) 25,482 5,380Loans to Customers 23,524 4,481Loans to Banks 2,083 899

Cash and cash equivalent (Unrestricted balances w 5,182 303Government Bonds & Treasury Bills 546 112Trading & Investment Portfolio 20,618 5,207

thereof: Trading assets & Fair value assets 10,266 2,107thereof: Derivatives 4,497 1,254thereof: Investment(s) (Securities) 3,935 1,846

Total Liabilities 52,203 11,144Total deposits 21,121 5,362

thereof: Demand deposits 20,074 4,738Thereof: wholesale deposits 2,025 624

thereof: Term Deposits 6,002 1,057

Total Market Funding 9,514 2,979

Total Equity 3,726 641

Share capital and share premium 1,180 86Retained Earnings 1,138 434Reserves 142 111

Statement of Income/Profit and Loss Total Bank 1

Net Interest Income 824 204Interest income 480 310Interest expenses 204 107

Net Fee and Commission Income 297 88Net Trading Income (including net income from other fin 52 32

Operating Income 1,508 331Total Operating Expenses 817 172

Net impairment loss on financial assets 511 132thereof: Loan Loss Provisions 446 132

Net operating income (incl. impairments) 180 26

Please do not delete either rows or columns that are not needed (as the results will otherwise be misleading; please change the setup to configure the sheet or hide columns instead)

Net Non-Operating Income 0Net Extraordinary Income 0

Profit before Income Tax 174 35Income Tax Expenses 8 2Profit for the Period (Post-tax Profit) 178 33

Cost Income Ratio (CIR) 58.0% 52.0%Net interest margin 3.3% 3.8%Non-interest income / Total income 44.6% 38.5%Deposits / Loans 105.6% 100%Return on Assets (ROA) 0.4% 0.28%Pre-impairment pre-tax ROA 1.4% 1.42%Return on Equity (ROE) 4.5% 5.22%

Basel II Approach used by bank for… Total Bank 1(in case of partial use please flag most relevant approach)Credit Risk Basel IMarket Risk Basel IOperational Risk Basel I

Regulatory Data (Bank Level) Total Bank 1

Regulatory capital 4,292 779Regulatory Tier 1 capital 2,954 611Common/Core Tier 1 Capital 1,079 531Tier 2 Capital 312 168Tier 3 Capital 0

Pillar 1 Risk-weighted Assets (RWAs) 28,925 5,666RWAs for Credit Risk 26,066 4,777RWAs for Market Risk 1,081 259RWAs for Operational Risk 1,744 629RWAs non-counterparty related assets 33 0Other Pillar 1 RWAs 0

Pillar 2 RWAs 0

Capital Adequacy Ratio (CAR) 15.8% 13.7%Tier 1 Ratio 10.6% 10.8%Core Tier 1 Ratio 3.9% 9.4%Leverage Ratio (Total Capital) 12.2% 8.1%Leverage Ratio (Tier 1) 8.4% 6.4%

Credit Risk Total Bank 1

Country level Year 20105.4% 5.4%

Please check18.5% 18.5%

Bank level

Non-performing loans (NPLs) / Total loans Loan loss provisions (LLPs) / Total LoansLGD

I. Credit Risk Exposure by Product (net)

Bank Book 25,607 5,380Total Customer Loans (net of provisions) 23,524 4,481

thereof: Foreign-exchange denominated non-ba 0Total Loans to Banks (net) 2,083 899Interbank Claims 0

Off-balance sheet exposure (commitments, guarantee 1,081 259

Trading Book 4,497 3,100Total Credit Exposure 37,078 9,638

SME (please avoid double counting with corporate exp 5,111 2,171Retail 4,757 2,171Asset quality and asset type of Credit Exposure

1,086 3558 0

437 128511 132

Write-offs (during year t) 92 0

NPLs (Stock) / Total Loans [Conservative Upper Bou 4.2% 6.59%NPLs (Inflow) / Total Loans [Measure for Default Ra 0.1% n.a.LLPs (Stock) / Total Loans 1.75% 2.37%LLPs (Inflow) / Total Loans 2.0% 2.46%Write-off / Total Loans 0.4% n.a.

40.0% 40.0%75.0% 75%

Credit ConcentrationExposure to Largest Counterpart 0Exposure to 3 Largest Counterparts 0Total Large Exposure 0

Herfindahl-Hirshman-Index (for full portfolio or for 8.6% 0n (for the calculation of HHI) 20Herfindahl-Hirshman-Index (Total Portfolio) 0.0084 0.0010

Market Risk Total Bank 1

Trading Book (or default category for all market positions, if no split is available)Sovereign Bonds 482 112Other Bonds 341 251Equity 8,769 1,855Structured 0 0Other 3,995 1,254

Available for Sale (AfS) PositionsSovereign Bonds 0 0Other Bonds 43 0Equity 41 0Structured 1,382 923Other 9 0

Held-to-Maturity (HTM) Positions

NPLs (Stock, at reporting date t)NPLs (Inflow, during year t) LLPs (Stock, at reporting date t)LLPs (Inflow, during year t)

LGD (exposure-weighted on bank level, if available, otherwise arithmetic average)Credit Conversion Factor for Off-balance sheet exposure

Sovereign Bonds 130 0Other Bonds 0 0Equity 125 0Structured 1,366 923Other 0 0

Total Gross Derivative Position (Asset side) 0"Net" Derivative Positions (Replacement Value) 4,497 1,254

Total Gross FX Positions (before Hedging) 0Net open position in foreign exchange 1,199 509

USD 452 0EUR 126 126JPY 0 0GBP 0 0CHF 107 107Other 513 276

Percent of FX Risk Hedged n.a.

Interest Rate shock in the banking book (Effect on P&L, both through net interest income & equity)fall in all yield curves (local currency only) by 100 bps 0increase in all yield curves (local currency only) by 100 0fall in all yield curves (worldwide) by 100 bps 0increase in all yield curves (worldwide) by 100 bps 0fall in all yield curves (worldwide) by 200 bps -58 -11increase in all yield curves (worldwide) by 200 bps 78 14fall in all yield curves greater than 12 months (worldwi 0increase in all yield curves greater than 12 months (wo 0Not assigned 0Not assigned 0

Provision reserves for Market Risk positions (if applic 0

Credit Risk (Portfolio Level) Total Bank 1

Total bank credit (by industry sector & product type 36,167 10,317Government and quasi-government 966 33Other Public Sector 549 0Banks 2,509 899Other Financials & Real Estate 1,964 830Capital Industries 2,858 981Consumer industries 714 0Energy & Environment 667 0Media & Publishing 642 0Retail & Distribution 1,542 0Technology 642 0Transportation 724 0Utilities 666 0Other 3,471 1,365Households - Mortgages (or total, if no split) 4,205 1,303Households - Consumer Credit & Credit Cards 1,682 868Construction 177 0Securitization 0 0Derivatives 4,497 1,254Other Liquid Credit 4,666 1,846Off-balance sheet credit 3,027 938

Loss Rate/Provisions Rate Total Bank 1

Loss Rate/Provisions Rate 2.0% 2.3%Government and quasi-government 0.9% 0.5%Other Public Sector 1.9% 1.0%Banks 1.4% 1.0%Other Financials & Real Estate 2.2% 2.5%Capital Industries 1.8% 2.5%Consumer industries 1.2% 2.5%Energy & Environment 0.9% 2.5%Media & Publishing 0.7% 2.5%Retail & Distribution 1.3% 2.5%Technology 0.7% 2.5%Transportation 1.2% 2.5%Utilities 0.9% 2.5%Other 2.5% 2.5%Households - Mortgages (or total, if no split) 2.8% 2.5%Households - Consumer Credit & Credit Cards 3.2% 2.5%Construction 3.8% 2.5%Securitization n.a. 2.5%Derivatives 1.6% 2.5%Other Liquid Credit 1.6% 2.5%Off-balance sheet credit 3.3% 2.5%


Loss Rate/Provisions Rate 2.2% 2.7%Sovereign 0.9% 0.5%Non-sovereign public sector entities 1.9% 1.0%Banks/Institutions 3.1% 3.8%Corporates 1.6% 2.5%SME (please avoid double counting with corporate 1.8% 2.5%Retail 2.9% 2.5%Residential mortgages (please avoid double counting 0.8% 2.5%Securitization n.a.Derivatives n.a.Off-balance sheet credit 3.4% 2.5%


Loss Rate/Provisions Rate 4.3% 3.6%Africa (Sub-Saharan) 8.7% 8.7%America (Central and South) 2.7% 3.0%America (North) 2.7% 3.1%Asia (East) 4.3% 4.6%Asia (South-East) n.a. 4.6%Australia and New Zealand n.a. 3.1%Commonwealth of Independent States n.a. 11.2%Eastern (Central and East) 10.6% 11.2%Europe (West) 2.0% 3.1%Middle East and North Africa 6.5% 6.7%

Other 6.0% 6.2%Not assigned n.a.Not assigned n.a.Not assigned n.a.Not assigned n.a.Not assigned n.a.Not assigned n.a.Not assigned n.a.Not assigned n.a.Not assigned n.a.

LGDs are not applicable under this setting Total Bank 1

LGDs are not applicable under this setting 31.5% 30.8%Government and quasi-government 28.7% 20.0%Other Public Sector 38.8% 30.0%Banks 30.7% 30.0%Other Financials & Real Estate 27.4% 30.0%Capital Industries 24.3% 15.8%Consumer industries 32.1% 15.8%Energy & Environment 32.7% 15.8%Media & Publishing 33.0% 15.8%Retail & Distribution 40.4% 30.0%Technology 33.0% 15.8%Transportation 36.3% 15.8%Utilities 32.5% 15.8%Other 29.0% 15.8%Households - Mortgages (or total, if no split) 25.9% 15.8%Households - Consumer Credit & Credit Cards 23.8% 30.0%Construction 89.8% 15.8%Securitization n.a. 80.0%Derivatives 40.0% 45.0%Other Liquid Credit 27.7% 45.0%Off-balance sheet credit 39.4% 45.0%


LGDs are not applicable under this setting 41.9% 26.8%Sovereign 28.0% 20.0%Non-sovereign public sector entities 42.0% 30.0%Banks/Institutions 42.0% 30.0%Corporates 39.9% 15.8%SME (please avoid double counting with corporate 49.8% 31.6%Retail 40.5% 30.0%Residential mortgages (please avoid double counting 80.0% 80.0%Securitization n.a.Derivatives n.a.Off-balance sheet credit 40.5% 30.0%


LGDs are not applicable under this setting 55.3% 43.4%

Africa (Sub-Saharan) 83.0% 83.0%America (Central and South) 73.2% 73.2%America (North) 31.4% 31.4%Asia (East) 71.6% 71.6%Asia (South-East) 71.6% 71.6%Australia and New Zealand 31.4% 31.4%Commonwealth of Independent States 68.4% 68.4%Eastern (Central and East) 68.4% 68.4%Europe (West) 31.4% 31.4%Middle East and North Africa 70.1% 70.1%Other 70.0% 70.0%Not assigned n.a.Not assigned n.a.Not assigned n.a.Not assigned n.a.Not assigned n.a.Not assigned n.a.Not assigned n.a.Not assigned n.a.Not assigned n.a.

Credit Exposure by rating category (loan book) Total Bank 1

Total Exposure 25,607 5,380 AAA n.a.AA+ n.a.AA 16.4% 16.4%AA- n.a.A+ n.a.A 17.2% 17.2%A- n.a.BBB+ n.a.BBB 27.3% 27.3%BBB- n.a.BB+ n.a.BB 25.3% 25.3%BB- n.a.B+ n.a.B 5.3% 5.3%B- n.a.CCC+ n.a.CCC 8.5% 8.5%CCC- n.a.C/CC n.a.

Implied PD 1.8% 1.8%

Credit exposure by rating category (off-balance) Total Bank 1

Total Exposure 811 194 AAA n.a.AA+ n.a.AA 18.4% 18.4%AA- n.a.A+ n.a.

A 23.0% 23.0%A- n.a.BBB+ n.a.BBB 28.5% 28.5%BBB- n.a.BB+ n.a.BB 21.0% 21.0%BB- n.a.B+ n.a.B 6.5% 6.5%B- n.a.CCC+ n.a.CCC 2.5% 2.5%CCC- n.a.C/CC n.a.


Credit exposure by rating category (Counterparty Cred Total Bank 1

Total Exposure 8,431 3,100 AAA n.a.AA+ n.a.AA 20.6% 20.6%AA- n.a.A+ n.a.A 20.2% 20.2%A- n.a.BBB+ n.a.BBB 25.2% 25.2%BBB- n.a.BB+ n.a.BB 22.7% 22.7%BB- n.a.B+ n.a.B 5.4% 5.4%B- n.a.CCC+ n.a.CCC 5.8% 5.8%CCC- n.a.C/CC n.a.


Securitization exposure by Risk-Weight/Rating Total Bank 1

Total Exposure 2,718 761 0-10% (~AAA) 37.6% 27.4%10-20% (~AA) 42.0% 53.7%20-35% (~A) 7.3% 7.7%35-75% (~BBB+) 2.8% 1.6%75-100% (~BBB-) 2.6% 1.5%100-250% (~BB+) 1.2% 0.9%250%-1250% (BB~) 1.7% 1.9%Full deduction (B and lower) 4.8% 5.4%

Average Risk-Weight 90.0% 97.9%


Summary of information Total Bank 1

Total Credit Exposure 36,808 9,574 On-balance sheet exposure 35,997 9,379

thereof: Loans 25,607 5,380 thereof: Securities with counterparty risk 8,431 3,100

Off-balance sheet exposure 811 194

Loss RatesLoss Rates (Country level) n.a.Loss Rates (Bank level, flow (if available)) 2.1% 2.7%Loss Rates (Loans, Stock) 2.2% 2.4%

LGDLGD (Country) 18.5% 18.5%LGD (Bank level) 33.6% 26.8%Duration of work-out process in country 1.5 1.5

Asset Correlations (IRB Model)Asset Correlation (based on Country-level PD) n.a.Asset Correlation (based on Bank-level PD) 17.1% 15.1%

Effective MaturityEffective Maturity (Bank level) n.a.

Impairments (Percent of credit exposure)Impairments (Country) n.a.Impairments (Bank) 1.4% 1.4%

Credit Exposure by Basel II Asset ClassCorporate, Institutions 64.8% 54.6%SME 18.1% 22.7%Retail 17.1% 22.7%

Default of Largest Counterparts (Loss)LGD Assumption 45.0% 45%Default of Largest Counterpart (Loss) 0Default of 2 Largest Counterparts (Loss) 0Default of 3 Largest Counterparts (Loss) 0Default of 10 Largest Counterparts (Loss) 0Default of Total Large Exposure (Loss) 0

Portfolio ConcentrationHHI of Portfolio 0.0363 0.0865

41% 58%HHI Calculation n adjustment factor 19%Total Granularity Adjustment (Percent of Portfolio Risk) 23.21% 34.18%Sector concentration (HHI, for information) 0.1236 0.0867

Market share by assets, bank-specific portions (adjust 100% 21.1%Group 1 or Group 2 Bank? Group 2

Total Risk-weighted Assets (Pillar 1 + Pillar 2) 28,945 5,666Pillar 1 28,925 5,666

HHI PD Factor (see Parameter sheet)

Pillar 2 20 0

Balance-Sheet Structure (Percent of total assets) Bank 1

Assets 100 100Cash and cash-like 2.3 2.6Interbank claims 12.2 0.0Net loans and leases 51.6 45.5Trading-related assets 10.4 28.4Investments and securities 16.1 16.6Other assets 7.4 6.9

Liabilities 94.7 94.3Customers Deposits 43.5 45.4Interbank funding 12.6 0.0Trading-related liabilities 15.2 14.7Debt 14.2 9.9Other liabilities 9.3 24.3

Equity 5.3 5.4Common and preferred stock 5.0 4.4Minority Interest 0.2 0.0Other reserves and equity 0.3 1.0

Risk-weighted Assets/Total Assets 53.9 47.9

Income Interest Income 5.9 2.6Interest expenses 4 0.9

Net interest income 1.8 1.7Trading income 0.2 0.4Other non-interest income 1.3 1.1

Non-interest income 1.5 1.5Total revenues 3.3 2.8Total expenses 2.1 2.6Operating Profit 1.2 0.2Income tax provision 0.2 0.0Net income 0.8 0.3

ROE 14.8 5.2ROA 0.8 0.3Leverage multiple (x) 18.5 17.4

Typical OECD Bank (FSB/BCBS Report, p. 48)

http://www.bis.org/publ/bcbs173.htm

Bank 2 Bank 3 Bank 4 Bank 5 Bank 6 Bank 72010 2010 2010 2010 2010 2010

12 12 12 12 12 121,000,000 1,000,000 1,000,000 1,000,000 1,000,000 1,000,000

USD USD USD USD USD USD1.00 1.00 1.00 1.00 1.00 1.00USA USA USA USA USA USATrue True True True True True

Private Savings Savings Cooperative Cooperative Public Bank

Bank 2 Bank 3 Bank 4 Bank 5 Bank 6 Bank 7

5,558 2,144 5,362 2,028 2,293 2,586

2,250 392 1,220 928 1,695 1,2912,250 365 1,227 928 1,728 1,306

55 31 0 0 0 0

364 81 270 35 276 00 10 0 0 108 208

2,112 1,471 3,737 913 168 6421,911 592 2,050 913 168 520

202 852 1,687 0 0 00 27 0 0 0 121

4,980 2,090 5,168 1,859 1,995 2,2912,279 492 1,642 636 1,735 1,834

0 0 748 86 582 00 0 0 0 103 00 0 896 550 1,153 0

447 1,314 2,280 1,034 0 0

579 54 164 169 298 254

415 23 0 0 152 0178 34 0 0 132 0

0 0 0 0 0 0


118 18 26 0 128 450 39 0 0 0 00 21 0 0 0 00 13 71 0 29 140 10 -1 0 -1 0

299 40 98 17 156 66167 29 101 0 78 26

121 4 7 0 33 15121 4 7 11 33 15

11 7 -10 17 44 25

Please do not delete either rows or columns that are not needed (as the results will otherwise be misleading; please change the setup to configure the sheet or hide columns instead)

11 7 -10 17 44 25-5 0 -2 0 11 016 7 -8 11 33 25

55.8% 72.0% 103.0% 0.0% 50.4% 39.4%5.2% 4.5% 2.1% 0.0% 7.6% 3.5%

60.6% 55.4% 73.6% 100.0% 17.5% 32.5%101% 125% 135% 69% 102% 142%

0.28% 0.33% -0.16% 0.53% 1.44% 0.95%2.38% 0.54% -0.05% 0.85% 3.37% 1.55%2.71% 13.06% -5.16% 6.34% 11.08% 9.73%


Std. Apr. Std. Apr. Std. Apr. Std. Apr. AIRB AIRBStd. Apr. Std. Apr. Std. Apr. Std. Apr. IMA IMAStd. Apr. Std. Apr. Std. Apr. Std. Apr. AMA AMA


565 54 164 169 298 432401 49 127 339301 34

5

3,856 391 806 353 2,293 2,5863,683 305 542 343 2,178 2,536

125 36 52 7 46 4048 45 185 3 69 11

0 5 28 0 0 0

14.7% 13.9% 20.3% 47.9% 13.0% 16.7%10.4% 12.6% 15.8% Please Enter Please Enter 13.1%

7.8% 8.7% n.a. n.a. n.a. n.a.21.7% 4.1% 5.6% 18.1% 17.2% 30.0%15.4% 3.7% 4.3% n.a. n.a. 23.5%


2010 2010 2010 2010 2010 20105.4% 5.4% 5.4% 5.4% 5.4% 5.4%

Please check Please check Please check Please check Please check Please check18.5% 18.5% 18.5% 18.5% 18.5% 18.5%

2,305 396 1,227 928 1,728 1,3062,250 365 1,227 928 1,728 1,306

55 31 0 0 0 0

125 36 52 7 46 40

202 879 1,687 0 0 121 2,632 1,338 2,959 935 1,741 1,452

53 138 256 195 356 2711,182 122 110 84 153 116

89 13 7 46 42 370 8 0 0 0 0

93 5 5 13 0 11121 4 7 0 33 15

84 2 4 0 0 2

3.97% 3.25% 0.59% 4.95% 2.50% 2.90%n.a. 2.03% n.a. n.a. n.a. n.a.

4.13% 1.21% 0.42% 1.42% 0.00% 0.86%5.40% 1.03% 0.60% n.a. 1.97% 1.18%3.74% 0.38% 0.34% n.a. n.a. 0.18%40.0% 40.0% 40.0% 40.0% 40.0% 40.0%

75% 75% 75% 75% 75% 75%

0.0100 0.0100 0.0100 0.0100 0.0100 0.0100


0 10 0 0 108 2080 4 0 0 0 10

1,911 588 2,050 913 168 5100 0 0 0 0 0

202 852 1,687 0 0 0

0 0 0 0 0 00 0 0 0 0 00 0 0 0 0 00 13 0 0 0 610 0 0 0 0 0

0 0 0 0 0 00 0 0 0 0 00 0 0 0 0 00 13 0 0 0 610 0 0 0 0 0

202 852 1,687 n.a. n.a. n.a.

0 0 0 0 0 00 0 0 0 0 00 0 0 0 0 00 0 0 0 0 00 0 0 0 0 00 0 0 0 0 00 0 0 0 0 0

n.a. n.a. n.a. n.a. n.a. n.a.

Interest Rate shock in the banking book (Effect on P&L, both through net interest income & equity)

-8 -1 -2 -1 -5 -511 1 2 1 7 8


3,071 1,663 3,502 928 1,695 1,412110 0 61 46 85 65

0 14 61 46 85 6555 31 122 93 170 129

188 79 61 46 85 6572 25 146 111 203 15571 0 73 56 102 7724 0 73 56 102 77

0 0 73 56 102 7759 16 146 111 203 155

0 0 73 56 102 7734 0 73 56 102 7723 0 73 56 102 77

224 137 73 56 102 771,015 84 110 84 153 116

429 39 0 0 0 00 0 0 0 0 00 0 0 0 0 0

202 852 1,687 0 0 00 289 469 0 0 121

564 98 126 0 0 0


5.1% 1.1% 0.6% 1.5% 1.9% 1.3%0.5% 0.5% 0.5% 1.0% 1.0% 1.0%1.0% 0.5% 1.0% 2.0% 2.0% 2.0%1.0% 3.3% 1.0% 2.0% 2.0% 2.0%5.4% 1.0% 0.6% 1.4% 2.0% 1.2%5.4% 1.0% 0.6% 1.4% 2.0% 1.2%5.4% 1.0% 0.6% 1.4% 2.0% 1.2%5.4% 1.0% 0.6% 1.4% 2.0% 1.2%5.4% 1.0% 0.6% 1.4% 2.0% 1.2%5.4% 1.0% 0.6% 1.4% 2.0% 1.2%5.4% 1.0% 0.6% 1.4% 2.0% 1.2%5.4% 1.0% 0.6% 1.4% 2.0% 1.2%5.4% 1.0% 0.6% 1.4% 2.0% 1.2%5.4% 1.0% 0.6% 1.4% 2.0% 1.2%5.4% 1.0% 0.6% 1.4% 2.0% 1.2%5.4% 1.0% 0.6% 1.4% 2.0% 1.2%5.4% 1.0% 0.6% 1.4% 2.0% 1.2%5.4% 1.0% 0.6% 1.4% 2.0% 1.2%5.4% 1.0% 0.6% 1.4% 2.0% 1.2%5.4% 1.0% 0.6% 1.4% 2.0% 1.2%5.4% 1.0% 0.6% 1.4% 2.0% 1.2%


5.1% 1.6% 0.6% 1.7% 2.0% 1.4%0.5% 0.2% 0.5% 1.0% 1.0% 1.0%1.0% 0.7% 1.0% 2.0% 2.0% 2.0%4.5% 4.6% 0.8% 3.5% 2.3% 2.5%5.4% 1.0% 0.6% 1.4% 2.0% 1.2%5.4% 1.0% 0.6% 1.4% 2.0% 1.2%5.4% 1.0% 0.6% 1.4% 2.0% 1.2%5.4% 1.0% 0.6% 1.4% 2.0% 1.2%

5.4% 1.0% 0.6% 1.4% 2.0% 1.2%


3.8% 1.0% 2.5% 3.0% 11.2% 4.8%8.7% 8.7% 1.6% 8.7% 8.7% 8.7%3.0% 4.5% 0.7% 3.0% 3.0% 3.0%3.1% 0.4% 3.6% 3.1% 3.1% 3.1%4.6% 0.2% 1.1% 4.6% 4.6% 4.6%4.6% 0.2% 1.1% 4.6% 4.6% 4.6%3.1% 0.7% 2.4% 3.1% 3.1% 3.1%

11.2% 11.2% 1.5% 11.2% 11.2% 11.2%11.2% 11.2% 1.5% 11.2% 11.2% 11.2%

3.1% 1.0% 1.2% 3.1% 3.1% 3.1%6.7% 0.5% 6.7% 6.7% 6.7% 6.7%

6.2% 6.2% 6.2% 6.2% 6.2% 6.2%


30.2% 40.1% 36.4% 73.4% 66.4% 18.6%20.0% 20.0% 20.0% 40.0% 40.0% 20.0%30.0% 30.0% 30.0% 60.0% 60.0% 30.0%30.0% 30.0% 30.0% 60.0% 60.0% 30.0%30.0% 30.0% 30.0% 60.0% 60.0% 30.0%23.3% 19.2% 13.5% 82.9% 71.8% 8.7%23.3% 19.2% 13.5% 82.9% 71.8% 8.7%23.3% 19.2% 13.5% 82.9% 71.8% 8.7%23.3% 19.2% 13.5% 82.9% 71.8% 8.7%30.0% 30.0% 30.0% 60.0% 60.0% 30.0%23.3% 19.2% 13.5% 82.9% 71.8% 8.7%23.3% 19.2% 13.5% 82.9% 71.8% 8.7%23.3% 17.3% 12.1% 82.9% 71.8% 8.7%23.3% 19.2% 13.5% 82.9% 71.8% 8.7%23.3% 29.8% 29.0% 82.9% 71.8% 8.7%30.0% 30.0% 30.0% 60.0% 60.0% 30.0%23.3% 19.2% 13.5% 82.9% 71.8% 8.7%80.0% 80.0% 80.0% 80.0% 80.0% 80.0%45.0% 45.0% 45.0% 45.0% 45.0% 45.0%45.0% 45.0% 45.0% 45.0% 45.0% 45.0%45.0% 45.0% 45.0% 45.0% 45.0% 45.0%


28.8% 31.2% 22.9% 74.8% 67.2% 16.6%20.0% 20.0% 20.0% 40.0% 40.0% 20.0%30.0% 30.0% 30.0% 60.0% 60.0% 30.0%30.0% 30.0% 30.0% 60.0% 60.0% 30.0%23.3% 19.2% 13.5% 82.9% 71.8% 8.7%46.6% 38.4% 26.9% 82.9% 71.8% 17.4%30.0% 30.0% 30.0% 60.0% 60.0% 30.0%80.0% 80.0% 80.0% 80.0% 80.0% 80.0%

30.0% 30.0% 30.0% 60.0% 60.0% 30.0%


41.3% 36.0% 41.0% 73.2% 68.4% 69.0%

83.0% 83.0% 83.0% 83.0% 83.0% 83.0%73.2% 73.2% 73.2% 73.2% 73.2% 73.2%31.4% 31.4% 31.4% 31.4% 31.4% 31.4%71.6% 71.6% 71.6% 71.6% 71.6% 71.6%71.6% 71.6% 71.6% 71.6% 71.6% 71.6%31.4% 31.4% 31.4% 31.4% 31.4% 31.4%68.4% 68.4% 68.4% 68.4% 68.4% 68.4%68.4% 68.4% 68.4% 68.4% 68.4% 68.4%31.4% 31.4% 31.4% 31.4% 31.4% 31.4%70.1% 70.1% 70.1% 70.1% 70.1% 70.1%70.0% 70.0% 70.0% 70.0% 70.0% 70.0%


2,305 396 1,227 928 1,728 1,306

16.4% 16.4%

17.2% 17.2%

27.3% 27.3%

25.3% 25.3%

5.3% 5.3%

8.5% 8.5%

1.8% 1.8% n.a. n.a. n.a. n.a.


