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CONTENTS OF THE WORKBOOK

Worksheet Name Description

Read Me This sheet (explanation of the workbook).

Data Six tables. Input data as compiled by the National Bank of Bankistan (NBB). The data werecollected in March 2006 and generally relate to end-December 2005, unless noted otherwise.Table A1 contains basic balance sheet and income statement data. Table A2 contain other prudential indicators important for the stress tests. Tables 1c and 1d include key ratios based onthe input data. Table A3 contains the financial soundness indicators, while Table A4 characterizesthe structure of the banking sector. Tables 1e and 1f show how the financial soundness indicators

can be combined into institution-by-institution rankings, using a simple early warning systemcalibrated by the NBB (see the Assumptions sheet). Table A5 provides the rankings; Table A6converts them into probabilities of default.

Assumptions One table: Table B puts together all the assumptions.This worksheet also contains several charts allowing the user to see how changes in theassumptions affect the results.

Credit Risk Two tables: Table C1 summarizes the reported data on asset quality. Table C2 shows the creditrisk stress test. It consists of four components: (1) a correction for underprovisioning of NPLs; (2)an aggregate NPL shock, (3) a sectoral shock, allowing different shocks to different sectors, and(4) a shock for credit concentration risk (large exposures).

Interest Risk

Two tables: Table D1 sorts assets and liabilities into three time-to-repricing buckets, using theinput data from was provided by the NBB. Table D2 shows the corresponding interest rate stresstest. The test itself consists of two components: (1) flow impact from a gap between interestsensitive assets and liabilities; (2) stock impact resulting from repricing of bonds.

FX Risk Two tables: Table E1 contains information on the foreign exchange exposure of the banks and thedirect exchange rate risk shock. Table E2 shows a simple calculation of the indirect foreignexchange shock (using FX loans to approximate impact on credit quality).

Interbank

Three tables: Table F1 is a matrix of net interbank exposures. Table F2 uses the interbankexposure data to show "pure" interbank contagion, i.e. to illustrate what happens to the other banks when one bank fails to repay its obligations in the interbank market. Table F3 shows a"macro" contagion exercise, in which banks' failures to repay obligations in the interbank marketare not assumed, but rather a result of the "macro" shocks modeled in the sheet "Scenarios."

Liquidity Two tables. The worksheet summarizes two liquidity tests, showing for each bank how many daysit would be able to survive a liquidity drain without resorting to liquidity from outside (other banks or the central bank). Table G1 models a simple liquidity drain that affects all banks in the systemproportionally. Table G2 is a model of "liquidity contagion," where the liquidity drain is faster inbanks that are perceived similarly weak by depositors. This exercise also allows for testing liquidity

impact of government default.ScenariosFour tables: Table H1 summarizes the results of the combination of credit shocks, interest rateshocks, exchange rate shocks, and liquidity shocks from the respective worksheets. The table alsocompares the impact to profits and allows for an autonomous shock to profits. Table H2 shows thepost-shock financial soundness ratios for the banking sector. Table H3 shows post-shock ratings.Table H4 shows the corresponding post-shock probabilities of default. The results, presentednumerically in this worksheet, can be inspected visually in the "Assumptions" worksheet.

STRESS TESTER 2.0: A HANDS-ON STRESS TESTING EXERCISE TOOL

Contacts: Martin Čihák, tel. 1-202-623-8931, fax 1-202-589-8931, e-mail: [email protected].

The purpose of the workbook is to illustrate basic stress tests (and related tools) that can be used to assess risks in a smalland relatively non-complex banking system, using a realistic (but fictional) example.

Created by Martin Čihák in March 2004; this version February 2007. Comments or suggestions are welcome.

I would like to thank R. Sean Craig, Plamen Iossifov, Peter Chunnan Liao, Thomas Lutton, Christiane Nickel, Nada Oulidi,Richard Podpiera, Leah Sahely, Graham Slack, participants of a regional conference on financial stability issues at Sinaia,Romania, and participants in seminars at the IMF, the World Bank, the Central Bank of Russia, and the Central Bank of Trinidad and Tobago for their helpful comments on the accompanying Excel file. All remaining errors are mine.

The contents of this workbook reflect the views of the author and not those of the IMF or IMF policy.



NOTATION

Yellow denotes input data reported by the NBB.

Yellow/white stripes denotes consistency check on the input data.Green denotes numerical assumptions for the stress test (all in the Assumptions sheet)Green/white stripes denote numerical assumptions imported from the Assumptions sheet.

Blue denotes the assumed sizes of the shocks to the risk factors (all in the Assumptions sheet).

Blue/white stripes denote numerical assumptions imported from the Assumptions sheet.

No background (with black font) denotes linked cells or formulas.

OTHER GENERAL COMMENTS

We allow for autonomous shocks to profits or net interest income (see the "Scenarios" sheet).

The file is formatted for presentation on the computer screen via an LCD projector. I f you want to print out from this file, youmay need to format it first for printing.

The numbers in the file are in B$ millions and relate to end-2005, unless noted otherwise. Ratios are in percent.

Total capital may in general differ from regulatory capital; in this workbook, we for simplicity use the same numbers, but it isset up in a way that allows for differences between equity and regulatory capital.

All shocks are for simplicity expressed in terms of capital (and capital adequacy ratios). In practice, banks can use profits

as the first line of defense. To address this issue, profits are presented in the "Scenarios" sheet alongside with the impactsto illustrate the relative size of the profit "buffer." We use annual profits, which is consistent with the fact that we evaluatethe shocks in a horizon of one year (see the interest rate shock). For some banks, the profit "buffer" is non-existent or

the most, changing the numerical assumptions (in green) and shocks sizes (in blue) and observing the results (in charts in Assumptions, or in the relevant worksheets). It is also possible to change the numerical assumptions and shock sizes inthe individual worksheets (in green/white and blue/white striped cells, respectively), but this may result in breaking the linkto the Assumptions worksheet.



151130365.xls.ms_office; Data 3 of 20

Table A. Bankistan: Reported Data, end-2005 (In B $ mil l ions; rat ios in p ercent)

All Banks

State Owned

(SB)

Domestic

Private (DB)

Foreign

(FB)

SB1 SB2 SB3 DB1 DB2 DB3

Table A1. Balance sheet and incom e

statement data (simpli f ied)

Total assets 67,264 18,005 12,619 36,639 2,381 2,753 12,872 331 1,475 4,705Cash and T-bills 4,507 1,415 1,033 2,059 250 178 987 10 150 390Long-term government bonds 5,280 568 1,021 3,691 131 85 352 16 112 407Total loans (net) 54,915 14,627 9,981 30,306 1,592 2,315 10,721 304 1,021 3,855Other assets (net) 2,562 1,395 584 583 408 175 812 1 192 53

Total liabilities 67,264 18,005 12,619 36,639 2,381 2,753 12,872 331 1,475 4,705Deposits 61,820 17,498 11,402 32,920 2,299 2,687 12,511 294 1,472 4,178

Demand deposits 29,914 8,027 5,366 16,521 1,124 982 5,921 137 638 2,211Domestic currency 11,573 5,336 2,701 3,537 899 884 3,553 55 319 1,415Foreign currency 18,341 2,691 2,665 12,984 225 98 2,368 82 319 796

Term deposits 31,906 9,471 6,036 16,399 1,175 1,705 6,590 157 834 1,967

Domestic currency 13,427 6,670 2,778 3,979 952 1,501 4,218 66 426 1,200Foreign currency 18,478 2,800 3,258 12,420 223 205 2,372 91 409 767

Total capital (equity) 5,444 508 1,217 3,720 81 66 361 37 2 527

Net income ("after-tax profit") 893 -50 148 795 -30 -48 28 -4 25 32Net operating income (+) 988 -27 194 821 -24 -47 44 -5 21 60

Net interest income (+) 3,847 1,111 662 2,075 143 171 796 21 89 237Interest income (+) 5,843 1,650 1,010 3,183 212 259 1,178 30 136 345Interest expense (-) 1,996 539 348 1,109 69 88 382 9 46 108

Noninterest income (+) 72 18 18 35 2 3 13 0 2 4Provisions for loan losses (-) 1,396 752 167 477 115 159 478 8 45 40Noninterest expense (-) 1,535 404 319 812 54 63 287 19 25 141

Securities gains/losses (+) -7 -13 0 7 -3 0 -10 1 1 1 Applicable income taxes (-) 67 5 18 45 0 1 3 0 1 4Extraordinary gains, net (+) -22 -5 -29 12 -3 0 -2 0 4 -25

Table A2. Other inpu t data

Capital adequacy calculation

Regulatory capital 5,444 508 1,217 3,720 81 66 361 37 2 527Risk weighted assets 36,503 10,246 6,678 19,579 1,030 809 8,406 156 568 3,148

Credit risk data

Performing loans 51,195 12,700 9,455 29,040 1,099 1,945 9,656 262 950 3,751Pass loans 47,837 11,850 8,794 27,193 970 1,628 9,251 240 611 3,635Special mention loans 3,358 850 662 1,846 129 316 405 22 340 116

Non performing loans (NPLs), gross 8,822 4,443 1,268 3,111 1,014 736 2,693 54 389 225Substandard loans 1,907 281 426 1,200 111 54 115 54 19 0

Doubtful loans 1,946 512 490 944 456 56 0 0 80 225Loss loans 4,969 3,651 351 967 447 626 2,578 0 290 0

Provisions held 5,102 2,516 742 1,845 521 366 1,629 13 319 121Collateral reported against:

Substandard loans 747 259 128 360 102 50 106 16 6 0Doubtful loans 994 564 147 283 512 52 0 0 24 68Loss loans 3,760 3,365 105 290 412 577 2,376 0 87 0




