8/9/2019 GS Stress Test 7.26
1/41
8/9/2019 GS Stress Test 7.26
2/41
July 26, 2010 Europe: Banks
Goldman Sachs Global Investment Research 2
Table of Contents
The results of the stress test came in below market expectations 3Overview of stress test: 4
Scope: 91 banks comprising private and public sector banks 4Assumptions comprise stress on macro developments and asset values 4Test implementation: standardized results and sovereign disclosure add to transparency 5Overview of results: 5Overview of analysis: assessing the credibility of the test 6Company-specific notes 7Capital hurdle; 6% subject to assumptions 8Scaling up the Tier 1 ratio hurdle 8A core capital hurdle rate implies limited capital shortfall for banks under our coverage 11Sovereign debt; disclosure is king 12The CEBS approach 12Scenario 1: extending CEBS haircuts to the banking book; reversing haircuts on stable sovereigns 15Scenario 2: testing for the extreme a Greek restructuring; new disclosure suggests contagion risk very limited 18Macro assumptions: Putting European stress assumption to the US test 21Comparing the past with potential prologue? 24Pre-impairment income assumptions by CEBS allow for meaningful deterioration to GS(E) 25Credit Section: Results positive for credit spreads, even raising the minimum Tier 1 to 8% 28Appendix: Rankings of Tier 1 capital ratios 31Appendix: Rankings of core Tier 1 capital ratios 33Appendix: Relative changes in Tier 1 ratios and stress-test rankings 34Appendix: Writedowns on SE4 and Ireland exposures 36
The prices in the body of this report are based on the market close of July 23, 2010.
We would like to thank Eugene Zagorovskis, Peter Skoog and Callum Godwin for their contribution to this report.
8/9/2019 GS Stress Test 7.26
3/41
July 26, 2010 Europe: Banks
Goldman Sachs Global Investment Research 3
The results of the stress test came in below market expectations
The survey we conducted before the stress test (see our report of July 22, 2010, Stress-test survey: Participants expect an 89% pass
rate and 38 bn capital raises) suggested that the market was looking for a more significant end result higher number of failures,
higher amounts of capital raised. In summary:
CEBS indentified a capital shortfall of some 3.5 bn, however the capital raising announcements since July 23 total 5.4 bn.
Both figures should be compared to a market expectation of 38 bn, according to our survey.
The number of institutions not passing came in at seven, compared to an expectation of 10. That said, the number of
institutions that are close, i.e. come within a 10% deviation from the benchmark (so below 6.7%), is 13.
Finally, the top-three countries where capital is being raised are Spain, Greece and Germany, in line with expectations.
Exhibit 1: Seven banks did not pass and four additional groups haveannounced intention to raise fresh capital mn
Exhibit 2: Stress-test outcome vs. GS Survey bn where applicable
Source: CEBS, Reuters, Financial Times. Source: CEBS, Reuters, Financial Times.
Bank Nature Country Capital (mn)
Stress test shortfall
- Hypo Real Estate Public Germany 1,245
- Diada Public Spain 1,032
- Banca Civica Public Spain 406
- Unnim Public Spain 270
- ATE bank (ABG) Private Greece 243
- Cajasur Public Spain 208
- Espiga Public Spain 127
Sub-total 3,531
Other capital raises
- Piraeus Private Greece 1,000
- NLB d.d. Private Slovenia 400
- Banca Civica (in addition to shortfall) Public Spain 44
- NBG Private Greece 450
Sub-total 1,894
Total shortfall and other raises 5,425
Item Actual Expected (*) Deviation
- Banks not passing 7 10 -3
- Capital shortfall (bn) 5.4 38.0 -86%
- Tier 1 ratio threshold in test 6% 6% -
- Proportion of capital raised in public sector 61% 51% 10%
- Top 3 countries where the capital is being raised 1. Spain 1. Spain -
2. Greece 2. Germany -
3. Germany 3. Greece -
(*) by the GS survey published July 22, 2010
8/9/2019 GS Stress Test 7.26
4/41
July 26, 2010 Europe: Banks
Goldman Sachs Global Investment Research 4
Overview of stress test:
The stress test was mandated by the ECOFIN to the Committee of European Banking Supervisors (CEBS) and conducted as follows:
Scope: 91 banks comprising private and public sector banks
The scope of the test included 91 banks (including foreign branches and subsidiaries), encompassing 65% of total system
assets.
Banks were tested across the EU, including in non-Euro area countries.
Assumptions comprise stress on macro developments and asset values
The macro assumptions included stress on GDP, real estate prices, unemployment and equity markets (we summarize them in
Exhibit 3).
Exhibit 3: Stress-test assumptionsyearly percentages
Source: CEBS.
2010 2011 2010 2011 2010 2011
Euro area
- Benchmark assumptions 0.7% 1.5% 10.7% 10.9% -1.5% -0.3%
- Adverse scenario assumptions -0.2% -0.6% 10.8% 11.5% -5.9% -5.0%
EU 27
- Benchmark assumptions 1.0% 1.7% 9.8% 9.7% NA NA
- Adverse scenario assumptions 0.0% -0.4% 10.5% 11.0% NA NA
GDP Unemployment House prices
8/9/2019 GS Stress Test 7.26
5/41
July 26, 2010 Europe: Banks
Goldman Sachs Global Investment Research 5
Test implementation: standardized results and sovereign disclosure add to transparency
The test was conducted by simulating a stressed environment in 2010 and 2011, with the aim of assessing the resilience of the
banking system to credit shocks on credit and markets risks, including sovereign risks, as measured by the end-of-period Tier 1
ratio.
The chosen threshold was 6% by 2011 year-end.
The results were shown as aggregate and bank by bank.
The stress-test results showed the following:
The historical reference (2009) for Tier 1 capital, total capital, RWAs, pre-impairment income (PII), losses on the banking book in
absolute amounts, % loss rate on retail and corporate exposures, including AFS, HTM as well as loans and receivables.
The base-line scenario estimates for Tier 1 capital, total capital, RWAs and the Tier 1 ratio.
An adverse-stress scenario: The same as above for an adverse scenario (assumptions described above) as well as a stressedcumulative PII over the two-year period, cumulative losses on the banking and trading books in absolute terms, and the loss
rates on retail and corporate exposures.
A more adverse scenario, with additional stress on sovereign exposures, and the implications for losses on corporate and retail
exposures. The same output as in the adverse scenario was presented.
Overview of results:
The aggregate Tier 1 ratio would decrease under an adverse scenario from 10.3% at end-2009 to 9.2% (-110 bp) by year-end
2011.
The losses assumed in the 2-year period amount to 473 bn on the banking books and 26 bn on the trading books.
The sovereign shock adds 67 bn of losses, of which 39 bn is in the trading books. In aggregate, the losses would then amount
to 566 bn.
The average cumulative loss rate stands at 3% for corporate exposure and 1.5% for retail exposures under the benchmark
scenario. They rise to 4.4% and 2.1%, respectively, in an adverse scenario. This compares to 1.5% and 0.8%, respectively, in
2009.