94 27 39 5 34 30

18.4% 18.4%

23.0% 23.0%

28.5% 28.5%

21.0% 21.0%

6.5% 6.5%

2.5% 2.5%

0.9% 0.9% n.a. n.a. n.a. n.a.


202 879 1,687 - - 121

20.6% 20.6%

20.2% 20.2%

25.2% 25.2%

22.7% 22.7%

5.4% 5.4%

5.8% 5.8%

1.4% 1.4% n.a. n.a. n.a. n.a.


475 72 898 513 - - 27.4% 68.4% 27.4%53.7% 6.9% 53.7%

7.7% 6.0% 7.7%1.6% 6.4% 1.6%1.5% 6.0% 1.5%0.9% 2.1% 0.9%1.9% 1.1% 1.9%5.4% 3.0% 5.4%

97.9% 66.1% 97.9% n.a. n.a. n.a.

7.4% 4.8% 7.4% n.a. n.a. n.a.


2,601 1,329 2,946 933 1,729 1,442 2,507 1,303 2,907 928 1,695 1,412 2,305 396 1,227 928 1,728 1,306 202 879 1,687 - - 121 94 27 39 5 34 30

n.a. n.a. n.a. n.a. n.a. n.a.5.1% 1.6% 0.6% 1.7% 2.0% 1.4%4.1% 1.2% 0.4% 1.4% 0.0% 0.9%

18.5% 18.5% 18.5% 18.5% 18.5% 18.5%28.8% 31.2% 22.9% 74.8% 67.2% 16.6%

1.5 1.5 1.5 1.5 1.5 1.5

n.a. n.a. n.a. n.a. n.a. n.a.12.9% 17.4% 20.7% 17.1% 16.5% 18.0%


n.a. n.a. n.a. n.a. n.a. n.a.4.7% 0.3% 0.2% 0.0% 1.9% 1.1%

52.5% 78.3% 86.4% 70.2% 70.6% 73.1%2.0% 10.4% 8.7% 20.9% 20.6% 18.8%

45.4% 11.3% 4.9% 9.0% 8.8% 8.1%

45% 45% 45% 45% 45% 45%0 0 0 0 0 00 0 0 0 0 00 0 0 0 0 00 0 0 0 0 00 0 0 0 0 0

0.0100 0.0100 0.0100 0.0100 0.0100 0.0100118% 30% 6% 33% 39% 25%

29.43% 18.40% 15.35% 18.73% 19.52% 17.71%0.1792 0.2787 0.2430 0.0796 0.0796 0.0665

9.9% 3.8% 9.6% 3.6% 4.1% 4.6%Group 2 Group 2 Group 2 Group 2 Group 2 Group 2

3,856 411 806 353 2,293 2,5863,856 391 806 353 2,293 2,586

0 20 0 0


100 100 100 100 100 1006.5 3.8 5.0 1.7 12.0 0.00.0 0.0 0.0 0.0 0.0 0.0

40.5 18.3 22.8 45.8 73.9 49.938.0 67.4 69.7 45.0 7.3 20.10.0 1.7 0.0 0.0 4.7 12.7

15.0 8.8 2.5 7.5 2.0 17.3

89.6 97.5 96.4 91.7 87.0 88.641.0 22.9 30.6 31.4 75.7 70.93.1 3.4 8.4 0.0 0.0 0.02.9 9.2 3.5 0.0 0.0 0.0

19.7 19.0 9.8 9.3 10.5 10.222.8 42.9 44.0 0.0 0.8 7.5

10.4 2.5 3.1 8.3 13.0 9.810.7 2.7 0.0 0.0 12.4 0.00.0 0.0 0.0 0.0 0.0 0.0-0.3 -0.2 3.1 8.3 0.6 9.8

69.4 19.2 15.0 17.4 100.0 100.0

0.0 1.8 0.0 0.0 0.0 0.00.0 1.0 0.0 0.0 0.0 0.02.1 0.8 0.5 0.0 5.6 1.70.0 0.0 0.0 0.0 0.0 0.00.0 0.0 0.0 0.0 0.0 0.30.0 0.0 0.0 0.0 0.0 0.35.4 1.9 1.8 0.8 6.8 2.65.2 1.5 2.0 0.0 4.9 1.60.2 0.3 -0.2 0.8 1.9 1.0-0.1 0.0 0.0 0.0 0.5 0.00.3 0.3 -0.2 0.5 1.4 1.0

2.7 13.1 -5.2 6.3 11.1 9.70.3 0.3 -0.2 0.5 1.4 1.08.6 38.5 31.5 11.0 6.7 9.0

Bank 8 Bank 9 Bank 10 Bank 11 Bank 12 Bank 132010 2010 2010 2010 2010

12 12 12 12 121,000,000 1,000,000 1,000,000 1,000,000 1,000,000

USD USD USD USD USD1.00 1.00 1.00 1.00 1.00USA USA USA USA USATrue True True True True

Public Bank Foreign Other Private Private


9,331 878 2,576 6,756 4,729

4,982 593 1,524 3,074 2,1524,986 599 1,300 2,561 1,792

0 0 225 514 360

2,970 39 549 173 1210 0 0 64 45

691 155 463 2,976 2,083691 155 315 0 843

0 0 0 0 5020 0 148 1,055 738

8,783 816 2,254 6,368 4,4580 475 1,457 3,064 2,145

7,727 211 1,379 2,707 1,895465 36 190 357 250

0 263 1,056 604 423

34 4 231 0 1,192

559 62 323 367 257

400 60 44 0 0119 0 241 0 0

0 0 30 0 0


12 22 54 116 810 0 131 0 00 0 77 0 00 8 39 0 350 -3 3 0 13

16 32 132 189 1329 20 48 98 69

5 6 58 76 535 6 58 532 6 26 15 11

(as the results will otherwise be misleading; please change the setup to configure the sheet or hide columns instead)

2 2 26 0 140 1 0 0 02 1 26 19 13

57.6% 63.0% 36.5% 52.0% 52.0% n.a.0.2% 3.7% 3.5% 3.8% 3.8% n.a.

26.6% 30.0% 59.0% 38.5% 38.5% n.a.0% 80% 96% 100% 100% n.a.

0.02% 0.12% 1.00% 0.28% 0.28% n.a.0.07% 0.90% 3.25% 1.12% 1.42% n.a.0.39% 1.70% 8.00% 5.22% 5.22% n.a.


Std. Apr. AIRB Std. Apr.Std. Apr. IMA Std. Apr.Std. Apr. AMA Std. Apr.


559 62 454 445 311518 316 349 244

213140

4,656 564 2,250 3,238 2,2664,403 555 2,102 2,730 1,911

250 3 12 148 1043 5 136 360 2520 0 0 0 0

12.0% 11.0% 20.2% 13.7% 13.7% Please Enter11.1% Please Enter 14.0% 10.8% 10.8% Please Enter

n.a. n.a. n.a. n.a. 9.4% n.a.10.8% 10.4% 23.8% 9.4% 8.1% n.a.10.0% n.a. 16.6% 7.3% 6.4% n.a.


2010 2010 2010 2010 2010 05.4% 5.4% 5.4% 5.4% 5.4% Please check

Please check Please check Please check Please check Please check Please check18.5% 18.5% 18.5% 18.5% 18.5%

4,986 599 1,524 3,074 2,152 04,986 599 1,300 2,561 1,792 0

0 0 225 514 360 0

250 3 12 148 104

0 0 148 1,055 1,240 5,232 596 1,909 4,791 3,855

1,046 125 500 0 0448 53 318 0 0

58 8 86 203 1420 0 0 0 00 0 58 73 515 6 58 76 530 0 0 0 0

1.17% 1.30% 5.64% 6.59% 6.59% n.a.n.a. n.a. n.a. n.a. n.a. n.a.

0.00% 0.00% 3.78% 2.37% 2.37% n.a.0.09% 1.03% 3.78% 2.46% 2.46% n.a.

n.a. n.a. n.a. n.a. n.a. n.a.40.0% 40.0% 40.0% 40.0% 40.0%

75% 75% 75% 75% 75%

0.0100 0.0300 0.0100 0.0100 0.0100


0 0 0 0 4569 5 2 0 0

623 150 0 0 00 0 0 0 00 0 0 0 0

0 0 0 0 00 0 43 0 00 0 41 0 00 0 16 0 3690 0 9 0 0

0 0 130 0 00 0 0 0 00 0 125 0 00 0 0 0 3690 0 0 0 0

n.a. n.a. n.a. n.a. 502 n.a.

0 0 195 291 204 00 0 161 291 00 0 0 0 00 0 0 0 00 0 0 0 00 0 0 0 00 0 33 0 204


-9 -1 -5 -6 -513 2 6 8 6


4,982 593 2,823 1,055 4,127 0249 30 273 0 13249 30 0 0 0498 59 93 0 360249 30 0 0 332598 71 103 0 392299 36 0 0 0299 36 0 0 0299 36 0 0 0598 71 182 0 0299 36 0 0 0299 36 47 0 0299 36 0 0 0299 36 556 0 546448 53 318 0 521

0 0 0 0 3470 0 177 0 00 0 0 0 00 0 0 0 5020 0 148 1,055 7380 0 926 0 375


0.4% 1.2% 3.5% 2.5% 2.3% n.a.1.0% 1.0% 1.0% 0.5%2.0% 2.0% 2.0% 1.0%2.0% 2.0% 2.0% 1.0%0.1% 1.0% 3.8% 2.5%0.1% 1.0% 3.8% 2.5%0.1% 1.0% 3.8% 2.5%0.1% 1.0% 3.8% 2.5%0.1% 1.0% 3.8% 2.5%0.1% 1.0% 3.8% 2.5%0.1% 1.0% 3.8% 2.5%0.1% 1.0% 3.8% 2.5%0.1% 1.0% 3.8% 2.5%0.1% 1.0% 3.8% 2.5%0.1% 1.0% 3.8% 2.5%0.1% 1.0% 3.8% 2.5%0.1% 1.0% 3.8% 2.5%0.1% 1.0% 3.8% 2.5%0.1% 1.0% 3.8% 2.5%0.1% 1.0% 3.8% 2.5%0.1% 1.0% 3.8% 2.5%


0.4% 1.2% 3.5% 2.5% 2.5% n.a.1.0% 1.0% 1.0%2.0% 2.0% 2.0%1.6% 1.7% 3.8%0.1% 1.0% 3.8%0.1% 1.0% 3.8%0.1% 1.0% 3.8%0.1% 1.0% 3.8%

0.1% 1.0% 3.8%


4.6% 11.2% 6.6% 2.5% 2.5% n.a.8.7% 8.7% 8.7%3.0% 3.0% 3.0%3.1% 3.1% 3.1%4.6% 4.6% 4.6%4.6% 4.6% 4.6%3.1% 3.1% 3.1%

11.2% 11.2% 11.2%11.2% 11.2% 11.2%

3.1% 3.1% 3.1%6.7% 6.7% 6.7%

6.2% 6.2% 6.2%


22.6% 53.7% 65.0% n.a. 0.0% n.a.20.0% 40.0% 40.0%30.0% 60.0% 60.0%30.0% 60.0% 60.0%30.0% 60.0% 60.0%19.1% 54.5% 89.8%19.1% 54.5% 89.8%19.1% 54.5% 89.8%19.1% 54.5% 89.8%30.0% 45.0% 60.0%19.1% 54.5% 89.8%19.1% 54.5% 89.8%19.1% 54.5% 89.8%19.1% 54.5% 89.8%19.1% 54.5% 89.8%30.0% 45.0% 60.0%19.1% 54.5% 89.8%80.0% 80.0% 80.0%45.0% 45.0% 45.0%45.0% 45.0% 45.0%45.0% 45.0% 45.0%


25.7% 54.1% 70.8% n.a. n.a. n.a.20.0% 40.0% 40.0%30.0% 60.0% 60.0%30.0% 60.0% 60.0%19.1% 54.5% 89.8%38.2% 54.5% 89.8%30.0% 45.0% 60.0%80.0% 80.0% 80.0%

30.0% 45.0% 60.0%


71.6% 68.4% 70.1% n.a. n.a. n.a.

83.0% 83.0% 83.0%73.2% 73.2% 73.2%31.4% 31.4% 31.4%71.6% 71.6% 71.6%71.6% 71.6% 71.6%31.4% 31.4% 31.4%68.4% 68.4% 68.4%68.4% 68.4% 68.4%31.4% 31.4% 31.4%70.1% 70.1% 70.1%70.0% 70.0% 70.0%


4,986 599 1,524 3,074 2,152 -



188 3 9 111 78



- - 148 1,055 1,240



- - - - -




5,169 596 1,906 4,754 3,829 n.a. 4,982 593 1,897 4,643 3,752 - 4,986 599 1,524 3,074 2,152 n.a. - - 148 1,055 1,240 n.a. 188 3 9 111 78 n.a.

n.a. n.a. n.a. n.a. n.a. n.a.0.4% 1.2% 3.5% 2.5% 2.5% n.a.0.0% 0.0% 3.8% 2.4% 2.4% n.a.

18.5% 18.5% 18.5% 18.5% 18.5% n.a.25.7% 54.1% 70.8% n.a. n.a. n.a.

1.5 1.5 1.5 1.5 1.5 n.a.

n.a. n.a. n.a. n.a. n.a. n.a.21.7% 18.7% 14.1% 15.5% 15.5% n.a.


n.a. n.a. n.a. n.a. n.a. n.a.0.1% 1.0% 3.0% 1.6% 1.4% n.a.

71.1% 70.1% 57.1% 100.0% 100.0% 100.0%20.2% 20.9% 26.2% 0.0% 0.0% n.a.

8.7% 9.0% 16.7% 0.0% 0.0% n.a.

45% 45% 45% 45% 45% 45%0 0 0 0 0 00 0 0 0 0 00 0 0 0 0 00 0 0 0 0 00 0 0 0 0 0

0.0100 0.0300 0.0100 0.0100 0.01001% 19% 78% 52% 52%

14.70% 47.00% 24.39% 21.09% 21.09%0.0796 0.0796 0.1793 0.0000 0.0867

16.6% 1.6% 4.6% 12.1% 8.4% n.a.Group 2 Group 2 Group 2 Group 2 Group 2 Group 2

4,656 564 2,250 3,238 2,266 04,656 564 2,250 3,238 2,266 0

0 0 0 0 0 0


100 100 100 100 100 n.a.31.8 4.4 21.3 2.6 2.6 n.a.0.0 0.0 0.0 0.0 0.0 n.a.

53.4 67.6 59.2 45.5 45.5 n.a.7.4 17.7 12.2 0.0 28.4 n.a.0.0 0.0 5.7 16.6 16.6 n.a.7.4 10.4 1.5 0.0 6.9 n.a.

94.1 92.9 87.5 94.3 94.3 n.a.0.0 54.1 56.5 45.4 45.4 n.a.0.0 0.0 8.9 0.0 0.0 n.a.0.0 0.0 0.0 0.0 0.0 n.a.0.0 35.0 7.6 0.0 0.0 n.a.

93.8 3.4 14.4 48.9 23.7 n.a.

6.0 7.1 12.5 5.4 5.4 n.a.5.6 6.9 11.1 0.0 0.0 n.a.0.0 0.0 0.0 0.0 0.0 n.a.0.4 0.2 1.5 5.4 5.4 n.a.

49.9 64.2 87.3 47.9 47.9 n.a.

0.0 0.0 5.1 0.0 0.0 n.a.0.0 0.0 3.0 0.0 0.0 n.a.0.1 2.5 2.1 1.7 1.7 n.a.0.0 0.0 0.0 0.0 0.0 n.a.0.0 0.5 4.4 0.0 0.0 n.a.0.0 0.5 4.4 0.0 0.0 n.a.0.2 3.6 5.1 2.8 2.8 n.a.0.2 3.0 4.1 2.6 2.6 n.a.0.0 0.6 1.0 0.2 0.2 n.a.0.0 0.1 0.0 0.0 0.0 n.a.0.0 0.1 1.0 0.3 0.3 n.a.

0.4 1.7 8.0 5.2 5.2 n.a.0.0 0.1 1.0 0.3 0.3 n.a.

15.7 13.2 7.0 17.4 17.4 n.a.

Bank 14 Bank 15

Bank 14 Bank 15

Bank 14 Bank 15

n.a. n.a.n.a. n.a.n.a. n.a.n.a. n.a.n.a. n.a.n.a. n.a.n.a. n.a.

Bank 14 Bank 15

Bank 14 Bank 15

Please Enter Please EnterPlease Enter Please Enter

n.a. n.a.n.a. n.a.n.a. n.a.

Bank 14 Bank 15

0 0Please check Please checkPlease check Please check

0 00 0

0 0

n.a. n.a.n.a. n.a.n.a. n.a.n.a. n.a.n.a. n.a.

Bank 14 Bank 15

n.a. n.a.

0 0

n.a. n.a.

Bank 14 Bank 15

0 0

Bank 14 Bank 15

n.a. n.a.

Bank 14 Bank 15

n.a. n.a.

Bank 14 Bank 15

n.a. n.a.

Bank 14 Bank 15

n.a. n.a.

Bank 14 Bank 15

n.a. n.a.

Bank 14 Bank 15

n.a. n.a.

Bank 14 Bank 15

- -

n.a. n.a.

Bank 14 Bank 15

n.a. n.a.

Bank 14 Bank 15

n.a. n.a.

Bank 14 Bank 15

n.a. n.a.

n.a. n.a.

Bank 14 Bank 15

n.a. n.a. - -




n.a. n.a.n.a. n.a.

n.a. n.a.

n.a. n.a.n.a. n.a.

100.0% 100.0%n.a. n.a.n.a. n.a.

45% 45%0 00 00 00 00 0

n.a. n.a.Group 2 Group 2

0 00 0

0 0

Bank 14 Bank 15

n.a. n.a.n.a. n.a.n.a. n.a.n.a. n.a.n.a. n.a.n.a. n.a.n.a. n.a.

n.a. n.a.n.a. n.a.n.a. n.a.n.a. n.a.n.a. n.a.n.a. n.a.

n.a. n.a.n.a. n.a.n.a. n.a.n.a. n.a.

n.a. n.a.

n.a. n.a.n.a. n.a.n.a. n.a.n.a. n.a.n.a. n.a.n.a. n.a.n.a. n.a.n.a. n.a.n.a. n.a.n.a. n.a.n.a. n.a.


Descriptive Statistics/FSIs

(Figures in '000) TotalNumber of banks 15Percent of banks

Total Assets 56,063Percent of Total AssetsPercent of GDP 1441%

Total Equity 3,726Percent of Total Equity

Regulatory Capital 4,292Tier 1 Capital 2,954Common/Cor Tier 1 1,079

LeverageRegulatory Capital/Assets 7.7%Tier 1 Capital/Assets 5.3%Common or Core Tier 1/As 1.9%

Total Deposits 21,121

Risk-weighted Assets (RW 28,925Percent of Total

Capital Adequacy

Reg. Capital/RWAs (arithm 17.6%T1 Capital/RWAs (arithmet 12.1%Core Capital/RWAs (arithm 8.8%

Risk-weight (RW) 51.6%

Asset Quality/Type

Loss Rates 2.0%

Loans/Assets 47.3%Trading Assets/Assets 28.5%Investment Securities/Ass 6.2%Cash (and cash-like)/Asse 7.9%

Earning/Profitability

RoA (arithmetic average) 0.4%RoE (arithmetic average) 5.3%

Interest Margin (arithmeti 3.5%RoA Trading (arithmetic a 3.5%Cost/Income ratio (arithme 52.8%

Assumptions for the Stress Tests

On this sheet, all assumptions necessary to run scenario analysis are defined. Please go through all steps to choose the preferred setting.

Step 1: General Assumptions

Years 5

No

Under-year adjustment of Profit? No

Credit Risk

PD/LGD regime or losses? Losses/Provisions

Sector classification

Input data for RWA (sets level of RWAs):

Stress of RWA Method IRB

Use Scaling Factor? (set level of RWAs) Yes

Add RWAs for Name Concentration? No

Market Risk

RWA based on…

Other risks Include Pillar 2 RWAs? No

Profit

Simulate taxes? No

Portion of profit retained

Step 2: Set Hurdle Rates (i.e., thresholds to pass test)

GDP (Nominal figure, in same unit as bank-by-bank data)

Broad sectors (Basel II)

Regulatory Data (Default)

Regulatory Data (Default)

Capital Ratio

Total Capital RatioTier 1 Capital RatioCommon/Core Tier 1 Ratio

Additional buffer above Hurdle Rate (also for Basel III test)Total Capital Ratio 0%Tier 1 Capital Ratio 0%Common/Core Tier 1 Ratio 0%

Step 3: Choose scenario

Choice of Scenario Macro

If "Macro" scenario, which kind of model? Rule of Thumb which scenario Baseline

include credit loss model Yes

include LGD model No

include correlation model No

include credit growth model No

include profit model No

include model to determine net interest income No include model to determine net fee and commissi No include model to determine trading income No

Step 4: Choose other Assumptions

Credit Risk (PDs, LGDs, Asset Correlations, Credit Growth) (some elements are optional in case of macro scenario)

Option 1

Please choose one of three scenario types ("Macro", "Expert" or "Manual") on the Summary tab (the choice is made there to allow for sensitivity analysis). First time users are adviced to work with "Expert" scenarios first, to be specified below in step 4. If you choose an expert scenario, you could analyze the impact of an increase of default rates, for example, combined with a shock of FX rates, and keep all other elements fixed. You may also want to simulate the effect for 1 or 2 years only, in order to get familiar with the sensitivities. If you choose a macro scenario, then you have to enter satellite models for all financial parameters you want to link to macro conditions (on the pertinent sheet). Alternatively, you could work with the pre-defined rule of thumb. In the latter case, you should carefully review whether these general rules are applicable to your same of banks and/or country. Please make sure that the assumptions as such (the GDP path, which will also implicitly cover other elements of stress, such as changes in interest rates) as well as their translation into financial risk is appropriate and plaubible for the underlying case. Further information is given in the pertinent paper by Hardy and Schmieder. The manual scenario is meant to be used if one wants to run specifically tailored tests (e.g., bank-specific or sector-specific scenarios). Entering the scenarios and calibrating the shocks will take some time, but allows full flexibility.

Loss Assumption (Two options; 1) Simulate increase of Losses; 2) Simulate Rating downgrade

Option 1: Please choose whether to simulate "Relative" & "Absolute by" or t

Option 1: increase by x % ("Relative" & "Absolute by") or to x % ("Absolute t

Option 2: Simulate Rating Downgrade (provided that information has been e

LGD Assumption

increase by x % ("Relative" & "Absolute by") or to x % ("Absolute to")

Asset Correlation assumption

increase by x % ("Relative" & "Absolute by") or to x % ("Absolute to")

Default of Largest ExposuresCredit Growth by x percent

Market Risk

Increase of Market Risk RWA by x % in relative terms

Stress of FX Rates, simulate increase/decrease by x percent (Impacts P&L)

Interest Rate Risk Scenario (change in basis points, bps; Impacts P&L)

simulate increase/decrease by x basis points

Change of asset values (e.g., equity prices, etc.; Impact P&L)

Include Hold-to-Maturity Portfolios

Other Risks

Operational Risk RWAs by x % in relative termsIncrease of RWAs for other Pillar 1 & 2 risks by x % in relative terms

Evolution of Profit conditional on ScenarioUse?

Change of Net Interest Income (other than changes in i Yes

Change of Fee and Commission Income Yes

Change of Trading Income Yes

Change in Other Income (Default category)Change of Total Profit vs. Reporting data (system)

Step 5: Validation of Input Data

Use manual input to set stress level by asset class (or to also distinguish between banks)

Before you analyze the results please go through various robustness checks for the input data, accounting particularly for the following issues (but also others, depending on country-specific situation)

Check capitalization figures and Risk-weighted Assets

Input of figures for PD/LGDs or Losses

Total Credit Exposure included in tests

Outlier analysis/Peer review

Input of Satellite models

Use of scaling factor

Inputs for Interest Rate and FX shocks

Please check whether the setup is correctly done and whether you are fine with the format of the tests in terms of data input.




Comment Reporting Year Year 1 Year 2

Please choose 2010 2011 2012

3,890 4,007 4,127

Please choose 12

-9.6% -15.2%

Please Choose

Please choose (if figures entered)

25% 25% 25%

Please enter to the right 50% 50%


Please choose whether you want to compute capital needs relative to GDP or total assets; Please verify whether units are in line with bank

data

As chosen on setup sheet, please verify whether this is what you want

Please choose one of the three options (and make sure that you

have entered data)

Please choose (but note: Economic Capital only in case of Maximum

Setup - and if entered)

Please choose on Summary sheet

Please choose on Summary sheet (only applicable if you choose (Q)IRB approach to stress RWAs)

Please choose (but note: Economic Capital only in case of Maximum

Setup - and if entered)

Please choose and, if yes, please enter uniform rate to the right

(otherwise post-tax result will be used)

2010 2011 2012

12.0% 12.0% 12.0%8.0% 8.0% 8.0%6.0% 6.0% 6.0%


Type of country

2010 (Level) 2011 vs. 2010 2012 vs. 2011Baseline 3.0% 3.0% 2.0%

Please verify "translation" into financial parameters below (e.g., row 63 for the default rates, field 63f.)

Not applicable Please note: there is no separate rule of thumb for this element

Not applicable Please note: there is no separate rule of thumb for this elementNot applicable Please note: there is no separate rule of thumb for this elementNot applicable Please note: there is no separate rule of thumb for this element



2010 2011 2012

Not applicable (satellite model)

Please setPlease setPlease set

Please setPlease setPlease set

Please choose one of three scenario types ("Macro", "Expert" or "Manual") on the Summary tab (the choice is made there to allow for sensitivity analysis). First time users are adviced to work with "Expert" scenarios first, to be specified below in step 4. If you choose an expert scenario, you could analyze the impact of an increase of default rates, for example, combined with a shock of FX rates, and keep all other elements fixed. You may also want to simulate the effect for 1 or 2 years only, in order to get familiar with the sensitivities. If you choose a macro scenario, then you have to enter satellite models for all financial parameters you want to link to macro conditions (on the pertinent sheet). Alternatively, you could work with the pre-defined rule of thumb. In the latter case, you should carefully review whether these general rules are applicable to your same of banks and/or country. Please make sure that the assumptions as such (the GDP path, which will also implicitly cover other elements of stress, such as changes in interest rates) as well as their translation into financial risk is appropriate and plaubible for the underlying case. Further information is given in the pertinent paper by Hardy and Schmieder. The manual scenario is meant to be used if one wants to run specifically tailored tests (e.g., bank-specific or sector-specific scenarios). Entering the scenarios and calibrating the shocks will take some time, but allows full flexibility.

Please choose on Summary sheet

If rule of thumb please choose category of countries and define real GDP growth path on satellite sheet

Please choose and make sure that you have entered the GDP path



Please choose (if 'yes' all components will be simulated) and

make sure that you have entered the GDP path

Not applicable (satellite model) Relative Relative

Not applicable (satellite model) 10.0% 10.0%

Not applicable (satellite model) 0 4

Not applicable Relative Relative

Not applicable 10.0% 0.0%

Not applicable (satellite model) Relative Relative

Not applicable (satellite model) 0.0% 0.0%

NA NAPlease choose 3.0% 3.0%

Market Risk

2010 2011 2012Please set 3% 3%

-5% -5%

Please choose Not assigned

Please set 50 50

Please set -0.5% 0.0%

No No

Please choose Yes Yes

Other Risks

2010 2011 2012Please set 3.0% 3.0%

Please set (if applicable) 0.0% 0.0%

Evolution of Profit conditional on Scenario2010 2011 2012

Please set 0.0% 0.0%



Please set 0.0% 0.0%For information only


Please choose the LGD here

Please set (make sure to use the right sign; negative means that domestic currency weakens)

fall in all yield curves

(worldwide) by 200 bps

Please choose (This option allows to set different loss levels for different

asset classes rather than using uniform "haircuts" for all assets)


Please check/control for outliers

Please verify the scaling factor

Please make sure that the format chosen for the tests is adequate for

your purpose at hand.