Table A. Bankistan: Reported Data, end-2005 (In B$ m il l ions; rat ios in percent)

All Banks

State Owned

(SB)

Domestic

Private (DB)

Foreign

(FB)


Sectoral structure of lending

Total loans 54,915 14,627 9,981 30,306 1,592 2,315 10,721 304 1,021 3,855

Agriculture 2,127 816 336 976 81 25 709 15 13 73Manufacturing 19,305 6,162 3,498 9,645 892 380 4,890 71 268 1,422Construction 5,708 1,608 1,009 3,091 173 253 1,182 29 115 365

Trade 11,620 2,829 2,304 6,487 116 431 2,282 56 321 1,021Tourism 5,725 1,559 1,187 2,979 153 479 927 54 151 428

Non-bank financial institutions 5,078 762 795 3,521 0 153 609 0 118 282Other 5,351 892 852 3,607 177 594 122 79 35 265

Nonperforming loans 8,822 4,443 1,268 3,111 1,014 736 2,693 54 389 225

Agriculture 503 276 65 161 53 9 214 4 5 8Manufacturing 3,330 1,827 460 1,043 479 118 1,230 14 116 81

Construction 1,257 581 183 493 132 92 357 7 49 41

Trade 1,260 750 169 342 164 110 476 8 86 2

Tourism 1,145 544 179 422 121 164 260 12 54 39Non-bank financial institutions 267 139 55 73 0 36 103 0 29 0

Other 1,061 327 157 577 66 208 53 10 51 54

Largest exposures

#1 559 78 132 350 17 10 51 4 7 40

#2 487 67 116 304 15 9 44 4 6 34#3 379 53 89 238 12 8 34 3 5 26

#4 342 48 80 215 10 7 30 2 5 24#5 325 45 76 204 10 7 29 2 5 22




Table A. Bankistan: Repo rted Data, end-2005 (In B$ mil l io ns; rat ios in percent)

All Banks

State Owned

(SB)

Domestic

Private (DB)

Foreign

(FB)


Interest rate risk dataTotal sensitive assets (by time torepricing) 160,465 18,918 23,678 117,868 2,728 8,688 7,502 905 5,338 6,472

< 3 months 76,452 14,699 14,635 47,118 616 7,883 6,199 870 5,338 9873-6 months 36,145 2,502 1,360 32,283 704 777 1,021 35 0 06-12 months 47,868 1,718 7,684 38,467 1,408 28 282 0 0 5,485

Total sensitive liabilities (by time torepricing) 162,392 21,675 14,786 125,931 1,030 9,921 10,724 1,234 2,192 3,252

< 3 months 92,228 19,440 13,640 59,148 343 9,880 9,217 632 2,192 2,8433-6 months 35,778 1,872 665 33,241 343 34 1,495 602 0 556-12 months 34,386 363 481 33,542 343 7 13 0 0 354

Structure of the bond portfolioLong-term government bonds 5,280 568 1,021 3,691 131 85 352 16 112 407

Bond 1 1,461 404 251 806 21 32 351 13 5 25

Bond 2 3,819 164 770 2,885 110 53 1 3 107 382 Average duration of bonds held ... ... ... ... 3.8 3.3 1.9 2.3 4.1 4.0Liquid assets 9,787 1,983 2,054 5,750 381 263 1,339 26 262 797Short-term liabilities 29,914 8,027 5,366 16,521 1,124 982 5,921 137 638 2,211

o/w demand deposits 29,914 8,027 5,366 16,521 1,124 982 5,921 137 638 2,211other 0 0 0 0 0 0 0 0 0 0

Exchange rate risk dataNet open position 218 -90 53 255 11 -8 -93 0 12 14

Net US$ position 32 -153 -3 188 2 -48 -108 0 -4 7Net euro position 56 54 4 -1 7 11 35 0 -5 1Net GBP position 17 2 13 2 2 7 -6 0 8 4Net positions in other curr. 113 8 40 66 0 22 -14 0 13 2

FX loans 18,542 3,478 4,178 10,886 357 557 2,564 137 487 1,587

Profits and ROAs over timeProfit (1996-2005 average) 921 17 183 721 -10 5 22 8 31 41Profit (1996-2005 st. dev.) 1,250 90 214 946 22 45 23 8 66 30St. dev of ROA (1996-2005) 2.3 1.8 2.0 2.9 2.7 2.6 0.2 1.2 3.5 0.5

Interbank credit data (credit of bank in the row to the bank in the column)SB1 ... 0 32 21 33 12SB2 45 ... 35 70 55 60SB3 0 5 ... 7 0 15DB1 25 0 33 ... 15 18DB2 23 0 40 20 ... 20DB3 25 0 25 16 18 ...DB4 32 12 27 19 20 23DB5 0 0 0 0 0 0FB1 45 9 25 37 43 0

FB2 22 0 82 20 20 22FB3 43 0 97 45 43 23FB4 21 16 22 20 20 20

Other data

Gross domestic product 100,000




Table A. Bankistan: Reported Data, end-2005 (In B$ mil l ions ; rat ios in perc ent)

All Banks

State Owned

(SB)

Domestic

Private (DB)

Foreign

(FB)


Table A3. Selected Bankin g Sector Ratios (in p ercent)

Capital Adequacy Total capital / RWA (CAR) * 14.9 5.0 18.2 19.0 7.9 8.1 4.3 23.9 0.4 16.7

Asset Quality NPLs (gross)/ total loans * 16.1 30.4 12.7 10.3 63.7 31.8 25.1 17.9 38.1 5.8Provisions/NPLs 57.8 56.6 58.5 59.3 51.4 49.7 60.5 23.2 81.9 53.9(NPLs-provisions)/capital * 68.3 379.8 43.2 34.0 605.9 565.0 295.1 112.0 2,870.5 19.7FX loans/total loans 33.8 23.8 41.9 35.9 22.4 24.1 23.9 45.1 47.7 41.2RWA/total assets 54.3 56.9 52.9 53.4 43.3 29.4 65.3 47.2 38.5 66.9

Profitability ROA (after-tax) * 1.3 -0.3 1.2 2.2 -1.3 -1.8 0.2 -1.3 1.7 0.7ROE (after-tax) * 16.4 -9.8 12.1 21.4 -36.9 -73.6 7.9 -11.7 1,005.2 6.1

Liquidity Liquid assets/total assets 14.6 11.0 16.3 15.7 16.0 9.6 10.4 7.9 17.8 16.9

Liquid assets/short-term liabilities* 32.7 24.7 38.3 34.8 33.9 26.8 22.6 19.0 41.1 36.0Sensitivity to Market Risk

Net FX exposure / capital * 4.0 -17.7 4.4 6.8 14.1 -12.4 -25.8 0.0 491.7 2.6Other

Z-score ((C/A+ROA/stdev(ROA)) 4.2 1.4 5.4 4.3 0.8 0.2 13.5 8.2 0.5 22.8

* Core Financial Soundness Indicator (FSI)

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

Share in total assets 100.0 26.8 18.8 54.5 3.5 4.1 19.1 0.5 2.2 7.0Share in total loans 100.0 26.6 18.2 55.2 2.9 4.2 19.5 0.6 1.9 7.0Share in total deposits 100.0 28.3 18.4 53.3 3.7 4.3 20.2 0.5 2.4 6.8Share in total capital 100.0 9.3 22.4 68.3 1.5 1.2 6.6 0.7 0.0 9.7

Total assets/GDP 67.3 18.0 12.6 36.6 2.4 2.8 12.9 0.3 1.5 4.7

Table A5. Basic Ratio An alysis: Ratings

Overall 2.3 3.4 2.2 1.8 3.3 3.3 3.4 3.1 2.9 2.3Capital Adequacy

Total capital / RWA (CAR) * 1.9 3.6 1.5 1.1 3 2 4 1 4 1

Asset Quality NPLs (gross)/ total loans * 2.7 4.0 2.6 2.1 4 4 4 3 4 2Provisions/NPLs 2.2 2.2 1.8 2.4 2 3 2 4 1 2

(NPLs-provisions)/capital * 2.4 4.0 1.9 1.8 4 4 4 4 4 1FX loans/total loans 2.2 2.0 2.7 2.2 2 2 2 3 3 3RWA/total assets 2.9 2.7 2.7 3.0 2 2 3 2 2 3

Profitability ROA (after-tax) * 2.1 3.3 2.3 1.5 4 4 3 4 2 3ROE (after-tax) * 2.1 3.3 2.5 1.4 4 4 3 4 1 3

Liquidity Liquid assets/total assets 3.0 3.2 3.0 3.0 3 4 3 4 3 3Liquid assets/short-term liabilities* 3.0 3.9 2.4 2.8 3 4 4 4 2 3

Sensitivity to Market Risk Net FX exposure / capital * 2.2 3.4 1.5 1.8 2 2 4 1 4 1

Table A6. Basic Ratio An alysis: Probabil i ty of Default

Overall 15.7 19.9 17.1 18.8 13.3 3.1

Capital Adequacy Total capital / RWA (CAR) * 5.0 1.0 30.0 0.1 30.0 0.1

Asset Quality NPLs (gross)/ total loans * 30.0 30.0 30.0 5.0 30.0 1.0Provisions/NPLs 1.0 5.0 1.0 30.0 0.1 1.0

(NPLs-provisions)/capital * 30.0 30.0 30.0 30.0 30.0 0.1FX loans/total loans 1.0 1.0 1.0 5.0 5.0 5.0RWA/total assets 1.0 1.0 5.0 1.0 1.0 5.0