As a result of the exercise, seven banks would see their Tier 1 ratio fall below the threshold of 6% and therefore would not pass
the test, with an overall shortfall of 3.5 bn in Tier 1 capital.
8/9/2019 GS Stress Test 7.26
6/41
July 26, 2010 Europe: Banks
Goldman Sachs Global Investment Research 6
Overview of analysis: assessing the credibility of the test
Going into the stress test, the market expectation was for 10 banks to fail and 37.6 bn of capital shortfall to be identified. The result
seven banks and 3.5 bn, respectively therefore fell short of expectations. To judge if this result is down to the test being too
lenient or if the market had too harsh of a view, we hoped for substantial disclosure, especially related to sovereign risk. On thispoint, we got what we hoped for. This data allows us to examine the tests underlying assumptions, and our analysis proceeds as
follows:
1. Hurdle rate. 2. Sovereign Risk. 3. Macro and loss assumptions. 4. Pre-impairment income assumptions
Exhibit 4: Overview of the analysis: assessing the credibility of the test
Source: Goldman Sachs Research.
Discussion item Hurdle rate Sovereign Risk Macro and loss assumptions PII used by CEBS
6% = LEVEL IS TOO LOW NOT ALL EXPOSURES ARE STRESSED ASSUMPTIONS ARE TOO LENIENT PII IS TOO OPTIMISTIC
- banks would recap before they hit 6% - Banking book not stressed - US stress test was harsher for GDP - CEBS PII assumptions under adverse scenario
- does not capture capital quality - Assumptions on some countries too soft - and also for house price decline overly optimistic
- and therefore cumulative losses
ASSESS SENSITIVITY TO THRESHOLD WE RUN 3 SCENARIOS BENCHMARKING THESE ASSUMPTIONS BENCHMARKING THESE ASSUMPTIONS
- based on 7 and 8% tier 1 ratio 1. CEBS haircuts on SE4+I banking book 1. vs US stress test - v GS base case forecast for 2010-11E
- based on 6% core tier 1 ratio and reversal of other losses 2. vs GS expectations
2. Greek debt restructuring + shock CEBS
3. Combination of the above (1 & 2)
AT THE FOLLOWING THRESHOLDS: IN SCENARIO HEADLINE LOWER IN EU, BUT DEVIATION SAME PII UNDER ADVERSE SCENARIO
- 7%, 11 bn cap need, 24 failures 1. 16 bn cap need - Headline numbers reflect timing of test - On aggregate, CEBS is 6% below GS est.
- 8%, 30 bn cap need, 39 failures 2. 28 bn cap need - US, EU assume similar stress v baseline - For 26 out of 39 banks, CEBS below GS
3. 34 bn cap need - Stress losses vary across countries = Reasonable assumptions
RESULT
Amount of capital being raised is low Is the stress test therefore credible?
4 key discussion items:
#4
CONCERN
GS APPROACH
#1 #2 #3
8/9/2019 GS Stress Test 7.26
7/41
8/9/2019 GS Stress Test 7.26
8/41
8/9/2019 GS Stress Test 7.26
9/41
July 26, 2010 Europe: Banks
Goldman Sachs Global Investment Research 9
Exhibit 5: Scaling up the hurdle rate, towards investor expectationsCumulative capital needs under scaled-up capital hurdle rates
Exhibit 6: As always, pass rate is a function of hurdle ratePass rate under scaled-up cut-off rates
Source: CEBS, Goldman Sachs Research estimates. Source: CEBS, Company data, Goldman Sachs Research estimates.
3.5bn
11.3bn
30.2bn
37.6bn
0.0bn
5.0bn
10.0bn
15.0bn
20.0bn
25.0bn
30.0bn
35.0bn
40.0bn
6% 7% 8% Consensus
(8.25%)
Totalcapitalrequired
o/wGScoverage
7
24
39
10
19
16
92%
74%
57%
89%
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
0
5
10
15
20
25
30
35
40
45
6% 7% 8% Consensus
#banks
8/9/2019 GS Stress Test 7.26
10/41
July 26, 2010 Europe: Banks
Goldman Sachs Global Investment Research 10
Exhibit 7: A less flattering picture, under scaled-up hurdle rateInstitutions in capital shortfall, under increased hurdle rate assumptions
Source: CEBS, Company data, Goldman Sachs Research estimates.
Rank Bank mn Rank Bank mn Rank Bank mn
1 HRE 1,245 1 HRE 2,146 1 Jupiter 3,637
2 Diada 1,032 2 Diada 1,522 2 HRE 3,078
3 BancaCivica 406 3 Jupiter 1,498 3 BMPS 2,207
4 UNNIM 270 4 BMPS 981 4 Diada 2,013
5 ABG 243 5 NordLB 865 5 NordLB 1,946
6 CajaSur 208 6 BancaCivica 692 6 AlliedIrishBank 1,107
7 ESPIGA 127 7 UNNIM 459 7 UBIBanca 1,029
8 ESPIGA 404 8 BancaCivica 993
9 ABG 391 9 Unicredit 942
10 PiraeusBank 371 10 BancoPopolare 931
1 1 Al liedIrishBank 369 11 BancoPopular 926
12 CajaSur 328 12 DeutschePostbank 869
13 DeutschePostbank 248 13 BankofIreland 777
14 CajaSOL 212 14 BancoEspiritoSanto 747
15 BancoPastor 187 15 PiraeusBank 742
16 UBIBanca 171 16 ESPIGA 692
17 CAI 135 17 UNNIM 642
18 NLB 82 18 ABG 539
19 Ibercaja 76 19 HeLaBa 501
20 BancoGuipuzcoano 70 20 Caixa 489
21 BancoEspiritoSanto 68 21 WestLB 472
22 Bankinter 61 22 BancoSabadell 464
23 CajadeOntinyent 3 23 CajaSur 449
24 CajaColonya 1 24 MareNostrum 449
25 NBG 42726 CajaSOL 425
27 Breogan 375
28 B ancoPastor 374
29 Bankinter 368
30 Ibercaja 329
31 CAI 285
32 Marfin 216
33 RZB 212
34 NLB 199
35 CAM 168
36 B ancoGuipuzcoano 148
37 Cajade
Vitoria
yAlava 67
38 CajadeOntinyent 10
39 CajaColonya 3
Totalcapitalrequiredtoreachthreshold 3,531 Totalcapitalrequiredtoreachthreshold 11,340 Totalcapitalrequiredtoreachthreshold 30,246
o/wGScoverage 243 o/wGScoverage 2,780 o/wGScoverage 11,917
o/wother 3,288 o/wother 8,560 o/wother 18,329
Institutionsbelowthethreshold 7 Institutionsbelowthethreshold 24 Institutionsbelowthethreshold 39
o/wGScoverage 1 o/wGScoverage 9 o/wGScoverage 16
o/wother 6 o/wother 15 o/wother 23
Stresstestpassrate 92% Stresstestpassrate 74% Stresstestpassrate 57%
o/wGScoverage 98% o/wGScoverage 78% o/wGScoverage 60%
o/wother 88% o/wother 71% o/wother 55%
Capitalrequiredtomeet6%Tier1threshold Capitalrequiredtomeet7%Tier1threshold Capitalrequiredtomeet8%Tier1threshold
8/9/2019 GS Stress Test 7.26
11/41
July 26, 2010 Europe: Banks
Goldman Sachs Global Investment Research 11
A core capital hurdle rate implies limited capital shortfall for banks under our coverage
For the institutions we cover (37 of the 91 banks), we forecast the composition of banks capital bases and are able to apply a core
Tier 1 capital hurdle rate to the CEBS stress-test results. We do this by deducting our forecast non-core capital (mostly hybrids) from
the disclosed Tier 1 capital positions, as estimated by CEBS under various scenarios.