Please be aware of the more limited tests you can run if you work with the minimum format, for example. While the tool facilitates a preferably comprehensive test you should still try to gather sector-specific credit data, if possible, with a view to avoid to overlook upcoming shocks. A simplified extended setup should thus be a key benchmark for all tests. The data input will take a couple of hours if you have become familiar with the tool and up to a full business day in the first instance. However, the time spent for the input should not been seen as "lost time", as this step if often very crucial to get important insights into the data, which is facilitated by the transparent format of Excel. In case of missing data you have to decide whether to use a more simplistic format or whether to make assumptions based on expert judgment (e.g., by using median/average figures for banks with missing values).

Please make sure that you work with the most adequate (precise, timely)

data for capitalization.Please review the data input here

All capitalzaation figures used for the tests (eg total capitalization and/or Tier 1 and/or Common Tier 1) need to be filled. Please apply expert judgment to determine how the split of RWAs into credit risk, market risk and operational risk looks like (if the split is not available), eg 80/8.5/12.5 percent for "traditional" universal banks.

Please make sure that you use the most meaningful figures available for

the testsPlease check figures here

First best: Use (forward-looking) PDs (Point-in-time figures), if possible provided by bank, otherwise country-specific data.

Second best: Use bank-specific flow figures for default rates (best), impairments/provisions (without general provisions), or other proxies for the default rates (eg NPLs, with appropriate adjustments to account for likelihood for default).

Third best: Use country-specific figures that are as meaningful as possible (this is first/second best approach for LGDs), Flow figures for default rates.Fourth best: Use stock figures, adjusted for expert judgment.

Please make sure that all credit exposure is included in tests

Please verify based on this information.The tool facilitates including all credit exposure into the tests (including off-balance sheet items, exposure subject to counterparty credit risk); Please use expert judgment for the credit parameters if needed, as including all exposure is key to avoid missing part of the picture.

Please review the data input here

Please verify the information as much as possible before running the tests. Please look at bank-specific data (eg for formatting issues that might have triggered some issues (point/comma), the treatment of missing values), peer review plausibility (look at peer review at bottom of input_banks sheet and descriptive statistics), structural issues with some banks (non-recurrent losses/profits etc.)). It might be worthwhile running first tests and, in the course of the exercise, trace back the input data.

Please check/control nput of satellite models

Please review the data input hereIf you use satellite models, particulary if you add bank-specific models etc., you have to make sure that the input is correctly taken up in the calculation. Please make yourself sufficiently familiar with the tool to ensure that the computation is done as envisaged.

Please check figures hereIf you seek to make use of the quasi-IRB methodology, please carefully verify whether the scaling factor used to compute QIRB is adequate.

Please verify inputs for Interest Rate and FX shocks

Please check figures here

Please make sure to use of bank-specific tests to simulate Interest Rate and FX shocks (or use other meaningful concepts otherwise). Please be aware that the tools applies linear shocks accordingly. The scenarios for the Interest Rate shocks are to be definded on the Parameter tab. Please note the following: As unhedged market risks can be a specific threat for smaller banks, in particular, sufficient preparation is needed to gather the input data.




Year 3 Year 4 Year 5

2013 2014 2015

4,251 4,379 4,510

-20.0% -12.0% -3.4% Cumulative Change compared to reporting period

25% 25% 25%

50% 50% 50%


2013 2014 2015

12.0% 12.0% 12.0%Basel III

Please note: If Basel III simulation is chosen, hurdle rates are as scheduled by the Basel Committee8.0% 8.0% 8.0%6.0% 6.0% 6.0%


Emerging Country

2013 vs. 2012 2014 vs. 2013 2015 vs. 20142.0% -2.0% -2.0% Please make sure that you have entered the GDP paths for each scenario on Input_Satellite sheet

Please verify "translation" into financial parameters below (e.g., row 63 for the default rates, field 63f.)

Please note: there is no separate rule of thumb for this element

Please note: there is no separate rule of thumb for this elementPlease note: there is no separate rule of thumb for this elementPlease note: there is no separate rule of thumb for this element



2013 2014 2015 2010 2011

Hurdle rates based on…

Please choose one of three scenario types ("Macro", "Expert" or "Manual") on the Summary tab (the choice is made there to allow for sensitivity analysis). First time users are adviced to work with "Expert" scenarios first, to be specified below in step 4. If you choose an expert scenario, you could analyze the impact of an increase of default rates, for example, combined with a shock of FX rates, and keep all other elements fixed. You may also want to simulate the effect for 1 or 2 years only, in order to get familiar with the sensitivities. If you choose a macro scenario, then you have to enter satellite models for all financial parameters you want to link to macro conditions (on the pertinent sheet). Alternatively, you could work with the pre-defined rule of thumb. In the latter case, you should carefully review whether these general rules are applicable to your same of banks and/or country. Please make sure that the assumptions as such (the GDP path, which will also implicitly cover other elements of stress, such as changes in interest rates) as well as their translation into financial risk is appropriate and plaubible for the underlying case. Further information is given in the pertinent paper by Hardy and Schmieder. The manual scenario is meant to be used if one wants to run specifically tailored tests (e.g.,

Relative Relative Relative

2.3% 1.8%10.0% 10.0% 10.0%

5 7 8

Relative Relative Relative 100.0% 100.0%

0.0% 0.0% 0.0%

Relative Relative Relative 17.0% 17.0%

0.0% 0.0% 0.0%

NA NA NA3.0% 3.0% 3.0% 0.0% 3.0%

Market Risk

2013 2014 2015 2010 20113% 3% 3% 0.0% 3.0%

-5% -5% -5% 0.0% -5.0%

Not assigned Not assigned Not assigned

50 50 50 0 50.0

-0.5% -0.5% -0.5% 0.0% -0.5%

No No No

Yes Yes Yes

Other Risks

2013 2014 2015 2010 20113.0% 3.0% 3.0% 0% 3.0%0.0% 0.0% 0.0% 0% 0.0%

Evolution of Profit conditional on Scenario2013 2014 2015 2010 20110.0% 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% -178.9%



Please be aware of the more limited tests you can run if you work with the minimum format, for example. While the tool facilitates a preferably comprehensive test you should still try to gather sector-specific credit data, if possible, with a view to avoid to overlook upcoming shocks. A simplified extended setup should thus be a key benchmark for all tests. The data input will take a couple of hours if you have become familiar with the tool and up to a full business day in the first instance. However, the time spent for the input should not been seen as "lost time", as this step if often very crucial to get important insights into the data, which is facilitated by the transparent format of Excel. In case of missing data you have to decide whether to use a more simplistic format or whether to make assumptions based on expert judgment (e.g., by using median/average figures for banks with missing values).All capitalzaation figures used for the tests (eg total capitalization and/or Tier 1 and/or Common Tier 1) need to be filled. Please apply expert judgment to determine how the split of RWAs into credit risk, market risk and operational risk looks like (if the split is not available), eg 80/8.5/12.5 percent for "traditional" universal banks.

: Use (forward-looking) PDs (Point-in-time figures), if possible provided by bank, otherwise country-specific data.

Use bank-specific flow figures for default rates (best), impairments/provisions (without general provisions), or other proxies for the default rates (eg NPLs, with appropriate adjustments to account for likelihood for default).

: Use country-specific figures that are as meaningful as possible (this is first/second best approach for LGDs), Flow figures for default rates.

Use stock figures, adjusted for expert judgment.

The tool facilitates including all credit exposure into the tests (including off-balance sheet items, exposure subject to counterparty credit risk); Please use expert judgment for the credit parameters if needed, as including all exposure is key to avoid missing part of the picture.

Please verify the information as much as possible before running the tests. Please look at bank-specific data (eg for formatting issues that might have triggered some issues (point/comma), the treatment of missing values), peer review plausibility (look at peer review at bottom of input_banks sheet and descriptive statistics), structural issues with some banks (non-recurrent losses/profits etc.)). It might be worthwhile running first tests and, in the course of the exercise,

If you use satellite models, particulary if you add bank-specific models etc., you have to make sure that the input is correctly taken up in the calculation. Please make yourself sufficiently familiar with the tool to ensure that the computation is done as envisaged.

If you seek to make use of the quasi-IRB methodology, please carefully verify whether the scaling factor used to compute QIRB is adequate.

Please make sure to use of bank-specific tests to simulate Interest Rate and FX shocks (or use other meaningful concepts otherwise). Please be aware that the tools applies linear shocks accordingly. The scenarios for the Interest Rate shocks are to be definded on the Parameter tab. Please note the following: As unhedged market risks can be a specific threat for smaller banks, in particular, sufficient preparation is needed to gather the input data.

Cumulative Change compared to reporting period

Please note: If Basel III simulation is chosen, hurdle rates are as scheduled by the Basel Committee

Please make sure that you have entered the GDP paths for each scenario on Input_Satellite sheet

2012 2013 2014 2015

1.5% 1.3% 1.7% 2.1%

100.0% 100.0% 100.0% 100.0% Level in respective year; in case "losses" are chosen in setup, LGD is set to 100 percent;

17.0% 17.0% 17.0% 17.0% Level in respective year;

3.0% 3.0% 3.0% 3.0% Relative change y-o-y

2012 2013 2014 20156.1% 9.3% 12.6% 15.9%

-5.0% -5.0% -5.0% -5.0% Change of FX rate, assumption is that net open positions remain the same

100.0 150.0 200.0 250.0 Cumulative change compared to reporting period

-0.5% -1.0% -1.5% -2.0% Cumulative change compared to reporting period

2012 2013 2014 20156.1% 9.3% 12.6% 15.9% Cumulative change compared to reporting period0.0% 0.0% 0.0% 0.0% Cumulative change compared to reporting period

2012 2013 2014 20150.0% 0.0% 0.0% 0.0% Change compared to previous period

0.0% 0.0% 0.0% 0.0% Change compared to previous period

0.0% 0.0% 0.0% 0.0% Change compared to previous period

0.0% 0.0% 0.0% 0.0% Change compared to previous period-98.2% -104.3% -164.9% -253.2% Cumulative change compared to reporting period

Level in respective year; in case "losses" are chosen in setup, the level of credit losses is displayed rather than default rates/PDs; Please note: figure also takes into account changes of performing exposure.

Level in respective year; in case "losses" are chosen in setup, LGD is set to 100 percent;

Change of FX rate, assumption is that net open positions remain the same

Cumulative change compared to reporting period


Cumulative change compared to reporting periodCumulative change compared to reporting period


Level in respective year; in case "losses" are chosen in setup, the level of credit losses is displayed rather than default rates/PDs; Please note: figure also takes into account changes of performing exposure.

Level in respective year; in case "losses" are chosen in setup, the level of credit losses is displayed rather than default rates/PDs; Please note: figure also takes into

Calculation of the Risk Parameters

This sheet calculates the stress test parameters; In principle, stress testers do not have to go through the calculations unless they want to enter assumptions manually.

The reported figures used to define the scenarios are displayed below (please click to navigate).

The rating migration scenario is calculated separately and is directly fed into the "Calc_Y[x]_BxB" sheets.

Reported Figures Please note: The reported figures are used as reference figures for the scenario definition (except in case of manual input)

1 Credit Risk

1.1 Credit Losses, Level Total Bank 1 Bank 2

Average 2.3% 2.7% 5.1%Sovereign 0.9% 0.5% 0.5%Non-sovereign public sector entities 1.9% 1.0% 1.0%Banks/Institutions 3.1% 3.8% 4.5%Corporates 1.6% 2.5% 5.4%SME (please avoid double counting with cor 1.8% 2.5% 5.4%Retail 2.9% 2.5% 5.4%Residential mortgages (please avoid double c 0.8% 2.5% 5.4%Securitization n.a. n.a. n.a.Derivatives n.a. n.a. n.a.Off-balance sheet credit 3.4% 2.5% 5.4%

Total Bank 1 Bank 2

Average 100.0% 100.0% 100.0%Sovereign 100.0% 100.0% 100.0%Non-sovereign public sector entities 100.0% 100.0% 100.0%Banks/Institutions 100.0% 100.0% 100.0%Corporates 100.0% 100.0% 100.0%

The risk parameters used for the stress tests are displayed below. All parameters are defined on the assumption sheet, except in the case of manual input of the scenarios (see below). Please click on the specific years to navigate.

Scenarios can also be defined manually, which is needed if one seeks to define bank-specific assumptions. Please enter them by navigating to the respective year. The manual scenario can be selected on the Assumption sheet.

1.2 Loss Given Default (LGD), Level

SME (please avoid double counting with cor 100.0% 100.0% 100.0%Retail 100.0% 100.0% 100.0%Residential mortgages (please avoid double c 100.0% 100.0% 100.0%Securitization n.a. 100.0% 100.0%Derivatives n.a. 100.0% 100.0%Off-balance sheet credit 100.0% 100.0% 100.0%

100.0% 100.0%100.0% 100.0%100.0% 100.0%100.0% 100.0%100.0% 100.0%100.0% 100.0%100.0% 100.0%100.0% 100.0%100.0% 100.0%100.0% 100.0%

1.3 Asset Correlations Total Bank 1 Bank 2

Relative Change in Correlations 0.0% 0.0% 0.0%Resulting Level of Correlations 17.0% 15.1% 12.9%

2 Market Risk

2.1 Change of Risk-Weighted Asset Total Bank 1 Bank 2

Relative change of Risk-weighted Assets 0.0% 0.0% 0.0%

Total Bank 1 Bank 2

Average change in FX rate, basis points 0.0% 0.0% n.a.USD 0.0% 0.0% 0.0%EUR 0.0% 0.0% 0.0%JPY n.a. 0.0% 0.0%GBP n.a. 0.0% 0.0%CHF 0.0% 0.0% 0.0%Other 0.0% 0.0% 0.0%Not assigned n.a. 0.0% 0.0%Not assigned n.a. 0.0% 0.0%Not assigned n.a. 0.0% 0.0%Not assigned n.a. 0.0% 0.0%

2.3 Interest Rate Risk Total Bank 1 Bank 2Reference scenario:fall in all yield curves (worldwide) by 200 bps 0 0 0

2.4 Asset Price Risk Total Bank 1 Bank 2

Change in Asset Value (average) (%) 0.0% 0.0% 0.0%

2.2 Foreign Exchange Rate Risk (FX Risk)

Trading Portfolio (=Default Category if no IF Total Bank 1 Bank 2Sovereign Bonds 0.0% 0.0% 0.0%Other Bonds 0.0% 0.0% 0.0%Equity 0.0% 0.0% 0.0%Structured n.a. 0.0% 0.0%Other 0.0% 0.0% 0.0%Not assigned 0.0% 0.0% 0.0%Not assigned n.a. 0.0% 0.0%Not assigned n.a. 0.0% 0.0%Not assigned n.a. 0.0% 0.0%Not assigned n.a. 0.0% 0.0%

Available for Sale Portfolio Total Bank 1 Bank 2Sovereign Bonds n.a. 0.0% 0.0%Other Bonds 0.0% 0.0% 0.0%Equity 0.0% 0.0% 0.0%Structured 0.0% 0.0% 0.0%Other 0.0% 0.0% 0.0%Not assigned n.a. 0.0% 0.0%Not assigned n.a. 0.0% 0.0%Not assigned n.a. 0.0% 0.0%Not assigned n.a. 0.0% 0.0%Not assigned n.a. 0.0% 0.0%

Hold-to-Maturity Portfolio Total Bank 1 Bank 2Sovereign Bonds 0.0% 0.0% 0.0%Other Bonds n.a. 0.0% 0.0%Equity 0.0% 0.0% 0.0%Structured 0.0% 0.0% 0.0%Other n.a. 0.0% 0.0%Not assigned n.a. 0.0% 0.0%Not assigned n.a. 0.0% 0.0%Not assigned n.a. 0.0% 0.0%Not assigned n.a. 0.0% 0.0%Not assigned n.a. 0.0% 0.0%

Total Assets in Trading book & AfS Portfolio Total Bank 1 Bank 2Sovereign Bonds 482 112 0Other Bonds 384 251 0Equity 8,810 1,855 1,911Structured 1,382 923 0Other 4,004 1,254 202Not assigned 136 0 0Not assigned n.a. 0 0Not assigned n.a. 0 0Not assigned n.a. 0 0Not assigned n.a. 0 0

3 Operational Risk Total Bank 1 Bank 2


4 Pillar II Risk-weighted Assets Total Bank 1 Bank 2


Total Bank 1 Bank 2

0.0% 0.0% 0.0%

6 Credit Growth (%) Total Bank 1 Bank 2

Change in total credit volume, year-on-ye 0.0% 0.0% 0.0%

Scenario for Year 1 (uses manual input, if applicable)

1 Credit Risk Macro

1.1 Exposure at Default (Performing before stress in year 1)

Total Bank 1 Bank 2Total Credit Exposure included in Test 35,893 9,387 2,601 Portion of credit exposure subject to stress t 97.5% 98.1% 100.0%

Total Bank 1 Bank 2

Total 35,893 9,387 2,601Sovereign 953 33 110Non-sovereign public sector entities 549 0 0Banks/Institutions 3,781 1,729 243Corporates 9,445 2,345 449SME (please avoid double counting with cor 5,111 2,171 53Retail 4,757 2,171 1,182Residential mortgages (please avoid double c 62 0 0Securitization n.a. n.a. n.a.Derivatives n.a. n.a. n.a.Off-balance sheet credit 2,652 938 564

1.2 Credit Losses, Level Relative

Total Bank 1 Bank 2

Total 1.8% 2.1% 4.0%Sovereign 0.7% 0.4% 0.4%Non-sovereign public sector entities 1.5% 0.8% 0.8%

5 Changes in Bank Profits (ex-impairments and valuation losses/gainsns)

Net interest income, net fee and commission income, net trading income and other categories of income

Scenario chosen

Loss assumption

Banks/Institutions 2.4% 3.0% 3.6%Corporates 1.3% 1.9% 4.3%SME (please avoid double counting with cor 1.4% 1.9% 4.3%Retail 2.3% 1.9% 4.3%Residential mortgages (please avoid double c 0.6% 1.9% 4.3%Securitization n.a. n.a. n.a.Derivatives n.a. n.a. n.a.Off-balance sheet credit 2.7% 1.9% 4.3%

1.3 Loss Given Default (LGD), Level Relative

LGD is set to 100% due to setting! Total Bank 1 Bank 2

Total 100.0% 100.0% 100.0%Sovereign 100.0% 100.0% 100.0%Non-sovereign public sector entities 100.0% 100.0% 100.0%Banks/Institutions 100.0% 100.0% 100.0%Corporates 100.0% 100.0% 100.0%SME (please avoid double counting with cor 100.0% 100.0% 100.0%Retail 100.0% 100.0% 100.0%Residential mortgages (please avoid double c 100.0% 100.0% 100.0%Securitization n.a. n.a. n.a.Derivatives n.a. n.a. n.a.Off-balance sheet credit 100.0% 100.0% 100.0%

100.0% 100.0%100.0% 100.0%100.0% 100.0%100.0% 100.0%100.0% 100.0%100.0% 100.0%100.0% 100.0%100.0% 100.0%100.0% 100.0%100.0% 100.0%

1.4 Asset Correlations Relative

Total Bank 1 Bank 2

Relative change of Asset Correlations 0.0% 0.0% 0.0%Resulting Level of Correlations 17.0% 15.1% 12.9%

1.5 Change of Risk-weighted Assets (RWAs) compared to before stress

Total Bank 1 Bank 2

LGD assumption

Correlation assumption

Total -9.6% -11.0% -14.9%Sovereign -8.0% -7.4% -7.4%Non-sovereign public sector entities -9.6% -8.2% -8.2%Banks/Institutions -11.5% -12.8% -14.0%Corporates -9.2% -10.6% -15.4%SME (please avoid double counting with cor -9.5% -10.6% -15.4%Retail -11.3% -10.6% -15.4%Residential mortgages (please avoid double c -7.8% -10.6% -15.4%Securitization n.a. n.a. n.a.Derivatives n.a. n.a. n.a.Off-balance sheet credit -12.1% -10.6% -15.4%

n.a. n.a.n.a. n.a.n.a. n.a.n.a. n.a.n.a. n.a.n.a. n.a.n.a. n.a.n.a. n.a.n.a. n.a.n.a. n.a.

2 Market Risk

2.1 Change of Risk-Weighted Assets (RWAs) Relative

Total Bank 1 Bank 2


2.2 Foreign Exchange Rate Risk (FX Risk) Scenario Expert

Total Bank 1 Bank 2

Average change in FX rates, percent -5.0% -5.0% n.a.USD -5.0% -5.0% -5.0%EUR -5.0% -5.0% -5.0%JPY n.a. -5.0% -5.0%GBP n.a. -5.0% -5.0%CHF -5.0% -5.0% -5.0%Other -5.0% -5.0% -5.0%Not assigned n.a. -5.0% -5.0%Not assigned n.a. -5.0% -5.0%Not assigned n.a. -5.0% -5.0%Not assigned n.a. -5.0% -5.0%

2.3 Interest Rate Risk Change 50

Total Bank 1 Bank 2Reference scenario:fall in all yield curves (worldwide) by 200 bps 50 50 50Average Resulting loss (-) or profit (+) 0 -3 -2

MR RWA assumption

2.4 Asset Price Risk Expert

Total Bank 1 Bank 2

Change in Asset Value (average) (%) -0.5% -0.5% -0.5%

Trading Portfolio (=Default Category if no IF Total Bank 1 Bank 2Sovereign Bonds -0.5% -0.5% -0.5%Other Bonds -0.5% -0.5% -0.5%Equity -0.5% -0.5% -0.5%Structured n.a. -0.5% -0.5%Other -0.5% -0.5% -0.5%Not assigned -0.5% -0.5% -0.5%Not assigned n.a. -0.5% -0.5%Not assigned n.a. -0.5% -0.5%Not assigned n.a. -0.5% -0.5%Not assigned n.a. -0.5% -0.5%

Available for Sale Portfolio Total Bank 1 Bank 2Sovereign Bonds n.a. -0.5% -0.5%Other Bonds -0.5% -0.5% -0.5%Equity -0.5% -0.5% -0.5%Structured -0.5% -0.5% -0.5%Other -0.5% -0.5% -0.5%Not assigned n.a. -0.5% -0.5%Not assigned n.a. -0.5% -0.5%Not assigned n.a. -0.5% -0.5%Not assigned n.a. -0.5% -0.5%Not assigned n.a. -0.5% -0.5%

Hold-to-Maturity Portfolio Total Bank 1 Bank 2Sovereign Bonds -0.5% -0.5% -0.5%Other Bonds n.a. -0.5% -0.5%Equity -0.5% -0.5% -0.5%Structured -0.5% -0.5% -0.5%Other n.a. -0.5% -0.5%Not assigned n.a. -0.5% -0.5%Not assigned n.a. -0.5% -0.5%Not assigned n.a. -0.5% -0.5%Not assigned n.a. -0.5% -0.5%Not assigned n.a. -0.5% -0.5%

3 Operational Risk Relative

Total Bank 1 Bank 2


4 Pillar II Risk-weighted Assets Relative

Total Bank 1 Bank 2


Scenario chosen

OR RWA assumption

P2 RWA assumption

Macro

Total Bank 1 Bank 2

Net interest Income 0.0% 0.0% 0.0%Net Fee and Commission Income 0.0% 0.0% 0.0%Net Trading Income 0.0% 0.0% 0.0%Default categories for income 0.0% 0.0% 0.0%

6 Credit Growth (%) Expert

Total Bank 1 Bank 2


Manual Scenario Entry for Year 1


1 Credit Risk Macro

1.1 Exposure at Default (Performing before stress

Total Bank 1 Bank 2




5 Changes in Bank Profits (ex-impairments and valuation losses/gains

Scenario chosen

Scenario chosen

Scenario chosen

Loss assumption

Total Bank 1 Bank 2





100.0% 100.0%100.0% 100.0%100.0% 100.0%100.0% 100.0%100.0% 100.0%100.0% 100.0%100.0% 100.0%100.0% 100.0%100.0% 100.0%100.0% 100.0%


Total Bank 1 Bank 2

LGD assumption



1.5 Change of Risk-weighted Assets (RWAs)

Total Bank 1 Bank 2



2 Market Risk


Total Bank 1 Bank 2



Total Bank 1 Bank 2

Average change in FX rates, percent -5.0% -5.0% n.a.USD -5.0% -5.0% -5.0%EUR -5.0% -5.0% -5.0%JPY n.a. -5.0% -5.0%GBP n.a. -5.0% -5.0%CHF -5.0% -5.0% -5.0%Other -5.0% -5.0% -5.0%Not assigned n.a. -5.0% -5.0%Not assigned n.a. -5.0% -5.0%Not assigned n.a. -5.0% -5.0%Not assigned n.a. -5.0% -5.0%


MR RWA assumption

Total Bank 1 Bank 2Reference scenario:Not assigned 50 50 50Average Resulting loss (-) or profit (+) #DIV/0! #DIV/0! #DIV/0!


Total Bank 1 Bank 2

Change in Asset Value (average) (%) 0.0% 0.0% 0.0%

Trading Portfolio (=Default Category if no IF Total Bank 1 Bank 2Sovereign Bonds 0.0% 0.0% 0.0%Other Bonds 0.0% 0.0% 0.0%Equity 0.0% 0.0% 0.0%Structured n.a. 0.0% 0.0%Other 0.0% 0.0% 0.0%Not assigned 0.0% 0.0% 0.0%Not assigned n.a. 0.0% 0.0%Not assigned n.a. 0.0% 0.0%Not assigned n.a. 0.0% 0.0%Not assigned n.a. 0.0% 0.0%

Available for Sale Portfolio Total Bank 1 Bank 2Sovereign Bonds n.a. 0.0% 0.0%Other Bonds 0.0% 0.0% 0.0%Equity 0.0% 0.0% 0.0%Structured 0.0% 0.0% 0.0%Other 0.0% 0.0% 0.0%Not assigned n.a. 0.0% 0.0%Not assigned n.a. 0.0% 0.0%Not assigned n.a. 0.0% 0.0%Not assigned n.a. 0.0% 0.0%Not assigned n.a. 0.0% 0.0%

Hold-to-Maturity Portfolio Total Bank 1 Bank 2Sovereign Bonds 0.0% 0.0% 0.0%Other Bonds n.a. 0.0% 0.0%Equity 0.0% 0.0% 0.0%Structured 0.0% 0.0% 0.0%Other n.a. 0.0% 0.0%Not assigned n.a. 0.0% 0.0%Not assigned n.a. 0.0% 0.0%Not assigned n.a. 0.0% 0.0%Not assigned n.a. 0.0% 0.0%Not assigned n.a. 0.0% 0.0%


Total Bank 1 Bank 2



Scenario chosen

OR RWA assumption

P2 RWA assumption

Total Bank 1 Bank 2


Macro

Total Bank 1 Bank 2



Total Bank 1 Bank 2




1 Credit Risk Scenario chos Macro

Total Bank 1 Bank 2


n.a. n.a.n.a. n.a.n.a. n.a.n.a. n.a.n.a. n.a.n.a. n.a.n.a. n.a.n.a. n.a.n.a. n.a.


Scenario chosen

Scenario chosen

1.1 Exposure at Default (Performing before stress in year 3)

n.a. n.a.