Profitability ROA (after-tax) * 30.0 30.0 5.0 30.0 1.0 5.0

ROE (after-tax) * 30.0 30.0 5.0 30.0 0.1 5.0Liquidity Liquid assets/total assets 5.0 30.0 5.0 30.0 5.0 5.0Liquid assets/short-term liabilities* 5.0 30.0 30.0 30.0 1.0 5.0

Sensitivity to Market Risk Net FX exposure / capital * 1.0 1.0 30.0 0.1 30.0 0.1



Table B. Assum ptions

Basic Ratio Analysis

Thresholds and Weights Threshold 1 Threshold 2 Threshold 3 Weight Consistency check

btwn 4&3 btwn 3&2 btwn 2&1

Capital Adequacy 20Total capital / RWA (CAR) * 5 8 15 20

Asset Quality 25NPLs ross / total loans * 25 15 5 5Provisions/NPLs 25 50 75 0

(NPLs-provisions)/capital * 100 50 25 10FX loans/total loans 60 40 20 10RWA/total assets 75 50 25 0

Profitability 30ROA (after-tax) * 0 1 2 15

ROE (after-tax) * 0 10 20 15Liquidity 20

Li uid assets/total assets 10 20 30 10Li uid assets/short-term liabilities 30 40 50 10

Sensitivity to Market Risk 5Net FX ex osure / ca ital * abs. 25 15 5 5

100

Probability of failure 30 5 1 0.1

Credit Risk

Shock 1. "Underprovisioning"

Assumed provisioning rates (%)

Pass loans 1

S ecial mention loans 3

Substandard loans 20

Doubtful loans 50

Loss loans 100 Assumed haircut on collateral (%) 75

Impact on RWA/impact on capital (%) 100

Shock 2. "Proportional increase in NPLs"

Assumed increase in NPLs (%) 25

The increase is proportional to:

existing NPLs (1=yes, 0=no) 1

existing performing loans (1=yes, 0=no) 0

Assumed provisioning of the new NPLs (%) 25


Shock 3. "Sectoral shocks to NPLs"

Assumed shocks (% of performing loans in the sector becoming NPLs)

A riculture 0

Manufacturin 0

Construction 0

Trade 10

Tourism 20Non-bank financial institutions 0

Other 0

Assumed provisioning rate (%) 25

Change in RWA/change in capital 100

Shock 4. Large exposures

Number of large exposures becoming NPLs 5

Assumed provisioning rate (%) 100

0.00.2

0.4

0.6

0.8

1.0

1.2

1.4

1.6

1.8

2.0

A l l

S B s

C a p i t a l i n j e c t i o n ( % G

D P )

-15

-10

-5

0

5

10

15

20

25

A l l

S B s

C a p i t a l a d e q u a c y r a t i o ( % )

3

4



Interest Rate Risk

Parameters of bonds Settlement Maturity Coupon Yield Frequency Basis Duration

Bond 1 12/31/2005 12/31/2007 8 9 2 1 1.89Bond 2 12/31/2005 12/31/2010 8 10 2 1 4.18

Nominal interest rate: assumed changeercenta e oints 1.5

Exchange Rate Risk

Assumed exchan e rate chan e % + ...de r 55100 percent depreciation leads to x percent of FX loansbecoming NPLs, x= 10.0

Provisioning rate on the additional NPLs 50

Scenarios

Which of the credit shocks 2 3 4 is consider 2 Autonomous shock to net interest income 25 Assumed minimum CAR rule (%) 10

Assumed use for ca ital in ection for RWA % 0Which of the li uidit shocks is considered 1 1

Liquidity evaluated after (no. of days) 2

Interbank Contagion


Liquidity Stress Test

Liquidity scenario type (1=simple, 2=flight to

safet 3= mt default 1

Sim le SB1 SB2 SB3 DB1 DB2 DB3 DB4 DB5Demand deposits withdrawn per day (%)

Domestic currency 15 15 15 15 15 15 15 15Foreign currency 10 10 10 10 10 10 10 10

Time deposits withdrawn per day (%)Domestic currency 3 3 3 3 3 3 3 3

Foreign currency 1 1 1 1 1 1 1Liquid assets: available in a day (%) 95 95 95 95 95 95 95 95

Other assets: available in a day (%) 1 1 1 1 1 1 1

Fli ht to safet

What measure of safety? (1=total assets,2=total assets, premium for state ownership,3= re-shock ratin 1

Premium for state ownership (% total assetsof a privately owned bank would have to bebi er to en o the same safet 100

Maximum MinimumDemand domestic c. de osits withdra 25 0

Demand forei n c. de osits withdrawn 15 0Time domestic c. de osits withdrawn 10 0

Time forei n c. de osits withdrawn er 5 0SB1 SB2 SB3 DB1 DB2 DB3 DB4 DB5

Liquid assets: available in a day (%) 95 95 95 95 95 95 95 95Other assets: available in a day (%) 1 1 1 1 1 1 1

Government bonds illi uid

Government bonds illiquid (%) 100

SB1 SB2 SB3 DB1 DB2 DB3 DB4 DB5Demand domestic c. de osits withdra 15 15 15 15 15 15 15 15

Demand forei n c. de osits withdrawn 10 10 10 10 10 10 10 10Time domestic c. de osits withdrawn 2 2 2 2 2 2 2 2

Time forei n c. de osits withdrawn er 1 1 1 1 1 1 1

1

2

A l l

S B s

A v e r a g e r a t i n g

0

5

10

15

20

25

30

S B 1

S B 2

S B 3

D B 1

P r o b a b i l i t y

o f d e f a u l t ( % )

-2,000

-1,500

-1,000

-500

0

500

1,000

1,500

2,000

2,500

SB1 SB2 SB3 DB1 DB2

L i q u i d i t y a v a i l a b l e ( B $ m i l l i o n )

Basic liquidity test ("proportional w



Table C. Credit Risk Stress (based on end -2005 data; all num bers are in B$ million s, ratios are in percent)

All Banks

State Owned

(SB)

Domestic

Private (DB)

Foreign

(FB)

SB1 SB2 SB3 DB1

Table C1. Asset Qu ality

Total loans (gross) 54,915 14,627 9,981 30,306 1,592 2,315 10,721 3

Performin loans 51 195 12 700 9 455 29 040 1 099 1 945 9 656 2Pass loans 47,837 11,850 8,794 27,193 970 1,628 9,251 2Special mention loans 3,358 850 662 1,846 129 316 405

Non performing loans (NPLs) 8,822 4,443 1,268 3,111 1,014 736 2,693Substandard loans 1,907 281 426 1,200 111 54 115

Doubtful loans 1,946 512 490 944 456 56 0Loss loans 4,969 3,651 351 967 447 626 2,578

Reported data on collateralSubstandard loans 747 259 128 360 102 50 106Doubtful loans 994 564 147 283 512 52 0

Loss loans 3,760 3,365 105 290 412 577 2,376Provisions held 5,102 2,516 742 1,845 521 366 1,629

Regulatory capital 5,444 508 1,217 3,720 81 66 361Risk-weighted assets (RWA) 36,503 10,246 6,678 19,579 1,030 809 8,406 1

Capital adequacy ratio (CAR) pre-shock 14.9 5.0 18.2 19.0 7.9 8.1 4.3 2NPLs (gross)/total loans (gross) 16.1 30.4 12.7 10.3 63.7 31.8 25.1 1(NPLs-provisions)/capital 68.3 379.8 43.2 34.0 605.9 565.0 295.1 11

Table C2. Credit Risk St ress Test

Shock 1. "Underprovisioning"

Assumed provisioning rates (%)Pass loans 1

Special mention loans 3Substandard loans 20Doubtful loans 50Loss loans 100

Assumed haircut on collateral (%) 75

Collateral value after the haircut:Substandard loans 187 65 32 90 26 13 27Doubtful loans 249 141 37 71 128 13 0Loss loans 940 841 26 73 103 144 594

Provisions needed 5,801 3,182 738 1,881 538 537 2,106Provisions held 5,102 2,516 742 1,845 521 366 1,629Provisions to be made 808 667 39 102 18 172 477Capital post-shock 4,636 -159 1,178 3,617 64 -106 -117Impact on RWA/impact on capital (%) 100

RWA post-shock 35,695 9,579 6,639 19,477 1,013 638 7,929 1Capital adequacy post-shock 13.0 -1.7 17.7 18.6 6.3 -16.6 -1.5 2Capital adequacy change -1.9 -6.6 -0.5 -0.4 -1.6 -24.7 -5.8 -

Shock 2. "Proportional increase in NPLs"

Assumed increase in NPLs (%) 25

The increase is proportional to:existing NPLs (1=yes, 0=no) 1

existing performing loans (1=yes, 0=n 0 Additional NPLs 2,206 1,111 317 778 253 184 673 Assumed provisioning of the additional NP 25 Additional provisions 551 278 79 194 63 46 168Capital post-shock 4,085 -437 1,099 3,423 0 -152 -285

Impact on RWA/impact on capital (%) 100RWA post-shock 35,143 9,301 6,560 19,282 949 592 7,760 1Capital adequacy post-shock 11.6 -4.7 16.8 17.8 0.0 -25.7 -3.7 2Capital adequacy change -1.4 -3.0 -1.0 -0.8 -6.3 -9.1 -2.2 -Capital adequacy overall change (provisio -3.3 -9.7 -1.5 -1.2 -7.9 -33.8 -8.0 -

Memo items:Post-shock NPLs 11,028 5,554 1,584 3,889 1,267 920 3,367Post-shock NPL/total loan ratio 20 38 16 13 80 40 31Post-shock provisions/NPLs 51 50 52 52 46 45 53



Table C. Credit Risk Stress (based on end -2005 data; all num bers are in B$ million s, ratios are in percent)

All Banks

State Owned

(SB)