We start with a hurdle rate of 4% (in line with the US Tier 1 Common capital risk-based ratio) and scale that up towards 6%, as webelieve the market has moved to treat a 6% core capital as the new minimum.
Under a 4% core capital hurdle rate, one institution shows a capital shortfall (36 do not), rising to five (32) assuming a 5% and 10 (27)
assuming a 6% hurdle-rate. From a core capital perspective, therefore, the amount that would need to be raised for banks under our
coverage to reach 4% core Tier 1 hurdle rate is 36 mn, rising to 1.1 bn for 5% and 3.7 bn for a 6%.
Exhibit 8: Core Tier 1 ratio instead of Tier 1 ratio of 6% as cut-off: our coverage would need 3.7 bn of extra capital instead of 12 bn for Tier 1 ratio of 8%Institutions in capital shortfall, under increased hurdle rate assumptions
Source: CEBS, Company data, Goldman Sachs Research estimates. Note: in the core Tier 1 capital, we include the Government participation where applicable (mostly Italy, Greece).
Rank Bank mn Rank Bank mn Rank Bank mn
1 BancoPastor 36 1 DeutschePostbank 607 1 DeutschePostbank 1,228
2 BancoPastor 224 2 BMPS 487
3 Marfin 97 3 BancoPastor 411
4 ABG 95 4 Marfin 337
5 BankofCyprus 86 5 BankofCyprus 308
6 BancoPopolare 269
7 ABG 243
8 P iraeusBank 200
9 AlliedIrishBank 195
10 Bankinter 22
Totalcapitalrequiredtoreachthreshold 36 Totalcapitalrequiredtoreachthreshold 1,108 Totalcapitalrequiredtoreachthreshold 3,698
Institutionsbelowthethreshold 1 Institutionsbelowthethreshold 5 Institutionsbelowthethreshold 10
Stresstestpassrate 97% Stresstestpassrate 86% Stresstestpassrate 73%
Capitalrequiredtomeet4%CoreTier1threshold Capitalrequiredtomeet5%CoreTier1threshold Capitalrequiredtomeet6%CoreTier1threshold
8/9/2019 GS Stress Test 7.26
12/41
8/9/2019 GS Stress Test 7.26
13/41
July 26, 2010 Europe: Banks
Goldman Sachs Global Investment Research 13
Lack of disclosure. Prior to CEBS announcement, the level of disclosure on sovereign debt holdings has been inconsistent. The
crisis of confidence surrounding select European sovereigns has been amplified by lack of disclosure, and hence market
inability to gauge the prospect of potential contagion effects. Post the stress test, we have obtained a detailed split of sovereign
exposures, at an individual bank level. This allows investors to run their own scenarios, which might well differ from those
applied by CEBS. In our view, this has substantially reduced the risks that have the potential to trigger irrational market
behavior.
Exhibit 9: Overview of assumptions applied across the CEBS and our scenarios (%)
Source: CEBS, Company data, Goldman Sachs Research estimates.
In our view, the treatment of sovereign debt within the CEBS stress test is unlikely to put market concerns to rest. However, we are
in a position to run scenarios which we believe the market currently deems more likely, and is also most concerned about. To reflect
these market concerns, we run three separate scenarios:
Haircuts (%)
CEBS GS
Benchmark Adverse Scenario 1 Scenario 2 Scenario 3
Country 2010 2011 2010 2011 Trading Banking Trading Banking Trading Banking
- Austria 1.00 2.80 3.10 5.60 -- -- 5.60 -- -- --
- Belgium 1.40 3.10 4.30 6.90 -- -- 6.90 -- -- --
- Cyprus 0.30 3.20 3.00 6.70 -- -- 6.70 -- -- --
- Finland 0.00 3.30 1.90 6.10 -- -- 6.10 -- -- --
- France 1.50 3.00 3.70 6.00 -- -- 6.00 -- -- --
- Germany 0.10 2.50 2.30 4.70 -- -- 4.70 -- -- --
- Greece 3.90 4.30 20.10 23.10 23.10 23.10 60.00 60.00 60.00 60.00
- Ireland 1.60 4.20 8.60 12.80 12.80 12.80 12.80 -- 12.80 12.80
- Italy 1.20 2.90 4.90 7.40 7.40 7.40 7.40 -- 7.40 7.40
- Luxembourg 1.40 3.10 4.30 6.90 -- -- 6.90 -- -- --
- Malta 0.70 3.60 2.90 6.40 -- -- 6.40 -- -- --
- Netherlands 1.10 2.50 3.00 5.20 -- -- 5.20 -- -- --
- Portugal 2.30 3.70 11.10 14.10 14.10 14.10 14.10 -- 14.10 14.10
- Slovakia 0.10 2.40 1.60 5.00 -- -- 5.00 -- -- --
- Spain 1.30 4.10 6.70 12.00 12.00 12.00 12.00 -- 12.00 12.00
- Slovenia 0.00 1.10 1.40 4.20 -- -- 4.20 -- -- --
- Czech Republic 0.00 2.70 4.60 11.40 -- -- 11.40 -- -- --
- Denmark 0.00 1.40 2.10 5.20 -- -- 5.20 -- -- --
- Poland 2.60 6.10 6.40 12.30 -- -- 12.30 -- -- --
- Sweden 1.30 2.30 5.00 6.70 -- -- 6.70 -- -- --
- UK 5.00 6.90 7.70 10.20 -- -- 10.20 -- -- --
- Other non Euro area countries 1.30 4.40 5.50 11.80 -- -- 11.80 -- -- --
- EU Average 1.30 3.30 5.20 8.50
8/9/2019 GS Stress Test 7.26
14/41
July 26, 2010 Europe: Banks
Goldman Sachs Global Investment Research 14
GS scenario 1: extending CEBS haircuts to the banking book; reversing haircuts on stable sovereigns. In our view, the
market is likely to identify two key issues of the CEBS approach to stress-testing sovereign exposures:
Applying haircuts to all sovereign exposures. The CEBS approach applies haircuts to all sovereign exposures, in-line withExhibit 9. We do not believe that the market is likely to view this as appropriate after all, experience shows that the value of
the more stable sovereign paper tends to increase in times of crisis, rather than the opposite. The market seems to be by far
the most concerned with exposures to SE and Ireland, whilst treating the remaining European exposures comparatively
favorably.
