Vejledning om stresstest for små og mellemstore pengeinstitutter

Following the introduction of a guidance on stress tests for small and medium firms (see eventid=18092), the Danish FSA has enhanced the document with the following points:
– interest risk rate on bonds includes bonds both within and outside the trading book
– net fee income should be considered on an individual level, as there might exist income and/or expenses, which need adjustment. If, for example, for a particular year, the fee income is significantly higher compared to that in other years due to high remortgaging activities, then the net fee income should fall by more than the amount of lending. It is additionally important to consider cyclical fees conservatively, such as securities trading or asset management fee incomes.
– capital risks resulting from bond portfolio amorisation should be reflected in the stress scenario projection