Domestic

Private (DB)

Foreign

(FB)

SB1 SB2 SB3 DB1

Shock 3. "Sectoral shocks to NPLs"

Structure of lendin in B$ million

Total loans 54,915 14,627 9,981 30,306 1,592 2,315 10,721 3 Agriculture 2,127 816 336 976 81 25 709Manufacturing 19,305 6,162 3,498 9,645 892 380 4,890Construction 5,708 1,608 1,009 3,091 173 253 1,182

Trade 11,620 2,829 2,304 6,487 116 431 2,282Tourism 5,725 1,559 1,187 2,979 153 479 927Non-bank financial institutions 5,078 762 795 3,521 0 153 609Other 5,351 892 852 3,607 177 594 122

Nonperforming loans (in B$ million) 8,822 4,443 1,268 3,111 1,014 736 2,693

Agriculture 503 276 65 161 53 9 214Manufacturing 3,330 1,827 460 1,043 479 118 1,230

Construction 1,257 581 183 493 132 92 357Trade 1,260 750 169 342 164 110 476

Tourism 1,145 544 179 422 121 164 260Non-bank financial institutions 267 139 55 73 0 36 103Other 1,061 327 157 577 66 208 53

Performing loans (in B$ million) 46,093 10,184 8,714 27,195 578 1,579 8,027 2 Agriculture 1,624 540 270 814 29 16 495Manufacturing 15,976 4,335 3,038 8,602 413 262 3,660Construction 4,451 1,027 826 2,598 41 161 825Trade 10,360 2,079 2,136 6,145 -48 321 1,806

Tourism 4,580 1,015 1,008 2,557 32 315 667Non-bank financial institutions 4,811 623 740 3,448 0 117 506Other 4,291 566 695 3,030 111 386 69

Structure of lending (in percent of total loa 100 100 100 100 100 100 100 1 Agriculture 4 6 3 3 5 1 7

Manufacturing 35 42 35 32 56 16 46Construction 10 11 10 10 11 11 11Trade 21 19 23 21 7 19 21Tourism 10 11 12 10 10 21 9

Non-bank financial institutions 9 5 8 12 0 7 6Other 10 6 9 12 11 26 1

Structure of nonperformance (NPLs to tot 16 30 13 10 64 32 25 Agriculture 24 34 19 17 65 36 30Manufacturing 17 30 13 11 54 31 25

Construction 22 36 18 16 76 36 30Trade 11 27 7 5 141 25 21Tourism 20 35 15 14 79 34 28Non-bank financial institutions 5 18 7 2 0 23 17

Other 20 37 18 16 37 35 43 Assumed shocks (% of performing loans in the sector becoming NPLs)

Agriculture 0Manufacturing 0

Construction 0Trade 10Tourism 20Non-bank financial institutions 0Other 0

New NPLs (from the affected sectors) 1,952 411 415 1,126 2 95 314 Assumed provisioning rate (%) 25Impact on capital -488 -103 -104 -281 0 -24 -79Capital (post-shock) 4,148 -262 1,074 3,336 63 -130 -195

Change in RWA/change in capital 100RWA (post-shock) 35,207 9,476 6,535 19,195 1,012 614 7,850 1CAR (post-shock) 11.8 -2.8 16.4 17.4 6.2 -21.1 -2.5 2CAR (change) -1.2 -1.1 -1.3 -1.2 0.0 -4.5 -1.0 -CAR (overall change, including the underp -3.1 -7.7 -1.8 -1.6 -1.7 -29.2 -6.8 -

Shock 4. Large exposures

Number of large exposures becoming NP 5

Assumed provisioning rate (%) 100 Additional provisions 2,094 291 492 1,311 64 40 187Capital (post-shock) 2,542 -450 686 2,307 0 -146 -304



Table D. Interest Rate Risk Stress Test (end-2005 data in B$ millions; ratios in per cent)

All Banks

State Owned

(SB)

Domestic

Private (DB)

Foreign

(FB)

SB1 SB2 SB3 DB1

Table D1. Maturity buck ets

Gap< 3 months -15,777 -4,741 995 -12,030 273 -1,996 -3,018 23-6 months 367 630 695 -958 361 743 -474 -56-12 months 13,482 1,355 7,202 4,925 1,065 21 269

Cummulative gap

< 3 months -15,777 -4,741 995 -12,030 273 -1,996 -3,018 2<6 months -15 409 -4 111 1 689 -12 988 634 -1 253 -3 492 -3<12 months -1,927 -2,757 8,892 -8,063 1,698 -1,232 -3,222 -3

Table D2. Interest Rate Stress Test

Nominal interest rate: assumed change

(percentage points) 1.5Net interest income impact

<12 months -29 -41 133 -121 25 -18 -48Capital after-shock 5,415 466 1,350 3,599 107 47 312

CAR after-shock (percent) 14.8 4.6 20.2 18.4 10.4 5.8 3.7 2Change in CAR after-shock (pct points) -0.1 -0.4 2.0 -0.6 2.5 -2.3 -0.6 -

Repricing impact

Change in the value of the bond portfolio -281 -22 -55 -204 -7 -4 -10Capital after-shock 5,135 444 1,295 3,395 99 43 302

CAR after-shock (percent) 14.1 4.3 19.4 17.3 9.6 5.3 3.6 2Change in CAR after-shock (pct points) -0.8 -0.2 -0.8 -1.0 -0.7 -0.5 -0.1 -

Overall change in CAR (NII and repricing im -0.8 -0.6 1.2 -1.7 1.7 -2.8 -0.7 -



Table E. Foreign Exchang e Risk Stress Test (based on end -2005 data; al l numbers are in B$ m il l ions, rat ios are in percent)

All Banks

State Owned

(SB)

Domestic

Private (DB)

Foreign

(FB)SB1 SB2 SB3 DB1 DB2 DB3 DB

Table E1. Direct Foreign Exch ange Risk Net open foreign exchange position 218 -90 53 255 11 -8 -93 0 12 14

Assumed exchange rate change (%, + ...depr 55Impact on capital 120 -49 29 140 6 -4 -51 0 7 8Post-shock capital 5,564 458 1,246 3,860 88 61 309 37 9 534Post-shock CAR (%) 15.2 4.5 18.7 19.7 8.5 7.5 3.7 23.9 1.6 17.0Change in CAR (percentage points) 0.3 -0.5 0.4 0.7 0.6 -0.6 -0.6 0.0 1.2 0.2

Table E2. Indirect Foreign Exch ange Risk

Foreign exchange loans 18,542 3,478 4,178 10,886 357 557 2,564 137 487 1,587100 percent depreciation leads to x percent of FX loansbecoming NPLs, x= 10Increase in NPLs 1,020 191 230 599 20 31 141 8 27 87Provisioning rate on the additional NPLs 50New provisions 510 96 115 299 10 15 71 4 13 44Post-shock capital 5,054 363 1,131 3,560 78 46 239 34 -4 491Post-shock CAR (%) 13.8 3.5 16.9 18.2 7.6 5.7 2.8 21.5 -0.8 15.6Change in CAR (percentage points) -1.4 -0.9 -1.7 -1.5 -1.0 -1.9 -0.8 -2.4 -2.4 -1.4

Overall change in CAR (percentage points) -1.1 -1.4 -1.3 -0.8 -0.3 -2.4 -1.4 -2.4 -1.2 -1.1



Table F. Interbank Stress Test (based on end -2005 data; al l numbers are in B$ mil l ions, rat ios are in percent)

Net credit of bank in the

column to the bank in the

rowAll SB All DB All FB All SB1 SB2 SB3 DB1 DB2 DB3 DB4 DB5 FB1 FB2 FB3 FB4

Table F1. Matrix of net interbank c redit (with negative figures indicat ing n et borrow ers) All ... ... ... ... 111 -374 314 53 75 5 -1 233 19 -112 -285 -38

SB All ... ... 158 0 13 -75 62 40 25 37 -7 63 -33 -38 -140 2

DB All ... -158 ... -207 4 -221 59 -36 -36 -22 -13 107 -8 -54 -125 -20

FB All ... 0 207 ... 94 -78 193 49 86 -10 19 63 60 -20 -20 -20

SB1 -111 -13 -4 -94 ... -45 32 -4 10 -13 -9 12 -45 -4 -43 -2

SB2 374 75 221 78 45 ... 30 70 55 60 16 20 22 48 0 8

SB3 -314 -62 -59 -193 -32 -30 ... -26 -40 -10 -14 31 -10 -82 -97 -4

DB1 -53 -40 36 -49 4 -70 26 ... -5 2 7 32 -4 0 -45 0

DB2 -75 -25 36 -86 -10 -55 40 5 ... 2 3 26 -43 0 -43 0

DB3 -5 -37 22 10 13 -60 10 -2 -2 ... -3 29 20 -4 -6 0

DB4 1 7 13 -19 9 -16 14 -7 -3 3 ... 20 19 -30 -8 0

DB5 -233 -63 -107 -63 -12 -20 -31 -32 -26 -29 -20 ... 0 -20 -23 -20

FB1 -19 33 8 -60 45 -22 10 4 43 -20 -19 0 ... -20 -20 -20

FB2 112 38 54 20 4 -48 82 0 0 4 30 20 20 ... 0 0

FB3 285 140 125 20 43 0 97 45 43 6 8 23 20 0 ... 0

FB4 38 -2 20 20 2 -8 4 0 0 0 0 20 20 0 0 ...