For this reason, we apply the following modifications to the CEBS approach: (i) we reverse the trading losses simulated byCEBS for all non Southern European and Irish exposure, (ii) we extend CEBS assumptions on sovereign haircuts for SE and
Ireland to the banks trading as well as banking books.
GS scenario 2: testing for the extreme a Greek restructuring. Regardless of our own view and unprecedented political and
financial support, many in the market continue with their concern that Greek sovereign debt might ultimately face some type of
restructuring. As such, the market continues to harbor an element of fear of the worst. In this variation of the stress test, we
isolate the exposures to the Greek sovereign and stress them to a level implied by the S&P recovery rate, in the event of
restructuring. S&P assigned a recovery rating of '4' to Greece's debt issues, indicating its expectation of "average" (30%-50%)
recovery for debt holders in the event of a debt restructuring or payment default; we take the mid-point of 40%.
GS scenario 3: our final scenario combines the two above (Exhibit 10 and 11).
8/9/2019 GS Stress Test 7.26
15/41
July 26, 2010 Europe: Banks
Goldman Sachs Global Investment Research 15
Exhibit 10: Capital increase under three GS stress scenarios Exhibit 11: Number of banks below 6% hurdle rate under GS stress scenarios
Source: CEBS, Company data, Goldman Sachs Research estimates. Source: CEBS, Company data, Goldman Sachs Research estimates.
Scenario 1: extending CEBS haircuts to the banking book; reversing haircuts on stable sovereigns
Our analysis is based on the following key elements:
CEBS haircut assumptions applied across the SE and Irish debt. We apply it uniformly to the trading, as well as the banking
book; banks hold the majority of these exposures in the banking book. We acknowledge that this approach overstates the
impact to some degree, as select exposures to the public sector, held in the banking book, will have been subject to the
cumulative credit loss assumptions. Given that the hits to this part of the book have not been split out, we are unable to adjust
for them. In addition, while the disclosure is detailed, it is not identical across all of the 91 institutions; for example, with select
German banks the level of detail on sovereign exposure within the trading book is limited, which prevents a reversal of haircuts.
We have reversed the trading haircuts assumed on debt outside of SE and Ireland as we do not believe that the haircuts should
be extended to all sovereigns. After all, experience shows that the value of the more stable sovereign paper tends to increase in
times of crisis, rather than the opposite. In this scenario, therefore, we start by reversing the trading losses on all sovereign
exposure, excluding that of Southern Europe and Ireland.
From a capital perspective, we use the CEBS calculated Tier 1 capital levels under the adverse scenario including sovereign
shock as a starting point.
16.2bn
27.8bn
34.1bn
37.6bn
0
5
10
15
20
25
30
35
40
Scen. 1 Scen 2. Scen 3. Consensus
Total capital required
o/w GS coverage22
17
25
10
10 1012
76%
81%
73%
89%
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
0
5
10
15
20
25
30
Scen. 1 Scen 2. Scen 3. Consensus
# banks < threshold o/w GS coverage Pass rate (%)
J l 26 2010 E B k
8/9/2019 GS Stress Test 7.26
16/41
July 26, 2010 Europe: Banks
Goldman Sachs Global Investment Research 16
Our key conclusions are as follows:
Additional losses: 65 bn post-tax, comprised of 74 bn markdowns on SE and Irish debt and 11 bn reversal on other sovereign
securities.
Keeping with the 6% Tier 1 hurdle rate, the number of institutions that fall below rises from seven previously to 21 (an increase
of 14 banks, for a pass rate of 77%). In turn, the aggregate capital shortfall rises from 3.5 bn to 16 bn (an increase of 12.5 bn).
The discrepancy between the seemingly large increase in losses (65 bn) and a lower increase in incremental capital need
(12.5 bn) reflects the high level of dispersion of SE and Irish sovereign debt among European banks. In other words, for most
banks exposures are manageable, and hits are absorbed through the credit rather than the capital buffer.
Exhibit 12: SE and Ireland: Banking book exposures 4x the level of trading
book exposures( bn)Trading book and banking book exposures)
Exhibit 13: We arrive at additional hits of 65 bn, applying haircuts on
banking book of SE and Ireland countries; and reversing trading mark downson other sovereign debt ( bn)
Source: CEBS, Company data, Goldman Sachs Research estimates. Source: CEBS, Company data, Goldman Sachs Research estimates.
336
263
108
47
22
0
50
100
150
200
250
300
350
400
0
50
100
150
200
250
300
350
400
Italy Spain Greece Portugal Ireland
Banking Book Trad ing Book29
22
18
6 2
-11
-20
-10
0
10
20
30
40
Spain(Sovereign
debt)
Greece(Sovereign
debt)
Italy(Sovereign
debt)
Portugal(Sovereign
debt)
Ireland(Sovereign
debt)
Reversal oftrad. losseson o ther sov.
debt
July 26 2010 Europe: Banks
8/9/2019 GS Stress Test 7.26
17/41
July 26, 2010 Europe: Banks
Goldman Sachs Global Investment Research 17
Exhibit 14: 21 Institutions fall below 6% Tier 1 assuming hits on banking book for SE and Ireland in line with trading lossesWe have not obtained sovereign exposure data for DZ Bank, Landesbank Berlin, WGZ Bank
Source: CEBS, Company data, Goldman Sachs Research estimates.
