Vejledning om stresstest for små og mellemstore pengeinstitutter

The Danish FSA has amended its guidance on stress tests for small and medium firms. According to the FSA, the banks‘ net interest income in the first half of 2023 appears very high from a historical perspective, and this level cannot necessarily be expected to be maintained going forward. In light of this and as a precautionary measure, the FSA applies a cap on net interest income in the stress test projections. This is a methodological change compared to previously. The approach of using a cap on net interest income is well known from the pan-European stress test organised by the EBA.
The guidance has also clarified that when preparing stress tests, institutions should ensure that the projection of net interest income is sufficiently conservative. This is especially true in the current situation. The assessment can be based on historical experience, among other things.
The changes to the guidance aim to ensure a sufficiently prudent stress test.
Specifically, the Danish FSA has enhanced the document with the following points:
– The Danish FSA’s capital projection model is based on the banks‘ accounting figures and capital ratios calculated on 30 June or 31 December in a given year.
– the projection no longer covers a period of 3 years (in-line with EBA)
– net interest fee income will have a cap placed on in the projection – this is a methodological change compared to the previous version, as a result of high values for first quarter of 2023 for small and medium-sized firms. The net interest income cap is calculated based on the net interest income for the fourth quarter of 2022, annualized and calculated as a percentage of loans
– savings on personnel and administrative expenses are not included in the scenarios unless the savings are planned, concretized and announced at the time of the calculations
– projection of net interest income should be sufficiently conservative, especially when this has been very favorable in the past
– in the capital projection, the institution should take into account changes in financial regulation that are likely to affect future capital ratios (capital or risk exposure) or capital requirements over the projection period.