Matrix of net interbank exposur es (str ipped dow n to show o nly net creditors; al l others have zero exposu re)

Net exposure of bank in

the column to the bank in

the row

All SB All DB All FB All SB1 SB2 SB3 DB1 DB2 DB3 DB4 DB5 FB1 FB2 FB3 FB4

SB1 ... ... ... ... ... 32 10 12

SB2 ... ... ... ... 45 ... 30 70 55 60 16 20 22 48 8

SB3 ... ... ... ... ... 31

DB1 ... ... ... ... 4 26 ... 2 7 32

DB2 ... ... ... ... 40 5 ... 2 3 26

DB3 ... ... ... ... 13 10 ... 29 20

DB4 ... ... ... ... 9 14 3 ... 20 19

DB5 ... ... ... ... ...FB1 ... ... ... ... 45 10 4 43 ...

FB2 ... ... ... ... 4 82 4 30 20 20 ...

FB3 ... ... ... ... 43 97 45 43 6 8 23 20 ...

FB4 ... ... ... ... 2 4 20 20 ...

Capital (original, before any 5,444 508 1,217 3,720 81 66 361 37 2 527 56 594 1,663 1,715 283 59RWA (original, before any s 36,503 10,246 6,678 19,579 1,030 809 8,406 156 568 3,148 676 2,129 7,755 9,008 2,328 488CAR (original, before any sh 14.9 5.0 18.2 19.0 7.9 8.1 4.3 23.9 0.4 16.7 8.3 27.9 21.4 19.0 12.2 12.0Impact on RWA/impact on c 20




Table F2. Pure interbank co ntagion

Q: What happens to the capital of the bank in the column if the bank in the row fails to repay the interbank loan?

First iteration

Capital after the first iterationSB1 ... ... ... ... ... 66 329 37 -8 527 56 582 1663 1715 283 59

SB2 ... ... ... ... 36 ... 331 -33 -53 467 40 574 1641 1667 283 51

SB3 ... ... ... ... 81 66 ... 37 2 527 56 563 1663 1715 283 59

DB1 ... ... ... ... 77 66 335 ... 2 525 49 562 1663 1715 283 59

DB2 ... ... ... ... 81 66 321 32 ... 525 53 568 1663 1715 283 59

DB3 ... ... ... ... 68 66 351 37 2 ... 56 565 1643 1715 283 59

DB4 ... ... ... ... 72 66 347 37 2 524 ... 574 1644 1715 283 59

DB5 ... ... ... ... 81 66 361 37 2 527 56 ... 1663 1715 283 59

FB1 ... ... ... ... 36 66 351 33 -41 527 56 594 ... 1715 283 59

FB2 ... ... ... ... 77 66 279 37 2 523 26 574 1643 ... 283 59

FB3 ... ... ... ... 38 66 264 -8 -41 521 48 571 1643 1715 ... 59

FB4 ... ... ... ... 79 66 357 37 2 527 56 574 1643 1715 283 ...

Q: For which banks will you need to run the second iteration?

Failed as result of the first ... ... ... ...SB1 ... ... ... ... 0 0 0 1 0 0 0 0 0 0 0

SB2 ... ... ... ... 0 0 1 1 0 0 0 0 0 0 0

SB3 ... ... ... ... 0 0 0 0 0 0 0 0 0 0 0

DB1 ... ... ... ... 0 0 0 0 0 0 0 0 0 0 0

DB2 ... ... ... ... 0 0 0 0 0 0 0 0 0 0 0

DB3 ... ... ... ... 0 0 0 0 0 0 0 0 0 0 0

DB4 ... ... ... ... 0 0 0 0 0 0 0 0 0 0 0

DB5 ... ... ... ... 0 0 0 0 0 0 0 0 0 0 0

FB1 ... ... ... ... 0 0 0 0 1 0 0 0 0 0 0

FB2 ... ... ... ... 0 0 0 0 0 0 0 0 0 0 0

FB3 ... ... ... ... 0 0 0 1 1 0 0 0 0 0 0

FB4 ... ... ... ... 0 0 0 0 0 0 0 0 0 0 0

Source of risk for the second iteration?

SB1 ... ... ... ... 0 0 0 0 0 0 0 0 0 0 0

SB2 ... ... ... ... 0 0 0 0 0 0 0 0 0 0 0

SB3 ... ... ... ... 0 0 0 0 0 0 0 0 0 0 0

DB1 ... ... ... ... 0 1 0 0 0 0 0 0 0 1 0

DB2 ... ... ... ... 1 1 0 0 0 0 0 1 0 1 0

DB3 ... ... ... ... 0 0 0 0 0 0 0 0 0 0 0

DB4 ... ... ... ... 0 0 0 0 0 0 0 0 0 0 0

DB5 ... ... ... ... 0 0 0 0 0 0 0 0 0 0 0

FB1 ... ... ... ... 0 0 0 0 0 0 0 0 0 0 0

FB2 ... ... ... ... 0 0 0 0 0 0 0 0 0 0 0

FB3 ... ... ... ... 0 0 0 0 0 0 0 0 0 0 0

FB4 ... ... ... ... 0 0 0 0 0 0 0 0 0 0 0




Second iteration

Capital after the second iteration

SB1 ... ... ... ... 66 289 32 -8 525 53 556 1663 1715 283 59

SB2 ... ... ... ... 32 265 -38 -53 463 30 516 1641 1667 283 51SB3 ... ... ... ... 81 66 37 2 527 56 563 1663 1715 283 59

DB1 ... ... ... ... 77 66 335 2 525 49 562 1663 1715 283 59

DB2 ... ... ... ... 81 66 321 32 525 53 568 1663 1715 283 59

DB3 ... ... ... ... 68 66 351 37 2 56 565 1643 1715 283 59

DB4 ... ... ... ... 72 66 347 37 2 524 574 1644 1715 283 59

DB5 ... ... ... ... 81 66 361 37 2 527 56 1663 1715 283 59

FB1 ... ... ... ... 36 66 311 28 -41 525 53 568 1715 283 59

FB2 ... ... ... ... 77 66 279 37 2 523 26 574 1643 283 59

FB3 ... ... ... ... 34 66 198 -13 -41 517 38 513 1643 1715 59

FB4 ... ... ... ... 79 66 357 37 2 527 56 574 1643 1715 283

Difference between the first and the second iteration

SB1 ... ... ... ... 0 -40 -5 0 -2 -3 -26 0 0 0 0

SB2 ... ... ... -4 ... -66 -5 0 -4 -10 -58 0 0 0 0

SB3 ... ... ... 0 0 ... 0 0 0 0 0 0 0 0 0DB1 ... ... ... 0 0 0 ... 0 0 0 0 0 0 0 0

DB2 ... ... ... 0 0 0 0 ... 0 0 0 0 0 0 0

DB3 ... ... ... 0 0 0 0 0 ... 0 0 0 0 0 0

DB4 ... ... ... 0 0 0 0 0 0 ... 0 0 0 0 0

DB5 ... ... ... 0 0 0 0 0 0 0 ... 0 0 0 0

FB1 ... ... ... 0 0 -40 -5 0 -2 -3 -26 ... 0 0 0

FB2 ... ... ... 0 0 0 0 0 0 0 0 0 ... 0 0

FB3 ... ... ... -4 0 -66 -5 0 -4 -10 -58 0 0 ... 0

FB4 ... ... ... 0 0 0 0 0 0 0 0 0 0 0 ...

Q: For which banks will you need to run the third iteration?

Failed as result of the seco ... ... ... ...

SB1 ... ... ... ... 0 0 0 0 0 0 0 0 0 0 0

SB2 ... ... ... ... 0 0 0 0 0 0 0 0 0 0 0

SB3 ... ... ... ... 0 0 0 0 0 0 0 0 0 0 0

DB1 ... ... ... ... 0 0 0 0 0 0 0 0 0 0 0

DB2 ... ... ... ... 0 0 0 0 0 0 0 0 0 0 0

DB3 ... ... ... ... 0 0 0 0 0 0 0 0 0 0 0

DB4 ... ... ... ... 0 0 0 0 0 0 0 0 0 0 0

DB5 ... ... ... ... 0 0 0 0 0 0 0 0 0 0 0

FB1 ... ... ... ... 0 0 0 0 0 0 0 0 0 0 0

FB2 ... ... ... ... 0 0 0 0 0 0 0 0 0 0 0

FB3 ... ... ... ... 0 0 0 0 0 0 0 0 0 0 0

FB4 ... ... ... ... 0 0 0 0 0 0 0 0 0 0 0

Post-contagion capital

SB1 5233 354 1159 3720 0 66 289 32 -8 525 53 556 1663 1715 283 59

SB2 4858 297 919 3642 32 0 265 -38 -53 463 30 516 1641 1667 283 51

SB3 5053 147 1186 3720 81 66 0 37 2 527 56 563 1663 1715 283 59

DB1 5336 478 1139 3720 77 66 335 0 2 525 49 562 1663 1715 283 59DB2 5366 468 1179 3720 81 66 321 32 0 525 53 568 1663 1715 283 59

DB3 4845 485 661 3700 68 66 351 37 2 0 56 565 1643 1715 283 59

DB4 5323 485 1138 3701 72 66 347 37 2 524 0 574 1644 1715 283 59

DB5 4850 508 623 3720 81 66 361 37 2 527 56 0 1663 1715 283 59

FB1 3603 413 1134 2057 36 66 311 28 -41 525 53 568 0 1715 283 59

FB2 3570 422 1163 1985 77 66 279 37 2 523 26 574 1643 0 283 59

FB3 4729 298 1015 3416 34 66 198 -13 -41 517 38 513 1643 1715 0 59

FB4 5339 502 1197 3641 79 66 357 37 2 527 56 574 1643 1715 283 0




Post-contagion CAR

SB1 14.3 3.4 17.3 19.0 0.0 8.1 3.4 20.5 -1.3 16.7 7.8 26.0 21.4 19.0 12.2 12.0

SB2 13.3 2.9 13.6 18.6 3.1 0.0 3.1 -22.0 -9.1 14.6 4.4 24.1 21.1 18.5 12.2 10.4

SB3 13.8 1.4 17.7 19.0 7.9 8.1 0.0 23.9 0.4 16.7 8.3 26.4 21.4 19.0 12.2 12.0DB1 14.6 4.7 17.0 19.0 7.5 8.1 4.0 0.0 0.4 16.7 7.3 26.3 21.4 19.0 12.2 12.0