Rank Bank
Incremental
haircutnetof
30%tax
Tier1
Ratio(%)Rank Bank
Incremental
haircutnetof
30%tax
Tier1
Ratio(%)
(mn) Diff (mn) Diff
1 GreekPostalSavingsBank 845 12.2% 46 Commerzbank 1,169 0.4%
2 ABG 1,539 10.4% 47 BNPParibas 2,269 0.3%
3 NBG 2,929 4.1% 48 UBIBanca 280 0.3%
4 HRE 3,058 3.3% 49 KBC 447 0.3%
5 Pirae usBank 1,157 3.1% 50 BancoPopolare 230 0.2%
6 BancoBPI 597 2.3% 51 Unicredit 1,091 0.2%
7 EFGEurobank 1,190 2.2% 52 NorddeutscheLandesbank 199 0.2%
8 MarfinPopularBank 485 2.0% 53 BCP 115 0.2%
9 ESPIGA 511 1.8% 54 INGBank 701 0.2%
1 0 AlphaBank 794 1.6% 55 CajaSur 15 0.1%
11 BankofCyprus 338 1.5% 56 SocieteGenerale 450 0.1%
12 BBVA 3,956 1.3% 57 BankofIreland 104 0.1%
13 BCEE 182 1.2% 58 CajadeOntinyent 1 0.1%
14 Dexia 1,780 1.2% 59 HSHNordbank 60 0.1%
1 5 BancoPastor 212 1.1% 60 BancaMarch 9 0.1%
16 CajaColonya 2 1.1% 61 ABN/FortisBank 109 0.1%
17 CajaBBK 203 1.1% 62 Rabobank 208 0.1%
18 DeutschePostbank 648 1.0% 63 BankofValletta 2 0.1%
19 DeutscheBank 3,953 1.0% 64 CreditAgricoleGroup 320 0.1%
20 Jupiter 2,039 1.0% 65 Barclays 256 0.1%
21 Caixa 1,517 0.9% 66 BPCE 96 0.0%
2 2 BancaCivica 251 0.8% 67 LloydsBankingGroup 5 0.0%
23 BMPS 991 0.8% 68 WGZBank 0 0.0%2 4 CaixaGeneraldeDepositos 564 0.8% 69 FHB 0 0.0%
25 Unicaja 173 0.8% 70 DZBank 0 0.0%
26 CAI 116 0.8% 71 LandesbankBerlin 0 0.0%
2 7 BancoPopularEspanol 711 0.8% 72 CajaKutxa 0 0.0%
28 CajadeVitoriayAlava 49 0.7% 73 ErsteBank 1 0.0%
29 UNNIM 136 0.7% 74 SYDBANK 1 0.0%
3 0 BancoSabadell 419 0.7% 75 BayerischeLandesbank 21 0.0%
31 Ibercaja 182 0.7% 76 OPPohjolaGroup 8 0.0%
32 Diada 350 0.7% 77 SvenskaHandelsbanken 22 0.0%
33 Santander 3,790 0.6% 78 Swedbank 24 0.0%
3 4 Alli edIrishBank 470 0.6% 79 Nordea 87 0.0%
35 CAM 534 0.6% 80 RoyalBankofScotland 255 0.0%
36 Breogan 297 0.6% 81 RZB 59 0.1%
3 7 BancoEspiritoSanto 419 0.6% 82 JYSKEBANK 11 0.1%
38 CajaSOL 131 0.6% 83 SEB 61 0.1%
3 9 BancoGuipuzcoano 46 0.6% 84 LandesbankHessenThringen 55 0.1%
4 0 Int es aSanPaolo 2,162 0.6% 85 HSBC 857 0.1%
41 MareNostrum 253 0.6% 86 OTPBank 53 0.2%
42 Bankinter 146 0.5% 87 PKOBP 66 0.2%
4 3 BanqueRaiffeisen 12 0.5% 88 DanskeBank 643 0.4%
44 SNSBANK 104 0.4% 89 WestLB 267 0.5%
45 LandesbankBadenWrttemberg 666 0.4% 90 NLB 60 0.5%
91 Dekabank 187 0.6%
July 26 2010 Europe: Banks
8/9/2019 GS Stress Test 7.26
18/41
July 26, 2010 Europe: Banks
Goldman Sachs Global Investment Research 18
Scenario 2: testing for the extreme a Greek restructuring; new disclosure suggests contagion
risk very limited
We mechanically apply the mid-point of the S&P recovery ratio, in the event of Greek restructuring, at 40%. In total, the 91 banks
tested disclosed exposures to the Greek sovereign of 108 bn; this amount splits between Greek banks (56 bn) and non-Greek
banks (52 bn).Mechanically applying the mid-point of the S&P recovery rate across the board, would result in a total pre-tax impact of 60 bn. We
note the following key conclusions:
The bulk of the impact is with the Greek banks, at some 33.7 bn. The non-Greek European banks would be exposed to the
residual of 31 bn on a pre-tax basis.
The number of institutions falling below the 6% Tier 1 threshold would increase from seven to 17; an increase of 10, for a total
pass rate of 81%. In turn, the capital shortfall would rise form 3.5 bn to 28 bn.
The capital shortfall, however, is split unevenly, with Greek banks needing some 20 bn and the non-Greek banks a substantiallylower 8 bn.
On the basis of the above, we conclude that the risk for contagion across the banking system is lower than what we would have
anticipated. In short, the fear of the unknown was larger than the fact laid out by CEBS, in our view. We show, that while Greek
banks would clearly need a recapitalization in such an event, the amount to which the European banks are exposed strikes us as
limited.
Being able to pinpoint exposures is clearly a positive, as it would allow the markets to differentiate among individual institutions.
Additionally, were this analysis to be reproduced for some of the markets extreme concerns related to Spain so the same haircutof 60% applied the additional losses would be 108 bn, for an additional capital shortfall of 47.5 bn. However, we see this as an
extremely remote scenario.
July 26, 2010 Europe: Banks
8/9/2019 GS Stress Test 7.26
19/41
July 26, 2010 Europe: Banks
Goldman Sachs Global Investment Research 19
Exhibit 15: Potential hits from Greek debt restructuring largest in Greece bn
Exhibit 16: Potential pre-tax hits from Greek debt restructuring by bank bn
Source: CEBS, Goldman Sachs Research estimates, S&P. Source: CEBS, Goldman Sachs Research estimates, S&P.
108
56
52
24
22
10
9
Total exposure to Greekdebt
o/w Greek banks
o/w others
Scenario losses forGreek banks
Scenario losses for otherbanks
- 40% recovery rate(post / pre-tax loss)
0.8
0.8
0.9
1.1
1.2
1.3
1.6
1.7
1.8
2.1
2.2
3.0
3.0
3.2
4.5
4.7
4.7
6.0
11.5
0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0
BPCE
Landesbank Baden-Wrttemberg
Deutsch e Postbank
Bank of Cyprus
Royal Bank of Scotland
ING Bank
Deutsche Bank
Commerzbank
Marfin Pop ular Bank
Societe Generale
Dexia
BNP Paribas
Alpha Bank
Greek Postal Savings Bank
EFG Eurobank
HRE
Piraeus Bank
ABG
NBG
July 26, 2010 Europe: Banks
8/9/2019 GS Stress Test 7.26
20/41
y p
Goldman Sachs Global Investment Research 20
Exhibit 17: Scenario 2: Outside of Greece, only five banks experience a >1% fall in Tier 1 from a Greek restructuring mn
Source: Company data, Goldman Sachs Research estimates.
