Macro-financial scenario for the 2023 EU-wide banking sector stress test (updated on 1 March 2023)

Following the recent publication of the macro-financial scenarios to be used by financial institutions for the 2023 EU-wide banking sector stress test (please refer to EventID 19394 in this context for a detailed description), the European Systemic Risk Board, ESRB, has published a corrected version of the documents. In a corresponding letter accompanying the revised descriptions and data files, the Head of the ESRB Secretariat, Mr. Francesco Mazzaferro, informs that the ESRB has identified several errors in the data underlying or used in the test scenarios. Such errors concern – as quoted:
– certain tenors in the swap rates for the US dollar, the Swiss franc, the New Zealand dollar, the Mexican peso and the rest of the world category and the exchange rate of euro against Chilean peso in the adverse macrofinancial scenario and
– a formula error in the metric Level of deviations from starting point for the economic activity Manufacturing (NACE code C) for both its low-energy and high-energy intensive decomposition in the real gross value added by sector.
The Head notes that all revisions are described in the attached corrigendum table and all data files as attached to this Event have been adjusted accordingly.