DB2 14.7 4.6 17.6 19.0 7.9 8.1 3.8 20.5 0.0 16.7 7.8 26.6 21.4 19.0 12.2 12.0

DB3 13.2 4.7 9.7 18.9 6.6 8.1 4.2 23.9 0.4 0.0 8.3 26.5 21.2 19.0 12.2 12.0

DB4 14.6 4.7 17.0 18.9 7.0 8.1 4.1 23.9 0.4 16.6 0.0 26.9 21.2 19.0 12.2 12.0

DB5 13.2 5.0 9.2 19.0 7.9 8.1 4.3 23.9 0.4 16.7 8.3 0.0 21.4 19.0 12.2 12.0

FB1 9.8 4.0 16.9 10.3 3.5 8.1 3.7 17.9 -7.0 16.7 7.8 26.6 0.0 19.0 12.2 12.0

FB2 9.7 4.1 17.4 10.0 7.5 8.1 3.3 23.9 0.4 16.6 3.8 26.9 21.2 0.0 12.2 12.0

FB3 12.9 2.9 15.1 17.4 3.3 8.1 2.3 -7.7 -7.0 16.4 5.6 23.9 21.2 19.0 0.0 12.0

FB4 14.6 4.9 17.9 18.6 7.7 8.1 4.2 23.9 0.4 16.7 8.3 26.9 21.2 19.0 12.2 0.0

Table F3. "Macro" interbank contagion test

Q: What happens to the capital of the bank in the column if the banking system is weakened by the macroeconomic shock in the "Scenarios" sheet?

Capital (after the macroshoc 3,385 -645 1,091 2,939 15 -195 -465 24 5 478 24 560 1,299 1,502 101 37RWA (after the macroshock 35,143 9,301 6,560 19,282 949 592 7,760 152 537 3,112 650 2,109 7,692 8,829 2,282 479CAR (after the macroshocks 9.6 -6.9 16.6 15.2 1.6 -32.9 -6.0 15.8 1.0 15.4 3.7 26.6 16.9 17.0 4.4 7.6Failure? 0 1 1 0 0 0 0 0 0 0 0 0Impact on RWA/impact on c 20

First iteration

Capital after the first ite 2980 -720 839 2861 -30 -195 -495 -46 -50 418 8 509 1277 1454 101 29

RWA after the first iterat 35062 9286 6509 19267 940 592 7,754 138 526 3,100 647 2,098 7,688 8,819 2,282 478

CAR after the first iterati 8.5 -7.8 12.9 14.8 -3.2 -32.9 -6.4 -33.2 -9.4 13.5 1.2 24.3 16.6 16.5 4.4 6.0

Q: For which banks will you need to run a second iteration?

New failures in the first iteration? 1 0 0 1 1 0 0 0 0 0 0 0

Second iteration

Capital after the second 2779 -822 740 2861 -34 -195 -593 -51 -60 414 -2 439 1,277 1,454 101 29

RWA after the second it 35022 9266 6490 19267 939 592 7,735 137 524 3,099 645 2,084 7,688 8,819 2,282 478

CAR after the second it 7.9 -8.9 11.4 14.8 -3.6 -32.9 -7.7 -37.1 -11.4 13.4 -0.3 21.1 16.6 16.5 4.4 6.0

Q: For which banks will you need to run a third iteration?

New failures in the first iteration? 0 0 0 0 0 0 1 0 0 0 0 0Third iteration

Capital after the third ite 2578 -924 641 2861 -38 -195 -691 -56 -70 410 -12 369 1,277 1,454 101 29

RWA after the third itera 34982 9245 6470 19267 939 592 7,715 136 522 3,098 643 2,070 7,688 8,819 2,282 478

CAR after the third itera 7.4 -10.0 9.9 14.8 -4.1 -32.9 -9.0 -41.0 -13.3 13.2 -1.9 17.8 16.6 16.5 4.4 6.0

Q: For which banks will you need to run a fourth iteration?

New failures in the first iteration? 0 0 0 0 0 0 0 0 0 0 0 0



Table G. Liqu idity stress test (based on end-2005 data; al l numbers are in B$ mil l ion s, rat ios are in percent) All

Banks

State

Owned

Domes

tic

Foreign

(FB)SB1 SB2 SB3 DB1 DB2 DB3 DB4 DB5 FB1 FB2

Table G1. Simple l iqu idity test (run o n all banks , f ire-sale of assets)

Demand deposits (domestic currenc 11,573 5,336 2,701 3,537 899 884 3,553 55 319 1,415 305 607 1,768 1,16

Withdrawn per day (%) 15 15 15 15 15 15 15 15 15 1Demand deposits (foreign currency) 18,341 2,691 2,665 12,984 225 98 2,368 82 319 796 477 991 5,033 6,12

Withdrawn per day (%) 10 10 10 10 10 10 10 10 10 1

Time deposits (domestic currency) 13,427 6,670 2,778 3,979 952 1,501 4,218 66 426 1,200 461 625 1,527 1,70Withdrawn per day (%) 3 3 3 3 3 3 3 3 3

Time deposits (foreign currency) 18,478 2,800 3,258 12,420 223 205 2,372 91 409 767 722 1,270 4,129 6,41

Withdrawn per day (%) 1 1 1 1 1 1 1 1 1Liquid assets 9,787 1,983 2,054 5,750 381 263 1,339 26 262 797 328 641 2,992 1,23

Available per day (%) 95 95 95 95 95 95 95 95 95 9Non-liquid assets 57,477 16,022 10,565 30,889 2,000 2,490 11,533 305 1,213 3,908 1,693 3,446 11,129 15,89

Available per day (%) 1 1 1 1 1 1 1 1 1

Day #1

Demand deposits (domestic) 9,837 4,535 2,296 3,006 764 751 3,020 47 271 1,203 259 516 1,503 99Demand deposits (foreign) 16,507 2,422 2,398 11,686 202 88 2,132 74 287 716 429 892 4,529 5,51

Time deposits (domestic) 13,025 6,470 2,695 3,860 923 1,456 4,091 64 413 1,164 448 607 1,481 1,65Time deposits (foreign) 18,293 2,772 3,226 12,295 221 203 2,349 90 405 760 714 1,257 4,088 6,34New cash outflow (during day 1) 4,158 1,298 788 2,072 188 189 920 19 97 336 115 222 856 90

Liquid assets (after day 1) 489 99 103 288 19 13 67 1 13 40 16 32 150 6Non-liquid assets (after day 1) 56,902 15,862 10,460 30,580 1,980 2,465 11,417 302 1,201 3,869 1,676 3,412 11,017 15,73

New cash inflow (during day 1) 9,872 2,044 2,057 5,771 382 275 1,387 28 261 796 329 643 2,954 1,32Net cash inflow since beginning o 5,715 746 1,269 3,699 194 85 467 8 164 461 214 422 2,098 42Liquid? (1=yes, 0=no) 12 3 5 4 1 1 1 1 1 1 1 1 1

2Demand deposits (domestic) 8,362 3,855 1,952 2,555 650 639 2,567 40 230 1,022 220 439 1,278 84

Demand deposits (foreign) 14,856 2,180 2,159 10,517 182 80 1,918 67 258 645 386 803 4,077 4,96Time deposits (domestic) 12,634 6,276 2,614 3,744 896 1,412 3,968 62 400 1,129 434 588 1,437 1,60Time deposits (foreign) 18,110 2,745 3,193 12,173 219 201 2,325 89 401 752 707 1,244 4,047 6,28

New cash outflow (during day 2) 3,700 1,144 697 1,858 165 167 812 17 86 295 102 197 764 81Liquid assets (after day 2) 24 5 5 14 1 1 3 0 1 2 1 2 7

Non-liquid assets (after day 2) 56,333 15,703 10,355 30,275 1,960 2,440 11,303 299 1,189 3,830 1,659 3,378 10,907 15,57New cash inflow (during day 2) 1,034 253 202 579 38 37 178 4 24 77 32 65 252 21Net cash inflow since beginning o 3,049 -145 774 2,420 67 -45 -167 -5 103 243 144 289 1,587 -17

Liquid? (1=yes, 0=no) 8 1 4 3 1 0 0 0 1 1 1 1 13

Demand deposits (domestic) 7,107 3,277 1,659 2,172 552 543 2,182 34 196 869 187 373 1,086 71Demand deposits (foreign) 13,370 1,962 1,943 9,466 164 72 1,727 60 233 580 348 722 3,669 4,46Time deposits (domestic) 12,255 6,088 2,535 3,632 869 1,370 3,849 60 388 1,095 421 571 1,394 1,55

Time deposits (foreign) 17,929 2,717 3,161 12,051 217 199 2,302 88 397 744 700 1,232 4,007 6,22New cash outflow (during day 3) 3,300 1,012 619 1,669 145 148 719 15 76 259 92 176 683 73

Liquid assets (after day 3) 1 0 0 1 0 0 0 0 0 0 0 0 0Non-liquid assets (after day 3) 55,770 15,546 10,252 29,972 1,940 2,416 11,190 296 1,177 3,792 1,643 3,344 10,798 15,41