Rank Bank
Incremental
haircutnetof
30%tax
Tier1
Ratio(%)Rank Bank
Incremental
haircutnetof
30%tax
Tier1
Ratio(%)
(mn) Diff (mn) Diff
1 GreekPostalSavingsBank 2,232 32.2% 46 Breogan 17 0.0%
2 ABG 4,171 28.2% 47 CaixaGeneraldeDepositos 23 0.0%
3 NBG 8,037 11.3% 48 Santander 167 0.0%
4 PiraeusBank 3,315 8.9% 49 BancoPopolare 26 0.0%
5 EFGEurobank 3,117 5.8% 50 Barclays 135 0.0%
6 MarfinPopularBank 1,236 5.2% 51 AlliedIrishBank 17 0.0%
7 AlphaBank 2,104 4.3% 52 UNNIM 4 0.0%
8 BankofCyprus 795 3.6% 53 CAM 17 0.0%
9 HRE 3,276 3.5% 54 OPPohjolaGroup 5 0.0%
10 DeutschePostbank 655 1.1% 55 Jupiter 26 0.0%
11 Dexia 1,563 1.0% 56 Unicaja 3 0.0%
12 BancoBPI 209
0.8% 57 Banca
Civica 3 0.0%
13 B anqu eRaiffeisen 13 0.5% 58 BMPS 11 0.0%
14 BCP 301 0.5% 59 UBIBanca 6 0.0%
15 SocieteGenerale 1,485 0.4% 60 RZB 5 0.0%
16 Commerzbank 1,218 0.4% 61 WGZBank 0 0.0%
17 LandesbankBadenWrttemberg 592 0.4% 62 FHB 0 0.0%
18 BCEE 51 0.3% 63 BankofIreland 0 0.0%
19 BNPParibas 2,067 0.3% 64 Swedbank 0 0.0%
20 DeutscheBank 1,092 0.3% 65 CajadeVitoriayAlava 0 0.0%
21 BancoEspiritoSanto 195 0.3% 66 BancoPopularEspanol 0 0.0%
22 KBC 379 0.3% 67 CajaBBK 0 0.0%
23 WestLB 119
0.2% 68 Banco
Sabadell 0 0.0%24 INGBank 937 0.2% 69 ESPIGA 0 0.0%
25 JYSKEBANK 35 0.2% 70 DZBank 0 0.0%
26 Erst eBank 317 0.2% 71 SvenskaHandelsbanken 0 0.0%
27 SNSBANK 41 0.2% 72 CajaSOL 0 0.0%
28 Dekabank 54 0.2% 73 CajaSur 0 0.0%
29 Roy alBankofScotland 855 0.2% 74 LandesbankBerlin 0 0.0%
30 HSHNordbank 82 0.1% 75 CajaKutxa 0 0.0%
31 BPCE 585 0.1% 76 CAI 0 0.0%
32 BankofValletta 4 0.1% 77 DanskeBank 0 0.0%
33 Rabobank 266 0.1% 78 Bankinter 0 0.0%
34 BancoPastor 17 0.1% 79 OTPBank 0 0.0%
35 Int es aSanPaolo 301
0.1% 80 Caixa 0 0.0%
36 NLB 9 0.1% 81 BancaMarch 0 0.0%
37 NorddeutscheLandesbank 83 0.1% 82 LloydsBankingGroup 0 0.0%
38 SEB 63 0.1% 83 SYDBANK 0 0.0%
39 Unicredit 312 0.1% 84 MareNostrum 0 0.0%
40 BayerischeLandesbank 83 0.1% 85 ABN/FortisBank 0 0.0%
41 LandesbankHessenThringen 35 0.0% 86 CajaColonya 0 0.0%
42 Nordea 105 0.0% 87 Ibercaja 0 0.0%
43 Cred itAgricoleGroup 277 0.0% 88 CajadeOntinyent 0 0.0%
44 HSBC 433 0.0% 89 BancoGuipuzcoano 0 0.0%
45 BBVA 123 0.0% 90 PKOBP 0 0.0%
91 Diada 0 0.0%
July 26, 2010 Europe: Banks
8/9/2019 GS Stress Test 7.26
21/41
Goldman Sachs Global Investment Research 21
Macro assumptions: Putting European stress assumption to the US test
GDP assumptions: adjusted for the point in the GDP cycle, European GDP assumptions on par with US
At first glance, the adverse CEBS macro assumptions appear less conservative than those employed in the US adverse stress-test
scenario. Specifically, CEBS assumes Year 1 and Year 2 GDP growth of -0.2% and -0.6% in Europe vs. the Feds assumption of -3.3%and +0.5% growth in the US during Year 1 and Year 2 of the test (Exhibit 18). Consequently, this translates into substantially lower
assumed cumulative loan losses for both corporate (4.4% in Europe vs. 7.0% in the US) and retail (2.1% in Europe vs. 12.6% in the
US) exposures (Exhibit 19).
Exhibit 18: European stress-test GDP assumptions appear less conservativethan those used in the US stress test, on a headline basisGDP growth in adverse scenario, Euro area and US
Exhibit 19: Loan loss assumptions are also lighter in Europe, reflecting theless severe assumed macro backdrop2-year cumulative loan losses, Euro area and US
Source: Federal Reserve, CEBS. Source: Federal Reserve, CEBS, Company data, Goldman Sachs Research estimates.
However, we believe these differences in macro severity (Exhibit 20), in large part, reflect the timing of the stress tests. In fact,
relative to base-line GDP estimates, the assumptions employed in the adverse European macro scenario are even slightly more
severe at -300 bp, compared to -290 bp in US (cumulative over two years).
The deviation in adverse estimates on an absolute level are thus a function of the fact that the US stress test was undertaken against
a macro backdrop of substantial GDP contraction during year one of its stress test (2009) while the base line for Europe is for
moderate growth during year 1 (2010) of its stress tests.
This, of course, follows substantial GDP contraction in Europe during 2009 (which, in fact, marginally exceeded the contraction in
the US) and the severity of the GDP decline assumed in the adverse scenario of the European stress test appearssignificantly more conservative seen in this light, in our view (Exhibit 21).
0.2%
0.6%
3.3%
0.5%
3.5%
3.0%
2.5%
2.0%
1.5%
1.0%
0.5%
0.0%
0.5%
1.0%
Year1 Year2
GDPgro
wth
adversescneario
Euroarea(CEBS)
US(FederalReserve)
4.4%
2.1%
7.0%
12.6%
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
12.0%
14.0%
Loanlosses(corporate) Loanlosses(retail)
Cumulativelo
anlosses
adversescneario
Euroarea(CEBS)
US(FederalReserve)
8/9/2019 GS Stress Test 7.26
22/41
8/9/2019 GS Stress Test 7.26
23/41
8/9/2019 GS Stress Test 7.26
24/41
July 26, 2010 Europe: Banks
8/9/2019 GS Stress Test 7.26
25/41
Goldman Sachs Global Investment Research 25
Pre-impairment income assumptions by CEBS allow for meaningful deterioration to GS(E)
In our view, the pre-impairment income (PII) assumption is as important as the cumulative loss assumption, when it comes to
assessing the credibility of this stress test. CEBS scenarios imply largely unchanged PII for the benchmark, and a 6% decline in the
adverse scenario. We show that this represents a meaningful haircut compared to GS base-case estimates, both on an aggregate
basis as well as for most individual banks. In our view, the CEBS estimates therefore fairly reflect a deterioration in operating
conditions, which goes beyond what is currently captured by our base-case estimates.