Total Bank 1 Bank 2





100.0% 100.0%100.0% 100.0%100.0% 100.0%100.0% 100.0%100.0% 100.0%100.0% 100.0%100.0% 100.0%100.0% 100.0%100.0% 100.0%100.0% 100.0%

Loss assumption

LGD assumption


Total Bank 1 Bank 2



Total Bank 1 Bank 2



2 Market Risk


Total Bank 1 Bank 2



Total Bank 1 Bank 2

Average change in FX rates, percent -5.0% -5.0% n.a.USD -5.0% -5.0% -5.0%EUR -5.0% -5.0% -5.0%JPY n.a. -5.0% -5.0%GBP n.a. -5.0% -5.0%CHF -5.0% -5.0% -5.0%Other -5.0% -5.0% -5.0%Not assigned n.a. -5.0% -5.0%Not assigned n.a. -5.0% -5.0%


MR RWA assumption

Not assigned n.a. -5.0% -5.0%Not assigned n.a. -5.0% -5.0%




Total Bank 1 Bank 2






Total Bank 1 Bank 2

Scenario chosen

OR RWA assumption



Total Bank 1 Bank 2


Macro

Total Bank 1 Bank 2



Total Bank 1 Bank 2




1 Credit Risk Macro


Total Bank 1 Bank 2

Total 37,427 9,699 2,555Sovereign 1,022 36 119Non-sovereign public sector entities 577 0 0Banks/Institutions 3,879 1,745 241Corporates 9,982 2,435 438SME (please avoid double counting with cor 5,378 2,254 52Retail 4,896 2,254 1,153Residential mortgages (please avoid double c 66 0 0Securitization n.a. n.a. n.a.Derivatives n.a. n.a. n.a.Off-balance sheet credit 2,701 973 551

n.a. n.a.n.a. n.a.n.a. n.a.n.a. n.a.

P2 RWA assumption


Scenario chosen

Scenario chosen

Scenario chosen

n.a. n.a.n.a. n.a.n.a. n.a.n.a. n.a.n.a. n.a.n.a. n.a.


Total Bank 1 Bank 2





100.0% 100.0%100.0% 100.0%100.0% 100.0%100.0% 100.0%100.0% 100.0%100.0% 100.0%100.0% 100.0%

Loss assumption

LGD assumption

100.0% 100.0%100.0% 100.0%100.0% 100.0%


Total Bank 1 Bank 2



Total Bank 1 Bank 2



2 Market Risk


Total Bank 1 Bank 2



Total Bank 1 Bank 2

Average change in FX rates, percent -5.0% -5.0% n.a.USD -5.0% -5.0% -5.0%EUR -5.0% -5.0% -5.0%JPY n.a. -5.0% -5.0%GBP n.a. -5.0% -5.0%


MR RWA assumption

CHF -5.0% -5.0% -5.0%Other -5.0% -5.0% -5.0%Not assigned n.a. -5.0% -5.0%Not assigned n.a. -5.0% -5.0%Not assigned n.a. -5.0% -5.0%Not assigned n.a. -5.0% -5.0%




Total Bank 1 Bank 2





Scenario chosen


Total Bank 1 Bank 2



Total Bank 1 Bank 2


Macro

Total Bank 1 Bank 2



Total Bank 1 Bank 2




1 Credit Risk Macro


Total Bank 1 Bank 2

Total 37,906 9,788 2,531Sovereign 1,045 37 122Non-sovereign public sector entities 586 0 0Banks/Institutions 3,904 1,747 240Corporates 10,160 2,462 433SME (please avoid double counting with cor 5,465 2,279 51Retail 4,936 2,279 1,140Residential mortgages (please avoid double c 68 0 0Securitization n.a. n.a. n.a.Derivatives n.a. n.a. n.a.Off-balance sheet credit 2,712 984 544

OR RWA assumption

P2 RWA assumption


Scenario chosen

Scenario chosen

Scenario chosen



Total Bank 1 Bank 2





100.0% 100.0%100.0% 100.0%100.0% 100.0%

Loss assumption

LGD assumption

100.0% 100.0%100.0% 100.0%100.0% 100.0%100.0% 100.0%100.0% 100.0%100.0% 100.0%100.0% 100.0%


Total Bank 1 Bank 2



Total Bank 1 Bank 2

Total 9.7% 7.4% 0.2%Sovereign 12.8% 13.9% 13.9%Non-sovereign public sector entities 9.9% 12.4% 12.4%Banks/Institutions 6.4% 4.0% 1.9%Corporates 10.7% 8.0% -0.7%SME (please avoid double counting with cor 10.1% 8.0% -0.7%Retail 7.0% 8.0% -0.7%Residential mortgages (please avoid double c 13.1% 8.0% -0.7%Securitization n.a. n.a. n.a.Derivatives n.a. n.a. n.a.Off-balance sheet credit 5.4% 8.0% -0.7%


2 Market Risk


Total Bank 1 Bank 2



Total Bank 1 Bank 2

Average change in FX rates, percent -5.0% -5.0% n.a.


MR RWA assumption

USD -5.0% -5.0% -5.0%EUR -5.0% -5.0% -5.0%JPY n.a. -5.0% -5.0%GBP n.a. -5.0% -5.0%CHF -5.0% -5.0% -5.0%Other -5.0% -5.0% -5.0%Not assigned n.a. -5.0% -5.0%Not assigned n.a. -5.0% -5.0%Not assigned n.a. -5.0% -5.0%Not assigned n.a. -5.0% -5.0%




Total Bank 1 Bank 2




Hold-to-Maturity Portfolio Total Bank 1 Bank 2Sovereign Bonds -0.5% -0.5% -0.5%Other Bonds n.a. -0.5% -0.5%Equity -0.5% -0.5% -0.5%Structured -0.5% -0.5% -0.5%Other n.a. -0.5% -0.5%Not assigned n.a. -0.5% -0.5%Not assigned n.a. -0.5% -0.5%

Scenario chosen

Not assigned n.a. -0.5% -0.5%Not assigned n.a. -0.5% -0.5%Not assigned n.a. -0.5% -0.5%


Total Bank 1 Bank 2



Total Bank 1 Bank 2


Macro

Total Bank 1 Bank 2



Total Bank 1 Bank 2



Calculation of PDs for Rating Downgrade Analysis

OR RWA assumption

P2 RWA assumption


Scenario chosen

Scenario chosen

Calculation of the Risk Parameters

This sheet calculates the stress test parameters; In principle, stress testers do not have to go through the calculations unless they want to enter assumptions manually.

Click below to navigateThe reported figures used to define the scenarios are displayed below (please click to navigate).

The rating migration scenario is calculated separately and is directly fed into the "Calc_Y[x]_BxB" sheets.

Please note: The reported figures are used as reference figures for the scenario definition (except in case of manual input)

Bank 3 Bank 4 Bank 5 Bank 6 Bank 7 Bank 8 Bank 9

1.6% 0.6% 1.7% 2.0% 1.4% 0.4% 1.2%0.2% 0.5% 1.0% 1.0% 1.0% 1.0% 1.0%0.7% 1.0% 2.0% 2.0% 2.0% 2.0% 2.0%4.6% 0.8% 3.5% 2.3% 2.5% 1.6% 1.7%1.0% 0.6% 1.4% 2.0% 1.2% 0.1% 1.0%1.0% 0.6% 1.4% 2.0% 1.2% 0.1% 1.0%1.0% 0.6% 1.4% 2.0% 1.2% 0.1% 1.0%1.0% 0.6% 1.4% 2.0% 1.2% 0.1% 1.0%n.a. n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a. n.a.

1.0% 0.6% 1.4% 2.0% 1.2% 0.1% 1.0%


100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%

Reported

The risk parameters used for the stress tests are displayed below. All parameters are defined on the assumption sheet, except in the case of manual input of the scenarios (see below). Please click on the specific years to navigate.

Year 1 Year 2 Year 3 Year 4 Year 5

Scenarios can also be defined manually, which is needed if one seeks to define bank-specific assumptions. Please enter them by navigating to the respective year. The manual scenario can be selected on the Assumption sheet.

Year 1 Year 2 Year 3 Year 4 Year 5

Link

100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%


0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0%17.4% 20.7% 17.1% 16.5% 18.0% 21.7% 18.7%


0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0%


n.a. n.a. n.a. n.a. n.a. n.a. n.a.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%

Bank 3 Bank 4 Bank 5 Bank 6 Bank 7 Bank 8 Bank 90.0% 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%



Bank 3 Bank 4 Bank 5 Bank 6 Bank 7 Bank 8 Bank 910 0 0 108 208 0 04 0 0 0 10 69 5

588 2,050 913 168 510 623 15013 0 0 0 61 0 0

852 1,687 0 0 0 0 00 0 0 0 131 0 00 0 0 0 0 0 00 0 0 0 0 0 00 0 0 0 0 0 00 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%

Bank 3 Bank 4 Bank 5 Bank 6 Bank 7 Bank 8 Bank 9 672 1,490 1,011 1,848 1,407 5,430 646

50.6% 50.6% 108.4% 106.8% 97.6% 105.0% 108.5%


672 1,490 1,011 1,848 1,407 5,430 6460 61 46 85 65 249 30

14 61 46 85 65 249 30111 183 139 254 194 747 89161 659 501 915 697 2,690 320138 256 195 356 271 1,046 125122 110 84 153 116 448 5328 34 0 0 0 0 0

n.a. n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a. n.a.98 126 0 0 0 0 0

-21.0%


1.3% 0.5% 1.4% 1.5% 1.1% 0.3% 0.9%0.1% 0.4% 0.8% 0.8% 0.8% 0.8% 0.8%0.5% 0.8% 1.6% 1.6% 1.6% 1.6% 1.6%

3.6% 0.6% 2.7% 1.8% 1.9% 1.3% 1.3%0.8% 0.5% 1.1% 1.6% 0.9% 0.1% 0.8%0.8% 0.5% 1.1% 1.6% 0.9% 0.1% 0.8%0.8% 0.5% 1.1% 1.6% 0.9% 0.1% 0.8%0.8% 0.5% 1.1% 1.6% 0.9% 0.1% 0.8%n.a. n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a. n.a.

0.8% 0.5% 1.1% 1.6% 0.9% 0.1% 0.8%

10%


100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%

n.a. n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a. n.a.

100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%

0%


0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0%17.4% 20.7% 17.1% 16.5% 18.0% 21.7% 18.7%


-9.2% -7.6% -9.3% -9.8% -8.8% -7.2% -8.4%-6.8% -7.4% -8.2% -8.2% -8.2% -8.2% -8.2%-7.7% -8.2% -9.8% -9.8% -9.8% -9.8% -9.8%

-14.0% -7.8% -12.2% -10.2% -10.6% -9.2% -9.2%-8.2% -7.5% -8.9% -9.8% -8.5% -6.7% -8.2%-8.2% -7.5% -8.9% -9.8% -8.5% -6.7% -8.2%-8.2% -7.5% -8.9% -9.8% -8.5% -6.7% -8.2%-8.2% -7.5% -8.9% -9.8% -8.5% -6.7% -8.2%n.a. n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a. n.a.

-8.2% -7.5% -8.9% -9.8% -8.5% -6.7% -8.2%n.a. n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a. n.a.

3%


3.0% 3.0% 3.0% 3.0% 3.0% 3.0% 3.0%

FX Change -5.0%


n.a. n.a. n.a. n.a. n.a. n.a. n.a.-5.0% -5.0% -5.0% -5.0% -5.0% -5.0% -5.0%-5.0% -5.0% -5.0% -5.0% -5.0% -5.0% -5.0%-5.0% -5.0% -5.0% -5.0% -5.0% -5.0% -5.0%-5.0% -5.0% -5.0% -5.0% -5.0% -5.0% -5.0%-5.0% -5.0% -5.0% -5.0% -5.0% -5.0% -5.0%-5.0% -5.0% -5.0% -5.0% -5.0% -5.0% -5.0%-5.0% -5.0% -5.0% -5.0% -5.0% -5.0% -5.0%-5.0% -5.0% -5.0% -5.0% -5.0% -5.0% -5.0%-5.0% -5.0% -5.0% -5.0% -5.0% -5.0% -5.0%-5.0% -5.0% -5.0% -5.0% -5.0% -5.0% -5.0%


50 50 50 50 50 50 500 0 0 -1 -1 -2 0

Change -0.5% Include HTM Yes


-0.5% -0.5% -0.5% -0.5% -0.5% -0.5% -0.5%

Bank 3 Bank 4 Bank 5 Bank 6 Bank 7 Bank 8 Bank 9-0.5% -0.5% -0.5% -0.5% -0.5% -0.5% -0.5%-0.5% -0.5% -0.5% -0.5% -0.5% -0.5% -0.5%-0.5% -0.5% -0.5% -0.5% -0.5% -0.5% -0.5%-0.5% -0.5% -0.5% -0.5% -0.5% -0.5% -0.5%-0.5% -0.5% -0.5% -0.5% -0.5% -0.5% -0.5%-0.5% -0.5% -0.5% -0.5% -0.5% -0.5% -0.5%-0.5% -0.5% -0.5% -0.5% -0.5% -0.5% -0.5%-0.5% -0.5% -0.5% -0.5% -0.5% -0.5% -0.5%-0.5% -0.5% -0.5% -0.5% -0.5% -0.5% -0.5%-0.5% -0.5% -0.5% -0.5% -0.5% -0.5% -0.5%



3%


3.0% 3.0% 3.0% 3.0% 3.0% 3.0% 3.0%

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%


3.0% 3.0% 3.0% 3.0% 3.0% 3.0% 3.0%


684 1,527 1,028 1,874 1,433 5,574 6600 63 47 87 66 255 30

14 62 47 86 65 252 30110 187 139 257 196 760 90165 675 510 928 711 2,769 327141 263 198 361 277 1,077 127125 113 85 155 119 461 5528 35 0 0 0 0 0

n.a. n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a. n.a.100 129 0 0 0 0 0n.a. n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a. n.a.

-13.8%



0.7% 0.4% 1.0% 1.3% 0.8% 0.1% 0.7%

0%


100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%


100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%

0%


0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0%17.4% 20.7% 17.1% 16.5% 18.0% 21.7% 18.7%


-5.7% -4.2% -5.9% -6.3% -5.4% -3.9% -5.0%-3.5% -4.0% -4.8% -4.8% -4.8% -4.8% -4.8%-4.3% -4.8% -6.3% -6.3% -6.3% -6.3% -6.3%

-10.3% -4.5% -8.5% -6.7% -7.0% -5.7% -5.8%-4.8% -4.2% -5.4% -6.3% -5.1% -3.4% -4.8%-4.8% -4.2% -5.4% -6.3% -5.1% -3.4% -4.8%-4.8% -4.2% -5.4% -6.3% -5.1% -3.4% -4.8%-4.8% -4.2% -5.4% -6.3% -5.1% -3.4% -4.8%n.a. n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a. n.a.


3%


3.0% 3.0% 3.0% 3.0% 3.0% 3.0% 3.0%

FX Change -5.0%


n.a. n.a. n.a. n.a. n.a. n.a. n.a.-5.0% -5.0% -5.0% -5.0% -5.0% -5.0% -5.0%-5.0% -5.0% -5.0% -5.0% -5.0% -5.0% -5.0%-5.0% -5.0% -5.0% -5.0% -5.0% -5.0% -5.0%-5.0% -5.0% -5.0% -5.0% -5.0% -5.0% -5.0%-5.0% -5.0% -5.0% -5.0% -5.0% -5.0% -5.0%-5.0% -5.0% -5.0% -5.0% -5.0% -5.0% -5.0%-5.0% -5.0% -5.0% -5.0% -5.0% -5.0% -5.0%-5.0% -5.0% -5.0% -5.0% -5.0% -5.0% -5.0%-5.0% -5.0% -5.0% -5.0% -5.0% -5.0% -5.0%-5.0% -5.0% -5.0% -5.0% -5.0% -5.0% -5.0%


50 50 50 50 50 50 50#DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0!

Change 0.0% Include HTM Yes


0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0%




3%


3.0% 3.0% 3.0% 3.0% 3.0% 3.0% 3.0%

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%


3.0% 3.0% 3.0% 3.0% 3.0% 3.0% 3.0%


696 1,566 1,046 1,904 1,462 5,724 6740 64 49 89 67 260 31

14 64 48 87 66 257 31110 192 140 261 198 774 92169 693 521 943 727 2,850 335144 269 202 367 283 1,108 130128 115 87 157 121 475 5629 36 0 0 0 0 0

n.a. n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a. n.a.103 133 0 0 0 0 0n.a. n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a. n.a.

n.a. n.a. n.a. n.a. n.a. n.a. n.a.

-13.7%



0.6% 0.4% 0.8% 1.2% 0.7% 0.1% 0.6%

0%


100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%


100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%

0%


0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0%17.4% 20.7% 17.1% 16.5% 18.0% 21.7% 18.7%


-5.3% -4.0% -5.5% -5.8% -5.0% -3.8% -4.7%-3.4% -3.9% -4.5% -4.5% -4.5% -4.5% -4.5%-4.1% -4.5% -5.9% -5.9% -5.9% -5.9% -5.9%-9.3% -4.3% -7.8% -6.2% -6.5% -5.3% -5.4%-4.6% -4.0% -5.1% -5.8% -4.8% -3.3% -4.6%-4.6% -4.0% -5.1% -5.8% -4.8% -3.3% -4.6%-4.6% -4.0% -5.1% -5.8% -4.8% -3.3% -4.6%-4.6% -4.0% -5.1% -5.8% -4.8% -3.3% -4.6%n.a. n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a. n.a.


3%


3.0% 3.0% 3.0% 3.0% 3.0% 3.0% 3.0%

FX Change -5.0%


n.a. n.a. n.a. n.a. n.a. n.a. n.a.-5.0% -5.0% -5.0% -5.0% -5.0% -5.0% -5.0%-5.0% -5.0% -5.0% -5.0% -5.0% -5.0% -5.0%-5.0% -5.0% -5.0% -5.0% -5.0% -5.0% -5.0%-5.0% -5.0% -5.0% -5.0% -5.0% -5.0% -5.0%-5.0% -5.0% -5.0% -5.0% -5.0% -5.0% -5.0%-5.0% -5.0% -5.0% -5.0% -5.0% -5.0% -5.0%-5.0% -5.0% -5.0% -5.0% -5.0% -5.0% -5.0%-5.0% -5.0% -5.0% -5.0% -5.0% -5.0% -5.0%

-5.0% -5.0% -5.0% -5.0% -5.0% -5.0% -5.0%-5.0% -5.0% -5.0% -5.0% -5.0% -5.0% -5.0%





-0.5% -0.5% -0.5% -0.5% -0.5% -0.5% -0.5%




3%


3.0% 3.0% 3.0% 3.0% 3.0% 3.0% 3.0%

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%


3.0% 3.0% 3.0% 3.0% 3.0% 3.0% 3.0%


711 1,607 1,067 1,938 1,494 5,881 6900 66 50 91 69 267 32

15 65 49 89 68 261 31110 197 142 265 201 790 94173 711 532 960 743 2,934 343148 277 207 373 289 1,141 133131 119 89 160 124 489 5730 37 0 0 0 0 0

n.a. n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a. n.a.105 136 0 0 0 0 0n.a. n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a. n.a.

n.a. n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a. n.a.

27.3%



0.8% 0.4% 1.1% 1.5% 0.9% 0.1% 0.8%

0%


100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%


100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%

100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%

0%


0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0%17.4% 20.7% 17.1% 16.5% 18.0% 21.7% 18.7%


11.7% 13.9% 11.4% 10.8% 12.1% 14.4% 12.6%15.0% 14.2% 13.0% 13.0% 13.0% 13.0% 13.0%13.8% 13.0% 10.7% 10.7% 10.7% 10.7% 10.7%4.7% 13.5% 7.3% 10.1% 9.6% 11.6% 11.5%

12.9% 14.0% 12.0% 10.8% 12.6% 15.2% 12.9%12.9% 14.0% 12.0% 10.8% 12.6% 15.2% 12.9%12.9% 14.0% 12.0% 10.8% 12.6% 15.2% 12.9%12.9% 14.0% 12.0% 10.8% 12.6% 15.2% 12.9%


12.9% 14.0% 12.0% 10.8% 12.6% 15.2% 12.9%n.a. n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a. n.a.

3%


3.0% 3.0% 3.0% 3.0% 3.0% 3.0% 3.0%

FX Change -5.0%


n.a. n.a. n.a. n.a. n.a. n.a. n.a.-5.0% -5.0% -5.0% -5.0% -5.0% -5.0% -5.0%-5.0% -5.0% -5.0% -5.0% -5.0% -5.0% -5.0%-5.0% -5.0% -5.0% -5.0% -5.0% -5.0% -5.0%-5.0% -5.0% -5.0% -5.0% -5.0% -5.0% -5.0%

-5.0% -5.0% -5.0% -5.0% -5.0% -5.0% -5.0%-5.0% -5.0% -5.0% -5.0% -5.0% -5.0% -5.0%-5.0% -5.0% -5.0% -5.0% -5.0% -5.0% -5.0%-5.0% -5.0% -5.0% -5.0% -5.0% -5.0% -5.0%-5.0% -5.0% -5.0% -5.0% -5.0% -5.0% -5.0%-5.0% -5.0% -5.0% -5.0% -5.0% -5.0% -5.0%





-0.5% -0.5% -0.5% -0.5% -0.5% -0.5% -0.5%




3%


3.0% 3.0% 3.0% 3.0% 3.0% 3.0% 3.0%

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%


3.0% 3.0% 3.0% 3.0% 3.0% 3.0% 3.0%


723 1,647 1,085 1,967 1,523 6,039 7040 68 51 93 71 273 32

15 67 49 90 69 265 32109 201 142 269 203 804 96177 729 542 975 759 3,020 350151 284 211 379 295 1,174 136134 122 90 162 126 503 5830 38 0 0 0 0 0

n.a. n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a. n.a.107 140 0 0 0 0 0

Calculation!B1938

n.a. n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a. n.a.

27.5%



1.0% 0.6% 1.4% 1.9% 1.1% 0.1% 1.0%

0%


100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%


100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%

100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%

0%


0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0%17.4% 20.7% 17.1% 16.5% 18.0% 21.7% 18.7%


10.8% 13.5% 10.3% 9.6% 11.3% 14.2% 12.0%14.9% 13.9% 12.4% 12.4% 12.4% 12.4% 12.4%13.4% 12.4% 9.4% 9.4% 9.4% 9.4% 9.4%1.8% 13.0% 5.1% 8.7% 8.1% 10.6% 10.5%

12.3% 13.6% 11.2% 9.5% 11.9% 15.2% 12.3%12.3% 13.6% 11.2% 9.5% 11.9% 15.2% 12.3%12.3% 13.6% 11.2% 9.5% 11.9% 15.2% 12.3%12.3% 13.6% 11.2% 9.5% 11.9% 15.2% 12.3%


12.3% 13.6% 11.2% 9.5% 11.9% 15.2% 12.3%n.a. n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a. n.a.

3%


3.0% 3.0% 3.0% 3.0% 3.0% 3.0% 3.0%

FX Change -5.0%



-5.0% -5.0% -5.0% -5.0% -5.0% -5.0% -5.0%-5.0% -5.0% -5.0% -5.0% -5.0% -5.0% -5.0%-5.0% -5.0% -5.0% -5.0% -5.0% -5.0% -5.0%-5.0% -5.0% -5.0% -5.0% -5.0% -5.0% -5.0%-5.0% -5.0% -5.0% -5.0% -5.0% -5.0% -5.0%-5.0% -5.0% -5.0% -5.0% -5.0% -5.0% -5.0%-5.0% -5.0% -5.0% -5.0% -5.0% -5.0% -5.0%-5.0% -5.0% -5.0% -5.0% -5.0% -5.0% -5.0%-5.0% -5.0% -5.0% -5.0% -5.0% -5.0% -5.0%-5.0% -5.0% -5.0% -5.0% -5.0% -5.0% -5.0%





-0.5% -0.5% -0.5% -0.5% -0.5% -0.5% -0.5%



Bank 3 Bank 4 Bank 5 Bank 6 Bank 7 Bank 8 Bank 9-0.5% -0.5% -0.5% -0.5% -0.5% -0.5% -0.5%-0.5% -0.5% -0.5% -0.5% -0.5% -0.5% -0.5%-0.5% -0.5% -0.5% -0.5% -0.5% -0.5% -0.5%-0.5% -0.5% -0.5% -0.5% -0.5% -0.5% -0.5%-0.5% -0.5% -0.5% -0.5% -0.5% -0.5% -0.5%-0.5% -0.5% -0.5% -0.5% -0.5% -0.5% -0.5%-0.5% -0.5% -0.5% -0.5% -0.5% -0.5% -0.5%

-0.5% -0.5% -0.5% -0.5% -0.5% -0.5% -0.5%-0.5% -0.5% -0.5% -0.5% -0.5% -0.5% -0.5%-0.5% -0.5% -0.5% -0.5% -0.5% -0.5% -0.5%

3%


3.0% 3.0% 3.0% 3.0% 3.0% 3.0% 3.0%

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%


3.0% 3.0% 3.0% 3.0% 3.0% 3.0% 3.0%


3.5% 2.5% 2.5% n.a. n.a. n.a.1.0% n.a. n.a. n.a. n.a. n.a.2.0% n.a. n.a. n.a. n.a. n.a.3.8% n.a. n.a. n.a. n.a. n.a.3.8% n.a. n.a. n.a. n.a. n.a.3.8% n.a. n.a. n.a. n.a. n.a.3.8% n.a. n.a. n.a. n.a. n.a.3.8% n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a.

3.8% n.a. n.a. n.a. n.a. n.a.


100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0%

100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0%


0.0% 0.0% 0.0% n.a. n.a. n.a.14.1% 15.5% 15.5% n.a. n.a. n.a.


0.0% 0.0% 0.0% 0.0% 0.0% 0.0%


0.0% 0.0% 0.0% n.a. n.a. n.a.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%

Bank 10 Bank 11 Bank 12 Bank 13 Bank 14 Bank 150.0% 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%



Bank 10 Bank 11 Bank 12 Bank 13 Bank 14 Bank 150 0 45 0 0 0

44 0 0 0 0 041 0 0 0 0 016 0 369 0 0 09 0 0 0 0 04 0 0 0 0 00 0 0 0 0 00 0 0 0 0 00 0 0 0 0 00 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%

Bank 10 Bank 11 Bank 12 Bank 13 Bank 14 Bank 15 2,817 4,754 3,829 n.a. n.a. n.a.

147.8% 100.0% 100.0% n.a. n.a. n.a.


2,817 4,754 3,829 0 0 0273 0 0 n.a. n.a. n.a.

0 0 0 n.a. n.a. n.a.93 0 0 n.a. n.a. n.a.

706 0 0 n.a. n.a. n.a.500 0 0 n.a. n.a. n.a.318 0 0 n.a. n.a. n.a.

0 0 0 n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a.926 0 0 n.a. n.a. n.a.


2.8% 1.9% 1.9% n.a. n.a. n.a.0.8% n.a. n.a. n.a. n.a. n.a.1.6% n.a. n.a. n.a. n.a. n.a.

3.0% n.a. n.a. n.a. n.a. n.a.3.0% n.a. n.a. n.a. n.a. n.a.3.0% n.a. n.a. n.a. n.a. n.a.3.0% n.a. n.a. n.a. n.a. n.a.3.0% n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a.

3.0% n.a. n.a. n.a. n.a. n.a.


100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% n.a. n.a. n.a. n.a. n.a.100.0% n.a. n.a. n.a. n.a. n.a.100.0% n.a. n.a. n.a. n.a. n.a.100.0% n.a. n.a. n.a. n.a. n.a.100.0% n.a. n.a. n.a. n.a. n.a.100.0% n.a. n.a. n.a. n.a. n.a.100.0% n.a. n.a. n.a. n.a. n.a.

n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a.

100.0% n.a. n.a. n.a. n.a. n.a.100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0%


0.0% 0.0% 0.0% n.a. n.a. n.a.14.1% 15.5% 15.5% n.a. n.a. n.a.


-12.3% -7.8% -7.8% n.a. n.a. n.a.-8.2% n.a. n.a. n.a. n.a. n.a.-9.8% n.a. n.a. n.a. n.a. n.a.

-12.8% n.a. n.a. n.a. n.a. n.a.-12.7% n.a. n.a. n.a. n.a. n.a.-12.7% n.a. n.a. n.a. n.a. n.a.-12.7% n.a. n.a. n.a. n.a. n.a.-12.7% n.a. n.a. n.a. n.a. n.a.


-12.7% n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a.