New cash inflow (during day 3) 587 162 108 316 21 25 116 3 13 40 17 35 116 15Net cash inflow since beginning o 335 -995 264 1,067 -57 -168 -770 -17 39 24 70 148 1,020 -74Liquid? (1=yes, 0=no) 7 0 4 3 0 0 0 0 1 1 1 1 1

4 Demand deposits (domestic) 6,041 2,785 1,410 1,846 469 461 1,854 29 167 739 159 317 923 60


New cash outflow (during day 4) 2,950 898 551 1,502 127 132 638 14 68 229 83 158 612 66Liquid assets (after day 4) 0 0 0 0 0 0 0 0 0 0 0 0 0

Non-liquid assets (after day 4) 55,212 15,391 10,149 29,672 1,921 2,392 11,078 293 1,165 3,754 1,626 3,310 10,690 15,26New cash inflow (during day 4) 559 156 103 300 19 24 112 3 12 38 16 34 108 15Net cash inflow since beginning o -2,056 -1,737 -184 -134 -165 -275 -1,296 -28 -17 -167 4 24 517 -1,25

Liquid? (1=yes, 0=no) 5 0 2 3 0 0 0 0 0 0 1 1 15

Demand deposits (domestic) 5,135 2,367 1,198 1,569 399 392 1,576 24 142 628 135 269 785 51Demand deposits (foreign) 10,830 1,589 1,574 7,667 133 58 1,399 49 188 470 282 585 2,972 3,61Time deposits (domestic) 11,531 5,728 2,386 3,417 818 1,289 3,622 57 365 1,030 396 537 1,312 1,46

Time deposits (foreign) 17,573 2,663 3,099 11,811 212 195 2,256 86 389 730 686 1,207 3,927 6,09New cash outflow (during day 5) 2,644 798 491 1,354 113 117 568 12 61 202 74 141 549 60


New cash inflow (during day 5) 552 154 102 297 19 24 111 3 12 38 16 33 107 15Net cash inflow since beginning o -4,147 -2,382 -574 -1,192 -259 -369 -1,754 -37 -67 -332 -55 -84 75 -1,70

Liquid? (1=yes, 0=no) 3 0 0 3 0 0 0 0 0 0 0 0 1



Table G2. Fl ight to safety /contagion l iquid i ty test , government bo nds i l l iqu id

What measure of safety? (1=totalassets, 2=total assets, premium for

state ownership, 3=pre-shockrating) 1

Premium for state ownership (%

total assets of a privately ownedbank would have to be bigger to

enjoy the same safety) 100Total (pre-shock) assets 67,264 18,005 12,619 36,639 2,381 2,753 12,872 331 1,475 4,705 2,021 4,087 14,121 17,12

Adjusted for state ownership pre 85,269 36,010 12,619 36,639 4,761 5,506 25,743 331 1,475 4,705 2,021 4,087 14,121 17,12

Pre-shock rating 2.3 3.4 2.2 1.8 3.3 3.3 3.4 3.1 2.9 2.3 2.2 1.9 1.9 1."Index of safety" (100=max, 0=min) 12.2 14.4 74.7 0.0 6.8 26.1 10.1 22.4 82.1 100.

Demand deposits (domestic currenc 11,573 5,336 2,701 3,537 899 884 3,553 55 319 1,415 305 607 1,768 1,16Withdrawn per day (%) 3 4 19 0 2 7 3 6 21 2

Demand deposits (foreign currency) 18,341 2,691 2,665 12,984 225 98 2,368 82 319 796 477 991 5,033 6,12

Withdrawn per day (%) 2 2 11 0 1 4 2 3 12 1Time deposits (domestic currency) 13,427 6,670 2,778 3,979 952 1,501 4,218 66 426 1,200 461 625 1,527 1,70

Withdrawn per day (%) 1 1 7 0 1 3 1 2 8 1

Time deposits (foreign currency) 18,478 2,800 3,258 12,420 223 205 2,372 91 409 767 722 1,270 4,129 6,41Withdrawn per day (%) 1 1 4 0 0 1 1 1 4

Liquid assets (with government bon 9,787 1,983 2,054 5,750 381 263 1,339 26 262 797 328 641 2,992 1,23Government bonds (% illiquid) 100

Liquid assets (without illiquid bonds) 4,507 1,415 1,033 2,059 250 178 987 10 150 390 185 298 1,100 45 Available per day (%) 95 95 95 95 95 95 95 95 95 9

Non-liquid assets 57,477 16,022 10,565 30,889 2,000 2,490 11,533 305 1,213 3,908 1,693 3,446 11,129 15,89 Available per day (%) 1 1 1 1 1 1 1 1 1

Day #

1Demand deposits (domestic) 10,021 4,613 2,562 2,846 872 852 2,889 55 314 1,323 297 573 1,405 87


New cash outflow (during day 1) 4,842 1,434 296 3,112 45 57 1,332 0 13 165 23 95 1,278 1,70

Liquid assets (after day 1) 225 71 52 103 13 9 49 1 8 20 9 15 55 2Non-liquid assets (after day 1) 56,902 15,862 10,460 30,580 1,980 2,465 11,417 302 1,201 3,869 1,676 3,412 11,017 15,73New cash inflow (during day 1) 10,136 2,072 2,108 5,956 388 279 1,405 29 267 817 336 661 3,048 1,36Net cash inflow since beginning o 5,295 639 1,812 2,844 344 222 73 29 254 652 313 565 1,770 -33

Liquid? (1=yes, 0=no) 11 3 5 3 1 1 1 1 1 1 1 1 12

Demand deposits (domestic) 8,752 4,016 2,431 2,305 845 821 2,350 55 308 1,237 290 541 1,117 65Demand deposits (foreign) 14,701 2,178 2,518 10,005 217 94 1,867 82 313 735 463 925 3,869 4,42Time deposits (domestic) 12,051 5,998 2,674 3,380 929 1,458 3,611 66 420 1,138 452 598 1,287 1,38

Time deposits (foreign) 17,244 2,621 3,200 11,423 221 202 2,198 91 406 747 714 1,241 3,797 5,78New cash outflow (during day 2) 4,230 1,251 284 2,695 43 56 1,152 0 13 156 23 92 1,110 1,45


New cash inflow (during day 2) 783 226 154 404 32 33 161 3 19 57 26 48 162 17Net cash inflow since beginning o 1,848 -387 1,682 553 332 199 -918 32 260 553 315 522 823 -1,61

Liquid? (1=yes, 0=no) 10 2 5 3 1 1 0 1 1 1 1 1 13

Demand deposits (domestic) 7,709 3,522 2,307 1,880 819 792 1,911 55 303 1,156 283 511 887 49


New cash outflow (during day 3) 3,714 1,096 272 2,345 42 54 1,000 0 13 149 22 89 968 1,25Liquid assets (after day 3) 1 0 0 0 0 0 0 0 0 0 0 0 0

Non-liquid assets (after day 3) 55,770 15,546 10,252 29,972 1,940 2,416 11,190 296 1,177 3,792 1,643 3,344 10,798 15,41New cash inflow (during day 3) 574 160 106 308 20 25 115 3 12 39 17 34 112 15Net cash inflow since beginning o -1,292 -1,323 1,515 -1,485 310 170 -1,803 35 260 443 310 467 -33 -2,71

Liquid? (1=yes, 0=no) 9 2 5 2 1 1 0 1 1 1 1 1 04

Demand deposits (domestic) 6,848 3,112 2,191 1,545 794 763 1,554 55 298 1,081 275 482 705 36Demand deposits (foreign) 11,926 1,771 2,380 7,775 209 90 1,472 82 306 679 449 864 2,975 3,19

Time deposits (domestic) 10,870 5,414 2,574 2,882 906 1,416 3,092 66 414 1,080 443 571 1,084 1,11Time deposits (foreign) 16,112 2,454 3,143 10,515 218 199 2,037 91 403 728 707 1,214 3,492 5,22New cash outflow (during day 4) 3,278 965 261 2,051 41 53 871 0 13 141 22 85 847 1,08


New cash inflow (during day 4) 558 156 103 300 19 24 112 3 12 38 16 33 108 15Net cash inflow since beginning o -4,011 -2,132 1,357 -3,235 288 142 -2,562 38 259 340 304 416 -772 -3,64

Liquid? (1=yes, 0=no) 9 2 5 2 1 1 0 1 1 1 1 1 05

Demand deposits (domestic) 6,132 2,770 2,082 1,280 770 736 1,264 55 293 1,010 268 455 560 27

Demand deposits (foreign) 10,793 1,600 2,315 6,878 205 88 1,307 82 303 652 442 835 2,608 2,71Time deposits (domestic) 10,343 5,152 2,526 2,665 895 1,396 2,861 66 411 1,052 439 558 995 1,00

Time deposits (foreign) 15,582 2,375 3,115 10,091 217 197 1,961 91 402 719 704 1,200 3,348 4,96New cash outflow (during day 5) 2,907 854 251 1,802 40 51 762 0 12 135 22 82 744 94Liquid assets (after day 5) 0 0 0 0 0 0 0 0 0 0 0 0 0

Non-liquid assets (after day 5) 54,660 15,237 10,047 29,375 1,902 2,368 10,967 290 1,153 3,717 1,610 3,277 10,583 15,11New cash inflow (during day 5) 552 154 101 297 19 24 111 3 12 38 16 33 107 15

Net cash inflow since beginning o -6,366 -2,832 1,207 -4,741 267 114 -3,213 41 258 243 299 366 -1,408 -4,43Liquid? (1=yes 0=no) 9 2 5 2 1 1 0 1 1 1 1 1 0



Table H. Scenario Results (based on end-2005 data; al l numb ers are in B$ m il l ions, rat ios are in percent)

Scenario parameters (summary, in %)