Assessment of pre-impairment income forecast is central to stress-test credibility
As part of the stress test, banks provided an estimate of two years (2010-2011) of cumulative pre-impairment income. These differ
depending on the scenario; for the 91 banks in total, they add up to 538 bn under the benchmark scenario, falling to 509 bn under
the adverse scenario (-5.4%). On an annual run-rate basis, the benchmark scenario assumes 269 bn of PII and the adverse scenario
255 bn. In comparison to 2009, the run-rate is flat in a benchmark scenario, while it assumes a 6% decline in an adverse scenario.
In our view, the PII assumption is as important as the cumulative loss assumption, when it comes to assessing the credibility of this
stress test. There are a number of reasons for this, but highlight the following:
PII translates into credit buffers, which unlike capital buffers are recurring in nature. As such, they are the first line of a banks
loss absorption capacity.
The benchmark scenario implies that the aggregate PII more than covers estimated impairment losses, and represent 164% of
total losses. This ratio falls to 108% under the adverse scenario, however PII remains sufficient to cover impairments without
eroding into banks capital.
In the context of RWA, PII represents 4%-5% of total. As show in Exhibit 25, this is an all-important element in the dynamics of
Tier 1 capital formation.
July 26, 2010 Europe: Banks
8/9/2019 GS Stress Test 7.26
26/41
Goldman Sachs Global Investment Research 26
Exhibit 25: Pre-impairment income resilience key component of banks loss absorption capacityEuropean banks aggregated figures CEBS sample (91 banks)
Source: CEBS summary report.
CEBS PII assumptions are more conservative compared to GS base case for 26 of 39 banks
At the individual bank level, CEBS PII assumptions for 11 banks are above our estimates, while 26 banks show one that is below (i.e.
more conservative). Particularly, that is the case for a few outliers, both on the positive and negative side. The exact reasons are
difficult to gauge, however, we believe that the comparison is heavily affected by change in scope (e.g. planned disposals, pre-
agreed acquisitions), management actions (e.g. cost savings, revenue forecasts, risk reduction) and different views regarding marks
on certain securities. As per Exhibit 26, we note that:
Top 3 banks showing a positive deviation from GS forecasts (i.e. CEBS forecasts are more optimistic than GS) are Deutsche
Bank, ABG and Barclays. For these banks the deviation is in the meaningful 0.6%-1.3% of RWA range.
On the other end, banks that show a negative deviation from GS estimates are AIB, KBC and DPB.
For the vast majority of banks, however, the deviations are negative, and in the 0%-20% range.
2009 2010 2011 Cum. 2010-11ERun rate
2010-11Evs 2009 (%) Base case: PII covers 164% of impairment losses
Benchmark (1) (2) (3) (4) = (2)+(3) (5) = (4) / 2
Pre-impairment income 270 261 277 538 269 0%
Change. YoY (%) -- -3% 6% -- -- --
Total impairments 206 177 152 329 165 -20%
Change. YoY (%) -- -14% -14% -- -- --
Pre impairment income / Total losses (%) -- 147% 182% 164% 164%
Pre-impairment income / RWA (%) 2.4% 2.3% 2.4% 4.7% 2.4%
Advesre scenario Adverse scenario: PII still higher than impairments
Pre provision income 270 251 258 509 254.5 -6%
ch. YoY (%) -7% 3% -- -- --
Total impairments 206 234 239 473 237 15%
ch. YoY (%) -- 14% 2% -- -- --
Pre impairment income / Total losses (%) -- 107% 108% 108% 108%
Pre-impairment income / RWA (%) 2.4% 2.2% 2.1% 4.2% 2.1%
147%
182%164%
2010 2011 Cum. 2010-11E
107%
108%
108%
2010 2011 Cum. 2010-11E
July 26, 2010 Europe: Banks
8/9/2019 GS Stress Test 7.26
27/41
Goldman Sachs Global Investment Research 27
Exhibit 26: CEBS pre-impairment income assumptions are more conservative than GS base case for 26 of 39 banksCumulative PII 2010-11E: CEBS adverse scenario vs. GS estimates
Source: CEBS, Goldman Sachs Research estimates.
Difference Difference
Rank Bank** % % of RWA* Rank Bank** % % of RWA*
1 Deutsche Bank 42% 1.3% 21 SEB -8% 0.2%
2 ABG 18% 0.6% 22 PKO BP -8% 0.7%
3 Barclays 17% 0.8% 23 Bankinter -8% 0.2%4 Svenska Handelsbanken 12% 0.3% 24 BBVA -10% 0.6%
5 Danske Bank 7% 0.2% 25 BNP Paribas -11% 0.4%
6 Marfin Popular Bank 5% 0.2% 26 EFG Eurobank -12% 0.5%
7 Intesa SanPaolo 5% 0.1% 27 Piraeus Bank -13% 0.4%
8 Royal Bank of Scotland 4% 0.2% 28 HSBC -13% 0.6%
9 Banco Popular Espanol 2% 0.1% 29 NBG -14% 0.7%
10 Nordea 1% 0.0% 30 BMPS -15% 0.4%
11 Commerzbank 0% 0.0% 31 Unicredit -18% 0.7%
12 OTP Bank 0% 0.0% 32 UBI Banca -19% 0.4%
13 Swedbank -4% 0.1% 33 Societe Generale -20% 0.8%
14 Erste Bank -4% 0.1% 34 Banco Pastor -24% 0.8%
15 Bank of Cyprus -4% 0.2% 35 Banco Popolare -27% 0.5%16 Banco Sabadell -5% 0.1% 36 Greek Postal Savings Bank -43% 1.5%
17 Santander -5% 0.3% 37 Deutsche Postbank -58% 1.6%
18 Lloyds Banking Group -6% 0.2% 38 KBC -60% 2.6%
19 Alpha Bank -6% 0.2% 39 Allied Irish Bank -72% 2.6%
20 Bank of Ireland -7% 0.2% Average -6% 0.2%
* adjusted for corporate tax impact, ** excludes Dexia
8/9/2019 GS Stress Test 7.26
28/41
8/9/2019 GS Stress Test 7.26
29/41
July 26, 2010 Europe: Banks
8/9/2019 GS Stress Test 7.26
30/41
Goldman Sachs Global Investment Research 30
the increased disclosure provided through the stress tests, it would not surprise us (in fact it would be an additional positive
development) to see some banks that passed the test still raise core Tier 1 capital levels in coming months.
Given the relatively high core and total Tier 1 capital ratios of the banks in our coverage, we do not believe that additional
coupon deferrals are likely, but think that additional capital structure management could occur as banks seek to
improve core Tier 1 ratios and replace securities which could lose Tier 1 credit in the longer term. We would continue to
recommend investors move down the capital structure in the names we like. We think the stronger institutions are likely to replace
innovative securities as they reach their call dates, while weaker banks are likely to exercise a more economic approach to the
calls.
Exhibit 31: Sovereign disclosure is a clear positive for investorsSelect sovereign exposures in local currencies
Source: Company data, Goldman Sachs Research.