3.0% 3.0% 3.0% 3.0% 3.0% 3.0%


-5.0% -5.0% -5.0% n.a. n.a. n.a.-5.0% -5.0% -5.0% -5.0% -5.0% -5.0%-5.0% -5.0% -5.0% -5.0% -5.0% -5.0%-5.0% -5.0% -5.0% -5.0% -5.0% -5.0%-5.0% -5.0% -5.0% -5.0% -5.0% -5.0%-5.0% -5.0% -5.0% -5.0% -5.0% -5.0%-5.0% -5.0% -5.0% -5.0% -5.0% -5.0%-5.0% -5.0% -5.0% -5.0% -5.0% -5.0%-5.0% -5.0% -5.0% -5.0% -5.0% -5.0%-5.0% -5.0% -5.0% -5.0% -5.0% -5.0%-5.0% -5.0% -5.0% -5.0% -5.0% -5.0%


50 50 50 50 50 50-1 -2 -1 0 0 0


-0.5% -0.5% -0.5% -0.5% -0.5% -0.5%

Bank 10 Bank 11 Bank 12 Bank 13 Bank 14 Bank 15-0.5% -0.5% -0.5% -0.5% -0.5% -0.5%-0.5% -0.5% -0.5% -0.5% -0.5% -0.5%-0.5% -0.5% -0.5% -0.5% -0.5% -0.5%-0.5% -0.5% -0.5% -0.5% -0.5% -0.5%-0.5% -0.5% -0.5% -0.5% -0.5% -0.5%-0.5% -0.5% -0.5% -0.5% -0.5% -0.5%-0.5% -0.5% -0.5% -0.5% -0.5% -0.5%-0.5% -0.5% -0.5% -0.5% -0.5% -0.5%-0.5% -0.5% -0.5% -0.5% -0.5% -0.5%-0.5% -0.5% -0.5% -0.5% -0.5% -0.5%




3.0% 3.0% 3.0% 3.0% 3.0% 3.0%


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%


3.0% 3.0% 3.0% 3.0% 3.0% 3.0%


2,821 4,804 3,870 0 0 0279 n.a. n.a. n.a. n.a. n.a.

0 n.a. n.a. n.a. n.a. n.a.93 n.a. n.a. n.a. n.a. n.a.

706 n.a. n.a. n.a. n.a. n.a.500 n.a. n.a. n.a. n.a. n.a.318 n.a. n.a. n.a. n.a. n.a.

0 n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a.926 n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a.



2.6% n.a. n.a. n.a. n.a. n.a.




100.0% n.a. n.a. n.a. n.a. n.a.100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0%


0.0% 0.0% 0.0% n.a. n.a. n.a.14.1% 15.5% 15.5% n.a. n.a. n.a.


-8.6% -4.6% -4.6% n.a. n.a. n.a.-4.8% n.a. n.a. n.a. n.a. n.a.-6.3% n.a. n.a. n.a. n.a. n.a.-9.1% n.a. n.a. n.a. n.a. n.a.-9.0% n.a. n.a. n.a. n.a. n.a.-9.0% n.a. n.a. n.a. n.a. n.a.-9.0% n.a. n.a. n.a. n.a. n.a.-9.0% n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a.



3.0% 3.0% 3.0% 3.0% 3.0% 3.0%


-5.0% -5.0% -5.0% n.a. n.a. n.a.-5.0% -5.0% -5.0% -5.0% -5.0% -5.0%-5.0% -5.0% -5.0% -5.0% -5.0% -5.0%-5.0% -5.0% -5.0% -5.0% -5.0% -5.0%-5.0% -5.0% -5.0% -5.0% -5.0% -5.0%-5.0% -5.0% -5.0% -5.0% -5.0% -5.0%-5.0% -5.0% -5.0% -5.0% -5.0% -5.0%-5.0% -5.0% -5.0% -5.0% -5.0% -5.0%-5.0% -5.0% -5.0% -5.0% -5.0% -5.0%-5.0% -5.0% -5.0% -5.0% -5.0% -5.0%-5.0% -5.0% -5.0% -5.0% -5.0% -5.0%


50 50 50 50 50 50#DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0!


0.0% 0.0% 0.0% 0.0% 0.0% 0.0%





3.0% 3.0% 3.0% 3.0% 3.0% 3.0%


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%


3.0% 3.0% 3.0% 3.0% 3.0% 3.0%


2,836 4,868 3,921 0 0 0286 n.a. n.a. n.a. n.a. n.a.



0 n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a.929 n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a.




2.2% n.a. n.a. n.a. n.a. n.a.




100.0% n.a. n.a. n.a. n.a. n.a.100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0%


0.0% 0.0% 0.0% n.a. n.a. n.a.14.1% 15.5% 15.5% n.a. n.a. n.a.


-7.8% -4.4% -4.4% n.a. n.a. n.a.-4.5% n.a. n.a. n.a. n.a. n.a.-5.9% n.a. n.a. n.a. n.a. n.a.-8.2% n.a. n.a. n.a. n.a. n.a.-8.2% n.a. n.a. n.a. n.a. n.a.-8.2% n.a. n.a. n.a. n.a. n.a.-8.2% n.a. n.a. n.a. n.a. n.a.-8.2% n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a.



3.0% 3.0% 3.0% 3.0% 3.0% 3.0%


-5.0% -5.0% -5.0% n.a. n.a. n.a.-5.0% -5.0% -5.0% -5.0% -5.0% -5.0%-5.0% -5.0% -5.0% -5.0% -5.0% -5.0%-5.0% -5.0% -5.0% -5.0% -5.0% -5.0%-5.0% -5.0% -5.0% -5.0% -5.0% -5.0%-5.0% -5.0% -5.0% -5.0% -5.0% -5.0%-5.0% -5.0% -5.0% -5.0% -5.0% -5.0%-5.0% -5.0% -5.0% -5.0% -5.0% -5.0%-5.0% -5.0% -5.0% -5.0% -5.0% -5.0%

-5.0% -5.0% -5.0% -5.0% -5.0% -5.0%-5.0% -5.0% -5.0% -5.0% -5.0% -5.0%




-0.5% -0.5% -0.5% -0.5% -0.5% -0.5%





3.0% 3.0% 3.0% 3.0% 3.0% 3.0%


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%


3.0% 3.0% 3.0% 3.0% 3.0% 3.0%


2,861 4,943 3,982 0 0 0293 n.a. n.a. n.a. n.a. n.a.



0 n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a.935 n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a.

n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a.



2.8% n.a. n.a. n.a. n.a. n.a.




100.0% n.a. n.a. n.a. n.a. n.a.100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0%

100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0%


0.0% 0.0% 0.0% n.a. n.a. n.a.14.1% 15.5% 15.5% n.a. n.a. n.a.



6.5% n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a.


3.0% 3.0% 3.0% 3.0% 3.0% 3.0%


-5.0% -5.0% -5.0% n.a. n.a. n.a.-5.0% -5.0% -5.0% -5.0% -5.0% -5.0%-5.0% -5.0% -5.0% -5.0% -5.0% -5.0%-5.0% -5.0% -5.0% -5.0% -5.0% -5.0%-5.0% -5.0% -5.0% -5.0% -5.0% -5.0%

-5.0% -5.0% -5.0% -5.0% -5.0% -5.0%-5.0% -5.0% -5.0% -5.0% -5.0% -5.0%-5.0% -5.0% -5.0% -5.0% -5.0% -5.0%-5.0% -5.0% -5.0% -5.0% -5.0% -5.0%-5.0% -5.0% -5.0% -5.0% -5.0% -5.0%-5.0% -5.0% -5.0% -5.0% -5.0% -5.0%




-0.5% -0.5% -0.5% -0.5% -0.5% -0.5%





3.0% 3.0% 3.0% 3.0% 3.0% 3.0%


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%


3.0% 3.0% 3.0% 3.0% 3.0% 3.0%


2,870 5,001 4,028 0 0 0299 n.a. n.a. n.a. n.a. n.a.



0 n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a.936 n.a. n.a. n.a. n.a. n.a.

n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a.



3.6% n.a. n.a. n.a. n.a. n.a.




100.0% n.a. n.a. n.a. n.a. n.a.100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0%

100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0%100.0% 100.0% 100.0% 100.0% 100.0% 100.0%


0.0% 0.0% 0.0% n.a. n.a. n.a.14.1% 15.5% 15.5% n.a. n.a. n.a.



4.1% n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a.


3.0% 3.0% 3.0% 3.0% 3.0% 3.0%


-5.0% -5.0% -5.0% n.a. n.a. n.a.

-5.0% -5.0% -5.0% -5.0% -5.0% -5.0%-5.0% -5.0% -5.0% -5.0% -5.0% -5.0%-5.0% -5.0% -5.0% -5.0% -5.0% -5.0%-5.0% -5.0% -5.0% -5.0% -5.0% -5.0%-5.0% -5.0% -5.0% -5.0% -5.0% -5.0%-5.0% -5.0% -5.0% -5.0% -5.0% -5.0%-5.0% -5.0% -5.0% -5.0% -5.0% -5.0%-5.0% -5.0% -5.0% -5.0% -5.0% -5.0%-5.0% -5.0% -5.0% -5.0% -5.0% -5.0%-5.0% -5.0% -5.0% -5.0% -5.0% -5.0%




-0.5% -0.5% -0.5% -0.5% -0.5% -0.5%



Bank 10 Bank 11 Bank 12 Bank 13 Bank 14 Bank 15-0.5% -0.5% -0.5% -0.5% -0.5% -0.5%-0.5% -0.5% -0.5% -0.5% -0.5% -0.5%-0.5% -0.5% -0.5% -0.5% -0.5% -0.5%-0.5% -0.5% -0.5% -0.5% -0.5% -0.5%-0.5% -0.5% -0.5% -0.5% -0.5% -0.5%-0.5% -0.5% -0.5% -0.5% -0.5% -0.5%-0.5% -0.5% -0.5% -0.5% -0.5% -0.5%

-0.5% -0.5% -0.5% -0.5% -0.5% -0.5%-0.5% -0.5% -0.5% -0.5% -0.5% -0.5%-0.5% -0.5% -0.5% -0.5% -0.5% -0.5%


3.0% 3.0% 3.0% 3.0% 3.0% 3.0%


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%


3.0% 3.0% 3.0% 3.0% 3.0% 3.0%

Aggregate Outcome of Scenario Analysis (Overview)

Assumptions (to simulate sensitivity, all other assumptions defined on "Assumption" sheet)

Macro Basel III? Yes IRB Yes

Baseline Baseline Reg IRB

Outcome of Scenario Analysis for Baseline

12 7 Pass Rate 58% 2010

2010 2011 2012 2013 2014 2015

11.7% 12.1% 13.1% 13.5% 11.9% 10.1%9.4% 9.6% 10.3% 10.6% 9.2% 7.6%6.6% 6.7% 7.3% 7.8% 6.5% 4.9%

Number of banks failing the tests

Total n.a. (combined) 3 3 3 3 3 5CAR 8% 3 3 3 3 3 4T1R 4% 1 1 1 2 3 4

Core T1R 2% 0 0 0 1 2 3

Necessary Recapitalization (abs)CAR 8% 233 264 216 243 467 766T1R 4% 12 13 7 47 325 655

Core T1R 2% 0 0 0 16 163 444

CAR 8% 0.4% 0.5% 0.4% 0.4% 0.8% 1.4%

T1R 4% 0.0% 0.0% 0.0% 0.1% 0.6% 1.2%Core T1R 2% 0.0% 0.0% 0.0% 0.0% 0.3% 0.8%

Risk Drivers

Net Profit (before losses) 637 637 637 637 637 637Losses (Credit Risk) -511 -648 -562 -489 -630 -808Losses/Gains (Trading & Investment Income) 52 -92 -8 -78 -78 -78Net income (Profit or Loss) 178 -103 67 71 -70 -249Sum of Risk weighted assets 39,336 36,467 33,705 31,959 34,938 37,962

Profit (before losses) 0.0% 0.0% 0.0% 0.0% 0.0%Losses (credit) 26.8% 9.9% -4.3% 23.3% 58.2%Losses (trading) 278.6% 116.3% 250.6% 250.6% 250.6%Net Losses/Profit 157.9% 62.3% 60.3% 139.6% 240.0%

Type of Scenario

RWA Stress Test

Method

Scaling factor

(yes/no)?

Macro scenario (if applicable)

Which IRB approach?

Number of banks included in tests

Number of banks passing

tests

Year (of reporting

data)

Hurdle Rate (2011)

Overall Outcome

Total capital adequacy ratio (CAR, percent) 1/Tier 1 ratio (T1R, percent) 1/Common/Core tier 1 ratio (Core T1R, percent) 1/

Necessary Recapitalization (rel to total assets)

Risk Drivers: Changes

compared to 2010

Change in Risk weighted assets -7.3% -14.3% -18.8% -11.2% -3.5%

Profit (before losses) 1.75 1.89 1.99 1.82 1.68Losses (credit) -1.78 -1.67 -1.53 -1.80 -2.13Losses (trading) -0.25 -0.02 -0.24 -0.22 -0.20Net Losses/Profit -0.28 0.20 0.22 -0.20 -0.66Other (Credit Growth, etc) -0.12 -0.17 -0.46 -0.35 -0.24Change in Risk weighted assets 0.86 0.93 0.67 -1.09 -0.89

Other

Total Capital in the banking system 4,292 4,152 4,155 4,076 3,890 3,546Tier 1 Capital in the banking system 2,954 2,804 2,787 2,719 2,551 2,236Common/Core Capital in the banking system 1,079 971 955 935 789 551Leverage (capital/total credit) 12.2% 11.5% 11.5% 6.8% 6.4% 5.7%Leverage (Tier 1 capital/total credit) 8.4% 7.8% 7.8% 7.5% 6.9% 6.1%Return on total regulatory capital 4.1% -2.5% 1.6% 1.7% -1.8% -7.0%Dividend yield 1.6% -1.2% 0.8% 0.9% -0.9% -3.5%

1/ Weighted by banks' total assets.2/ Or total over the stress test horizon.

Risk Drivers: Changes

compared to 2010

Risk Drivers: Contribution

(ppts)

Stress test parameters (Overview) for Baseline

2010 2011 2012 2013 2014 2015

Hurdle RatesHurdle Rate Total Capital 8.0% 8.0% 8.0% 8.0% 8.0% 8.0%Hurdle Rate Tier 1 Capital 4.0% 4.0% 4.0% 4.5% 5.5% 6.0%Hurdle Rate Common/Core Tier 1 2.0% 2.0% 2.0% 3.5% 4.0% 4.5%

ScenarioScenario chosen Macro Macro Macro Macro MacroType of Macro scenario, if applicable Baseline Baseline Baseline Baseline Baseline

Percentage of Profit retained 50.0% 50.0% 50.0% 50.0% 50.0%RWAs for Credit Risk based on StA or IRB? IRB IRB IRB IRB IRBUse of scaling factor? (yes/no) Yes Yes Yes Yes YesPillar 2 capital charges included? (yes/no) No No No No NoRWAs for name concentration included? (yes/no) No No No No No

Loss Rate 2.3% 1.8% 1.5% 1.3% 1.7% 2.1%LGD not applicable under this setup, i.e., 100 percent 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%Credit Growth 3.0% 3.0% 3.0% 3.0% 3.0%Market Risk RWAs 3.0% 3.0% 3.0% 3.0% 3.0%Change of FX rates for all net open positions (percent) -5.0% -5.0% -5.0% -5.0% -5.0%Interest Rate Shock (bp) 50.0 50.0 50.0 50.0 50.0Asset Price Shock (Trading, AfS) -0.5% 0.0% -0.5% -0.5% -0.5%Operational Risk RWAs 3.0% 3.0% 3.0% 3.0% 3.0%

Stress test para-meters

Risk para-meters

Aggregate Capitalization Charts

2010 2011 2012 2013 2014 20150%

2%

4%

6%

8%

10%

12%

14%

16% Tier 1 ratio (T1R, %)

2010 2011 2012 2013 2014 20150

2

4

6

8

10Number of Banks that Fail Test

2010 2011 2012 2013 2014 20150%

2%

4%

6%

8%

10%

12%

14%

16% Total capital adequacy ratio (CAR, %)

2010 2011 2012 2013 2014 20150%

2%

4%

6%

8%

10%

12%

14%

16% Tier 1 ratio (T1R, %)

2010 2011 2012 2013 2014 20150

100

200

300

400

500

600

700

800

900 Capital needs (in currency & unit as chosen)

Aggregate Risk Driver Charts

Profits before losses Trading/Investment income Credit risk losses RWA change2010 2011 2012 2013 2014 2015

-50%

0%

50%

100%

150%

200%

250%

300%Change in Risk Drivers (% vs "Before")

2010 2011 2012 2013 2014 20150.0%

0.5%

1.0%

1.5%

2.0%

2.5%

0%

20%

40%

60%

80%

100%

120%Changes in Credit Risk Measures

Loss Rate

LGD not applicable under this setup, i.e., 100 percent

Loss

Rat

e

LGD

2010 2011 2012 2013 2014 2015-4.0

-3.0

-2.0

-1.0

0.0

1.0

2.0

3.0

4.0 Contribution to Capitalization Ratio (ppt)

2010 2011 2012 2013 2014 2015-1,000

-800

-600

-400

-200

0

200

400

600

800 Risk Drivers (in currency & unit as chosen)

Total Capital Ratio Distribution for Baseline

Label Percentile 2010 2011 2012 2013 2014 2015Min 0 3.6% 3.5% 3.9% 3.8% 2.9% 1.4%Quart 25 25 8.5% 8.7% 9.3% 9.3% 7.7% 6.1%Median 50 12.0% 12.5% 13.2% 13.5% 12.0% 10.5%Quart 75 75 14.1% 15.0% 16.2% 16.6% 15.3% 13.3%Max 100 18.9% 21.9% 25.9% 29.2% 28.5% 28.0%

-99999999 <8% 3 3 3 3 3 48% <10% 1 1 0 0 1 1

10% <12% 2 2 1 1 2 312% <14% 3 1 3 3 2 114% <16% 1 3 2 2 1 016% <18% 1 0 1 0 1 218% >=18% 1 2 2 3 2 1

2010 2011 2012 2013 2014 20150%

20%

40%

60%

80%

100% Distribution of Capital Ratios

>=18% <18% <16% <14% <12% <10% <8%2010 2011 2012 2013 2014 2015

0%

5%

10%

15%

20%

25%

30%

35% Interquartile Capital Ratio Ranges

Total Capital Evolution of Bank-by-Bank Capitalization for Baseline

2010 2011 2012 2013 2014 2015Bank 1 6.8% 6.6% 6.8% 6.7% 5.2% 3.4%Bank 2 18.9% 21.9% 25.9% 29.2% 28.5% 28.0%Bank 3 3.6% 3.5% 3.9% 3.8% 3.0% 2.2%Bank 4 6.7% 5.8% 5.8% 4.7% 2.9% 1.4%Bank 5 9.1% 9.4% 10.1% 10.2% 8.5% 7.0%Bank 6 13.0% 14.9% 17.1% 19.0% 17.9% 16.8%Bank 7 16.7% 18.3% 20.3% 21.5% 19.3% 17.4%Bank 8 15.0% 15.3% 15.8% 15.8% 13.2% 11.0%Bank 9 11.0% 11.8% 12.8% 13.4% 11.8% 10.1%Bank 10 10.2% 11.1% 12.5% 13.4% 12.3% 10.9%Bank 11 13.7% 14.4% 15.1% 15.8% 14.4% 12.2%Bank 12 13.7% 13.3% 13.6% 13.5% 11.3% 8.2%Bank 13Bank 14Bank 15

2010 2011 2012 2013 2014 20150%

20%

40%

60%

80%

100% Distribution of Capital Ratios

>=18% <18% <16% <14% <12% <10% <8%

Parameters for Sensitivity Analysis

Choose type of shock Change in RWAs for OPRisk Please choose!

Hurdle Rate Total CapitalHurdle Rate Tier 1 CapitalHurdle Rate Common/Core Tier 1

Interest Rate Shock by

Foreign Exchange Rate Shock EUR byAsset Price Shock Equity byChange in RWAs for Market Risk by

Please be aware that market risk shocks are assumed to be instantaneous

Increase of credit losses Corporates by

n.a. by

Default of x largest counterparts Exposure to Largest Counterpart

Please be aware that credit risk shocks include profit as first line of defense

Change in RWAs for OpRisk by

Please be aware that operational risk shocks are assumed to be instantaneous

Outcome of Sensitivity Analysis

Total Capital adequacy ratio (CAR, percent, weighted average by banks)Tier1 Ratio (T1R, percent, weighted average by banks)Common/Core Tier 1 Ratio (Core T1R, percent, weighted average by banks)

Number of banks that fail the test

Capital needs to recapitalize banks

Capital needs to recapitalize banks (relative to GDP)

Risk Drivers

Net Profit (before losses)Losses (Credit, including foregone interest)Losses/Gains (Trading, FX Risk, Interest Rate Risk,Other)Net Losses/ProfitRisk weighted assets of the banking sector

Detailled Results for Banks System

Hurdle Rates

Market Risk Tests

fall in all yield curves (worldwide) by 200 bps

Credit Risk Tests

Operational Risk

Overall Outcome

Market RiskInterest Rate ShockResulting Profit/Loss -58

Foreign Exchange Rate ShockResulting Profit/Loss -13

Asset Price ShockResulting Profit/Loss -88

Change in RWAs 54

Credit RiskIncrease of PDsTotal Credit Exposure subject to stress 9,445Credit Loss Ratio (Stress) 7.2%LGD (Stress) 100.0%Resulting Loss -642

Change in RWAs 128.4%

Default of largest counterpartsResulting Loss 0

Operational RiskChange in RWAs 174

Detailled Results for Banks System

Outcome of Sensitivity TestsResulting Loss/Profit 0Change in RWAs 174

0

Total Capital Ratio after stress 4,292Tier 1 Capital Ratio after stress 2,954Common/Core Tier 1 Ratio after stress 1,079Risk-weighted assets after stress 39,510

Total Capital Ratio after stress 11.6%Tier Capital Ratio after stress 9.4%Common/Core Tier 1 Ratio after stress 6.6%

Capital needs Total Capital (Yes/No) 6Capital needs Tier 1 Capital (Yes/No) 4Capital needs Core/Common Tier 1 Capital (Yes/No 2

Capital needs (Total Capital Ratio) 1,000Capital needs (Tier Capital Ratio) 492Capital needs (Common/Core Tier 1) 214

Profit available as buffer (assumption: same as previous year)

Parameters for Sensitivity Analysis

Please choose!

12% Please enter8% Please enter6% Please enter

200 (change in basis points, e.g., 1 for 1 bp)

-10.0% (change in percent, example -5%)-1.0% (change in percent, example 1%)5.0% (change in percent, example 1%)

Absolute, by x % 5% (change of PDs)

Relative 20% (change of LGDs)

10.0% (change in percent, example 1%)

Outcome of Sensitivity Analysis

11.7% 11.6% 12.1%9.4% 9.4% 9.6%6.6% 6.6% 6.7%

Total Capital 3 6 3Tier 1 1 4 3

Core Tier 1 0 2 1Total Capital 233 1,000 0

Tier 1 12 492 264Core Tier 1 0 214 13

Total Capital 0.1% 25.7% 0.0%Tier 1 0.0% 12.6% 0.5%

Core Tier 1 0.0% 5.5% 0.0%

Net Profit (before losses) 637 n.a. 637Losses (Credit, including foregone interest) -511 n.a. -648Losses/Gains (Trading, FX Risk, Interest Rate Risk,Other) 52 0 -92Net Losses/Profit 178 n.a. -103Risk weighted assets of the banking sector 39,336 39,510 36,467

Bank 1 Bank 2 Bank 3 Bank 4 Bank 5 Bank 6 Bank 7 Bank 8

Before Stress

Instantaneous Shock

Scenario analysis (for info)

-11 -8 -1 -2 -1 -5 -5 -9

-13 0 0 0 0 0 0 0

-19 -19 -6 -20 -9 -2 -5 -6

13 6 2 3 0 2 2 13

2,345 449 161 659 501 915 697 2,6907.7% 10.1% 6.6% 5.6% 6.7% 7.0% 6.4% 5.4%

100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%-181 -45 -11 -37 -34 -64 -45 -146

14.6% 8.4% 46.9% 230.6% 90.3% 41.8% 61.2% 387.1%

0 0 0 0 0 0 0 0

63 5 5 18 0 7 1 0

Bank 1 Bank 2 Bank 3 Bank 4 Bank 5 Bank 6 Bank 7 Bank 8

0 0 0 0 0 0 0 063 5 5 18 0 7 1 0

0 0 0 0 0 0 0 0

779 565 54 164 169 298 432 559611 401 49 127 n.a. n.a. 339 518531 301 34 n.a. n.a. n.a. n.a. n.a.

11,457 2,989 1,528 2,476 1,856 2,300 2,587 3,718

6.80% 18.9% 3.5% 6.6% 9.1% 13.0% 16.7% 15.0%5.3% 13.4% 3.2% 5.1% n.a. n.a. 13.1% 13.9%4.6% 10.1% 2.2% n.a. n.a. n.a. n.a. n.a.

1 0 1 1 1 0 0 01 0 1 1 0 0 0 01 0 1 0 0 0 0 0

596 0 129 133 54 0 0 0306 0 73 71 0 0 0 0156 0 58 0 0 0 0 0


-1 -5 -6 -5 0 0 0

0 0 0 0 0 0 0

-2 0 0 0 0 0 0

0 1 7 5 n.a. n.a. n.a.

320 706 0 0 0 0 06.2% 8.5% 7.5% 7.5% n.a. n.a. n.a.

100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%-20 -60 0 0 n.a. n.a. n.a.

74.1% 19.8% 0.0% 0.0% n.a. n.a. n.a.

0 0 0 0 0 0 0

1 14 36 25 n.a. n.a. n.a.


0 0 0 0 0 0 01 14 36 25 n.a. n.a. n.a.

0 0 0 0 0 0 0

62 454 445 311 n.a. n.a. n.a.n.a. 316 349 244 n.a. n.a. n.a.n.a. n.a. n.a. 213 n.a. n.a. n.a.564 4,468 3,274 2,292 n.a. n.a. n.a.

11.0% 10.2% 13.6% 13.6% n.a. n.a. n.a.n.a. 7.1% 10.7% 10.7% n.a. n.a. n.a.n.a. n.a. n.a. 9.3% n.a. n.a. n.a.