Credit risk type Proportional Exchange rate change (+ depreciati 55

Additional provisions (as % of existing) 11 Liquidity scenario type (simple/comp SimpleIncrease in interest rates 1.5 Evaluated after (days): 2

All SBs DBs FBs SB1 SB2 SB3 DB1 DB2 DB3

Table H1. Summary o f Results

Solvency

Pre-shock CAR 14.9 5.0 18.2 19.0 7.9 8.1 4.3 23.9 0.4 16

Impact of (percentage points of the original RWA)

Increase in provisioning -2.2 -6.5 -0.6 -0.5 -1.7 -21.2 -5.7 -0.3 -1.1 -0

Increase in NPLs -1.5 -2.7 -1.2 -1.0 -6.2 -5.7 -2.0 -2.2 -4.3 -0

Increase in interest rates -0.8 -0.6 1.2 -1.7 1.7 -2.8 -0.7 -3.5 7.1 0

Exchange rate change (+ depreciation, - appr -1.1 -1.4 -1.3 -0.8 -0.3 -2.4 -1.4 -2.4 -1.2 -1

Post-shock CAR 9.3 -6.3 16.3 15.0 1.4 -24.0 -5.5 15.4 0.9 15

Change in CAR (all fundamental shocks) -5.6 -11.2 -1.9 -4.0 -6.5 -32.1 -9.8 -8.4 0.5 -1

Impact of interbank contagion -1.7 -1.9 -5.2 -0.4 -5.2 0.0 -1.7 -52.9 -12.4 -2

Post-contagion CAR 7.9 -8.9 11.4 14.8 -3.6 -32.9 -7.7 -37.1 -11.4 13Liquidity Liquid assets/total assets

Pre-shock 14.6 11.0 16.3 15.7 16.0 9.6 10.4 7.9 17.8 16Post-shock 4.7 -0.8 6.2 6.8 2.9 -1.8 -1.4 -1.4 7.0 5

Liquid assets/short-term liabilities

Pre-shock 32.7 24.7 38.3 34.8 33.9 26.8 22.6 19.0 41.1 36Post-shock 13.2 -2.3 19.0 18.6 8.2 -6.1 -3.7 -4.2 21.2 14

Memo items:

Profits (10-year average) 921 17 183 721 -10 5 22 8 31

Profits (10-year average)/pre-shock RWA 2.5 0.2 2.7 3.7 -1.0 0.6 0.3 5.1 5.5 1

Autonomous shock to net interest income 25

Impact of the autonomous shock on profits -962 -278 -165 -519 -36 -43 -199 -5 -22 -

Profit "buffer" -41 -261 18 202 -46 -38 -177 3 9 -

Profit "buffer"/pre-shock RWA -0.1 -2.5 0.3 1.0 -4.4 -4.7 -2.1 1.7 1.5 -0Post-shock CAR (if profits used for defence) 7.8 -11.4 11.7 15.9 -8.1 -37.6 -9.8 -35.4 -9.9 12

Post-shock ROA (if profits used for defence) -0.1 -1.5 0.1 0.6 -2.0 -1.5 -1.5 0.8 0.6 -0

Post-shock ROE (if profits used for defence) -1.2 40.4 1.6 6.9 -310.2 19.5 38.1 11.0 162.6 -3

Pre-shock capital 5,444 508 1,217 3,720 81 66 361 37 2 5

Impact of:

Increase in provisioning -808 -667 -39 -102 -18 -172 -477 -1 -6 -

Increase in NPLs -551 -278 -79 -194 -63 -46 -168 -3 -24 -

Increase in interest rates -310 -63 78 -325 18 -23 -58 -5 40

Exchange rate change (+ depreciation, - appr -390 -145 -86 -159 -4 -20 -122 -4 -7 -

Post-shock capital 3,385 -645 1,091 2,939 15 -195 -465 24 5 4

Pre-shock RWA 36,503 10,246 6,678 19,579 1,030 809 8,406 156 568 3,1

Impact of:

Increase in provisioning -808 -667 -39 -102 -18 -172 -477 -1 -6 -

Increase in NPLs -551 -278 -79 -194 -63 -46 -168 -3 -24 -Post-shock RWA 35,143 9,301 6,560 19,282 949 592 7,760 152 537 3,1

Pre-shock assets 67,264 18,005 12,619 36,639 2,381 2,753 12,872 331 1,475 4,7

Post-shock assets 65,205 16,853 12,494 35,859 2,314 2,493 12,046 318 1,478 4,6

Post-shock liquid assets 3,073 -140 779 2,434 68 -44 -164 -4 104 2

Post-shock short-term liabilities 23,218 6,035 4,110 13,073 832 718 4,485 106 489 1,6

Assumed minimum CAR rule (%) 10

Assumed use for capital injection for RWA (%) 0

Capital needed to satisfy the minimum CAR rule 3,514 930 656 1,928 95 59 776 15 54 3

Capital injection needed (B$ million) 1,803 1,575 90 138 80 254 1,241 0 48

Capital injection needed (% of GDP) 1.8 1.6 0.1 0.1 0.1 0.3 1.2 0.0 0.0 0



Table H. Scenario Results (based on end-2005 data; al l numb ers are in B$ m il l ions, rat ios are in percent)

Scenario parameters (summary, in %)

Credit risk type Proportional Exchange rate change (+ depreciati 55

Additional provisions (as % of existing) 11 Liquidity scenario type (simple/comp SimpleIncrease in interest rates 1.5 Evaluated after (days): 2

Table H2. Post-Shock Banking Ratios

Capital Adequacy Total capital / RWA (CAR) * 7.8 -11.4 11.7 15.9 -8.1 -37.6 -9.8 -35.4 -9.9 12

Asset Quality NPLs (gross)/ total loans * 20.1 38.0 15.9 12.8 79.6 39.8 31.4 22.3 47.7 7Provisions/NPLs 51.3 50.3 51.8 52.4 46.1 44.8 53.4 23.5 70.5 48

(NPLs-provisions)/capital * 98.7 544.0 62.7 49.7 839.5 775.6 435.2 139.4 5,849.6 27FX loans/total loans 33.8 23.8 41.9 35.9 22.4 24.1 23.9 45.1 47.7 41RWA/total assets 53.9 55.2 52.5 53.8 41.0 23.7 64.4 47.9 36.3 66

Profitability ROA (after-tax) * -0.1 -1.5 0.1 0.6 -2.0 -1.5 -1.5 0.8 0.6 -0ROE (after-tax) * -1.2 40.4 1.6 6.9 -310.2 19.5 38.1 11.0 162.6 -3

Liquidity

Liquid assets/total assets 4.7 -0.8 6.2 6.8 2.9 -1.8 -1.4 -1.4 7.0 5Liquid assets/short-term liabilities* 13.2 -2.3 19.0 18.6 8.2 -6.1 -3.7 -4.2 21.2 14

Sensitivity to Market Risk

Net FX exposure / capital * 4.0 -17.7 4.4 6.8 14.1 -12.4 -25.8 0.0 491.7 2

Other

Z-score ((C/A+ROA/stdev(ROA)) ... ... ... ... -0.5 -3.6 -23.8 6.9 0.3 19

Table H3. Post-Shock Ratings

Overall 2.7 3.4 2.9 2.4 3.7 3.4 3.4 3.3 3.3 3Change from pre-shock rating 0.4 0.0 0.7 0.5 0.4 0.1 0.0 0.2 0.5 0

Capital Adequacy

Total capital / RWA (CAR) * 2.2 4.0 2.3 1.3 4 4 4 4 4

Asset Quality

NPLs (gross)/ total loans * 2.8 4.0 2.6 2.3 4 4 4 3 4Provisions/NPLs 2.4 2.3 2.6 2.4 3 3 2 4 2

(NPLs-provisions)/capital * 2.7 4.0 2.3 2.3 4 4 4 4 4FX loans/total loans 2.2 2.0 2.7 2.2 2 2 2 3 3RWA/total assets 2.8 2.6 2.7 3.0 2 1 3 2 2

Profitability

ROA (after-tax) * 3.3 4.0 3.4 3.0 4 4 4 3 3ROE (after-tax) * 2.2 1.6 2.8 2.2 4 2 1 2 1

Liquidity

Liquid assets/total assets 3.6 4.0 4.0 3.3 4 4 4 4 4Liquid assets/short-term liabilities* 3.8 4.0 4.0 3.6 4 4 4 4 4


Net FX exposure / capital * 2.1 3.3 1.5 1.8 2 1 4 1 4

Table H4. Post-shock prob abil i ty of default

Overall 25.7 21.3 22.6 16.7 19.3 15Change from pre-shock probability 10.0 1.4 5.5 -2.1 6.0 12

Capital Adequacy Total capital / RWA (CAR) * 30.0 30.0 30.0 30.0 30.0 1

Asset Quality

NPLs (gross)/ total loans * 30.0 30.0 30.0 5.0 30.0 1Provisions/NPLs 5.0 5.0 1.0 30.0 1.0 5

(NPLs-provisions)/capital * 30.0 30.0 30.0 30.0 30.0 1FX loans/total loans 1.0 1.0 1.0 5.0 5.0 5RWA/total assets 1.0 0.1 5.0 1.0 1.0 5

Profitability ROA (after-tax) * 30.0 30.0 30.0 5.0 5.0 30ROE (after-tax) * 30.0 1.0 0.1 1.0 0.1 30

Liquidity Liquid assets/total assets 30.0 30.0 30.0 30.0 30.0 30Liquid assets/short-term liabilities* 30.0 30.0 30.0 30.0 30.0 30


Net FX exposure / capital * 1.0 0.1 30.0 0.1 30.0 0

tp 4 - entrenamiento

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