All sovereign exposures Select exposures
Banking book Trading book Aggregate Portugal Italy Greece SpainBACR 35,056 7,362 42,418 1,024 787 388 4,376
RBS 66,922 23,527 90,449 660 3,919 2,010 821
LLOYDS1 7,605 65 7,670 0 0 0 0
HSBC 42,857 37,708 80,565 698 6,247 101 1,935
SANTAN 46,536 13,801 60,337 5,118 1,184 513 50,642
BBVA 52,892 11,883 64,775 646 6,230 293 52,131
ISPIM 46,580 24,820 71,400 25 63,681 828 556
UCGIM 58,756 23,001 81,757 186 38,832 801 560
ACAFP 36,515 16,077 52,592 1,478 12,347 854 2,286
SOCGEN 33,805 8,673 42,478 404 5,149 4,225 901
BNP 91,316 4,634 95,950 2,526 23,196 5,005 3,021
BPCE2 34,584 13,002 47,586 456 7,493 1,540 384
BKIR 1,237 77 1,314 0 30 0 0
AIB 9,564 0 9,564 257 671 41 391
NORDEA1 19,888 4,089 23,977 0 709 249 37
INTNED 41,319 5,332 46,651 1,773 6,443 2,425 1,380
1LLOYDS as of 1H10, Nordea as of FY09
3Not disclosed
2Groupe BPCE released on 6 May 2010 its exposure on Greece, amounting to 2,1 billion euros inclusive of all Greek counterparties at 30 April 2010. At that
time, gross exposure to Greek government amounted to 1,4 billion euros, guaranteed at 0,3 billion euros.
8/9/2019 GS Stress Test 7.26
31/41
8/9/2019 GS Stress Test 7.26
32/41
July 26, 2010 Europe: Banks
A di R ki f Ti 1 it l ti
8/9/2019 GS Stress Test 7.26
33/41
Goldman Sachs Global Investment Research 33
Appendix: Rankings of core Tier 1 capital ratios
Exhibit 34: Rankings of core Tier 1 ratios for 2009 and 2011 estimates based on "Benchmark" and Sovereign Shock scenarios published by CEBS
Source: CEBS, Company data, Goldman Sachs Research estimates.
Rank Bank % Rank Bank % Rank Bank %
1 GPSB 17.1% 1 GPSB 17.0% 1 Barclays 11.0%
2 Swedbank 12.0% 2 Barclays 13.0% 2 GPSB 10.1%
3 Sve nskaHandelsbanken 11.7% 3 RBS 10.9% 3 Nordea 9.2%
4 SEB 11.7% 4 AlphaBank 10.8% 4 HSBC 8.9%
5 RBS 11.0% 5 ABG 10.7% 5 Santander 8.6%
6 EFGEurobank 10.3% 6 NBG 10.4% 6 Swedbank 8.6%
7 Nordea 10.3% 7 PiraeusBank 10.4% 7 SEB 8.3%
8 AlphaBank 10.3% 8 HSBC 10.4% 8 Lloyds 8.2%
9 Barclays 10.0% 9 KBC 10.4% 9 RBS 8.1%
10 NBG 9.9% 10 Nordea 10.3% 10 SocieteGenerale 8.0%
1 1 D an sk eBank 9.5% 11 EFGEurobank 9.8% 11 BBVA 8.0%
12 HSBC 9.4% 12 SEB 9.8% 12 Commerzbank 7.8%
13 KBC 9.2% 13 SocieteGenerale 9.8% 13 KBC 7.8%
14 Commerzbank 9.1% 14 Lloyds 9.7% 14 BNPParibas 7.7%
15 BankofIreland 8.9% 15 DeutscheBank 9.7% 15 SvenskaHandelsbanken 7.4%
16 PiraeusBank 8.8% 16 Santander 9.6% 16 ErsteBank 7.2%
17 DeutscheBank 8.7% 17 ErsteBank 9.5% 17 IntesaSanPaolo 7.0%
18 Santander 8.6% 18 Swedbank 9.4% 18 DeutscheBank 6.8%
19 BancoPopular 8.6% 19 BBVA 9.3% 19 Unicredit 6.8%
20 Unicredit 8.5% 20 BNPParibas 9.3% 20 AlphaBank 6.6%
2 1 So ci et eGenerale 8.5% 21 Commerzbank 9.1% 21 BancoPopular 6.5%
22 ABG 8.4% 22 Unicredit 8.9% 22 DanskeBank 6.4%
23 Erst eBank 8.3% 23 BancoPopular 8.7% 23 EFGEurobank 6.3%
24 BancoPastor 8.3% 24 AlliedIrishBank 8.7% 24 UBIBanca 6.3%
25 Lloyds 8.1% 25 SvenskaHandelsbanken 8.5% 25 NBG 6.1%
26 BNPParibas 8.0% 26 IntesaSanPaolo 8.5% 26 BankofIreland 6.1%27 BBVA 8.0% 27 BancoSabadell 8.4% 27 BancoSabadell 6.0%
2 8 A ll ie dIrishBank 7.9% 28 BankofIreland 8.0% 28 Bankinter 5.9%
29 Marfin 7.7% 29 DanskeBank 8.0% 29 AlliedIrishBank 5.7%
30 BancoSabadell 7.7% 30 BankofCyprus 7.6% 30 BancoPopolare 5.7%
31 UBIBanca 7.4% 31 Marfin 7.5% 31 BMPS 5.6%
32 BankofCyprus 7.4% 32 Bankinter 7.5% 32 PiraeusBank 5.5%
3 3 I nt es aSanPaolo 7.1% 33 UBIBanca 7.1% 33 BankofCyprus 4.6%
34 BMPS 6.9% 34 BMPS 7.0% 34 Marfin 4.6%
35 Bankinter 6.5% 35 BancoPastor 6.5% 35 ABG 4.4%
36 BancoPopolare 6.4% 36 BancoPopolare 6.5% 36 DeutschePostbank 4.0%
37 DeutschePostbank 4.4% 37 DeutschePostbank 5.5% 37 BancoPastor 3.8%
Median 8.6% Median 9.3% Median 6.8%
Minimum 4.4% Minimum 5.5% Minimum 3.8%Maximum 17.1% Maximum 17.0% Maximum 11.0%
CoreTier1Ratio(2009) CoreTier1Ratio(2011E)under"SovereignShock"scenarioCoreTier1Ratio(2011E)under"Benchmark"scenario
8/9/2019 GS Stress Test 7.26
34/41
8/9/2019 GS Stress Test 7.26
35/41
8/9/2019 GS Stress Test 7.26
36/41
8/9/2019 GS Stress Test 7.26
37/41
July 26, 2010 Europe: Banks
Financial Advisory Disclosures
8/9/2019 GS Stress Test 7.26
38/41
Goldman Sachs Global Investment Research 38
Financial Advisory Disclosures
Goldman Sachs is acting as financial advisor to Turk Ekonomi Bankasi As in an announced strategic transaction.
8/9/2019 GS Stress Test 7.26
39/41
8/9/2019 GS Stress Test 7.26
40/41
8/9/2019 GS Stress Test 7.26
41/41
Top Related