1 1 0 0 0 0 00 1 0 0 0 0 00 0 0 0 0 0 0

6 82 0 0 0 0 00 42 0 0 0 0 00 0 0 0 0 0 0

Detailled Results for Banks, Year 1 System Bank 1

Credit RiskTotal Credit (on- & off-balance, before stress) 36,808 9,574Total Customer Loans 25,482 5,380

Losses/Provisions reported 437 128Loss Rates 2.2% 2.7%

Total Credit Exposure included in Stress Test 35,893 9,387Loss Rate (for total exposure included in tests) 2.3% 2.7%

Credit Growth (during stress horizon) 1,077 282Loss Rates (Stress) 1.8% 2.1%Defaulted Credit/NPL Inflow (conditional on scenario) 658 203LGD (stress) 100.0% 100.0%Total Credit (performing loans after stress) 36,312 9,466

Impairments (reported before stress) 511 132Impairments (scenario) 648 200

Risk Weighted AssetsCredit Risk (before Stress) Basel II Approach to Credit Risk Basel I RWAs for Credit Risk (before stress) 26,066 4,777 RWAs for Credit Risk (IRB) 36,477 10,505RWAs for Market Risk 1,081 259RWAs for Operational Risk (before stress) 1,744 629RWAs for Other Pillar 1 charges 33 0RWAs for Pillar 2 (if selected) 0 0Total RWAs before Stress 39,336 11,394 RWAs for Credit Risk (after stress) 32,809 9,353 RWAs for Market Risk (after stress) 1,114 267 RWAs for Operational Risk (after stress) 1,796 648 RWAs for Other Pillar 1 charges (after stress) 33 0 RWAs for Pillar 2 (after stress) 0 0Total RWAs after stress 36,467 10,474

Profits Profit (reported operating income incl. impairments, used fo 178 33Profit (reported, re-scaled to one year, if applicable) 178 33 Impairments necessary exceeding reported provisions -137 -68 Net Interest Income (incl. proportional change due to credit r 0 0 Net Fee and Commission Income 0 0 Net Trading Income 0 0 Losses/Gains in market portfolios (investment, trading) -69 -27 Interest Risk Shock in the banking book -14 -3 Foreign Exchange Rate Risk -60 -25 Change of all other income components not covered others 0 0Adjustment of profit (positive or genative) -281 -123Profit/loss (after stress, added to capital) -140 -89

Regulatory CapitalRegulatory capital before stress (Total) 4,292 779Regulatory capital after stress (Total) 4,152 689Regulatory capital before stress (Tier 1) 2,954 611Regulatory capital after stress (Tier 1) 2,804 522Regulatory capital before stress (Core Tier 1) 1,079 531Regulatory capital after stress (Core Tier 1) 971 442

Capital AdequacyTotal Capital Ratio before Stress (CAR) 11.7% 6.8%Total Capital Ratio after stress (CAR) 12.1% 6.6%Tier 1 Ratio before stress (T1R) 9.4% 5.4%Tier 1 Ratio after stress (T1R) 9.6% 5.0%Common/Core Tier 1 Ratio before stress (Core T1R) 6.6% 4.7%Common/Core Tier 1 Ratio after stress (Core T1R) 6.7% 4.2%Minimum regulatory capital (after stress, Total CAR) 2,917 838 Minimum regulatory capital (after stress, Tier 1) 1,459 419 Minimum regulatory capital (after stress, Core Tier 1) 729 209

Recapitalization Needs (Total CAR)Recapitalization needed before stress (0=no, 1=yes) 3 1Recapitalization needs before stress 233 133Recapitalization needed after stress (0=no, 1=yes) 3 1Recapitalization needs after stress 264 148

Recapitalization Needs (Tier 1)Recapitalization needed before stress (0=no, 1=yes) 1 0Recapitalization needs before stress 12 0Recapitalization needed after stress (0=no, 1=yes) 1 0Recapitalization needs after stress 13 0

Recapitalization Needs (Core Tier 1)Recapitalization needed before stress (0=no, 1=yes) 0 0Recapitalization needs before stress 0 0Recapitalization needed after stress (0=no, 1=yes) 0 0Recapitalization needs after stress 0 0

Leverage (based on Total Capital) 11.5% 7.0%Leverage (based on Tier 1 Capital) 7.8% 5.3%

Phase-out Total Capital 0 0Phase-out Tier 1 Capital 0 0Phase-out Common/Core Tier 1 Capital 0 0

Banks failing the tests (post test) 3 1Banks failing the tests (pre test) 3 1


2,601 1,329 2,946 933 1,729 1,442 5,1692,250 392 1,220 928 1,695 1,291 4,982

93 5 5 13 0 11 05.1% 1.6% 0.6% 1.7% 2.0% 1.4% 0.4%

2,601 672 1,490 1,011 1,848 1,407 5,4305.1% 1.6% 0.6% 1.7% 2.0% 1.4% 0.4%

78 20 45 30 55 42 1634.0% 1.3% 0.5% 1.4% 1.5% 1.1% 0.3%

106 9 8 14 29 16 19100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%

2,573 684 1,527 1,028 1,874 1,433 5,574

121 4 7 0 33 15 5105 9 7 14 29 15 18

Std. Apr. Std. Apr. Std. Apr. Std. Apr. AIRB AIRB Std. Apr.3,683 305 542 343 2,178 2,536 4,4032,812 1,438 2,193 1,846 2,178 2,536 3,465

125 36 52 7 46 40 25048 45 185 3 69 11 3

0 5 28 0 0 0 00 0 0 0 0 0 0

2,985 1,524 2,458 1,856 2,293 2,586 3,7182,392 1,307 2,027 1,674 1,966 2,312 3,214

129 37 53 7 47 41 25849 46 190 3 71 11 3

0 5 28 0 0 0 00 0 0 0 0 0 0

2,622 1,422 2,345 1,717 2,126 2,412 3,544

16 7 -8 11 33 25 216 7 -8 11 33 25 217 -4 0 -14 5 0 -14

0 0 0 0 0 0 00 0 0 0 0 0 00 0 0 0 0 0 0

-11 -7 -19 -5 -1 -5 -3-2 0 0 0 -1 -1 -2

n.a. n.a. n.a. n.a. n.a. n.a. n.a.0 0 0 0 0 0 04 -12 -19 -18 2 -6 -20

10 -5 -28 -8 18 9 -17

565 54 164 169 298 432 559575 49 136 161 316 441 541401 49 127 339 518411 44 99 348 501301 34311 29

18.9% 3.6% 6.7% 9.1% 13.0% 16.7% 15.0%21.9% 3.5% 5.8% 9.4% 14.9% 18.3% 15.3%13.4% 3.2% 5.2% 13.1% 13.9%15.7% 3.1% 4.2% 14.4% 14.1%10.1% 2.2%11.9% 2.0%

210 114 188 137 170 193 284 105 57 94 69 85 96 142 52 28 47 34 43 48 71

0 1 1 0 0 0 00 68 33 0 0 0 00 1 1 0 0 0 00 65 51 0 0 0 0

0 1 0 n.a. n.a. 0 00 12 0 0 0 0 00 1 0 n.a. n.a. 0 00 13 0 0 0 0 0

0 0 n.a. n.a. n.a. n.a. n.a.0 0 0 0 0 0 00 0 n.a. n.a. n.a. n.a. n.a.0 0 0 0 0 0 0

21.5% 3.6% 4.6% 16.7% 17.7% 29.7% 10.2%15.3% 3.3% 3.3% n.a. n.a. 23.5% 9.4%

0 0 0 0 0 0 00 0 0 n.a. n.a. 0 00 0 n.a. n.a. n.a. n.a. n.a.

0 1 1 0 0 0 00 1 1 0 0 0 0


596 1,906 4,754 3,829593 1,524 3,074 2,152

0 58 73 511.2% 3.5% 2.5% 2.5%

646 2,817 4,754 3,829 n.a. n.a. n.a.1.2% 3.5% 2.5% 2.5% n.a. n.a. n.a.

19 85 143 1150.9% 2.8% 1.9% 1.9% n.a. n.a. n.a.

6 79 94 76 Please Check Please Check Please Check100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%

660 2,822 4,803 3,869 n.a. n.a. n.a.

6 58 76 53 n.a. n.a. n.a.6 78 92 74

AIRB Std. Apr. 0 0 0 0 0555 2,102 2,730 1,911555 4,307 2,730 1,911

3 12 148 1045 136 360 2520 0 0 0 0 0 00 0 0 0 0 0 0

564 4,455 3,238 2,266508 3,778 2,516 1,761 n.a. n.a. n.a.

3 12 153 1075 140 370 2590 0 0 0 0 0 00 0 0 0 0 0 0

527 4,008 3,100 2,170 0 0 0

1 26 19 13 n.a. n.a. n.a.1 26 19 13 n.a. n.a. n.a.0 -20 -17 -21 n.a. n.a. n.a.0 0 0 0 0 0 00 0 0 0 0 0 00 0 0 0 0 0 0

-1 -2 15 -40 -1 -2 -1 0 0 0

n.a. -10 -15 -10 n.a. n.a. n.a.0 0 0 0 0 0 0

-1 -33 -18 -37 0 0 00 -7 1 -23 n.a. n.a. n.a.

62 454 445 31162 447 445 288

316 349 244308 350 221

213189

11.0% 10.2% 13.7% 13.7%11.8% 11.1% 14.4% 13.3%

7.1% 10.8% 10.8%7.7% 11.3% 10.2%

9.4%8.7%

42 321 248 174 - - - 21 160 124 87 - - - 11 80 62 43 - - -

0 0 0 0 n.a. n.a. n.a.0 0 0 0 0 0 00 0 0 0 n.a. n.a. n.a.0 0 0 0 0 0 0

n.a. 0 0 0 n.a. n.a. n.a.0 0 0 0 0 0 0

n.a. 0 0 0 n.a. n.a. n.a.0 0 0 0 0 0 0

n.a. n.a. n.a. 0 n.a. n.a. n.a.0 0 0 0 0 0 0

n.a. n.a. n.a. 0 n.a. n.a. n.a.0 0 0 0 0 0 0

10.1% 22.4% 9.1% 7.3% n.a. n.a. n.a.n.a. 15.5% 7.1% 5.6% n.a. n.a. n.a.

0 0 0 0 n.a. n.a. n.a.n.a. 0 0 0 n.a. n.a. n.a.n.a. n.a. n.a. 0 n.a. n.a. n.a.

0 0 0 0 0 0 00 0 0 0 0 0 0


Credit Risk

Total Performing Credit (included in tests, after year 1) 36,307 9,463



Risk Weighted AssetsCredit Risk (before Stress) Basel II Approach to Credit Risk Basel I

RWAs for Credit Risk (after Year 1) 32,809 9,353RWAs for Market Risk (after Year 1) 1,114 267RWAs for Operational Risk (after Year 1) 1,796 648RWAs for Other Pillar 1 charges (after Year 1) 33 0RWAs for Pillar 2 (if selected, after Year 1) 0 0Total RWAs after Year 1 35,752 10,269 RWAs for Credit Risk (after stress) 30,674 8,662 RWAs for Market Risk (after stress) 1,147 275 RWAs for Operational Risk (after stress) 1,850 668 RWAs for Other Pillar 1 charges (after stress) 33 0 RWAs for Pillar 2 (after stress) 0 0Total RWAs after 2nd Year 33,705 9,605

Profits Profit (reported operating income incl. impairments, used fo 178 33Profit (reported, re-scaled to one year, if applicable) 178 33 Impairments necessary exceeding reported provisions -51 -41 Net Interest Income (incl. proportional change due to credit r 0 0 Net Fee and Commission Income 0 0 Net Trading Income 0 0 Losses in the market portfolios (investment, trading), net of 0 0 Interest Risk Shock in the banking book 0 n.a. Foreign Exchange Rate Risk -60 -25 Change of all other income components not covered others 0 0Adjustment of profit (positive or genative) -111 -67Profit/loss (after stress, added to capital) 3 -33

Regulatory CapitalRegulatory capital before stress (Total) 4,152 689Regulatory capital after stress (Total) 4,155 656Regulatory capital before stress (Tier 1) 2,804 522Regulatory capital after stress (Tier 1) 2,787 488Regulatory capital before stress (Core Tier 1) 971 442Regulatory capital after stress (Core Tier 1) 955 409

Capital AdequacyTotal Capital Ratio before Stress (CAR) 12.4% 6.7%Total Capital Ratio after stress (CAR) 13.1% 6.8%Tier 1 Ratio before stress (T1R) 9.8% 5.1%Tier 1 Ratio after stress (T1R) 10.3% 5.1%Common/Core Tier 1 Ratio before stress (Core T1R) 6.8% 4.3%Common/Core Tier 1 Ratio after stress (Core T1R) 7.3% 4.3%Minimum regulatory capital (after stress, Total CAR) 2,696 768 Minimum regulatory capital (after stress, Tier 1) 1,348 384 Minimum regulatory capital (after stress, Core Tier 1) 674 192






Banks failing the tests 3 1


2,571 684 1,527 1,028 1,874 1,433 5,574

77 21 46 31 56 43 1673.5% 1.1% 0.4% 1.2% 1.3% 0.9% 0.3%

91 8 7 12 25 14 16100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%

2,558 697 1,566 1,046 1,904 1,462 5,725

121 4 7 0 33 15 589 7 7 12 25 14 16

Std. Apr. Std. Apr. Std. Apr. Std. Apr. AIRB AIRB Std. Apr.

2,392 1,307 2,027 1,674 1,966 2,312 3,214129 37 53 7 47 41 258

49 46 190 3 71 11 30 5 28 0 0 0 00 0 0 0 0 0 0

2,570 1,394 2,299 1,684 2,084 2,365 3,4742,127 1,232 1,941 1,576 1,843 2,188 3,089

133 38 55 7 49 42 26551 48 196 3 73 11 3

0 5 28 0 0 0 00 0 0 0 0 0 0

2,311 1,323 2,220 1,586 1,964 2,242 3,357

16 7 -8 11 33 25 216 7 -8 11 33 25 232 -3 1 -12 8 2 -12

0 0 0 0 0 0 00 0 0 0 0 0 00 0 0 0 0 0 00 0 0 0 0 0 0


0 0 0 0 0 0 032 -3 1 -12 8 2 -1224 2 -8 -1 21 13 -9

575 49 136 161 316 441 541599 51 129 160 337 454 532411 44 99 348 501435 46 92 361 492311 29335 31

22.4% 3.5% 5.9% 9.6% 15.2% 18.7% 15.6%25.9% 3.9% 5.8% 10.1% 17.1% 20.3% 15.8%16.0% 3.2% 4.3% 14.7% 14.4%18.8% 3.5% 4.1% 16.1% 14.6%12.1% 2.1%14.5% 2.3%

185 106 178 127 157 179 269 92 53 89 63 79 90 134 46 26 44 32 39 45 67

0 1 1 0 0 0 00 62 48 0 0 0 00 1 1 0 0 0 00 55 49 0 0 0 0

0 1 0 n.a. n.a. 0 00 12 0 0 0 0 00 1 0 n.a. n.a. 0 00 7 0 0 0 0 0


22.6% 7.3% 8.2% 15.1% 17.4% 30.8% 9.3%16.4% 6.5% 5.8% n.a. n.a. 24.5% 8.6%

0 0 0 0 0 0 00 0 0 n.a. n.a. 0 00 0 n.a. n.a. n.a. n.a. n.a.

0 1 1 0 0 0 0


660 2,821 4,804 3,870 0 0 0

20 85 144 116 0 0 00.8% 2.4% 1.7% 1.7% n.a. n.a. n.a.


674 2,837 4,866 3,920 n.a. n.a. n.a.

6 58 76 53 n.a. n.a. n.a.5 67 81 65

AIRB Std. Apr. 0 0 0 0 0

508 3,778 2,516 1,761 n.a. n.a. n.a.3 12 153 1075 140 370 2590 0 0 0 0 0 00 0 0 0 0 0 0

517 3,930 3,039 2,127483 3,452 2,401 1,680 n.a. n.a. n.a.

4 13 157 1105 144 382 2670 0 0 0 0 0 00 0 0 0 0 0 0

492 3,608 2,939 2,058 0 0 0

1 26 19 13 n.a. n.a. n.a.1 26 19 13 n.a. n.a. n.a.1 -10 -5 -12 n.a. n.a. n.a.0 0 0 0 0 0 00 0 0 0 0 0 00 0 0 0 0 0 00 0 0 0

n.a. n.a. n.a. n.a. n.a. n.a. n.a.n.a. -10 -15 -10 n.a. n.a. n.a.

0 0 0 0 0 0 01 -19 -19 -22 0 0 01 3 0 -9 n.a. n.a. n.a.

62 447 445 28863 450 445 279

308 350 221311 349 212

189181

12.0% 11.4% 14.7% 13.5%12.8% 12.5% 15.1% 13.6%

7.8% 11.5% 10.4%8.6% 11.9% 10.3%

8.9%8.8%

39 289 235 165 - - - 20 144 118 82 - - - 10 72 59 41 - - -

0 0 0 0 n.a. n.a. n.a.0 0 0 0 0 0 00 0 0 0 n.a. n.a. n.a.0 0 0 0 0 0 0

n.a. 0 0 0 n.a. n.a. n.a.0 0 0 0 0 0 0

n.a. 0 0 0 n.a. n.a. n.a.0 0 0 0 0 0 0

n.a. n.a. n.a. 0 n.a. n.a. n.a.0 0 0 0 0 0 0

n.a. n.a. n.a. 0 n.a. n.a. n.a.0 0 0 0 0 0 0

9.3% 15.5% 9.0% 7.0% n.a. n.a. n.a.n.a. 10.7% 7.1% 5.3% n.a. n.a. n.a.


0 0 0 0 0 0 0


Credit Risk





RWAs for Credit Risk (after Year 2) 30,674 8,662RWAs for Market Risk (after Year 2) 1,147 275RWAs for Operational Risk (after Year 2) 1,850 668RWAs for Other Pillar 1 charges (after Year 2) 33 0RWAs for Pillar 2 (if selected, after Year 2) 0 0Total RWAs after Year 2 33,705 9,605 RWAs for Credit Risk (after stress) 28,839 8,075 RWAs for Market Risk (after stress) 1,182 283 RWAs for Operational Risk (after stress) 1,906 688 RWAs for Other Pillar 1 charges (after stress) 33 0 RWAs for Pillar 2 (after stress) 0 0Total RWAs after 3rd Year 31,959 9,046

Profits Profit (reported operating income incl. impairments, used fo 178 33Profit (reported, re-scaled to one year, if applicable) 178 33 Impairments necessary exceeding reported provisions 22 -19 Net Interest Income (incl. proportional change due to credit r 0 0 Net Fee and Commission Income 0 0 Net Trading Income 0 0 Losses in the market portfolios (investment, trading), net of -69 -27 Interest Risk Shock in the banking book 0 n.a. Foreign Exchange Rate Risk -60 -25 Change of all other income components not covered others 0 0Adjustment of profit (positive or genative) -107 -71Profit/loss (after stress, added to capital) -8 -38


Capital AdequacyTotal Capital Ratio before Stress (CAR) 13.1% 6.8%Total Capital Ratio after stress (CAR) 13.5% 6.7%Tier 1 Ratio before stress (T1R) 10.3% 5.1%Tier 1 Ratio after stress (T1R) 10.6% 4.9%Common/Core Tier 1 Ratio before stress (Core T1R) 7.3% 4.3%Common/Core Tier 1 Ratio after stress (Core T1R) 7.8% 4.1%Minimum regulatory capital (after stress, Total CAR) 2,557 724 Minimum regulatory capital (after stress, Tier 1) 1,438 407 Minimum regulatory capital (after stress, Core Tier 1) 1,119 317








2,557 696 1,566 1,046 1,904 1,462 5,724

77 21 47 31 57 44 1723.0% 0.9% 0.4% 1.0% 1.2% 0.8% 0.2%

78 7 6 11 22 12 14100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%

2,556 711 1,607 1,067 1,939 1,494 5,882

121 4 7 0 33 15 576 6 6 10 22 12 14


2,127 1,232 1,941 1,576 1,843 2,188 3,089133 38 55 7 49 42 265

51 48 196 3 73 11 30 5 28 0 0 0 00 0 0 0 0 0 0

2,311 1,323 2,220 1,586 1,964 2,242 3,3571,915 1,167 1,863 1,490 1,736 2,078 2,972

137 39 57 7 50 44 27352 49 202 3 75 12 3

0 5 28 0 0 0 00 0 0 0 0 0 0

2,104 1,260 2,149 1,500 1,861 2,133 3,248

16 7 -8 11 33 25 216 7 -8 11 33 25 245 -2 1 -10 11 3 -10

0 0 0 0 0 0 00 0 0 0 0 0 00 0 0 0 0 0 0

-11 -7 -19 -5 -1 -5 -3n.a. n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a. n.a.

0 0 0 0 0 0 034 -10 -17 -15 10 -2 -1325 -3 -26 -4 22 12 -11

599 51 129 160 337 454 532615 47 100 153 353 459 512435 46 92 361 492454 43 64 368 474335 31360 28

25.9% 3.9% 5.8% 10.1% 17.1% 20.3% 15.8%29.2% 3.8% 4.7% 10.2% 19.0% 21.5% 15.8%18.8% 3.5% 4.1% 16.1% 14.6%21.6% 3.4% 3.0% 17.3% 14.6%14.5% 2.3%17.1% 2.2%

168 101 172 120 149 171 260 95 57 97 67 84 96 146 74 44 75 52 65 75 114

0 1 1 0 0 0 00 55 49 0 0 0 00 1 1 0 0 0 00 53 72 0 0 0 0

0 1 1 n.a. n.a. 0 00 13 8 0 0 0 00 1 1 n.a. n.a. 0 00 14 33 0 0 0 0


10.6% 2.1% 1.8% 7.2% 14.3% 16.9% 5.2%17.2% 5.9% 4.0% n.a. n.a. 24.4% 8.0%

9 1 3 3 5 7 96 1 2 n.a. n.a. 5 70 0 n.a. n.a. n.a. n.a. n.a.

0 1 1 0 0 0 0


674 2,836 4,868 3,921 0 0 0

20 85 146 118 0 0 00.7% 2.1% 1.4% 1.4% n.a. n.a. n.a.


690 2,862 4,942 3,981 n.a. n.a. n.a.

6 58 76 53 n.a. n.a. n.a.5 58 70 57


483 3,452 2,401 1,680 n.a. n.a. n.a.4 13 157 1105 144 382 2670 0 0 0 0 0 00 0 0 0 0 0 0

492 3,608 2,939 2,058460 3,181 2,296 1,607 n.a. n.a. n.a.

4 13 162 1136 148 393 2750 0 0 0 0 0 00 0 0 0 0 0 0

469 3,342 2,851 1,996 0 0 0

1 26 19 13 n.a. n.a. n.a.1 26 19 13 n.a. n.a. n.a.2 -1 5 -4 n.a. n.a. n.a.0 0 0 0 0 0 00 0 0 0 0 0 00 0 0 0 0 0 0

-1 -2 15 -4n.a. n.a. n.a. n.a. n.a. n.a. n.a.n.a. -10 -15 -10 n.a. n.a. n.a.

0 0 0 0 0 0 01 -12 6 -18 0 0 01 7 12 -4 n.a. n.a. n.a.

63 450 445 27963 449 450 270

311 349 212314 357 204

181176

12.8% 12.5% 15.1% 13.6%13.4% 13.4% 15.8% 13.5%

8.6% 11.9% 10.3%9.4% 12.5% 10.2%

8.8%8.8%

38 267 228 160 - - - 21 150 128 90 - - - 16 117 100 70 - - -

0 0 0 0 n.a. n.a. n.a.0 0 0 0 0 0 00 0 0 0 n.a. n.a. n.a.0 0 0 0 0 0 0

n.a. 0 0 0 n.a. n.a. n.a.0 0 0 0 0 0 0

n.a. 0 0 0 n.a. n.a. n.a.0 0 0 0 0 0 0

n.a. n.a. n.a. 0 n.a. n.a. n.a.0 0 0 0 0 0 0

n.a. n.a. n.a. 0 n.a. n.a. n.a.0 0 0 0 0 0 0

6.7% 15.9% 6.3% 5.3% n.a. n.a. n.a.n.a. 10.7% 7.1% 5.1% n.a. n.a. n.a.


0 0 0 0 0 0 0


Credit Risk





RWAs for Credit Risk (after Year 3) 28,839 8,075RWAs for Market Risk (after Year 3) 1,182 283RWAs for Operational Risk (after Year 3) 1,906 688RWAs for Other Pillar 1 charges (after Year 3) 33 0RWAs for Pillar 2 (if selected, after Year 3) 0 0Total RWAs after Year 3 31,959 9,046 RWAs for Credit Risk (after stress) 31,725 8,804 RWAs for Market Risk (after stress) 1,217 292 RWAs for Operational Risk (after stress) 1,963 708 RWAs for Other Pillar 1 charges (after stress) 33 0 RWAs for Pillar 2 (after stress) 0 0Total RWAs after 4th Year 34,938 9,805

Profits Profit (reported operating income incl. impairments, used fo 178 33Profit (reported, re-scaled to one year, if applicable) 178 33 Impairments necessary exceeding reported provisions -119 -63 Net Interest Income (incl. proportional change due to credit r 0 0 Net Fee and Commission Income 0 0 Net Trading Income 0 0 Losses in the market portfolios (investment, trading), net of -69 -27 Interest Risk Shock in the banking book 0 n.a. Foreign Exchange Rate Risk -60 -25 Change of all other income components not covered others 0 0Adjustment of profit (positive or genative) -248 -115Profit/loss (after stress, added to capital) -115 -82










2,555 711 1,607 1,067 1,938 1,494 5,881

77 21 48 32 58 45 1763.8% 1.2% 0.5% 1.3% 1.5% 1.0% 0.3%

100 9 8 14 29 16 19100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%

2,531 723 1,647 1,085 1,967 1,523 6,039

121 4 7 0 33 15 597 8 8 14 28 15 19


1,915 1,167 1,863 1,490 1,736 2,078 2,972137 39 57 7 50 44 273

52 49 202 3 75 12 30 5 28 0 0 0 00 0 0 0 0 0 0

2,104 1,260 2,149 1,500 1,861 2,133 3,2481,981 1,303 2,121 1,659 1,923 2,330 3,400

141 40 58 8 52 45 28154 51 208 3 77 12 3

0 5 28 0 0 0 00 0 0 0 0 0 0

2,175 1,399 2,416 1,670 2,052 2,387 3,684

16 7 -8 11 33 25 216 7 -8 11 33 25 224 -4 0 -14 5 0 -14

0 0 0 0 0 0 00 0 0 0 0 0 00 0 0 0 0 0 0


0 0 0 0 0 0 014 -12 -19 -18 4 -5 -1715 -5 -27 -7 18 10 -15

615 47 100 153 353 459 512620 42 70 143 366 461 487454 43 64 368 474463 37 35 373 451360 28360 22

29.2% 3.8% 4.7% 10.2% 19.0% 21.5% 15.8%28.5% 3.0% 2.9% 8.5% 17.9% 19.3% 13.2%21.6% 3.4% 3.0% 17.3% 14.6%21.3% 2.7% 1.4% 15.6% 12.2%17.1% 2.2%16.5% 1.6%

174 112 193 134 164 191 295 120 77 133 92 113 131 203 87 56 97 67 82 95 147

0 1 1 0 0 0 00 53 72 0 0 0 00 1 1 0 0 0 00 70 123 0 0 0 0

0 1 1 n.a. n.a. 0 00 27 54 0 0 0 00 1 1 n.a. n.a. 0 00 40 98 0 0 0 0


10.6% 1.9% 1.3% 6.6% 14.5% 16.7% 4.9%17.6% 5.1% 2.1% n.a. n.a. 24.3% 7.4%

9 1 3 3 5 7 96 1 2 n.a. n.a. 5 7

15 2 n.a. n.a. n.a. n.a. n.a.

0 1 1 0 0 0 0


690 2,861 4,943 3,982 0 0 0

21 86 148 119 0 0 00.9% 2.6% 1.8% 1.8% n.a. n.a. n.a.


704 2,870 4,998 4,026 n.a. n.a. n.a.

6 58 76 53 n.a. n.a. n.a.6 75 91 73


460 3,181 2,296 1,607 n.a. n.a. n.a.4 13 162 1136 148 393 2750 0 0 0 0 0 00 0 0 0 0 0 0

469 3,342 2,851 1,996518 3,408 2,516 1,761 n.a. n.a. n.a.

4 14 167 1176 153 405 2830 0 0 0 0 0 00 0 0 0 0 0 0

527 3,575 3,087 2,161 0 0 0

1 26 19 13 n.a. n.a. n.a.1 26 19 13 n.a. n.a. n.a.0 -17 -15 -20 n.a. n.a. n.a.0 0 0 0 0 0 00 0 0 0 0 0 00 0 0 0 0 0 0


0 0 0 0 0 0 0-1 -29 -15 -34 0 0 00 -3 2 -21 n.a. n.a. n.a.

63 449 450 27062 439 445 244

314 357 204306 354 180

176144

13.4% 13.4% 15.8% 13.5%11.8% 12.3% 14.4% 11.3%

9.4% 12.5% 10.2%8.6% 11.5% 8.3%

8.8%6.7%

42 286 247 173 - - - 29 197 170 119 - - - 21 143 123 86 - - -

0 0 0 0 n.a. n.a. n.a.0 0 0 0 0 0 00 0 0 0 n.a. n.a. n.a.0 0 0 0 0 0 0

n.a. 0 0 0 n.a. n.a. n.a.0 0 0 0 0 0 0

n.a. 0 0 0 n.a. n.a. n.a.0 0 0 0 0 0 0

n.a. n.a. n.a. 0 n.a. n.a. n.a.0 0 0 0 0 0 0

n.a. n.a. n.a. 0 n.a. n.a. n.a.0 0 0 0 0 0 0

6.5% 15.0% 6.1% 4.7% n.a. n.a. n.a.n.a. 10.4% 7.0% 4.4% n.a. n.a. n.a.


0 0 0 0 0 0 0


Credit Risk


Credit Growth (during stress horizon) 1,137 294PD (stress) 2.1% 2.6%Defaulted Credit/NPL Inflow (conditional on scenario) 833 259Loss Rates (Stress) 100.0% 100.0%Total Credit (performing loans after stress) 38,211 9,823



RWAs for Credit Risk (after Year 4) 31,725 8,804RWAs for Market Risk (after Year 4) 1,217 292RWAs for Operational Risk (after Year 4) 1,963 708RWAs for Other Pillar 1 charges (after Year 4) 33 0RWAs for Pillar 2 (if selected, after Year 4) 0 0Total RWAs after Year 4 34,938 9,805 RWAs for Credit Risk (after stress) 34,653 9,452 RWAs for Market Risk (after stress) 1,254 301 RWAs for Operational Risk (after stress) 2,022 730 RWAs for Other Pillar 1 charges (after stress) 33 0 RWAs for Pillar 2 (after stress) 0 0Total RWAs after 5th Year 37,962 10,482

Profits Profit (reported operating income incl. impairments, used fo 178 33Profit (reported, re-scaled to one year, if applicable) 178 33 Impairments necessary exceeding reported provisions -297 -119 Net Interest Income (incl. proportional change due to credit r 0 0 Net Fee and Commission Income 0 0 Net Trading Income 0 0 Losses in the market portfolios (investment, trading), net of -69 -27 Interest Risk Shock in the banking book 0 n.a. Foreign Exchange Rate Risk -60 -25 Net change of all other income components not covered oth 0 0Adjustment of profit (positive or genative) -427 -171Profit/loss (after stress, added to capital) -272 -137










2,531 723 1,647 1,085 1,967 1,523 6,039

76 22 49 33 59 46 1814.8% 1.5% 0.6% 1.6% 1.9% 1.3% 0.4%

126 11 10 18 38 21 25100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%

2,481 734 1,686 1,099 1,988 1,548 6,195

121 4 7 0 33 15 5123 11 10 18 37 20 24


1,981 1,303 2,121 1,659 1,923 2,330 3,400141 40 58 8 52 45 281

54 51 208 3 77 12 30 5 28 0 0 0 00 0 0 0 0 0 0

2,175 1,399 2,416 1,670 2,052 2,387 3,6841,985 1,443 2,408 1,831 2,106 2,593 3,882

145 41 60 8 53 46 29055 52 214 3 80 12 3

0 5 28 0 0 0 00 0 0 0 0 0 0

2,186 1,542 2,711 1,842 2,239 2,651 4,175

16 7 -8 11 33 25 216 7 -8 11 33 25 2-1 -7 -3 -18 -3 -5 -190 0 0 0 0 0 00 0 0 0 0 0 00 0 0 0 0 0 0


0 0 0 0 0 0 0-12 -14 -21 -22 -5 -10 -23

2 -7 -30 -11 14 8 -21

620 42 70 143 366 461 487613 34 37 128 376 462 458463 37 35 373 451460 30 3 376 423360 22347 13

28.5% 3.0% 2.9% 8.5% 17.9% 19.3% 13.2%28.0% 2.2% 1.4% 7.0% 16.8% 17.4% 11.0%21.3% 2.7% 1.4% 15.6% 12.2%21.0% 1.9% 0.1% 14.2% 10.1%16.5% 1.6%15.9% 0.8%

175 123 217 147 179 212 334 131 93 163 111 134 159 251 98 69 122 83 101 119 188

0 1 1 0 0 0 00 70 123 0 0 0 00 1 1 1 0 0 00 89 179 19 0 0 0

0 1 1 n.a. n.a. 0 00 47 110 0 0 0 00 1 1 n.a. n.a. 0 00 63 159 0 0 0 0


10.3% 1.5% 0.7% 5.9% 14.6% 16.5% 4.5%17.6% 4.0% 0.2% n.a. n.a. 24.0% 6.8%

9 1 3 3 5 7 96 1 2 n.a. n.a. 5 7

15 2 n.a. n.a. n.a. n.a. n.a.

0 1 1 1 0 0 0


704 2,870 5,001 4,028 0 0 0

21 86 150 121 0 0 01.1% 3.3% 2.3% 2.3% n.a. n.a. n.a.


717 2,858 5,030 4,052 n.a. n.a. n.a.

6 58 76 53 n.a. n.a. n.a.8 96 117 95


518 3,408 2,516 1,761 n.a. n.a. n.a.4 14 167 1176 153 405 2830 0 0 0 0 0 00 0 0 0 0 0 0

527 3,575 3,087 2,161580 3,578 2,820 1,974 n.a. n.a. n.a.

4 14 172 1206 157 417 2920 0 0 0 0 0 00 0 0 0 0 0 0

590 3,749 3,409 2,386 0 0 0

1 26 19 13 n.a. n.a. n.a.1 26 19 13 n.a. n.a. n.a.

-2 -38 -42 -42 n.a. n.a. n.a.0 0 0 0 0 0 00 0 0 0 0 0 00 0 0 0 0 0 0


0 0 0 0 0 0 0-2 -49 -41 -56 0 0 0-1 -24 -22 -42 n.a. n.a. n.a.

62 439 445 24460 407 415 196

306 354 180278 327 134

14492

11.8% 12.3% 14.4% 11.3%10.1% 10.9% 12.2% 8.2%

8.6% 11.5% 8.3%7.4% 9.6% 5.6%

6.7%3.8%

47 300 273 191 - - - 35 225 205 143 - - - 27 169 153 107 - - -

0 0 0 0 n.a. n.a. n.a.0 0 0 0 0 0 00 0 0 0 n.a. n.a. n.a.0 0 0 0 0 0 0

n.a. 0 0 0 n.a. n.a. n.a.0 0 0 0 0 0 0

n.a. 0 0 1 n.a. n.a. n.a.0 0 0 9 0 0 0

n.a. n.a. n.a. 0 n.a. n.a. n.a.0 0 0 0 0 0 0

n.a. n.a. n.a. 1 n.a. n.a. n.a.0 0 0 16 0 0 0

6.1% 13.6% 5.5% 3.7% n.a. n.a. n.a.n.a. 9.4% 6.3% 3.2% n.a. n.a. n.a.


0 0 0 1 0 0 0

The set-up sheet allows the user to define a specific format for the stress testing template, excluding all elements that are not being used.

1 General Set-up

1.1 Number of banks 15

1.2 Definition of Banking groups (to analyse result by different peer groups)

Include peer groups FalseNumber of peer groups 6

Group 1 PrivateGroup 2 SavingsGroup 3 CooperativeGroup 4 Public BankGroup 5 Foreign Group 6 OtherGroup 7 Not assignedGroup 8 Not assignedGroup 9 Not assignedGroup 10 Not assigned

2 Definitions for Credit Risk (Loss Definition, Industry, Regions, etc. used for Stress Test Set-up)

2.1 Definition of loss referred to

Please choose Losses/Provisions

2.2 Broad credit sectors/asset classes (Example: Basel II)

Include broad sectors FalseNumber of sectors 10

Sector 1 SovereignSector 2 Non-sovereign public sector entitiesSector 3 Banks/InstitutionsSector 4 CorporatesSector 5 SME (please avoid double counting with corporate exposure)

Run Set-up

Mimimum Input

Extended Input

Maximum Input

Sector 6 RetailSector 7 Residential mortgages (please avoid double counting with retail exposure)Sector 8 SecuritizationSector 9 DerivativesSector 10 Off-balance sheet credit

2.3 Granular credit sectors (Example: Moody's)

Include fine sectors TrueNumber of sectors 20

Sector 1 Government and quasi-governmentSector 2 Other Public SectorSector 3 BanksSector 4 Other Financials & Real Estate Sector 5 Capital IndustriesSector 6 Consumer industriesSector 7 Energy & EnvironmentSector 8 Media & PublishingSector 9 Retail & DistributionSector 10 TechnologySector 11 Transportation Sector 12 UtilitiesSector 13 OtherSector 14 Households - Mortgages (or total, if no split)Sector 15 Households - Consumer Credit & Credit CardsSector 16 ConstructionSector 17 SecuritizationSector 18 DerivativesSector 19 Other Liquid CreditSector 20 Off-balance sheet credit

2.4 Regional Split of Portfolio

Include regional split FalseNumber of sectors 11

Region 1 Africa (Sub-Saharan) Region 2 America (Central and South) Region 3 America (North)Region 4 Asia (East)Region 5 Asia (South-East) Region 6 Australia and New Zealand Region 7 Commonwealth of Independent StatesRegion 8 Eastern (Central and East) Region 9 Europe (West) Region 10 Middle East and North Africa Region 11 OtherRegion 12 Not assignedRegion 13 Not assignedRegion 14 Not assignedRegion 15 Not assignedRegion 16 Not assigned

Region 17 Not assignedRegion 18 Not assignedRegion 19 Not assignedRegion 20 Not assigned

3 Definition of Market Risk Factors (Industry, Regions, etc. used for Stress Test Set-up / Portfolio Management)

3.1 Market Portfolio Categories

Include portfolio TrueNumber of asset classes 5

Asset Class 1 Sovereign BondsAsset Class 2 Other BondsAsset Class 3 EquityAsset Class 4 StructuredAsset Class 5 OtherAsset Class 6 Not assignedAsset Class 7 Not assignedAsset Class 8 Not assignedAsset Class 9 Not assignedAsset Class 10 Not assigned

3.2 Definition of major currencies

Include foreign currencies TrueNumber of currencies 6

Currency 1 USDCurrency 2 EURCurrency 3 JPYCurrency 4 GBPCurrency 5 CHFCurrency 6 OtherCurrency 7 Not assignedCurrency 8 Not assignedCurrency 9 Not assignedCurrency 10 Not assigned

Include interest rate shock True

3.4 Provision reserves for market risk

Include provision reserves True

4 Inclusion of exposures by rating classes

Include loan book exposures False

Include off-balance exposures False

Include counter party exposures False

3.3 Interest rate risk (to be calibrated outside the framework!)

Include securitization exposures False


Description

Stress Testing based on minimum information

Stress Testing based on extended information (provided that it is available).

Stress Testing based on very comprehensive information (provided that it is available).

1.2 Definition of Banking groups (to analyse result by different peer groups)

Not assignedNot assignedNot assignedNot assigned

2 Definitions for Credit Risk (Loss Definition, Industry, Regions, etc. used for Stress Test Set-up)

Losses/Provisions

2.2 Broad credit sectors/asset classes (Example: Basel II)

Non-sovereign public sector entitiesBanks/Institutions

SME (please avoid double counting with corporate exposure)

After selecting the scope of information to be used (the input above and the number of banks, etc (all orange fields below)), please click this "Run Set-up" button to run the VBA macro to activate the template.

Residential mortgages (please avoid double counting with retail exposure)Securitization

Off-balance sheet credit

2.3 Granular credit sectors (Example: Moody's)

Government and quasi-governmentOther Public Sector

Other Financials & Real Estate Capital IndustriesConsumer industriesEnergy & EnvironmentMedia & PublishingRetail & Distribution

Transportation

Households - Mortgages (or total, if no split)Households - Consumer Credit & Credit CardsConstructionSecuritization

Other Liquid CreditOff-balance sheet credit

Africa (Sub-Saharan) America (Central and South) America (North)

Asia (South-East) Australia and New Zealand Commonwealth of Independent StatesEastern (Central and East) Europe (West) Middle East and North Africa

Not assignedNot assignedNot assignedNot assignedNot assigned


3 Definition of Market Risk Factors (Industry, Regions, etc. used for Stress Test Set-up / Portfolio Management)

Sovereign BondsOther Bonds

Not assignedNot assignedNot assignedNot assignedNot assigned


4 Inclusion of exposures by rating classes

(to be calibrated outside the framework!)


Definition of Conceptual Parameters

1 Definition of Scenarios and shocks

1.1 Definition of the scenario labels (other than for the macroeconomic scenarios)

Label

Baseline

Expert

Manual

Macro

1.2 Interest Rate Shock Scenario Please note: This table defines the name and the severity of interest rate shocks and contains setup type information

Name (Input Sheet)Shock 1 fall in all yield curves (local currency only) by 100 bpsShock 2 increase in all yield curves (local currency only) by 100 bpsShock 3 fall in all yield curves (worldwide) by 100 bpsShock 4 increase in all yield curves (worldwide) by 100 bpsShock 5 fall in all yield curves (worldwide) by 200 bpsShock 6 increase in all yield curves (worldwide) by 200 bpsShock 7Shock 8Shock 9 Not assignedShock 10 Not assigned

2 Look-up table for under-year adjustment factors

Under-year adjustment table (e.g. for profit-scaling)Factor Please do not change unless you have to (eg to refer to another reporting data)

1 12.002 6.003 4.004 3.005 2.406 2.007 1.718 1.509 1.33

10 1.2011 1.0912 1.00

3 Definition of Credit Parameter Sensitivities and Relationships used for Stress Testing

fall in all yield curves greater than 12 months (worldwide) by 100 bpsincrease in all yield curves greater than 12 months (worldwide) by 100 bps

Month (Input-Banks sheet)

3.1 Relationship between PDs and LGDs

Purpose

Specification

For those stress testers who are less familiar with the concept of LGD, the paper by Schuermann (2004) can be an interesting read.

LGD intercept 0.402184LGD slope 2.153536

Numerical Example PD0

0.020.040.060.080.1

0.150.2

There is evidence that PDs and LGDs are positively correlated, suggesting that both variables increase in parallel during shock times. The challenge for stress testers is to know how their joint movement looks like, particularly as LGD data remains very scarce. We provide evidence that can be used to define a stress scenarios. As the relationship can be different from the one we refer to (observed in advances countries), other scenarios based on expert judgment should complement this scenario.

We refer to a recent study by Moody's (2009, "Corporate Default and Recovery Rates, 1920-2008", February 2009) on the relationship between default rates and recovery rates for bank loans, covering the period from 1987 to 2008, which includes several periods of stress (the LGD for 2009 is not higher than for 2008, so the study remains also valid for the current crisis), and add additional stress for downturn, as the relationship found by Moody's is based on normal conditions.

A study by S&P (2010) reveals similar results, but is slightly more conservative on the lower end of the PDs (the formula is not available, though). We will account for this finding by adding a cushion for downturn LGDs.

This finding has been been taken up by the Basel Committee on Banking Supervision (BCBS), which added the requirement to use downturn LGDs to the Basel II framework (para. 468) and provided guidance. A convenient formula that could be considered for stress testing has been proposed by the Fed (Downturn-LGD = 0.08 + 0.92*Long-term average LGD).

For stress testing purposes, the relationship between PDs and LGDs referred to also is adjusted for country-specific circumstances, in order to account for the observation that LGDs vary widely by countries. In order to ease the use of LGDs, country-specific LGDs determined by the World Bank are displayed on the "Input - Country". The LGDs derived in this multi-year study appear to be appropriate, but nevertheless stress testers should not rely on these parameters without additional considerations. Research done by S&P could provide some guidance into that direction.

The empirical relationship between PDs and LGD becomes: LGD = 1- (-2.3408*PD + 0.6498) = 0.3502 + 2.3408*PD and is additionally adjusted for downturn conditions: LGD (under stress) = 0.08 + (0.3502+2.3408*PD)*0.92 = 0.4022 + 2.1535*PD. The LGD will be capped at 100 percent.

Potential adjustment

The stress tester may define other country specifications

LGD intercept 0.290769

LGD slope 2.153536

3.2 Relationship between PDs and Risk-weighted Assets (RWAs)

Purpose

Specification

CofficientRWA Intercept Squared -0.0218RWA Intercept -0.0107RWA Constant 0.0044

3.3 Relationship between Name Concentration and RWAs

Purpose

Specification

Most stress tester have so far neglected the fact that when either PDs or LGDs (or both) increase capital adequacy does not only worsen once there are actual losses reducing capital (the numerator of capital adequacy), but also through an (fair-value type) increase of the riskiness of the portfolio, measured by the Risk-weighted Assets in the denominator. To do so, a meaningful way to calculate the non-linear effect of changes in PDs on RWAs is needed, as the impact of LGDs on RWAs is linear and thus straightforward to be captured. Likewise, one might want to capture the impact of changes in asset correlations on RWAs. (see below)

We use the Basel II IRB model to determine a closed-form solution (i.e. a formula) to calculate the impact of an increase in PDs (or NPLs) on the increase in RWAs conditional on the level of the PD. To do so, we used a polynomial fit function as displayed on the right hand side, which captures the effect very well. The relationship has been determined by fixing the asset correlations to the lowest level of the PDs (a level corresponding to a Aaa rating) and the LGD to 45% and calculating the increase in RWAs for each incremental increase of PDs by 1%.

Accordingly, the post-shock Capital Adequacy Ratios (CARs) of a bank i and time t+1 reflect the impact of (i) losses (net of provisions and profits) and (ii) the increase in Risk-Weighted Assets (RWAs) after the shock (delta RWAs):

Model parameters used on the stress test tabs

One key limitation of the Basel II IRB model is that it does not capture name and sector concentrations. Due to its relatively conservative calibration, it implicitly captures (some) sectoral concentration, while this is not the case of name concentrations. In order to take account of this fact, we refer to a study of the originator of the Basel II model, Michael Gordy, and Eva Luetkebohmert (2007), who have proposed a so-called Granularity adjustment - in fact an add-on to the minimum capital requirements.

In order to keep the adjustment simple, the outcome of the numerical results of Gordy and Luetkebohmert (we use a revised version of the paper that is subject to be published) is used to determine a formula that translates name concentration into additional capital requirements, depending on the actual level of name concentration, measured in terms of the Herdindahl-Hirschman-Index (HHI) and the level of the PD of the portfolio (the HHI is the sum of the squared exposure portions).

Post-Shock CAR =Regulatory Capital + Net IncomeStress

RWA - Losses +ΔRWAStress

Specification

HHILarge Portfolio 0.0006Medium sized Portfolio, low conce 0.001Small Portfolio, Low concentration 0.004Small Portfolio, concentrated 0.011Very Small Portfolio 0.031

CofficientHHI Intercept 0.02HHI Parameter 12.599

HHI PD Factor

Overestimation Factor10 5.3333333333333320 430 350 2.53333333333333

100 2

3.4 Factors to rescale credit-risk related RWAs based on Standardized Approach into IRB RWAs

Purpose

The formula is the be understood as follows: should the HHI of a portfolio be 0.01, the minimum capital requirements would have to be about 15 percent higher, all else being equal. The formula is calibrated for a average PD of 0.4 percent. The Granularity adjustment can be assumed to increase by 10% in relative terms for each increase of the PDs by 0.4 percentage points, whereby we can derive the formula below formula. If one calculates the HHI for the largest n exposures only, one will overestimate the effect, which is also accounted for. However, if one does not use borrower units to calculate the HHI, then both effects can be assumed to approximately neutralize one another.

Portfolio Size (Sample of German banks)

Model parameters used on the stress test tabs

1+(PD of bank portfolio/0.4%-1)*0.1

Factors for overstimation of Granularity adjustment

(provided that connected exposures are available)

Number of Large Exposures

A key advantage of the use of economic capital model-type supervisory system (i.e. the IRB for Credit Risk, the IMA for Market Risk and the AMA for Operational Risk) is that they provide minimum capital requirements that are risk sensitive (we will not discuss prrocyclicality issues, which are currently being debated and might be dealt with by the use of dynamic minimum capital requirement frameworks, for example). The use of risk sensitive measure is key for stress testing, in order to have a clear-cut view on the evolution of risk. As many banks and various countries have not moved to advanced Basel II methods yet, particularly for Credit Risk (and also for Operational Risk). In order to allow for risk-based stress testing, the idea is to rescale the risk-weighted assets of banks that have not yet implemented the IRB by means of an approximation and then to run risk sensitive tests and simulate scenarios accordingly.

Specification

Please carefully verify whether the information is correct! (Scaling factors are likely to range from 0.5 to 1.5, depending on economic conditions, at least of one refers to on-balance sheet credit only). You might want to calculate the sclaing factor based on more granular data on a separate sheet.BankApproach used for Credit R

Correlation (Retail)Maturity adjustment

Capital Ratio

Capital RequirementsRWAs

Reported RWAs

Scaling Factor for IRB

3.5 Relationship between Asset Correlations and Risk-weighted Assets (RWAs)

Purpose

Specification

We use the following relationship, which can be edited to accommodate for different levels of severity

Cofficient

To arrive at the approximation, one requires the IRB inputs, i.e. the aggregate Credit Exposure (Exposure at Default, EAD) as well as the Probability of Defult (PD) and the Loss Given Default (LGD) of the bank level. We distinguish between on-balance sheet exposure and the sum of the on-balance and off-balance sheet exposure.

Total Credit Exposure (On-& Offbalance sheet)

PD of the bank's total credit portfolio

LGD of the Bank's credit exposures

Correlation (Corporate, Institutions; assumptions: same for SME)

On-balance and Off-balance sheet credit

On-balance and Off-balance sheet credit

One key parameter that determines the increase of unexpected losses in a portfolio (i.e. RWAs) is (asset) correlations. In order to simulate the impact of asset correlation stress, we need a "rule" to link asset correlation change to changes in RWAs.

As the asset correlations used in the Basel II IRB model are dependent on the PD (reflecting thefact that larger firms are rated higher on average, i.e. exhibit lower PDs and as larger firms are typically more affected by macroeconomuic developments their correlations are higher) , the impact of asset correlations on RWAs depends on the level of the PD. To determine a meaningful rule of thumb, we simulate the impact of an incremental increase of asset correlations on RWAs. To this end, we double the IRB-based asset correlations and measure the impact on the RWAs (assuming that LGDs are 45 Percent). The outcome, dependent on the asset class , is shown on the right hand side.

In order to cross-check the validity of using this relationship, we refer to an empirical study done based on the economic relationship between asset correlations and Credit Portfolio Risk (ie RWAs). For credit portfolios resembling those of small, medium and large German banks, Mager and Schmieder (2008) find that the empirical relationship is up to linear. They find that for a substnatial relative increase of asset correlations (they refer to an empirical scenario of 71 Percent), RWAs increase by 45 Percent (Small bank portfolio), 70 Percent (Medium-Sized Bank Portfolio) and 126 percent (Large Bank Portfolio), which approximately confirms the previous study.

Impact of Asset Correlation Stress on RWAs

Specification

Asset Correlation Elasticity 1

3.6 Impact of Rating Downgrade by x notches on PDs

Rating One Year PDs ScaleAAA 0.00004 1AA+ 0.00006 2AA 0.00008 3AA- 0.0001 4A+ 0.00012 5A 0.00026 6A- 0.0006 7BBB+ 0.00135 8BBB 0.002 9BBB- 0.00291 10BB+ 0.00682 11BB 0.00728 12BB- 0.01791 13B+ 0.0245 14B 0.03827 15B- 0.07666 16CCC+ 0.0915 17CCC 0.16388 18CCC- 0.24806 19C/CC 0.32949 20Default (+ 1 notch from C/CC) 1 21Default (+ 2 notches from C/CC 1 21Default (+ 3 notches from C/CC 1 21Default (+ 4 notch from C/CC) 1 21Default (+ 5 notches from C/CC 1 21Default (+ 6 notches from C/CC 1 21Default (+ 7 notch from C/CC) 1 21Default (+ 8 notches from C/CC 1 21Default (+ 9 notches from C/CC 1 21

Rating distribution for different asset classes (for benchmarking purposes)

Percent of credit portfolio exposure in rating category AAA

Corporates 3.0Sovereign 18.0Other public 11.3Bank

Master Rating scale (data based on Moody's, on the lower end adjusted for inconsistencies) see Moody's (2009, "Corporate Default and Recovery Rates, 1920-2008", February 2009)

http://www.moodys.com/moodys/cust/content/loadcontent.aspx?source=staticcontent/Free%20Pages/Credit%20Policy%20Research/CreditPolicyCurrentRsrch.htm

3.7 GDP Elasticities of credit risk parametersThe GDP elasticities are based on forthcoming work by Daniel Hardy and Christian Schmieder, determining rules of thumb to stress test credit risk

Level of credit risk parameters under different levels of stress (one-year period)Advanced Economies

Parameter Pre-shock Moderate shockDefault Rate/NPL 1.1 1.8LGD 27 30Credit Correlation 11 12.5

0.8 0.6

GDP ElasticitiesAdvanced Economies

Parameter Moderate shockDefault Rate/NPL -0.15LGD -1Credit Correlation -1

0.08

4 Basel III Parameters and Assumptions (based on official documents and QIS data)

2011 2012

Hurdle Rate Total Capital 8.0% 8.0%Hurdle Rate Tier 1 Capital 4.0% 4.0%Hurdle Rate Common/Core Tier 2.0% 2.0%

Please enter (if applicable)

Total Capital 0.0%Tier 1 Capital 0.0%Common/Core Tier 1 0.0%

Increase of RWAs 2011 (based on QIS data)Group 1 Banks 23.0% 11.5%Group 2 Banks 4.0% 2.0%

50.0%

Source: Table 4 in the QIS report

Pre-impairment pre-tax return on assets

Pre-impairment pre-tax income on assets

The background note on the QIS can be found here

Hurdle Rates (including additional buffer (if selected)

Use additional buffer above hurdle rate?

Please choose additional hurdle rate on summary sheet (click here to navigate)Please choose additional hurdle rate on summary sheet (click here to navigate)Please choose additional hurdle rate on summary sheet (click here to navigate)

2011 (taking into account behavioral adjustments)

Behavioral adjustment by banks

Phase-in of core tier 1 capital deductions (label: "phase-out of capital")


41.3%

24.7%2011 2012

Phase-out portion (specific year 0.0% 0.0%

Phase-out of tier 1 capital Source: Table 4 in the QIS report

30.2%

14.1%2011 2012


Phase-out of total capital Source: Table 4 in the QIS report

26.8%

16.6%2011 2012


Portion subject to phase-out Group 1






Definition of the scenario labels (other than for the macroeconomic scenarios)

Please note: This table defines the name and the severity of interest rate shocks and contains setup type informationChange in basis points

100100100100200200100100

Look-up table for under-year adjustment factors

Please do not change unless you have to (eg to refer to another reporting data)

Definition of Credit Parameter Sensitivities and Relationships used for Stress Testing

For those stress testers who are less familiar with the concept of LGD, the paper by Schuermann (2004) can be an interesting read.

LGD0.40 0.550.45 0.600.49 0.640.53 0.680.57 0.720.62 0.770.73 0.880.83 0.98

There is evidence that PDs and LGDs are positively correlated, suggesting that both variables increase in parallel during shock times. The challenge for stress testers is to know how their joint movement looks like, particularly as LGD data remains very scarce. We provide evidence that can be used to define a stress scenarios. As the relationship can be different from the one we refer to (observed in advances countries), other scenarios based on expert judgment should complement this scenario.

We refer to a recent study by Moody's (2009, "Corporate Default and Recovery Rates, 1920-2008", February 2009) on the relationship between default rates and recovery rates for bank loans, covering the period from 1987 to 2008, which includes several periods of stress (the LGD for 2009 is not higher than for 2008, so the study remains also valid for the current crisis), and add additional stress for downturn, as the relationship found by Moody's is based on normal conditions.

A study by S&P (2010) reveals similar results, but is slightly more conservative on the lower end of the PDs (the formula is not available, though). We will account for this finding by adding a cushion for downturn LGDs.

This finding has been been taken up by the Basel Committee on Banking Supervision (BCBS), which added the requirement to use downturn LGDs to the Basel II framework (para. 468) and provided guidance. A convenient formula that could be considered for stress testing has been proposed by the Fed (Downturn-LGD = 0.08 + 0.92*Long-term average LGD).

For stress testing purposes, the relationship between PDs and LGDs referred to also is adjusted for country-specific circumstances, in order to account for the observation that LGDs vary widely by countries. In order to ease the use of LGDs, country-specific LGDs determined by the World Bank are displayed on the "Input - Country". The LGDs derived in this multi-year study appear to be appropriate, but nevertheless stress testers should not rely on these parameters without additional considerations. Research done by S&P could provide some guidance into that direction.

The empirical relationship between PDs and LGD becomes: LGD = 1- (-2.3408*PD + 0.6498) = 0.3502 + 2.3408*PD and is additionally adjusted for downturn conditions: LGD (under stress) = 0.08 + (0.3502+2.3408*PD)*0.92 = 0.4022 + 2.1535*PD. The

Adjusted LGD for a country with higher LGDs (eg 60% for a

PD of 2%)

Bank-specific parameters can be define here

Country [Add name]

PD 2.1%

LGD 33.6%LGD intercept 0.290769LGD slope 2.153536

Most stress tester have so far neglected the fact that when either PDs or LGDs (or both) increase capital adequacy does not only worsen once there are actual losses reducing capital (the numerator of capital adequacy), but also through an (fair-value type) increase of the riskiness of the portfolio, measured by the Risk-weighted Assets in the denominator. To do so, a meaningful way to calculate the non-linear effect of changes in PDs on RWAs is needed, as the impact of LGDs on RWAs is linear and thus straightforward to be captured. Likewise, one might want to capture the impact of changes in asset correlations on RWAs. (see

We use the Basel II IRB model to determine a closed-form solution (i.e. a formula) to calculate the impact of an increase in PDs (or NPLs) on the increase in RWAs conditional on the level of the PD. To do so, we used a polynomial fit function as displayed on the right hand side, which captures the effect very well. The relationship has been determined by fixing the asset correlations to the lowest level of the PDs (a level corresponding to a Aaa rating) and the LGD to 45% and calculating the increase in RWAs for each

Accordingly, the post-shock Capital Adequacy Ratios (CARs) of a bank i and time t+1 reflect the impact of (i) losses (net of provisions and profits) and (ii) the increase in Risk-Weighted Assets (RWAs) after the shock (delta RWAs):

One key limitation of the Basel II IRB model is that it does not capture name and sector concentrations. Due to its relatively conservative calibration, it implicitly captures (some) sectoral concentration, while this is not the case of name concentrations. In order to take account of this fact, we refer to a study of the originator of the Basel II model, Michael Gordy, and Eva Luetkebohmert (2007), who have proposed a so-called Granularity adjustment - in fact an add-on to the minimum capital requirements.

In order to keep the adjustment simple, the outcome of the numerical results of Gordy and Luetkebohmert (we use a revised version of the paper that is subject to be published) is used to determine a formula that translates name concentration into additional capital requirements, depending on the actual level of name concentration, measured in terms of the Herdindahl-Hirschman-Index (HHI) and the level of the PD of the portfolio (the HHI is the sum of the squared exposure portions).

Post-Shock CAR =Regulatory Capital + Net IncomeStress

RWA - Losses +ΔRWAStress

Model output (depending on PD, in percentage points): Increase in RWAs

0.4 (PD of portfolio used) 0.8 1.22.8 3.0 3.33.3 3.6 3.97.0 7.7 8.5

15.9 17.4 19.241.1 45.2 49.7

Adjustment Factor0.1875

0.250.3333333333333330.394736842105263

0.5

3.4 Factors to rescale credit-risk related RWAs based on Standardized Approach into IRB RWAs

The formula is the be understood as follows: should the HHI of a portfolio be 0.01, the minimum capital requirements would have to be about 15 percent higher, all else being equal. The formula is calibrated for a average PD of 0.4 percent. The Granularity adjustment can be assumed to increase by 10% in relative terms for each increase of the PDs by 0.4 percentage points, whereby we can derive the formula below formula. If one calculates the HHI for the largest n exposures only, one will overestimate the effect, which is also accounted for. However, if one does not use borrower units to calculate the HHI, then both effects can be assumed to

A key advantage of the use of economic capital model-type supervisory system (i.e. the IRB for Credit Risk, the IMA for Market Risk and the AMA for Operational Risk) is that they provide minimum capital requirements that are risk sensitive (we will not discuss prrocyclicality issues, which are currently being debated and might be dealt with by the use of dynamic minimum capital requirement frameworks, for example). The use of risk sensitive measure is key for stress testing, in order to have a clear-cut view on the evolution of risk. As many banks and various countries have not moved to advanced Basel II methods yet, particularly for Credit Risk (and also for Operational Risk). In order to allow for risk-based stress testing, the idea is to rescale the risk-weighted assets of banks that have not yet implemented the IRB by means of an approximation and then to run risk sensitive tests and simulate scenarios

PD CorporateSME

(Sales 25m) Retail0.5% 144% 137% 122%1.0% 124% 119% 107%2.0% 103% 99% 89%4.0% 83% 81% 73%

10.0% 62% 62% 57%LGDs have been assumed to be at 45 Percent

Incremental Effect for an increase of Asset Correlations by 100% on RWAs

Please carefully verify whether the information is correct! (Scaling factors are likely to range from 0.5 to 1.5, depending on economic conditions, at least of one refers to on-balance sheet credit only). You might want to calculate the sclaing factor based on more granular data on a separate sheet.Bank 1 Bank 2 Bank 3Basel I Std. Apr. Std. Apr.

9,574 2,601 1,329

10.08% 17.76% 5.15%

26.79% 28.76% 31.19%

12.08% 12.00% 12.91%3.38% 3.03% 5.14%

0.06 0.05 0.08

8.04% 8.12% 8.14%

769.3 211.1 108.210,505.4 2,811.8 1,438.4

5,665.84 3,856.28 390.68

1.85 0.73 3.68

We use the following relationship, which can be edited to accommodate for different levels of severity

To arrive at the approximation, one requires the IRB inputs, i.e. the aggregate Credit Exposure (Exposure at Default, EAD) as well as the Probability of Defult (PD) and the Loss Given Default (LGD) of the bank level. We distinguish between on-balance sheet exposure and the sum of the on-balance and off-balance sheet exposure.

One key parameter that determines the increase of unexpected losses in a portfolio (i.e. RWAs) is (asset) correlations. In order to simulate the impact of asset correlation stress, we need a "rule" to link asset correlation change to changes in RWAs.

As the asset correlations used in the Basel II IRB model are dependent on the PD (reflecting thefact that larger firms are rated higher on average, i.e. exhibit lower PDs and as larger firms are typically more affected by macroeconomuic developments their correlations are higher) , the impact of asset correlations on RWAs depends on the level of the PD. To determine a meaningful rule of thumb, we simulate the impact of an incremental increase of asset correlations on RWAs. To this end, we double the IRB-based asset correlations and measure the impact on the RWAs (assuming that LGDs are 45 Percent). The outcome, dependent on the asset

In order to cross-check the validity of using this relationship, we refer to an empirical study done based on the economic relationship between asset correlations and Credit Portfolio Risk (ie RWAs). For credit portfolios resembling those of small, medium and large German banks, Mager and Schmieder (2008) find that the empirical relationship is up to linear. They find that for a substnatial relative increase of asset correlations (they refer to an empirical scenario of 71 Percent), RWAs increase by 45 Percent (Small bank portfolio), 70 Percent (Medium-Sized Bank Portfolio) and 126 percent (Large Bank Portfolio), which approximately confirms the

Rating scale for structured credit

1-yr PDRisk-weighting Structured credit0-10% (~AAA) 0.002010-20% (~AA) 0.015720-35% (~A) 0.025935-75% (~BBB+) 0.057375-100% (~BBB-) 0.0921100-250% (~BB+) 0.1007250%-1250% (BB~) 0.2924Full deduction (B and lower) 1.0000Default (+ 1 notch from B and lower 1.0000Default (+ 2 notches from B and lo 1.0000Default (+ 3 notches from B and lo 1.0000Default (+ 4 notch from B and lower 1.0000Default (+ 5 notches from B and lo 1.0000Default (+ 6 notches from B and lo 1.0000Default (+ 7 notch from B and lower 1.0000Default (+ 8 notches from B and lo 1.0000Default (+ 9 notches from B and lo 1.0000

Percent of credit portfolio exposure in rating category AA A BBB14.0 22.0 20.511.0 19.0 13.038.5 19.3 8.2

Master Rating scale (data based on Moody's, on the lower end adjusted for inconsistencies) see Moody's (2009, "Corporate Default and Recovery Rates, 1920-2008", February 2009)


3.7 GDP Elasticities of credit risk parametersThe GDP elasticities are based on forthcoming work by Daniel Hardy and Christian Schmieder, determining rules of thumb to stress test credit risk

Advanced Economies Emerging CountriesMedium shock Severe Shock Pre-shock

3 5 2.234 42 5015 20 11

0.2 -1.3 1.3

Advanced Economies Emerging CountriesMedium shock Severe Shock

-0.3 -0.6-2.5 -5-2 -3

0.11 0.31

Basel III Parameters and Assumptions (based on official documents and QIS data)

2013 2014 2015

8.0% 8.0% 8.0%4.5% 5.5% 6.0%3.5% 4.0% 4.5%

Please choose additional hurdle rate on summary sheet (click here to navigate)Please choose additional hurdle rate on summary sheet (click here to navigate)Please choose additional hurdle rate on summary sheet (click here to navigate)

2013 2014 20150.0% 20.0% 20.0%

2013 2014 201510.0% 10.0% 10.0%

2013 2014 201510.0% 10.0% 10.0%

Hyperlinks to studies…

Moody's (2009, "Corporate Default and Recovery Rates, 1920-2008", February 2009)

S&P (2010)

BCBS (2005) Fed (2007, "Draft Federal Register notice, with navigation, p.119)

Schuermann (2004)

Document not directly available on the web, but through search engine (S&P, 20 June 2008, Update: Jurisdiction-Specific Adjustments to Recovery and Issue Ratings)

Source: Moody's (2009)


http://www.standardandpoors.com/ratings/articles/en/us/?assetID=1245207201119


http://www.federalreserve.gov/generalinfo/basel2/FinalRule_BaselII/

http://fic.wharton.upenn.edu/fic/papers/04/0401.pdf

http://www.sandprecoveryratings.com/.../2008/archive_2008-06-20_Jurisdiction-Specific_Adjustments_To_Recovery_And_Issue_Ratings.pdf

Bank Bank 1 Bank 2 Bank 3

PD 2.7% 5.1% 1.6%

LGD 26.8% 28.8% 31.2%LGD intercept 0.209695 0.177583 0.277331LGD slope 2.153536 2.153536 2.153536

Hyperlink to Basel II Document

Hyperlink to …

BCBS (2006), Para. 271f.

Gordy and Luetkebomert (2007)

Herfindahl-Hirschman-Index (Definition on Wikipedia)


http://ideas.repec.org/p/zbw/bubdp2/5353.html

http://en.wikipedia.org/wiki/Herfindahl_index

Model output (depending on PD, in percentage points): Increase in RWAs

1.6 2 2.43.7 4.0 4.44.3 4.8 5.39.4 10.3 11.3

21.1 23.2 25.554.6 60.1 66.1

PD CorporateSME

(Sales 25m) Retail0.5% 144% 137% 122%1.0% 124% 119% 107%2.0% 103% 99% 89%4.0% 83% 81% 73%

10.0% 62% 62% 57%LGDs have been assumed to be at 45 Percent

Incremental Effect for an increase of Asset Correlations by 100% on RWAs

Please carefully verify whether the information is correct! (Scaling factors are likely to range from 0.5 to 1.5, depending on economic conditions, at least of one refers to on-balance sheet credit only). You might want to calculate the sclaing factor based on more granular data on a separate sheet.Bank 4 Bank 5 Bank 6 Bank 7

Std. Apr. Std. Apr. AIRB AIRB

2,946 933 1,729 1,442

2.78% 2.29% 2.92% 8.38%

22.89% 74.84% 67.20% 16.56%

14.98% 15.83% 14.79% 12.18%7.91% 8.84% 7.68% 3.69%

0.10 0.11 0.10 0.06

5.24% 15.75% 15.13% 5.29%

154.3 147.0 261.6 76.22,193.4 1,846.4 3,384.9 1,003.1

806.40 352.67 2,292.85 2,586.44

2.72 5.24 1.48 0.39

Hyperlink to …

Mager and Schmieder (2008), Stress testing of real credit portfolios (A more recent version of the paper has been published in the Journal of Risk Model Validation)


Rating scale for structured credit

Scale Risk-weight1 8%2 15%3 27.5%4 55%5 87.5%6 175%7 750%8 1250%8 1250%8 1250%8 1250%8 1250%8 1250%8 1250%8 1250%8 1250%8 1250%

Percent of credit portfolio exposure in rating category BB B C cate-gories11.0 21.5 8.016.0 20.0 3.016.3 5.4 0.9

Emerging CountriesModerate shock Medium shock Severe Shock

5 10 2055 60 65

12.5 15 20 Note: assumption that same correlation as in advanced economies, as there is no data

1.1 0.7 -0.2

Emerging CountriesModerate shock Medium shock Severe Shock

-0.4 -0.6 -1.2-1 -2.5 -5 Note: assumption that same elasticity as in advanced economies, as there is no data-1 -2 -3 Note: assumption that same elasticity as in advanced economies, as there is no data

0.09 0.09 0.09

2016 2017 2018 2019

8.6% 9.3% 9.9% 10.5%6.0% 6.0% 6.0% 6.0%5.1% 5.8% 6.4% 7.0%

2016 2017 2018 201920.0% 20.0% 20.0% 0.0%

2016 2017 2018 201910.0% 10.0% 10.0% 10.0%

2016 2017 2018 201910.0% 10.0% 10.0% 10.0%

Document not directly available on the web, but through search engine (S&P, 20 June 2008, Update: Jurisdiction-Specific Adjustments to Recovery and Issue Ratings)

http://www.sandprecoveryratings.com/.../2008/archive_2008-06-20_Jurisdiction-Specific_Adjustments_To_Recovery_And_Issue_Ratings.pdf


0.6% 1.7% 2.0% 1.4% 0.4% 1.2%

22.9% 74.8% 67.2% 16.6% 25.7% 54.1%0.215146 0.711566 0.629767 0.135728 0.247937 0.5155692.153536 2.153536 2.153536 2.153536 2.153536 2.153536

y = 12.599x + 0.02R² = 0.9912

0

0.05

0.1

0.15

0.2

0.25

0.3

0.35

0.4

0.45

0 0.01 0.02 0.03 0.04

Relative increase of RWAs (decimal, y-axis) byHHI (name concentration, x-axis)

Relative increase of RWAs (%, left scale)

Linear (Relative increase of RWAs (%, left scale))

Please carefully verify whether the information is correct! (Scaling factors are likely to range from 0.5 to 1.5, depending on economic conditions, at least of one refers to on-balance sheet credit only). You might want to calculate the sclaing factor based on more granular data on a separate sheet.Bank 8 Bank 9 Bank 10 Bank 11 Bank 12 Bank 13

Std. Apr. AIRB Std. Apr. 0.0 0.0 0.0

5,169 596 1,906 4,754 3,829 n.a.

1.67% 2.15% 4.96% 13.31% 13.31% n.a.

25.72% 54.06% 70.82% 18.50% 18.50% n.a.

17.20% 16.10% 13.01% 12.02% 12.02% n.a.10.24% 9.13% 5.29% 3.12% 3.12% n.a.

0.12 0.11 0.08 0.05 0.05 n.a.

4.97% 11.19% 17.46% 7.44% 7.44% n.a.

257.0 66.6 332.7 353.7 284.9 n.a.3,465.1 841.5 4,306.9 4,929.2 3,917.1 n.a.

4,655.85 563.59 2,250.19 3,237.62 2,266.34 -

0.74 1.49 1.91 1.52 1.73 n.a.

Mager and Schmieder (2008), Stress testing of real credit portfolios (A more recent version of the paper has been published in the Journal of Risk Model Validation)


Source

Moody's Special Comment "Sovereign Defalt and Recovery Rates, 1983-2008", Exhibit 4, page 4Moody's Special Comment "Sovereign Defalt and Recovery Rates, 1983-2008", Exhibit 4, page 4S&P: Default, Transition and Recovery: 2009 International Local and Regional Government Defaults and Transition Study, Table 1

http://www.moodys.com/sovereign_default_and_recovery_rates_03_09



Note: assumption that same correlation as in advanced economies, as there is no data

Note: assumption that same elasticity as in advanced economies, as there is no dataNote: assumption that same elasticity as in advanced economies, as there is no data

2020 2021 2022

2020 2021 2022

2020 2021 202210.0% 10.0% 10.0%

2020 2021 202210.0% 10.0% 10.0%

Source: S&P (2010)

Bank 10 Bank 11 Bank 12 Bank 13 Bank 14

3.5% 2.5% 2.5% n.a. n.a.

70.8% 40.0% 40.0% n.a. n.a.0.632665 0.346987 0.346987 n.a. n.a.2.153536 2.153536 2.153536 2.153536 2.153536

y = 12.599x + 0.02R² = 0.9912

0

0.05

0.1

0.15

0.2

0.25

0.3

0.35

0.4

0.45

0 0.01 0.02 0.03 0.04

Relative increase of RWAs (decimal, y-axis) byHHI (name concentration, x-axis)

Relative increase of RWAs (%, left scale)

Linear (Relative increase of RWAs (%, left scale))

Bank 14 Bank 15 Bank 16 Bank 17 Bank 180.0 0.0 0.0 0.0 0.0

n.a. n.a. n.a. n.a. n.a.


n.a. n.a. 100.00% 100.00% 100.00%

n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a.


n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a.

- - - - -


Moody's Special Comment "Sovereign Defalt and Recovery Rates, 1983-2008", Exhibit 4, page 4Moody's Special Comment "Sovereign Defalt and Recovery Rates, 1983-2008", Exhibit 4, page 4S&P: Default, Transition and Recovery: 2009 International Local and Regional Government Defaults and Transition Study, Table 1






n.a. 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%n.a. n.a. n.a. n.a. n.a. n.a. n.a.

2.153536 2.153536 2.153536 2.153536 2.153536 2.153536 2.153536

Bank 19 Bank 20 Bank 21 Bank 22 Bank 23 Bank 24 Bank 250.0 0.0 0.0 0.0 0.0 0.0 0.0



100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00%

n.a. n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a. n.a. n.a.



- - - - - - -




100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%n.a. n.a. n.a. n.a. n.a. n.a. n.a.

2.153536 2.153536 2.153536 2.153536 2.153536 2.153536 2.153536




100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00%




- - - - - - -




100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%n.a. n.a. n.a. n.a. n.a. n.a. n.a.

2.153536 2.153536 2.153536 2.153536 2.153536 2.153536 2.153536




100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00%




- - - - - - -




100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%n.a. n.a. n.a. n.a. n.a. n.a. n.a.

2.153536 2.153536 2.153536 2.153536 2.153536 2.153536 2.153536




100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00%




- - - - - - -




100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%n.a. n.a. n.a. n.a. n.a. n.a. n.a.

2.153536 2.153536 2.153536 2.153536 2.153536 2.153536 2.153536




100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00%




- - - - - - -




100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%n.a. n.a. n.a. n.a. n.a. n.a. n.a.

2.153536 2.153536 2.153536 2.153536 2.153536 2.153536 2.153536




100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00%




- - - - - - -




100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%n.a. n.a. n.a. n.a. n.a. n.a. n.a.

2.153536 2.153536 2.153536 2.153536 2.153536 2.153536 2.153536




100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00%




- - - - - - -




100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%n.a. n.a. n.a. n.a. n.a. n.a. n.a.

2.153536 2.153536 2.153536 2.153536 2.153536 2.153536 2.153536




100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00%




- - - - - - -




100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%n.a. n.a. n.a. n.a. n.a. n.a. n.a.

2.153536 2.153536 2.153536 2.153536 2.153536 2.153536 2.153536




100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00%




- - - - - - -




100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%n.a. n.a. n.a. n.a. n.a. n.a. n.a.

2.153536 2.153536 2.153536 2.153536 2.153536 2.153536 2.153536




100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00%




- - - - - - -




100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%n.a. n.a. n.a. n.a. n.a. n.a. n.a.

2.153536 2.153536 2.153536 2.153536 2.153536 2.153536 2.153536




100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00%




- - - - - - -




100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%n.a. n.a. n.a. n.a. n.a. n.a. n.a.

2.153536 2.153536 2.153536 2.153536 2.153536 2.153536 2.153536

Bank 96 Bank 97 Bank 98 Bank 99 Bank 1000.0 0.0 0.0 0.0 0.0



100.00% 100.00% 100.00% 100.00% 100.00%

n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a.


n.a. n.a. n.a. n.a. n.a.n.a. n.a. n.a. n.a. n.a.

- - - - -


Bank 99 Bank 100

n.a. n.a.

100.0% 100.0%n.a. n.a.

2.153536 2.153536

1. Set-up Variables

NumberOfBanks Integer - number of banksNumberOfBanks_Max 100

Setup_PeerGroups_Incl Boolean - include broad credit risk sectorsSetup_PeerGroups_Num Integer - number of broad credit risk sectorsSetup_PeerGroups_Max 10

Setup_SectorsBroad_Incl Boolean - include broad credit risk sectorsSetup_SectorsBroad_Num Integer - number of broad credit risk sectorsSetup_SectorsBroad_Max 10

Setup_SectorsGranular_Incl Boolean - include broad credit risk sectorsSetup_SectorsGranular_Num Integer - number of broad credit risk sectorsSetup_SectorsGranular_Max 20

Setup_SectorsRegional_Incl Boolean - include broad credit risk sectorsSetup_SectorsRegional_Num Integer - number of broad credit risk sectorsSetup_SectorsRegional_Max 20

Setup_AssetClasses_Incl Boolean - include asset classesSetup_AssetClasses_Num Integer - number of asset classesSetup_AssetClasses_Max 10

Setup_FX_Incl Boolean - include asset classesSetup_FX_Num Integer - number of asset classesSetup_FX_Max 10

Setup_InterestRateShock_Incl Boolean - include interest rate shock

Setup_MarketRiskProv_Incl Boolean - include market risk provisions

Setup_ExposureByRating_LoanBook_InBoolean - include exposures by ratings, loan bookSetup_ExposureByRating_OffBalance_IBoolean - include exposures by ratings, off balance positionsSetup_ExposureByRating_CounterPartyBoolean - include exposures by ratings, counter partiesSetup_ExposureByRating_Securitizatio Boolean - include exposures by ratings (or risk-weights), securitization

2. Dropdown Variables

Boolean True False

3. Other parameters related to the stress test assumptions & General settings

8 9 10 11 12 13

Lookup (for interest rates)

Basel I Basel I Basel I Relative Relative

Std. Apr. Std. Apr. BIA Absolute

FIRB IMA Std. Apr.

AIRB AMA

Manual

Basel II Approaches - Credit Risk

Basel II Approaches

- Market Risk

Basel II Approaches

- Operational

RiskGranularity Adjustment

Adjustment for Sector

Concentration

RWA Assumption

LGD Assumption

No Adjustment

No Adjustment

Granularity Adjustment

Granularity Adjustment

Absolute, by x %

Absolute, to x %

Empirical PD-LGD link

Boolean - include exposures by ratings, off balance positions

Boolean - include exposures by ratings (or risk-weights), securitization

3. Other parameters related to the stress test assumptions & General settings

14 15 16 17 18 19 20

General Year Lookup (for sectors)

Relative No t+1 6

Completed Yes t+2 7

NA t+3 8

Manual 9

10

11

12

13

14

Scenario Type (PD,

Correlations)

Progress setting

Sector classificatio

nProfit

forecast

Not yet completed

Fine-granular sectors

Non-interest Income explicit, Interest income implicit

Absolute, by x %

Broad sectors

(Basel II)Total profit

forecast

Absolute, to x %

Geographical sectors

15

16

17

18

1920

21

2223

2425

26

21 22 23 24 25 26 27

Lookup (for sectors)

28 40 3

NA Std. Apr.

29 41 4

1 IRB

NA Expert

30 42 5

2

Macro

31 43 6

3

32 44 7

NA

33 45 8

34 46 9

35 47 10

36 48 11

Rating downgrade

by…

Stress Testing

Credit Risk RWAs

Relative change

(Baseline Year 2, 3)

Baseline scenario definition

Relative change

Use reported figures

Default of largest

borrower

Default of 2 largest

borrowers


borrowers


borrowers

37 49 12

38 50 13

51 14

52 15

53 1654 17

55 18

56 1957 20

58 2159 22

60 23

Default of all large

exposures

28 29 30 31 32 33 34

Baseline Baseline Total Capital

Expert Macro 1 Tier 1 2nd Largest

Manual Macro 2Common/Core Tier 13rd Largest

Macro Macro 3

NA

Eligible scenarios

Year 1

Eligible scenarios

Year 2

Eligible scenarios

Year 3Macro

scenariosOutcome of Stress Test

Large Exposure scenarios

Macro models

Largest Exposure

Satellite Model

Rule of Thumb

Largest 10 exposures

Total Large Exposure

35 36 37 38 39 40 41

RWAs PD shock

n.a. n.a. n.a. n.a.

All assets All

USD

EUR

JPY Banks

GBP Other Bonds

CHF Equity

Other Structured

Not assigned Other

Country Type

Loss Concept

Interest Rate Shock

FX Rate Shock

Asset Price Shock

Advanced country

PD/LGD (default)

Regulatory Data

(Default)

Emerging Country

Losses/Provisions

Economic Capital Model

fall in all yield curves

(local currency

only) by 100 bps

All currencies

increase in all yield

curves (local currency

only) by 100 bps

Trading book only

Government and quasi-

government

fall in all yield curves (worldwide) by 100 bps

Trading book & AfS

Other Public Sector

increase in all yield curves


Sovereign Bondsfall in all

yield curves (worldwide) by 200 bps

Other Financials & Real Estate



Capital Industries

fall in all yield curves greater than 12 months (worldwide) by 100 bps

Consumer industries


greater than 12 months (worldwide) by 100 bps

Energy & Environment



Not assigned Not assigned Technology

Not assigned

Not assigned UtilitiesOther

Construction

Derivatives

Asia (East)

Other

Media & Publishing

Retail & Distribution

Transportation

Households - Mortgages

(or total, if no split)

Households - Consumer Credit &

Credit Cards

Securitization

Other Liquid Credit


Africa (Sub-Saharan)

America (Central and

South)

America (North)

Asia (South-East)

Australia and New Zealand

Commonwealth of

Independent States

Eastern (Central and

East)

Europe (West)

Middle East and North

Africa

Not assigned

Not assigned

Not assigned

Not assigned

Not assigned

Not assigned

Not assigned

Not assigned

Not assignedSovereign

Corporates

Retail

Derivatives

Non-sovereign

public sector entities

Banks/Institutions

SME (please avoid double counting with

corporate exposure)

Residential mortgages

(please avoid double counting with

retail exposure)

Securitization


42 43 44 45 46 47 48

Sens Shock Figures in Years PD Option

n.a. n.a. Private 1,000

1 0 Option 1

Savings 1,000,000

2 1 Option 2

Cooperative 1,000,000,000

3 2

Public Bank

4 3

Foreign

5 4

Other5

6

7

8

Default of largest

counterparts

Banking Group

Rating downgrade

Exposure to Largest

CounterpartInterest Rate

Shock

Exposure to 2 Largest

Counterparts

Foreign Exchange

Rate Shock


CounterpartsAsset Price

Shock


Counterparts

Change in RWAs for

Market Risk

Total Large Exposure

Increase of PDs/Impairm

ent losses

Default of x largest

counterparts

Change in RWAs for OPRisk

9

49 50 51 52 53 54 55

Eco IRB

Reg IRB

IRB approach

56 57 58 59 60 61 62

63 64 65 66 67 68 69

70 71 72 73 74 75 76

77 78 79 80 81 82 83

84 85 86 87 88 89 90

91 92 93 94 95 96 97

98 99 100 101 102 103 104

105 106 107 108 109 110 111

112 113 114 115 116 117 118

119 120 121 122 123 124 125

126 127 128 129 130 131 132

133 134 135 136 137 138 139

140 141 142 143 144 145 146

147 148 149 150 151 152 153

154 155 156 157 158 159 160

161 162 163 164 165 166 167

168 169 170 171 172 173 174

175 176 177 178 179 180 181

182 183 184 185 186 187 188

189 190 191 192 193 194 195

196 197 198 199 200 201 202

203 204 205 206 207 208 209

210 211 212 213 214 215 216

217 218 219 220 221 222 223

224 225 226 227 228 229 230

231 232 233 234 235 236 237

238 239 240 241 242 243 244

245 246 247 248 249 250 251

252 253 254 255 256 257 258

259 260

Documents

Next Generation Balance Sheet Stress Testing_v6